This paper provides an overview of the finite difference method and its application to approximating financial partial differential equations (PDEs) in incomplete markets. In particular, we study German’s [6] stochastic volatility PDE derived from indifference pricing. In [6], it is shown that the first order- correction to derivatives valued by indifference pricing can be computed as a function involving the stochastic volatility PDE itself. In this paper, we present three explicit finite difference models to approximate the stochastic volatility PDE and compare the resulting valuations to those generated by an Euler- Maruyama Monte Carlo pricing algorithm. We also discuss the significance of boundary condition choice for explicit finite difference models.

In this thesis, we examined some Dirichlet type problems of the form: \begin{eqnarray*} \triangle u & = & 0\ {\rm in\ } \mathbb{R}^n \\ u & = & f\ {\rm on\ } \psi = 0, \end{eqnarray*} and we were particularly interested in finding entire solutions when entire data was prescribed. This is an extension of the work of D. Siegel, M. Mouratidis, and M. Chamberland, who were interested in finding polynomial solutions when polynomial data was prescribed. In the cases where they found that polynomial solutions always existed for any polynomial data, we tried to show that entire solutions always existed given any entire data. For half space problems we were successful, but when we compared this to the heat equation, we found that we needed to impose restrictions on the type of data allowed. For problems where data is prescribed on a pair of intersecting lines in the plane, we found a surprising dependence between the existence of an entire solution and the number theoretic properties of the angle between the lines. We were able to show that for numbers $\alpha$ with $\omega_1$ finite according to Mahler's classification of transcendental numbers, there will always be an entire solution given entire data for the angle $2\alpha\pi$ between the lines. We were also able to construct an uncountable, dense set of angles of measure 0, much in the spirit of Liouville's number, for which there will not always be an entire solution for all entire data. Finally, we investigated a problem where data is given on the boundary of an infinite strip in the plane. We were unable to settle this problem, but we were able to reduce it to other {\it a priori} more tractable problems.

In this thesis, we examined some Dirichlet type problems of the form: \begin{eqnarray*} \triangle u & = & 0\ {\rm in\ } \mathbb{R}^n \\ u & = & f\ {\rm on\ } \psi = 0, \end{eqnarray*} and we were particularly interested in finding entire solutions when entire data was prescribed. This is an extension of the work of D. Siegel, M. Mouratidis, and M. Chamberland, who were interested in finding polynomial solutions when polynomial data was prescribed. In the cases where they found that polynomial solutions always existed for any polynomial data, we tried to show that entire solutions always existed given any entire data. For half space problems we were successful, but when we compared this to the heat equation, we found that we needed to impose restrictions on the type of data allowed. For problems where data is prescribed on a pair of intersecting lines in the plane, we found a surprising dependence between the existence of an entire solution and the number theoretic properties of the angle between the lines. We were able to show that for numbers $\alpha$ with $\omega_1$ finite according to Mahler's classification of transcendental numbers, there will always be an entire solution given entire data for the angle $2\alpha\pi$ between the lines. We were also able to construct an uncountable, dense set of angles of measure 0, much in the spirit of Liouville's number, for which there will not always be an entire solution for all entire data. Finally, we investigated a problem where data is given on the boundary of an infinite strip in the plane. We were unable to settle this problem, but we were able to reduce it to other {\it a priori} more tractable problems.

In this thesis, we explore two important aspects of study of differential equations: analytical and computational aspects. We first consider a partial differential equation model for a static liquid surface (capillary surface). We prove through mathematical analyses that the solution of this mathematical model (the Laplace-Young equation) in a cusp domain can be bounded or unbounded depending on the boundary conditions. By utilizing the knowledge we have obtained about the singular behaviour of the solution through mathematical analysis, we then construct a numerical methodology to accurately approximate unbounded solutions of the Laplace-Young equation. Using this accurate numerical methodology, we explore some remaining open problems on singular solutions of the Laplace-Young equation. Lastly, we consider ordinary differential equation models used in the pharmaceutical industry and develop a numerical method for estimating model parameters from incomplete experimental data. With our numerical method, the parameter estimation can be done significantly faster and more robustly than with conventional methods.

Conventionally, to speed up scientific or engineering (S&E) computation programs on general-purpose computers, one may elect to use faster CPUs, more memory, systems with more efficient (though complicated) architecture, better software compilers, or even coding with assembly languages. With the emergence of Field Programmable Gate Array (FPGA) based Reconfigurable Computing (RC) technology, numerical scientists and engineers now have another option using FPGA devices as core components to address their computational problems. The hardware-programmable, low-cost, but powerful “FPGA-enhanced computer” has now become an attractive approach for many S&E applications. A new computer architecture model for FPGA-enhanced computer systems and its detailed hardware implementation are proposed for accelerating the solutions of computationally demanding and data intensive numerical PDE problems. New FPGAoptimized algorithms/methods for rapid executions of representative numerical methods such as Finite Difference Methods (FDM) and Finite Element Methods (FEM) are designed, analyzed, and implemented on it. Linear wave equations based on seismic data processing applications are adopted as the targeting PDE problems to demonstrate the effectiveness of this new computer model. Their sustained computational performances are compared with pure software programs operating on commodity CPUbased general-purpose computers. Quantitative analysis is performed from a hierarchical set of aspects as customized/extraordinary computer arithmetic or function units, compact but flexible system architecture and memory hierarchy, and hardwareoptimized numerical algorithms or methods that may be inappropriate for conventional general-purpose computers. The preferable property of in-system hardware reconfigurability of the new system is emphasized aiming at effectively accelerating the execution of complex multi-stage numerical applications. Methodologies for accelerating the targeting PDE problems as well as other numerical PDE problems, such as heat equations and Laplace equations utilizing programmable hardware resources are concluded, which imply the broad usage of the proposed FPGA-enhanced computers.

This study consists of four chapters. In the first chapter we give some historical background of the problem, basic definitions and properties. Basic integral operators of complex analysis and and Schwarz problem for model equations are presented in Chapter 2. Chapter 3 is devoted to the investigation of the properties of a class of strongly singular integral operators. In the last chapter we consider the Schwarz boundary value problem for the general partial complex differential equations of higher order.

In image processing, partial differential equation (PDE) based approaches have been extensively used in segmentation and smoothing applications. The Perona-Malik nonlinear diffusion model is the first PDE based method used in the image smoothing tasks. Afterwards the classical Mumford-Shah model was developed to solve both image segmentation and smoothing problems and it is based on the minimization of an energy functional. It has numerous application areas such as edge detection, motion analysis, medical imagery, object tracking etc. The model is a way of finding a partition of an image by using a piecewise smooth representation of the image. Unfortunately numerical procedures for minimizing the Mumford-Shah functional have some difficulties because the problem is non convex and it has numerous local minima, so approximate approaches have been proposed. Two such methods are the Ambrosio-Tortorelli approximation and the Chan-Vese active contour method. Ambrosio and Tortorelli have developed a practical numerical implementation of the Mumford-Shah model which based on an elliptic approximation of the original functional. The Chan-Vese model is a piecewise constant generalization of the Mumford-Shah functional and it is based on level set formulation. Another widely used image segmentation technique is the &ldquo / Active Contours (Snakes)&rdquo / model and it is correlated with the Chan-Vese model. In this study, all these approaches have been examined in detail. Mathematical and numerical analysis of these models are studied and some experiments are performed to compare their performance.

In this thesis we collect the study of two problems in the Calculus of Variations and Partial Differential Equations. Our first group of results concern the analysis of minimizers in a variational model describing the shape of liquid drops and crystals under the influence of gravity, resting on a horizontal surface. Making use of anisotropic symmetrization techniques and an analysis of fine properties of minimizers within the class of sets of finite perimeter, we establish existence, convexity and symmetry of minimizers. In the case of smooth surface tensions, we obtain uniqueness of minimizers via an ODE characterization. In the second group of results discussed in this thesis, which is joint work with A. Vasseur, we treat a problem in compressible fluid dynamics, establishing a uniform bound from below on the temperature for a variant of the compressible Navier-Stokes-Fourier system under suitable hypotheses. This system of equations forms a mathematical model of the motion of a compressible fluid subject to heat conduction. Building upon the work of (Mellet, Vasseur 2009), we identify a class of weak solutions satisfying a localized form of the entropy inequality (adapted to measure the set where the temperature becomes small) and use a form of the De Giorgi argument for L[superscript infinity] bounds of solutions to elliptic equations with bounded measurable coefficients. / text

Efficient and robust numerical simulation of multiscale problems encountered in science and engineering is a formidable challenge. Full resolution of multiscale problems using direct numerical simulations requires enormous amounts of computational time and resources. This thesis develops seamless multiscale methods for ordinary and partial differential equations under the framework of the heterogeneous multiscale method (HMM). The first part of the thesis is devoted to the development of seamless multiscale integrators for ordinary differential equations. The first method, which we call backward-forward HMM (BFHMM), uses splitting and on-the-fly filtering techniques to capture slow variables of highly oscillatory problems without any a priori information. The second method, denoted by variable step size HMM (VSHMM), as the name implies, uses variable mesoscopic step sizes for the unperturbed equation, which gives computational efficiency and higher accuracy. VSHMM can be applied to dissipative problems as well as highly oscillatory problems, while BFHMM has some difficulties when applied to the dissipative case. The effect of variable time stepping is analyzed and the two methods are tested numerically. Multi-spatial problems and numerical methods are discussed in the second part. Seamless heterogeneous multiscale methods (SHMM) for partial differential equations, especially the parabolic case without scale separation are proposed. SHMM is developed first for the multiscale heat equation with a continuum of scales in the diffusion coefficient. This seamless method uses a hierarchy of local grids to capture effects from each scale and uses filtering in Fourier space to impose an artificial scale gap. SHMM is then applied to advection enhanced diffusion problems under incompressible turbulent velocity fields. / text

This work focuses on three nonlinear relativistic equations: the symmetric Chiral field equation, Einstein's field equation for metrics with two commuting Killing vectors and Einstein's field equation for diagonal metrics that depend on three variables. The symmetric Chiral field equation is studied using the Zakharov-Mikhailov transform, with which its infinitely many local conservation laws are derived and its solitons on diagonal backgrounds are studied. It is also proven that it is equivalent to a novel equation that poses a fascinating similarity to the Sinh-Gordon equation. For the 1+1 Einstein equation the Belinski-Zakharov transformation is explored. It is used to derive explicit formula for N gravitational solitons on arbitrary diagonal background. In particular, the method is used to derive gravitational solitons on the Einstein-Rosen background. The similarities and differences between the attributes of the solitons of the symmetric Chiral field equation and those of the 1+1 Einstein equation are emphasized, and their origin is pointed out. For the 1+2 Einstein equation, new equations describing diagonal metrics are derived and their compatibility is proven. Different gravitational waves are studied that naturally extend the class of Bondi-Pirani-Robinson waves. It is further shown that the Bondi-Pirani-Robinson waves are stable with respect to perturbations of the spacetime. Their stability is closely related to the stability of the Schwarzschild black hole and the relation between the two allows to conjecture about the stability of a wide range of gravitational phenomena. Lastly, a new set of equations that describe weak gravitational waves is derived. This new system of equations is closely and fundamentally connected with the nonlinear Schrödinger equation and can be properly called the nonlinear Schrödinger-Einstein equations. A few preliminary solutions are constructed.