application of firstorder differential equations to real world systems
An application of alternative risk measures to trading porfolios
Ngày tải lên :
27/04/2013, 11:17
... extended to two risk factors, while the portfolio consists of vanilla options
on stocks.
3.1 One Risk Factor
To facilitate a better understanding of the behaviour of generalized Pareto distribution ... the analysis of the DAX stocks. Given the
lack of extreme events in the time period considered (October 4, 1988 to October 1, 2003), when fitting
the tail to the generalized Pareto distribution ... main drivers of risk in the portfolio. This tool is employed to measure the sensitivity of
the overall portfolio to individual risk factors, thus allowing us to have a clear view of the risk...
- 37
- 465
- 0
Tài liệu Integration of Ordinary Differential Equations part 1 doc
Ngày tải lên :
15/12/2013, 04:15
... ODE integrator that implemented this idea was
developed by Bulirsch and Stoer, and so extrapolation methods are often called
Bulirsch-Stoer methods.
3. Predictor-corrector methods store the solution ... auxiliary variables.
The generic problem in ordinary differential equations is thus reduced to the
study of a set of N coupled first-order differential equations for the functions
y
i
,i=1,2, ,N, having ... be
reduced to the study of sets of first-order differential equations. For example the
second-order equation
d
2
y
dx
2
+ q(x)
dy
dx
= r(x)(16.0.1)
can be rewritten as two first-order equations
dy
dx
=...
- 4
- 361
- 0
Tài liệu Integration of Ordinary Differential Equations part 2 pptx
Ngày tải lên :
15/12/2013, 04:15
... Ordinary Differential Equations
(Englewood
Cliffs, NJ: Prentice-Hall).
Acton, F.S. 1970,
Numerical Methods That Work
; 1990, corrected edition (Washington: Mathe-
matical Association of America), ... to the
midpoint of the interval. Then use the value of both x and y at that midpoint
to compute the real step across the whole interval. Figure 16.1.2 illustrates the
idea. In equations,
k
1
= ... Keep
in mind, however, that the old workhorse’s last trip may well be to take you to the
poorhouse: Bulirsch-Stoer or predictor-corrector methods can be very much more
efficient for problems where very...
- 5
- 448
- 0
Tài liệu Integration of Ordinary Differential Equations part 3 doc
Ngày tải lên :
24/12/2013, 12:16
... a convenient indicator of truncation error
∆ ≡ y
2
− y
1
(16.2.2)
It is this difference that we shall endeavor to keep to a desired degree of accuracy,
neither too large nor too small. We do this ... these considerations into a generally useful stepper
routine is this: One of the arguments of the routine will of course be the vector of
dependent variables at the beginning of a proposed step. ... dc1=c1-2825.0/27648.0,dc3=c3-18575.0/48384.0,
dc4=c4-13525.0/55296.0,dc6=c6-0.25;
float *ak2,*ak3,*ak4,*ak5,*ak6,*ytemp;
ak2=vector(1,n);
ak3=vector(1,n);
ak4=vector(1,n);
ak5=vector(1,n);
ak6=vector(1,n);
ytemp=vector(1,n);
for (i=1;i<=n;i++) First step.
ytemp[i]=y[i]+b21*h*dydx[i];
(*derivs)(x+a2*h,ytemp,ak2);...
- 9
- 436
- 0
Tài liệu Integration of Ordinary Differential Equations part 4 ppt
Ngày tải lên :
24/12/2013, 12:16
... section.
The usefulness ofthe modified midpointmethod tothe Bulirsch-Stoertechnique
(§16.4) derives from a “deep” result about equations (16.3.2), due to Gragg. It turns
out that the error of (16.3.2), expressed ... the modified midpoint method, which advances a vector
of dependent variables y(x) from a point x to a point x + H by a sequence of n
substeps each of size h,
h = H/n (16.3.1)
In principle, one could ... nvar]
and its deriva-
tive vector
dydx[1 nvar]
. Also input is
htot
, the total step to be made, and
nstep
,the
number of substeps to be used. The output is returned as
yout[1 nvar]
, which need...
- 3
- 461
- 0
Tài liệu Integration of Ordinary Differential Equations part 5 pdf
Ngày tải lên :
24/12/2013, 12:16
... solution
of a set of equations. A second warning is that the techniques in this section are
not particularly good for differential equations that have singular points inside the
interval of integration. ... grand leap consisting
of many (e.g., dozens to hundreds) substeps of modified midpoint method, which
are then extrapolated to zero stepsize.
The sequence of separate attempts to cross the interval ... number
of n’s to be tried is called KMAXX. For reasons described below we usually take this
equal to 8; the 8th value of the sequence (16.4.2) is 16, so this is the maximum
number of subdivisions of...
- 9
- 486
- 0
Tài liệu Integration of Ordinary Differential Equations part 6 pdf
Ngày tải lên :
24/12/2013, 12:16
... Second-Order Conservative Equations
Usually when you have a system of high-order differential equations to solve it is best
to reformulate them as a system of first-order equations, as discussed ... bsstep the arrays y and d2y are of length 2n for a
system of n second-order equations. The values of y arestoredinthefirstnelements of y,
while the first derivatives are stored in the second n elements. ... class of equations that occurs quite frequently in practice where you can gain
about a factor of two in efficiency by differencing the equations directly. The equations are
second-order systems...
- 3
- 395
- 0
Tài liệu Integration of Ordinary Differential Equations part 7 pptx
Ngày tải lên :
24/12/2013, 12:16
... *g1,*g2,*g3,*g4,*ysav;
indx=ivector(1,n);
a=matrix(1,n,1,n);
dfdx=vector(1,n);
dfdy=matrix(1,n,1,n);
dysav=vector(1,n);
err=vector(1,n);
g1=vector(1,n);
g2=vector(1,n);
g3=vector(1,n);
g4=vector(1,n);
ysav=vector(1,n);
xsav=(*x); ... name predictor-corrector is often loosely used to denote all these methods.
We suspect that predictor-corrector integrators have had their day, and that they
are no longer the method of choice ... Generalizations of the Bulirsch-Stoermethod, in particular a semi-implicit
extrapolation method due to Bader and Deuflhard.
• Predictor-corrector methods, most of which are descendants of Gear’s
backward...
- 14
- 407
- 0
Tài liệu Integration of Ordinary Differential Equations part 8 pdf
Ngày tải lên :
24/12/2013, 12:16
... name predictor-corrector is often loosely used to denote all these methods.
We suspect that predictor-corrector integrators have had their day, and that they
are no longer the method of choice ... predictor-corrector approach
using an explicit method for the predictor, or by Newton iteration for stiff systems.
Why go to all the trouble of introducing a whole new method that turns out
to be ... capable researchers have a
lot of experience with predictor-corrector routines, and they see no reason to make
a precipitous change of habit. It is not a bad idea for you to be familiar with the
principles...
- 6
- 457
- 0
Tài liệu Numerical Solution of Stochastic Differential Equations with Jumps in Finance pdf
Ngày tải lên :
19/02/2014, 22:20
... context of derivative pricing.
The book does not claim to be a complete account of the state of the
art of the subject. Rather it attempts to provide a systematic framework for
an understanding of ... collection of events, sigma-algebra
A
filtration
E(X) expectation of X
E(X |A) conditional expectation of X under A
P (A) probability of A
P (A |B) probability of A conditioned on B
∈ element of
∈ ... also
A
X
t
-measurable.
Conditional Expectations
The notion of conditional expectation is central to many of the concepts that
arise in applications of stochastic processes and also in finance. The mean...
- 868
- 1.3K
- 0
Báo cáo "Application of power electronic components to control parameters and switching of compensation devices on power networks " doc
Ngày tải lên :
05/03/2014, 14:20
...
Generator): to issue controlling pulses according with sample pulses to fire thyristor valves.
- Pulse Amplifier: to amplify both sample pusles and controlling pulses to fire desired thyristor ... applied to determine the time of issueing
pulse in the positive half-cycles of voltage signal applied to thyristor valves.
According to this principle [4,5], there are two voltage signals fed to ... always change in
spite of using Automatic Reactive Power Regulator. To regulate voltage and cosφ in an expected
range, it is necessary to change the parameters of regulators as the loads change....
- 6
- 408
- 0
APPLICATION OF THE STIRLING MODEL TO ASSESS DIVERSITY USING UIS CINEMA DATA docx
Ngày tải lên :
07/03/2014, 15:20
... languages of
the top ten, N° foreign languages in the top
ten, HHI distribution of films produced by
language, HHI distribution of top ten film
admissions by languages, H
st
on
distribution of top ... concentration of demand for a narrow segment of the market
and is a strong indicator of the propensity of demand to be driven by a “star system” logic.
Thus, the market share of the top ten films ... represent only 15%
of the total number of cinemas, the size of the theatres is one of the factors that explains
the relatively high number of admissions per cinema.
Table 8. Number of admissions...
- 73
- 604
- 0
Báo cáo "On the asymptotic behavior of delay differential equations and its relationship with C0 - semigoup " potx
Ngày tải lên :
22/03/2014, 11:20
... J. Kato, The asymptotic equivalence of functional differenttial equations, J. Differenttial Equat. 1 (1996) 306.
[3] E.V. Voskoresenski, Asymptotic equivalence of systems of differential equations, ... conditions of stable and asymptotic
equivalence (see [1-5]) of linear delay differential equations under nonlinear perturbation in Banach
space. The obtained results thank to use of the theories of general ... Journal of Science, Mathematics - Physics 23 (2007) 63-69
2. Main results
2.1. The uniformly stable of null solution of delay differential equations
Let us consider the delay differential equations
dx(t)
dt
=...
- 7
- 553
- 0
galois theory of linear differential equations - m. van der put, m. singer
Ngày tải lên :
31/03/2014, 15:56
... translates into Z
L
=(r
a,b
)G
L
. A proof of Lemma 1.29 finishes
the proof of the theorem. ✷
Proof of lemma 1.29.
The proof is rather similar to the one of lemma 1.23. The only thing that we
have to verify ... O-submodules N
1
,N
2
of N with N = N
1
⊕N
2
and N
i
= F
i
for i =1, 2.
Proof. The proof is similar to the proof of Proposition 3.17. Let S
1
and S
2
be the set of eigenvalues of E acting on F
1
and ... analytic sections of the book. Finally,
Appendix D discusses systems of linear partial differential equations and the ex-
tent to which the results of this book are known to generalize to this situation.
Conspicuously...
- 478
- 379
- 0
- applications of differential equations in real life
- the application of differential equations to chemical engineering problems
- application of partial differential equation in real life
- use of partial differential equations in real life
- applications of partial differential equations in real life
- application of ordinary differential equation in real life
- applications of second order differential equations to real world systems
- chapter 4 applications of first order differential equations to real world systems
- applications of partial differential equations in real life pdf
Tìm thêm:
- hệ việt nam nhật bản và sức hấp dẫn của tiếng nhật tại việt nam
- xác định các mục tiêu của chương trình
- xác định các nguyên tắc biên soạn
- khảo sát các chuẩn giảng dạy tiếng nhật từ góc độ lí thuyết và thực tiễn
- khảo sát chương trình đào tạo của các đơn vị đào tạo tại nhật bản
- khảo sát chương trình đào tạo gắn với các giáo trình cụ thể
- xác định thời lượng học về mặt lí thuyết và thực tế
- tiến hành xây dựng chương trình đào tạo dành cho đối tượng không chuyên ngữ tại việt nam
- điều tra đối với đối tượng giảng viên và đối tượng quản lí
- điều tra với đối tượng sinh viên học tiếng nhật không chuyên ngữ1
- khảo sát thực tế giảng dạy tiếng nhật không chuyên ngữ tại việt nam
- khảo sát các chương trình đào tạo theo những bộ giáo trình tiêu biểu
- nội dung cụ thể cho từng kĩ năng ở từng cấp độ
- xác định mức độ đáp ứng về văn hoá và chuyên môn trong ct
- phát huy những thành tựu công nghệ mới nhất được áp dụng vào công tác dạy và học ngoại ngữ
- mở máy động cơ lồng sóc
- mở máy động cơ rôto dây quấn
- các đặc tính của động cơ điện không đồng bộ
- hệ số công suất cosp fi p2
- đặc tuyến hiệu suất h fi p2