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Numerical analysis of some integral equations with singularitiesThomas, Sophy Margaret January 2006 (has links)
In this thesis we consider new approaches to the numerical solution of a class of Volterra integral equations, which contain a kernel with singularity of non-standard type. The kernel is singular in both arguments at the origin, resulting in multiple solutions, one of which is differentiable at the origin. We consider numerical methods to approximate any of the (infinitely many) solutions of the equation. We go on to show that the use of product integration over a short primary interval, combined with the careful use of extrapolation to improve the order, may be linked to any suitable standard method away from the origin. The resulting split-interval algorithm is shown to be reliable and flexible, capable of achieving good accuracy, with convergence to the one particular smooth solution.
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The Schrodinger Equation as a Volterra ProblemMera, Fernando Daniel 2011 May 1900 (has links)
The objective of the thesis is to treat the Schrodinger equation in parallel with a standard treatment of the heat equation. In the books of the Rubensteins and Kress,
the heat equation initial value problem is converted into a Volterra integral equation of the second kind, and then the Picard algorithm is used to find the exact solution
of the integral equation. Similarly, the Schrodinger equation boundary initial value problem can be turned into a Volterra integral equation. We follow the books of
the Rubinsteins and Kress to show for the Schrodinger equation similar results to those for the heat equation. The thesis proves that the Schrodinger equation with
a source function does indeed have a unique solution. The Poisson integral formula with the Schrodinger kernel is shown to hold in the Abel summable sense. The Green functions are introduced in order to obtain a representation for any function which satisfies the Schrodinger initial-boundary value problem. The Picard method of successive approximations is to be used to construct an approximate solution which should approach the exact Green function as n goes to infinity. To prove convergence, Volterra kernels are introduced in arbitrary Banach spaces, and the Volterra and General Volterra theorems are proved and used in order to show that the Neumann series for the L^1 kernel, the L^infinity kernel, the Hilbert-Schmidt kernel, the unitary kernel, and the
WKB kernel converge to the exact Green function. In the WKB case, the solution of the Schrodinger equation is given in terms of classical paths; that is, the multiple scattering expansions are used to construct from, the action S, the quantum Green function. Then the interior Dirichlet problem is converted into a Volterra integral
problem, and it is shown that Volterra integral equation with the quantum surface kernel can be solved by the method of successive approximations.
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A Limit Order Book Model for High Frequency Trading with Rough VolatilityChen-Shue, Yun S 01 January 2024 (has links) (PDF)
We introduce a financial model for limit order book with two main features: First, the limit orders and market orders for the given asset both appear and interact with each other. Second, the high frequency trading (HFT, for short) activities are allowed and described by the scaling limit of nearly-unstable multi-dimensional Hawkes processes with power law decay. The model eventually becomes a stochastic partial differential equation (SPDE, for short) with the diffusion coefficient determined by a Volterra integral equation governed by a Hawkes process, whose Hurst exponent is less than 1/2, which makes the volatility path of the stochastic PDE rougher than that driven by a Brownian motion. We have further established the well-posedness of such a system so that a foundation is laid down for further studies in this direction.
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Applications of Nonlinear Systems of Ordinary Differential Equations and Volterra Integral Equations to Infectious Disease EpidemiologyJanuary 2014 (has links)
abstract: In the field of infectious disease epidemiology, the assessment of model robustness outcomes plays a significant role in the identification, reformulation, and evaluation of preparedness strategies aimed at limiting the impact of catastrophic events (pandemics or the deliberate release of biological agents) or used in the management of disease prevention strategies, or employed in the identification and evaluation of control or mitigation measures. The research work in this dissertation focuses on: The comparison and assessment of the role of exponentially distributed waiting times versus the use of generalized non-exponential parametric distributed waiting times of infectious periods on the quantitative and qualitative outcomes generated by Susceptible-Infectious-Removed (SIR) models. Specifically, Gamma distributed infectious periods are considered in the three research projects developed following the applications found in (Bailey 1964, Anderson 1980, Wearing 2005, Feng 2007, Feng 2007, Yan 2008, lloyd 2009, Vergu 2010). i) The first project focuses on the influence of input model parameters, such as the transmission rate, mean and variance of Gamma distributed infectious periods, on disease prevalence, the peak epidemic size and its timing, final epidemic size, epidemic duration and basic reproduction number. Global uncertainty and sensitivity analyses are carried out using a deterministic Susceptible-Infectious-Recovered (SIR) model. The quantitative effect and qualitative relation between input model parameters and outcome variables are established using Latin Hypercube Sampling (LHS) and Partial rank correlation coefficient (PRCC) and Spearman rank correlation coefficient (RCC) sensitivity indices. We learnt that: For relatively low (R0 close to one) to high (mean of R0 equals 15) transmissibility, the variance of the Gamma distribution for the infectious period, input parameter of the deterministic age-of-infection SIR model, is key (statistically significant) on the predictability of the epidemiological variables such as the epidemic duration and the peak size and timing of the prevalence of infectious individuals and therefore, for the predictability these variables, it is preferable to utilize a nonlinear system of Volterra integral equations, rather than a nonlinear system of ordinary differential equations. The predictability of epidemiological variables such as the final epidemic size and the basic reproduction number are unaffected by (or independent of) the variance of the Gamma distribution for the infectious period and therefore for the choice on which type of nonlinear system for the description of the SIR model (VIE's or ODE's) is irrelevant. Although, for practical proposes, with the aim of lowering the complexity and number operations in the numerical methods, a nonlinear system of ordinary differential equations is preferred. The main contribution lies in the development of a model based decision-tool that helps determine when SIR models given in terms of Volterra integral equations are equivalent or better suited than SIR models that only consider exponentially distributed infectious periods. ii) The second project addresses the question of whether or not there is sufficient evidence to conclude that two empirical distributions for a single epidemiological outcome, one generated using a stochastic SIR model under exponentially distributed infectious periods and the other under the non-exponentially distributed infectious period, are statistically dissimilar. The stochastic formulations are modeled via a continuous time Markov chain model. The statistical hypothesis test is conducted using the non-parametric Kolmogorov-Smirnov test. We found evidence that shows that for low to moderate transmissibility, all empirical distribution pairs (generated from exponential and non-exponential distributions) for each of the epidemiological quantities considered are statistically dissimilar. The research in this project helps determine whether the weakening exponential distribution assumption must be considered in the estimation of probability of events defined from the empirical distribution of specific random variables. iii) The third project involves the assessment of the effect of exponentially distributed infectious periods on estimates of input parameter and the associated outcome variable predictions. Quantities unaffected by the use of exponentially distributed infectious period within low transmissibility scenarios include, the prevalence peak time, final epidemic size, epidemic duration and basic reproduction number and for high transmissibility scenarios only the prevalence peak time and final epidemic size. An application designed to determine from incidence data whether there is sufficient statistical evidence to conclude that the infectious period distribution should not be modeled by an exponential distribution is developed. A method for estimating explicitly specified non-exponential parametric probability density functions for the infectious period from epidemiological data is developed. The methodologies presented in this dissertation may be applicable to models where waiting times are used to model transitions between stages, a process that is common in the study of life-history dynamics of many ecological systems. / Dissertation/Thesis / Ph.D. Applied Mathematics for the Life and Social Sciences 2014
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