Matache Andrei - Academia.edu (original) (raw)
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Papers by Matache Andrei
Computational Economics, 2012
In mathematical finance a popular approach for pricing options under some Lévy model would be to ... more In mathematical finance a popular approach for pricing options under some Lévy model would be to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a partial integro-differential equation (PIDE) that usually does not allow an analytical solution, while a numerical solution also faces some problems. In this paper we develop a new approach on how to transform the PIDE into a class of so-called pseudo-parabolic equations which are well known in mathematical physics but are relatively new for mathematical finance. As an example we will discuss several jump-diffusion models which Lévy measure allows such a transformation.
Hydraulic servocylinders are electro-hydraulic devices used in automatic control systems to achie... more Hydraulic servocylinders are electro-hydraulic devices used in automatic control systems to achieve any mechanical parameters-displacement, speed, acceleration, force-precisely. This paper presents a mathematical model and numerical simulation for a servocylinder which contains a double-acting hydraulic cylinder and a servo-valve, with the following parameters: 80 mm tube diameter, 200 bar maximal cylinder pressure and 63 l/min valve flow. The servo-valve is mounted on the cylinder and the built-in electronics allows local “intelligent” features. The described ensemble also contains a displacement transducer, placed on the cylinder rod, which makes this system a positioning mechatronic system. The electronic block allows position control, remote adjustment depending on load and is realized to provide better measurement capability
Computational Economics, 2012
In mathematical finance a popular approach for pricing options under some Lévy model would be to ... more In mathematical finance a popular approach for pricing options under some Lévy model would be to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a partial integro-differential equation (PIDE) that usually does not allow an analytical solution, while a numerical solution also faces some problems. In this paper we develop a new approach on how to transform the PIDE into a class of so-called pseudo-parabolic equations which are well known in mathematical physics but are relatively new for mathematical finance. As an example we will discuss several jump-diffusion models which Lévy measure allows such a transformation.
Hydraulic servocylinders are electro-hydraulic devices used in automatic control systems to achie... more Hydraulic servocylinders are electro-hydraulic devices used in automatic control systems to achieve any mechanical parameters-displacement, speed, acceleration, force-precisely. This paper presents a mathematical model and numerical simulation for a servocylinder which contains a double-acting hydraulic cylinder and a servo-valve, with the following parameters: 80 mm tube diameter, 200 bar maximal cylinder pressure and 63 l/min valve flow. The servo-valve is mounted on the cylinder and the built-in electronics allows local “intelligent” features. The described ensemble also contains a displacement transducer, placed on the cylinder rod, which makes this system a positioning mechatronic system. The electronic block allows position control, remote adjustment depending on load and is realized to provide better measurement capability