We study stability of N-soliton solutions of the FPU lattice equation. Solitary wave solutions of FPU cannot be characterized as a critical point of conservation laws due to the lack of infinitesimal invariance in the spatial variable. In place of standard variational arguments for Hamiltonian systems, we use an exponential stability property of the linearized FPU equation in a weighted space w...

We review the commonly used numerical algorithms for option pricing under Levy process via Fast Fourier transform (FFT) calculations. By treating option price analogous to a probability density function, option prices across the whole spectrum of strikes can be obtained via FFT calculations. We also show how the property of the Fourier transform of a convolution product can be used to value var...

We generalize the Toda lattice (or Toda chain) equation to the square lattice, i.e., we construct an integrable nonlinear equation for a scalar field taking values on the square lattice and depending on a continuous (time) variable, characterized by an exponential law of interaction in both discrete directions of the square lattice. We construct the Darboux-Bäcklund transformations for such lat...

We propose the model, which allows us to approximate fractional Levy noise and fractional Levy motion. Our model is based (i) on the Gnedenko limit theorem for an attraction basin of stable probability law, and (ii) on regarding fractional noise as the result of fractional integration/differentiation of a white Levy noise. We investigate self-affine properties of the approximation and conclude ...

abstract rockfill dams are a type of hydraulic control structures used to protect river bed in cases where a considerable reservoir volume is available behind these structures; it could mitigate the floods and provide a gradual depletion of incoming volume of water so that the discharge passing downstream is decreased. one of the main issues on utilizing rockfill dams is to keep its permeabilit...

We propose a dimensionality reduction method for infinite–dimensional measure– valued evolution equations such as the Fokker-Planck partial differential equation or the Kushner-Stratonovich resp. Duncan-Mortensen-Zakai stochastic partial differential equations of nonlinear filtering, with potential applications to signal processing, quantitative finance, heat flows and quantum theory among many...

Keywords: Differential equations Difference equations Stability Bohl–Perron theorem Linear delay dynamic equations Time scales Uniform exponential stability a b s t r a c t This paper is concerned with the uniform exponential stability of ordinary and delay dynamic equations. After revealing the equivalence between various types of uniform exponential stability definitions on time scales with b...

We are concerned with the exponential mean-square stability of two-step Maruyama methods for stochastic differential equations with time delay. We propose a family of schemes and prove that it can maintain the exponential mean-square stability of the linear stochastic delay differential equation for every step size of integral fraction of the delay in the equation. Numerical results for linear ...