We develop a continuous-time Markov chain (CTMC) approximation of one-dimensional diffusions with sticky boundary or interior points. Approximate solutions to the action of the Feynman–Kac operator associated with a sticky diffusion and first passage probabilities are obtained using matrix exponentials. We show how to compute matrix exponentials efficiently and prove that a carefully designed scheme achieves second-order convergence. We also propose a scheme based on CTMC approximation for the simulation of sticky diffusions, for which the Euler scheme may completely fail. The efficiency of our method and its advantages over alternative approaches are illustrated in the context of bond pricing in a sticky short-rate model for a low-interest environment and option pricing under a geometric Brownian motion price model with a sticky interior point.

For Laplacians defined by measures on a bounded domain in ℝn, we prove analogues of the classical eigenvalue estimates for the standard Laplacian: lower bound of sums of eigenvalues by Li and Yau, and gaps of consecutive eigenvalues by Payne, Pólya and Weinberger. This work is motivated by the study of spectral gaps for Laplacians on fractals.

In this paper, we analyze a nonconforming finite element method for the computation of transmission eigenvalues and the corresponding eigenfunctions. The error estimates of the eigenvalue and eigenfunction approximation are given, respectively. Finally, some numerical examples are provided to validate the theoretical results.

In this work the Laguerre basis for the biharmonic equation introduced by Jie Shen is employed in the spectral solution of self-similar problems of the boundary layer theory. An original Petrov-Galerkin formulation of the Falkner-Skan equation is presented which is based on a judiciously chosen special basis function to capture the asymptotic behaviour of the unknown. A spectral method of remarkable simplicity is obtained for computing Falkner-Skan-Cooke boundary layer flows. The accuracy and efficiency of the Laguerre spectral approximation is illustrated by determining the linear stability of nonseparated and separated flows according to the Orr-Sommerfeld equation. The pentadiagonal matrices representing the derivative operators are explicitly provided in an Appendix to aid an immediate implementation of the spectral solution algorithms.

Nonlinear eigenvalue problems for fluxons in long Josephson junctions with exponentially varying width are treated. Appropriate algorithms are created and realized numerically. The results obtained concern the stability of the fluxons, the centering both magnetic field and current for the magnetic flux quanta in the Josephson junction as well as the ascertaining of the impact of the geometric and physical parameters on these quantities. Each static solution of the nonlinear boundary-value problem is identified as stable or unstable in dependence on the eigenvalues of associated Sturm-Liouville problem. The above compound problem is linearized and solved by using of the reliable Continuous analogue of Newton method.

Many engineering structures exhibit frequency dependent characteristics and analyses of these structures lead to frequency dependent eigenvalue problems. This paper presents a novel perturbative iteration (PI) algorithm which can be used to effectively and efficiently solve frequency dependent eigenvalue problems of general frequency dependent systems. Mathematical formulations of the proposed method are developed and based on these formulations, a computer algorithm is devised. Extensive numerical case examples are given to demonstrate the practicality of the proposed method. When all modes are included, the method is exact and when only a subset of modes are used, very accurate results are obtained.

Dans cet article on étudie la différence entre les deux premières valeurs propres, le splitting, d’un opérateur de Klein–Gordon semi-classique unidimensionnel, dans le cas d’un potentiel symétrique présentant un double puits. Dans le cas d’une petite barrière de potentiel, B. Helffer et B. Parisse ont obtenu des résultats analogues à ceux existant pour l’opérateur de Schrödinger. Dans le cas d’une grande barrière de potentiel, on obtient ici des estimations des tranformées de Fourier des fonctions propres qui conduisent à une conjecture du splitting. Des calculs numériques viennent appuyer cette conjecture.