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In the standard modeling of the pricing of options and derivatives as generally understood these days the underlying process is taken to be a Wiener Process or a Levy Process. The stochastic process is modeled as a stochastic differential equation. From this equation a partial differential equation is obtained by application of the Feynman-Kac Theorem. The resulting partial differential equation is of Hamilton-Jacobi-Bellman type. Analysis of the partial differential equations arising from Mathematics of Finance using the methods of the Lie Theory of Continuous Groups has been performed over the last twenty years, but it is only in recent years that there has been a concerted effort to make full use of the Lie theory. We propose an extension of Mahomed and Leach's (1990) formula for the nth-prolongation of an nth-order ordinary differential equation to the nth-prolongation of the generator of an hyperbolic partial differential equation with p dependent and k independent variables. The symmetry analysis of this partial differential equation shows that the associated Lie algebra is {sl(2,R)⊕W₃}⊕s ∞A₁ with 12 optimal systems. A modeling approach based upon stochastic volatility for modeling prices in the deregulated Pennsylvania State Electricity market is adopted for application. We propose a dynamic linear model (DLM) in which switching structure for the measurement matrix is incorporated into a two-state Gaussian mixture/first-order autoregressive (AR (1)) configuration in a nonstationary independent process defined by time-varying probabilities. The estimates of maximum likelihood of the parameters from the "modified" Kalman filter showed a significant mean-reversion rate of 0.9363 which translates to a half-life price of electricity of nine months. Associated with this mean-reversion is the high measure of price volatility at 35%. Within the last decade there has been some work done upon the symmetries of stochastic differential equations. Here empirical results contradict earliest normality hypotheses on log-return series in favour of asymmetry of the probability distribution describing the process. Using the Akaike Information Criterion (AIC) and the Log-likelihood estimation (LLH) methods as selection criteria, the normal inverse Gaussian (NIG) outperformed four other candidate probability distributions among the class of Generalized Hyperbolic (GH) distributions in describing the heavy tails present in the process. Similarly, the Skewed Student's t (SSt) is the best fit for Bonny Crude Oil and Natural Gas log-returns. The observed volatility measures of these three commodity prices were examined. The Weibull distribution gives the best fit both electricity and crude oil data while the Gamma distribution is selected for natural gas data in the volatility profiles among the five candidate probability density functions (Normal, Lognormal, Gamma, Inverse Gamma and the Inverse Gaussian) considered. / Thesis (Ph.D.)-University of KwaZulu-Natal, Westville, 2011.

Aspects of the asymptotic behaviour of cell-growth models described by partial differential equations, and systems of partial differential equations, are considered. The models considered describe the evolution of the size-distribution or age-distribution of a population of cells undergoing growth and division. First, the relationship between the behaviour, with and without dispersion, of a single-compartment size-distribution model of cell-growth with fixed-size cell division (where cells can only divide at a single, critical size) is considered. In this model dispersion accounts for stochastic variation in the growth process of each individual cell. Existence, uniqueness and the asymptotic stability of the solution is shown for a size-distribution model of cell-growth with dispersion and fixed-size cell division. The conditions for the analysis to hold for a more general class of division behaviours are also discussed. A class of nonlocal ordinary differential equations is studied, which contains as a subset the nonlocal ordinary differential equations describing the steady size-distributions of a single-compartment model of cell-growth. Existence of solutions to these equations is found to be implied by the existence of 'upper' and 'lower' solutions, which also provide bounds for the solution. A multi-compartment, age-distribution model of cell-growth is studied, which describes the evolution of the age-distribution of cells in different phases of cell-growth. The stability of the model when periodic solutions exist is examined. Sufficient conditions are given for the existence of stable steady age-distributions, as well as for stable periodic solutions. Finally, a multi-compartment age-size distribution model of cell-growth is studied, which describes the evolution of the age-size distribution of cells in different phases of cell-growth. Sufficient conditions are given for the existence of steady age-size distributions. An outline of the analysis required to prove stability of the steady age-size distributions of the model is also given. The analysis is based on ideas introduced in the previous chapters.

We consider a dynamical system that undergoes frequent random switches according to Markovian laws between different states and where the associated transition rates change with the position of the system. These systems are called random evolutions; in engineering they are also known as stochastic switching systems. Since these kinds of dynamical systems combine deterministic and stochastic features, they are used for modelling in a variety of fields including biology, economics and communication networks. However, to gather information on future states, it is useful to search for alternative descriptions of this system. In this thesis, we present and study a partial differential equation of Fokker-Planck type and a stochastic differential equation that both serve as approximations of a random evolution. Furthermore, we establish a link between the two differential equations and conclude our analysis on the approximations of the random evolution with a numerical case study. / Graduate / 0405 / henrikek@uvic.ca

Features inside the living cell are complex and crowded; in such complex environments diffusion processes can be said to exhibit three distinct behaviours: pure or Fickian diffusion, superdiffusion and subdiffusion. Furthermore, the behaviour of biochemical processes taking place in these environments does not follow classical theory. Because of these factors, the task of modelling dynamical proceses in complex environments becomes very challenging and demanding and has received considerable attention from other researchers seeking to construct a coherent model. Here, we are interested to study the phenomenon of subdiffusion, which occurs when there is molecular crowding. The Reaction Diffusion Partial Differential Equations (RDPDEs) approach has been used traditionally to study diffusion. However, these equations have limitations due to their unsuitability for a subdiffusive setting. However, I provide models based on Fractional Reaction Diffusion Partial Differential Equations (FRDPDEs), which are able to portray intracellular diffusion in crowded environments. In particular, we will consider a class of continuous spatial models to describe concentrations of molecular species in crowded environments. In order to investigate the variability of the crowdedness, we have used the anomalous diffusion parameter $\alpha$ to mimic immobile obstacles or barriers. We particularly use the notation $D_t^{1-\alpha} f(t)$ to represent a differential operator of noninteger order. When the power exponent is $\alpha=1$, this corresponds to pure diffusion and to subdiffusion when $0<\alpha<1$. This thesis presents results from the application of fractional derivatives to the solution of systems biology problems. These results are presented in Chapters 4, 5 and 6. An introduction to each of the problems is given at the beginning of the relevant chapter. The introduction chapter discusses intracellular environments and the motivation for this study. The first main result, given in Chapter 4, focuses on formulating a variable stepsize method appropriate for the fractional derivative model, using an embedded technique~\cite{landman07,simpson07,simpson06}. We have also proved some aspects of two fractional numerical methods, namely the Fractional Euler and Fractional Trapezoidal methods. In particular, we apply a Taylor series expansion to obtain a convergence order for each method. Based on these results, the Fractional Trapezoidal has a better convergence order than the Fractional Euler. Comparisons between variable and fixed stepsizes are also tested on biological problems; the results behave as we expected. In Chapter 5, analyses are presented related to two fractional numerical methods, Explicit Fractional Trapezoidal and Implicit Fractional Trapezoidal methods. Two results, based on Fourier series, related to the stability and convergence orders for both methods have been found. The third main result of this thesis, in Chapter 6, concerns the travelling waves phenomenon modeled on crowded environments. Here, we used the FRDPDEs developed in the earlier chapters to simulate FRDPDEs coupled with cubic or quadratic reactions. The results exhibit some interesting features related to molecular mobility. Later in this chapter, we have applied our methods to a biological problem known as Hirschsprung's disease. This model was introduced by Landman~\cite{landman07}. However, that model ignores the effects of spatial crowdedness in the system. Applying our model for modelling Hirschsprung's disease allows us to establish an interesting result for the mobility of the cellular processes under crowded environmental conditions.

Diss. (sammanfattning) Uppsala : Uppsala universitet, 2006. / Härtill 4 uppsatser.

Thesis (M.App.Sc.) - Carleton University, 2003. / Includes bibliographical references (p. 131-133). Also available in electronic format on the Internet.

Thesis (M.S.)--University of Texas at El Paso, 2008. / Title from title screen. Vita. CD-ROM. Includes bibliographical references. Also available online.