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Численное решение уравнений Блэка–Шоулза и конвекции-диффузии с определением положения свободной границы
Математическое моделирование. 2026. Т. 38. № 3. С. 159–176.
Джанбекова А. Р., Shvedov A. S.
Boundary value problems for the Black–Scholes partial differential equation, which describes the value of a financial instrument, may contain a free boundary condition if the financial instrument allows for early exercise. This article considers free boundary value problems for the Black–Scholes equation and the convection diffusion equation. For the convection diffusion equation, a finite difference scheme is presented, which is a generalization of a known second-order accurate scheme on fixed grids, and an algorithm for determining the position of the free boundary is also proposed. For the Black–Scholes equation, which is similar to but more complex than the convection diffusion equation, a new numerical solution method is proposed. This method involves, on one hand, a modification of the finite difference scheme used for the convection diffusion equation and, on the other hand, elements of the Smoothed Particle Hydrodynamics (SPH) method. The proposed method allows for finding both the solution and the free boundary, ensuring high accuracy. Numerical experiments confirming the effectiveness of the proposed algorithms are conducted, and a comparison with known numerical methods for solving these problems is provided.
Sergey Slavnov, / Series math "arxiv.org". 2026.
A prototypical example of categorial grammars are those based on Lambek calculus, i.e. noncommutative intuitionistic linear logic. However, it has been noted that purely noncommutative operations are often not sufficient for modeling even very simple natural language phenomena. Therefore a number of alternative formalisms are considered in the literature: those using purely ``commutative'' linear logic ...
Added: October 29, 2026
Roman Prosvirnin, Suslov A., Aleksei Soldatov et al., Computation 2026 Vol. 14 No. 10 Article 261
Abstract
Safety-aligned language models often encode that a request is harmful yet still comply with it. We turn this gap between internal recognition and observable behavior into an inference-time defense. The proposed activation-steering method uses a multiplicative operator that amplifies the residual-stream component along a harm-recognition direction. Intervention strength scales with the model’s own assessment of ...
Added: October 27, 2026
Aleksei Samarin, Nazarenko A., Nazarenko D. et al., Big Data and Cognitive Computing 2026 Vol. 10 No. 11 P. 1–52
Camera traps are a key tool for non-invasive wildlife monitoring, yet models trained on existing benchmarks often generalize poorly to new regions due to domain shift, class imbalance, and natural variability in illumination, season, and background. We introduce PACTraD, a benchmark of 116,973 annotated camera trap images collected in a protected area of the Baikal ...
Added: October 27, 2026
IEEE, 2026.
Proceedings of the X Scientific School "Dynamics of Complex Networks and their Applications"
(DCNA'2026) contain papers of reports of scientists and specialists in the field of intelligent technologies,
engineering education, research and design of complex networks.
DCNA'2026 was held from 10 to 12 September 2026 in Moscow, Russia, as a part of the International
Forum on Artificial Intelligence and ...
Added: October 26, 2026
Flamarion M. V., Pelinovsky E., Wave Motion 2027 Vol. 148 Article 103867
We consider the interaction of two solitary waves in the modified Benjamin–Bona–Mahony
(mBBM) equation in a regime where a small parameter measures the departure from the classical
modified Korteweg–de Vries (mKdV) equation. A regular perturbation method is used to
analyze the modification of the two-soliton wave field induced by the weak non-integrability of
the mBBM equation. We show that, ...
Added: October 23, 2026
Lev Pyatko, Sergey Aksenov, Regular and Chaotic Dynamics 2026 Vol. 31 No. 5 P. 794–813
In the circular restricted three-body problem, families of periodic and quasi-periodic orbits exist in the vicinity of the libration points and are of significant interest for practical applications. This work presents a neural network-based algorithm for orbit construction and station-keeping, applicable to both periodic and quasi-periodic orbits near collinear libration points. The method employs a ...
Added: October 19, 2026
Vorontsova T., М.: Академия, 2025.
The textbook has been prepared in accordance with the requirements of the federal state educational standards for secondary vocational education and is intended for studying the professional modules “Information Security in Information and Telecommunication Systems and Networks Using Software and Hardware‑Software Tools, Including Cryptographic Protection Tools” and “Information Security in Automated Systems Using Software and ...
Added: October 19, 2026
Naumov A., Рубцов А. С., Samsonov S. et al., Успехи математических наук 2026 Т. 81 № 4 (490) С. 161–162
Краткое сообщение рассматривает Моментные оценки для стохастической аппроксимации ...
Added: October 17, 2026
Roman Avdeev, Yulia Zaitseva, Mediterranean Journal of Mathematics 2026 Vol. 23 No. 7 Article 224
We provide an infinite series of commutative finite-dimensional Gorenstein local algebras A_n for n ≥ 2. We give an elementary proof that the maximal ideal of every algebra A_n possesses a one-dimensional subspace that is different from the socle and invariant under the automorphism group of A_n. The latter implies that the algebras A_n fail ...
Added: October 17, 2026
Gordin V. A., Efremenko D., Boundary-Layer Meteorology 2026 Vol. 192 No. 51
An inverse problem of reconstructing the turbulent exchange tensor from large archives of observed wind profiles within the Åkerblom–Ekman (A-E) model framework is investigated using high-vertical-resolution radiosonde observations. The reconstructed tensor provides improved agreement between modeled and observed wind profiles compared to classical formulations based on real turbulent exchange coefficient. Instead of the classical A-E ...
Added: October 16, 2026
Kuznetsov A. P., Sedova Y. V., Stankevich N., Chaos, Solitons and Fractals 2026 Vol. 213 No. 12 Article 119309
We analyze the interaction of a quasi-periodic subsystem, in which two-, three-, and four- frequency quasi-periodic oscillations are possible, with a chaotic subsystem. A discrete version is obtained via the Euler scheme from the corresponding flow model. The dynamics of individual subsystems are discussed, including quasi-periodic bifurcations of invariant tori and the occur rence of ...
Added: October 16, 2026
Aleksei Samarin, Nazarenko A., Nazarenko D. et al., Machine Learning and Knowledge Extraction 2026 Vol. 8 No. 10 Article 330
Automated microscopic image analysis is essential for quantitative microbiology, yet manual acquisition and generic recognition models struggle with morphological variability and scene artifacts. We address both ends of this pipeline. First, we present a low-cost, open-source acquisition system, based on an Arduino UNO R3 microcontroller and NEMA 17 stepper motors, that automates focusing, magnification, and ...
Added: October 14, 2026
Parkhomenko V., Kulikova S., Buzmakov A. V., Lobachevskii Journal of Mathematics 2026 Vol. 47 No. 6 P. 2979–2992
The stability of formal concepts and its generalization as robustness are considered in the paper. We use an approximation of stability in the form of Δ-measure for fast calculations. A computationally efficient method for calculating robustness based on subcontexts is presented. We also present a new method to analytically evaluate the number of preimages for ...
Added: October 14, 2026
Kuznetsov A. P., Sedova Y. V., Sataev I. R. et al., Mathematics and Computers in Simulation 2027 Vol. 2 P. 574–592
Universal bifurcation structures on the parameter plane of nonlinear systems, known as shrimps, are discussed. An overview of numerous examples from various fields of science is given. Shrimps are typical for both maps of different dimensions and flows. The varieties of shrimp are discussed and relevant examples are given. The similarity property on the parameter ...
Added: October 14, 2026
Gusein-Zade S., Campillo A., Delgado F., Mathematische Zeitschrift 2026 Vol. 314 No. 1 P. 1–22
For a subfield $\K$ of the field $\C$ of complex numbers, we consider curve and divisorial valuations on the algebra $\K[[x,y]]$ of formal power series in two variables with the coefficients in $\K$. We compute the semigroup Poincar\'e series and the classical Poincar\'e series of a (discrete, rank one) valuation on it. ...
Added: October 13, 2026
Mishuris G., Meylan M. H., Pelinovsky E., Journal of Fluid Mechanics 2026 Vol. 1045 Article A4
In this paper, we revisit the classic problem of a wave field on a sloping beach of an arbitrary angle and propose a general approach that allows the computation of regular solutions of the problem regardless of the angle. We use the Mellin-transform technique, reducing the problem to singular integral equations with fixed-point singularities of ...
Added: October 12, 2026
Gusein-Zade S., М.: МЦНМО, 2026.
Книга содержит курс лекций по дифференциальной геометрии и топологии, читавшихся автором на механико-математическом факультете МГУ в разные годы. В дополнениях приводятся некоторые сюжеты (связности в расслоениях, теорема Фробениуса, производные Ли и др.), которые были включены в курс в отдельные годы либо содержались в аналогичных курсах лекций в Независимом московском университете.
Для студентов математических и физических специальностей. ...
Added: October 12, 2026
Брычков М. Е., Незнанов А.А., Программирование 2026 № 4 С. 50–66
The matrix profile (MP) quickly became one of the most important time series preprocessing methods when it was introduced in 2016, facilitating the solution of a wide range of time series analysis problems, in particular anomaly and pattern detection problems. The high significance has led to the emergence of various tools for MP calculating, but ...
Added: October 9, 2026
М.: Юрайт, 2026.
The Collection of Olympiad Problems (COP) in Probability Theory and Mathematical Statistics (PTMS) is offered as a teaching aid primarily for university students and faculty as a developmental supplementary resource, expanding the range of problems to be solved in lectures, seminars, and out-of-class independent work with students in various formats, including (as the title suggests) ...
Added: October 9, 2026
Aleskerov F. T., Вайншток А. П., Делахова А. М. et al., Информационные процессы 2026 Т. 26 № 3 С. 895–913
The development and effective management of territorial entities are priority issues for all states, particularly in the context of the digital transformation of public administration. Over the past decade, the integration of information technologies into municipal and regional planning has significantly altered approaches to strategic development, service delivery, and public engagement. This paper describes the ...
Added: October 9, 2026
Zlotnik A., Kireeva O., Mathematical Modelling and Analysis 2018 Vol. 23 No. 3 P. 359–378
We deal with the standard three-level bilinear FEM and finite-difference scheme to solve the initial-boundary value problem for the 1D wave equation. We consider initial data and the free term which are the Dirac delta-functions, discontinuous, continuous but with discontinuous derivatives and from the Sobolev spaces, accomplish the practical error analysis in the $L^2$, $L^1$, ...
Added: January 14, 2018
Elizarova T.G., Zlotnik A.A., Istomina M. A., Astronomy Reports 2018 Vol. 62 No. 1 P. 9–18
This paper is dedicated to numerical simulations of spiral–vortical structures in rotating gaseous disks using a simple model based on two-dimensional, non-stationary, barotropic Euler equations with a body force. The results suggest the possibility of a purely hydrodynamical basis for the formation and evolution of such structures. New, axially symmetric, stationary solutions of these equations ...
Added: November 27, 2017
Балашов В.А., Злотник А.А., Савенков Е.Б., / Институт прикладной математики им. М.В. Келдыша Российской академии наук. 2017. № 91.
The paper presents a numerical algorithm for computing three-dimensional viscous compressible isothermal two-phase two-component flows with surface effects in domains of complex shape with voxel geometry. The algorithm is based on quasi-hydrodynamic regularization of the diffuse-interface model. A new improved finite-difference scheme is constructed. The method of its implementing on the domain boundary is described ...
Added: October 23, 2017
Balashov V., Zlotnik Alexander, Savenkov E., Russian Journal on Numerical Analysis and Mathematical Modelling 2017 Vol. 32 No. 6 P. 347–358
A study of a regularized quasi-hydrodynamic system of equations for the two-component isothermal mixture with the diffuse interface is accomplished. Under general assumptions on the Helmholtz free energy of the mixture, the energy balance equation with non-positive energy production and its corollary, the law of non-increasing total energy, are derived. The necessary and sufficient conditions ...
Added: February 26, 2017