Lie Symmetry Analysis of Differential Equations in Finance

Lie group theory is applied to differential equations occurring as mathematical models in financial problems. We begin with the complete symmetry analysis of the one-dimensional Black–Scholes model and show that this equation is included in Sophus Lie's classification of linear second-order partial differential equations with two independent variables. Consequently, the Black–Scholes transformation of this model into the heat transfer equation follows directly from Lie's equivalence transformation formulas. Then we carry out the classification of the two-dimensional Jacobs–Jones model equations according to their symmetry groups. The classification provides a theoretical background for constructing exact (invariant) solutions, examples of which are presented.     

Analysis of a simple model of a bubble-liquid reactor

A mathematical model which describes the operation of a two-phase bubble-liquid reactor is studied. The model reduces to investigation of the Goursat problem for a hyperbolic system of two partial differential equations. A number of exact solutions to this problem are constructed that describe the operation of the reactor from the time of ignition until the onset of the stationary regime of operation. The problem is also investigated numerically.Translated from Izvestiya Akademii Nauk SSSR, Mekhanika Zhidkosti i Gaza, No. 5, pp. 132–140, September–October, 1979.     

Friction and heat transfer in an incompressible fluid near a plane stagnation point

In the neighborhood of a plane stagnation point, the flow and heat transfer of an incompressible fluid are studied. In the inner flow region, the velocity and pressure fields are described by the complete Navier-Stokes equations, and the temperature field is described by the complete energy equation. In the outer flow region, a two-term asymptotic solution of the corresponding equations is obtained. The problem is reduced to the numerical solution of ordinary differential equations. Numerical results are discussed.Moscow. Translated from Izvestiya Rossiiskoi Akademii Nauk, Mekhanika Zhidkosti i Gaza, No. 4, pp. 52–65, July–August, 1996.     

Bifurcations at Combination Resonance and Quasiperiodic Vibrations of Flexible Beams

The nonlinear dynamic behavior of flexible beams is described by nonlinear partial differential equations. The beam model accounts for the tension of the neutral axis under vibrations. The Bubnov–Galerkin method is used to derive a system of ordinary differential equations. The system is solved by the multiple-scale method. A system of modulation equations is analyzed     

Method of computing the chemically nonequilibrium gas flow in a heated tube in almost equilibrium or frozen states

The solution of equations describing turbulent isobaric flow of a chemically reacting gas in a heated tube is investigated analytically. Solutions of the ordinary nonlinear differential equations are obtained for almost frozen flow by the perturbation method, and for almost equilibrium flow by an asymptotic method taking account of the zero and first approximations, Linear differential equations in variations are written down to find the subsequent approximations.Translated from Izvestiya Akademiya Nauk SSSR, Mekhanika Zhidkosti i Gaza, No. 4, pp. 8–14, July–August, 1973.     

Characteristic cones of the equations in the nonlinear theory of elasticity

The roots of the equation for the characteristic normals for two systems of differential equations in the nonlinear theory of elasticity are investigated. The first model is constructed using a thermodynamic identity. The second is a very simple hypoelastic model (the deviator of the stress-rate tensor is proportional to the deviator of the strain-rate tensor). It is shown that the roots of the equations for the normals to the characteristics for the second model are the same as the first-order terms in the expansion of the roots of the first model with respect to the strain-tensor deviator.Translated from Zhurnal Prikladnoi Mekhaniki i Tekhnicheskoi Fiziki, No. 3, pp. 126–132, May–June, 1974.The author is grateful to S. K. Godunov for discussions.     

Thermoelastoplastic Nonaxisymmetric Stress-Strain Analysis of Laminated Shells of Revolution

A technique for nonaxisymmetric thermoelastoplastic stress–strain analysis of laminated shells of revolution is developed. It is assumed that there is no slippage and the layers are not separated. The problem is solved using the geometrically linear theory of shells based on the Kirchhoff–Love hypotheses. The thermoplastic relations are written down in the form of the method of elastic solutions. The order of the system of partial differential equations obtained is reduced by means of trigonometric series in the circumferential coordinate. The systems of ordinary differential equations thus obtained are solved by Godunov's discrete-orthogonalization method. The nonaxisymmetric thermoelastoplastic stress–strain state of a two-layered shell is analyzed as an example     

Group properties and invariant solutions of equations of an electric field in the case of nonlinear ohm's law

The group properties of one-dimensional nonstationary equations of an electric field in homogeneous isotropic media with nonlinear conductivity are considered. The nonlinear Ohm's laws for which these equations have the broadest symmetry properties are determined. Ordinary differential equations determining invariants solutions are obtained; the order of the equations is lowered or they are integrated to the end.Translated from Zhurnal Prikladnoi Mekhanika i Tekhnicheskaya Fizika, No. 3, pp. 28–36, May–June, 1972.     

Numerical study of eccentric Couette–Taylor flows and effect of eccentricity on flow patterns

In this study, the differential quadrature (DQ) method was used to simulate the eccentric Couette–Taylor vortex flow in an annulus between two eccentric cylinders with rotating inner cylinder and stationary outer cylinder. An approach combining the SIMPLE (semi-implicit method for pressure-linked equations) and DQ discretization on a non-staggered mesh was proposed to solve the time-dependent, three-dimensional incompressible Navier–Stokes equations in the primitive variable form. The eccentric steady Couette–Taylor flow patterns were obtained from the solution of three-dimensional Navier–Stokes equations. The reported numerical results for steady Couette flow were compared with those from Chou [1], and San and Szeri [2]. Very good agreement was achieved. For steady eccentric Taylor vortex flow, detailed flow patterns were obtained and analyzed. The effect of eccentricity on the eccentric Taylor vortex flow pattern was also studied.     

On approximation of systems with delay and their stability

We study the problem of the approximation of differential equations with delay by a system of ordinary differential equations. We analyze the qualitative behavior of solutions of the original system and the approximating system and construct an algorithm for the investigation of the stability of solutions of systems with delay.Translated from Neliniini Kolyvannya, Vol. 7, No. 2, pp. 208–216, April–June, 2004.     

Theory of slightly perturbed three-dimensional flows in nozzles

The theory of slightly perturbed flows in conical nozzles is used to determine the transverse force and moment generated in the presence of asymmetric perturbations. A system of ordinary differential equations is derived for finding the transverse force and moment. An approximate analytical solution of this system is constructed and its qualitative features are studied. A comparison is made with a numerical solution.Translated from Izvestiya Akademii Nauk SSSR, Mekhanika Zhidkosti i Gaza, No. 1, pp. 146–154, January–February, 1977.     

The Multigrain Two-Scale Model for the Ziegler–Natta Polymerization Process with Fragmentation of the Catalytic Aggregate

In this paper we construct a mathematical model for the Ziegler–Natta polymerization process which includes the initial stage of fragmentation of the support. The problem consists in a system of partial differential equations with free boundaries and extends the previous model proposed in [2, 3]. Local existence and uniqueness of a regular solution are proved.     

Numerical modeling of turbulent boundary layer suction

For the problem of gas suction from the turbulent flow over a plate, the results of numerically solving the Navier-Stokes equations complemented by a differential model of turbulence are presented. On the range of Mach numbers from 0.8 to 1, the effect of suction of various intensities on the flow parameters in the neighborhood of the suction region and downstream is considered.Moscow. Translated from Izvestiya Rossiiskoi Akademii Nauk, Mekhanika Zhidkosti i Gaza, No. 6, pp. 45–49, November–December, 1996.     

Nonlinear equations of elastic deformation of plates

A method for constructing nonlinear equations of elastic deformation of plates with boundary conditions for stresses and displacements at the face surfaces in an arbitrary coordinate system is proposed. The initial three–dimensional problem of the nonlinear theory of elasticity is reduced to a one–parameter sequence of two–dimensional problems by approximating the unknown functions by truncated series in Legendre polynomials. The same unknowns are approximated by different truncated series. In each approximation, a linearized system of equations whose differential order does not depend on the boundary conditions at the face surfaces which can be formulated in terms of stresses or displacements is obtained.     

Special class of solutions of the kinetic equation of a bubbly fluid

A new class of solutions is constructed for the kinetic model of bubble motion in a perfect fluid proposed by Russo and Smereka. These solutions are characterized by a linear relationship between the Riemann integral invariants. Using the expressions following from this relationship, the construction of solutions in the special class is reduced to the integration of a hyperbolic system of two differential equations with two independent variables. Exact solutions in the class of simple waves are obtained, and their physical interpretation is given.Translated from Prikladnaya Mekhanika i Tekhnicheskaya Fizika, Vol. 46, No. 2, pp. 33–43, March–April, 2005.     

A Decomposition Method for Solving Coupled Multi–Species Reactive Transport Problems

Concerns over the problems associated with mixed waste groundwater contamination have created a need for more complex models that can represent reactive contaminant fate and transport in the subsurface. In the literature, partial differential equations describing solute transport in porous media are solved either for a single reactive species in one, two or three dimensions, or for a limited number of reactive species in one dimension. Those solutions are constrained by many simplifying assumptions. Often, it is desirable to simulate transport in two or three dimensions for a more practical system that might have multiple reactive species. This paper presents a decomposition method to solve the partial differential equations of multi–dimensional, multi–species transport problems that are coupled by linear reactions. A matrix method is suggested as a tool for describing the reaction network. In this way, the level of complexity required to solve the multi–species reactive transport problem is significantly reduced.     

Nonisothermal Couette flow of a non-Newtonian fluid under the action of a pressure gradient

Nonisothermal Couette flow has been studied in a number of papers [1–11] for various laws of the temperature dependence of viscosity. In [1] the viscosity of the medium was assumed constant; in [2–5] a hyperbolic law of variation of viscosity with temperature was used; in [6–8] the Reynolds relation was assumed; in [9] the investigation was performed for an arbitrary temperature dependence of viscosity. Flows of media with an exponential temperature dependence of viscosity are characterized by large temperature gradients in the flow. This permits the treatment of the temperature variation in the flow of the fluid as a hydrodynamic thermal explosion [8, 10, 11]. The conditions of the formulation of the problem of the articles mentioned were limited by the possibility of obtaining an analytic solution. In the present article we consider nonisothermal Couette flows of a non-Newtonian fluid under the action of a pressure gradient along the plates. The equations for this case do not have an analytic solution. Methods developed in [12–14] for the qualitative study of differential equations in three-dimensional phase spaces were used in the analysis. The calculations were performed by computer.Translated from Zhurnal Prikladnoi Mekhaniki i Tekhnicheskoi Fiziki, No. 3, pp. 26–30, May–June, 1981.     

Numerical Analysis of the Branched Forms of Bending for a Rod

Nonlinear boundary–value problems of plane bending of elastic arches subjected to uniformly distributed loading are solved numerically by the shooting method. The problems are formulated for a system of sixth–order ordinary differential equations that are more general than the Euler equations. Four variants of rod loading by transverse and longitudinal forces are considered. Branching of the solutions of boundary–value problems and the existence of intersected and isolated branches are shown. In the case of a translational longitudinal force, the classical Euler elasticas are obtained. The existence of a unique (rectilinear) form of equilibrium upon compression of a rod by a following longitudinal force is shown.     

Averaging of stochastic evolution equations of transport in porous media

A study is made of the problem of averaging the simplest one-dimensional evolution equations of stochastic transport in a porous medium. A number of exact functional equations corresponding to distributions of the random parameters of a special form is obtained. In some cases, the functional equations can be localized and reduced to differential equations of fairly high order. The first part of the paper (Secs. 1–6) considers the process of transport of a neutral admixture in porous media. The functional approach and technique for decoupling the correlations explained by Klyatskin [4] is used. The second part of the paper studies the process of transport in porous media of two immiscible incompressible fluids in the framework of the Buckley—Leverett model. A linear equation is obtained for the joint probability density of the solution of the stochastic quasilinear transport equation and its derivative. An infinite chain of equations for the moments of the solution is obtained. A scheme of approximate closure is proposed, and the solution of the approximate equations for the mean concentration is compared with the exactly averaged concentration.Translated from Izvestiya Akademii Nauk SSSR, Mekhanika Zhidkosti i Gaza, No. 5, pp. 127–136, September–October, 1985.We are grateful to A. I. Shnirel'man for pointing out the possibility of obtaining an averaged equation in the case of a velocity distribution in accordance with a Cauchy law.     

On the parametrization of three-point nonlinear boundary-value problems

A three-point boundary-value problem for a system of nonlinear differential equations is reduced to a family of two-point problems, whose solutions are investigated by using the numerical-analytic method.Translated from Neliniini Kolyvannya, Vol. 7, No. 3, pp. 395–413, July–September, 2004.