Consistently fitting vanilla option surfaces is an important issue when it comes to modeling in finance. As far as local and stochastic volatility models are concerned, this problem boils down to the resolution of a nonlinear integro-differential pde. The non-locality of this equation stems from the quotient of two integral terms and is not defined for all bounded continuous functions. In this ...

By making use of asymptotic properties of nonoscillatory solutions the oscillation behavior of solutions for the integro-dynamic equation x(t) = e(t) − ∫ t 0 k(t, s)f(s, x(s))∆s, t ≥ 0 and the integral equation x(t) = e(t) − ∫ t 0 k(t, s)f(s, x(s))∆s, t ≥ 0 on time-scales are investigated. Easily verifiable sufficient conditions are established for the oscillation of all solutions. The results ...

The object of this paper is to solve a fractional integro-differential equation involving a generalized Lauricella confluent hypergeometric function in several complex variables and the free term contains a continuous function f (τ). The method is based on certain properties of fractional calculus and the classical Laplace transform. A Cauchy-type problem involving the Caputo fractional derivat...

SUMMARY Existing multigrid techniques are used to eeect an eecient method for reconstructing an image from noisy, blurred data. Total Variation minimization yields a nonlinear integro-diierential equation which, when discretized using cell-centered-nite diierences, yields a full matrix equation. A xed point iteration is applied with the intermediate matrix equations solved via a preconditioned ...

‎‎‎‎‎‎‎‎‎‎‎‎‎This paper aims to construct a general formulation for the shifted Jacobi operational matrices of integration and product‎. ‎The main aim is to generalize the Jacobi integral and product operational matrices to the solving system of Fredholm and Volterra integro--differential equations‎ which appear in various fields of science such as physics and engineering. ‎The Operational matr...

Abstract The integro-differential equation of heat conduction with the time-convolution integral on right side is considered. direct problem initial-boundary for this equation. Two inverse problems are studied consisting in determining a kernel member two given additional conditions respect to solution problems, respectively. replaced equivalent system equations unknown functions and basis cont...

in this article we have considered a non-standard finite difference method for the solution of second order  fredholm integro differential equation type initial value problems. the non-standard finite difference method and the composite trapezoidal quadrature method is used to transform the fredholm integro-differential equation into a system of equations. we have also developed a numerical met...

in this paper, we apply the local fractional laplace transform method (or yang-laplace transform) on volterra integro-differential equations of the second kind within the local fractional integral operators to obtain the analytical approximate solutions. the iteration procedure is based on local fractional derivative operators. this approach provides us with a convenient way to find a solution ...

In this paper, we propose a method to approximate the solution of a linear Fredholm integro-differential equation by using the Chebyshev wavelet of the first kind as basis. For this purpose, we introduce the first Chebyshev operational matrix of integration. Chebyshev wavelet approximating method is then utilized to reduce the integro-differential equation to a system of algebraic equations. Il...