In this paper, we devote ourselves to the research of numerical methods for American option pricing problems under the Black-Scholes model. The optimal exercise boundary which satisfies a nonlinear Volterra integral equation is resolved by a high-order collocationmethod based on gradedmeshes. For the other spatial domain boundary, an artificial boundary condition is applied to the pricing probl...

In this paper we study the nonsmooth semi-infinite programming problem with inequality constraints. First, we consider the notions of local cone approximation $Lambda$ and $Lambda$-subdifferential. Then, we derive the Karush-Kuhn-Tucker optimality conditions under the Abadie and the Guignard constraint qualifications.

We introduce a new numerical solution method for semi-infinite optimization problems with convex lower level problems. The method is based on a reformulation of the semi-infinite problem as a Stackelberg game and the use of regularized nonlinear complementarity problem functions. This approach leads to central path conditions for the lower level problems, where for a given path parameter a smoo...

*Correspondence: [email protected] Department of Mathematics, Science and Research Branch, Islamic Azad University, Tehran, Iran Abstract In this paper, we solve a time-space fractional diffusion equation. Our methods are based on normalized Bernstein polynomials. For the space domain, we use a set of normalized Bernstein polynomials and for the time domain, which is a semi-infinite domain, ...

Linear optimization problems (LPs) with a very large or even infinite number of constraints frequently appear in many forms in machine learning. A linear program with m constraints can be written as min x∈P n c x with a where I assume for simplicity that the domain of x is the n dimensional probability simplex P n. Optimization problems with an infinite number of constraints of the form a j x ≤...

This paper presents the LPMLEn, a new method to estimate vertical flux and thermal diffusivity from streambed temperature time series using frequency domain. The main advantages of this are: (a) use multiple frequencies sensors for parameter estimation; (b) noise/uncertainty handling in an optimal way; (c) possibility parameters with both semi-infinite bounded domain models; (d) compensation dr...

In the present study, analytical solutions are developed for three-dimensional advection-dispersion equation (ADE) in semi-infinite adsorbing saturated homogeneous porous medium with time dependent dispersion coefficient. It means porosity of the medium is filled with single fluid(water). Dispersion coefficient is considered proportional to seepage velocity while adsorption coefficient inversel...

In the present study, analytical solutions are developed for three-dimensional advection-dispersion equation (ADE) in semi-infinite adsorbing saturated homogeneous porous medium with time dependent dispersion coefficient. It means porosity of the medium is filled with single fluid(water). Dispersion coefficient is considered proportional to seepage velocity while adsorption coefficient inversel...

Abstract Using the method of singular integral equations, elastic-plastic problem for cracked Brazilian disk was solved. Based on Dugdale model and deformation fracture criterion, relationships between critical load, notch tip opening displacement length plastic strips were established. Also, comparison present solution finite domain known obtained semi-infinite in elastic plane performed.