It is well known that the problem of estimating the state and parameters of discrete-time nonlinear dynamic systems from noisy measurements can be formulated as a nonlinear two-point boundaryvalue problem. In this paper, an algorithm is developed for solving the above boundary-value problem. The algorithm, which is based on Newton's method, requires very little storage. A detailed discussion of...

In this paper, we consider the second-order three-point boundaryvalue problem u′′(t) + f(t, u, u′, u′′) = 0, 0 ≤ t ≤ 1, u(0) = u(1) = αu(η). Under suitable conditions and using Schauder fixed point theorem, we prove the existence of at least one symmetric positive solution. We also study the existence of positive eigenvalues for this problem. We emphasis the highestorder derivative occurs nonli...

In this article, we study the second-order three-point boundaryvalue problem u′′(t) + a(t)u′(t) + f(t, u) = 0, 0 ≤ t ≤ 1, u′(0) = 0, u(1) = αu(η), where 0 < α, η < 1, a ∈ C([0, 1], (−∞, 0)) and f is allowed to change sign. We show that there exist two positive solutions by using Leggett-Williams fixed-point theorem.

In this article, we are concerned with the existence, uniqueness and asymptotic behavior of a positive classical solution to the semilinear boundaryvalue problem −∆u = a(x)u in D, lim |x|→1 u(x) = lim |x|→∞ u(x) = 0. Here D is the complement of the closed unit ball of Rn (n ≥ 3), σ < 1 and the function a is a nonnegative function in C loc(D), 0 < γ < 1, satisfying some appropriate assumptions r...

Directional emission from a slit surrounded by rectangular grooves on the exit surface in a conducting plane is investigated. An electromagnetic boundaryvalue problem dealing with a slit surrounded by rectangular grooves on the exit surface in a conducting plane is rigourously solved based on the Fourier transform, eigenfunction expansion, and mode-matching method. The radiation pattern from th...

We obtain sufficient conditions, easily verifiable, for the existence and uniqueness of piecewise smooth solutions of a linear two-point boundaryvalue problem with general interface conditions. The coefficients of the differential equation may have jump discontinuities at the interface point. As an example, the conditions obtained are applied to a problem with typical interface such as perfect ...

We consider an initialand Dirichlet boundaryvalue problem for a fourth-order linear stochastic parabolic equation, in two or three space dimensions, forced by an additive space-time white noise. Discretizing the space-time white noise a modeling error is introduced and a regularized fourthorder linear stochastic parabolic problem is obtained. Fully-discrete approximations to the solution of the...

We describe a robust correction to Black-Scholes American derivatives prices that accounts for uncertain and changing market volatility. It exploits the tendency of volatility to cluster, or fast mean-reversion, and is simply calibrated from the observed implied volatility skew. The two-dimensional free-boundary problem for the derivative pricing function under a stochastic volatility model is ...

In this article, we study a class of nonlinear singular boundaryvalue problems. We show the existence of positive weak solutions by using variational methods.

We prove well-posedness results for the solution to an initial and boundaryvalue problem for an Allen-Cahn type equation describing the phenomenon of phase transitions for a material contained in a bounded and regular domain. The dynamic boundary conditions for the order parameter have been recently proposed by some physicists to account for interactions with the walls (see [14] and [20]). We s...