Differential equations |
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In mathematics, delay differential equations (DDEs) are a type of differential equation in which the derivative of the unknown function at a certain time is given in terms of the values of the function at previous times. DDEs are also called time-delay systems, systems with aftereffect or dead-time, hereditary systems, equations with deviating argument, or differential-difference equations. They belong to the class of systems with the functional state, i.e. partial differential equations (PDEs) which are infinite dimensional, as opposed to ordinary differential equations (ODEs) having a finite dimensional state vector. Four points may give a possible explanation of the popularity of DDEs: [1]
A general form of the time-delay differential equation for is where represents the trajectory of the solution in the past. In this equation, is a functional operator from to
DDEs are mostly solved in a stepwise fashion with a principle called the method of steps. For instance, consider the DDE with a single delay
with given initial condition . Then the solution on the interval is given by which is the solution to the inhomogeneous initial value problem with . This can be continued for the successive intervals by using the solution to the previous interval as inhomogeneous term. In practice, the initial value problem is often solved numerically.
Suppose and . Then the initial value problem can be solved with integration,
i.e., , where the initial condition is given by . Similarly, for the interval we integrate and fit the initial condition,
i.e.,
In some cases, differential equations can be represented in a format that looks like delay differential equations.
Similar to ODEs, many properties of linear DDEs can be characterized and analyzed using the characteristic equation. [5] The characteristic equation associated with the linear DDE with discrete delays is the exponential polynomial given by
The roots λ of the characteristic equation are called characteristic roots or eigenvalues and the solution set is often referred to as the spectrum. Because of the exponential in the characteristic equation, the DDE has, unlike the ODE case, an infinite number of eigenvalues, making a spectral analysis more involved. The spectrum does however have some properties which can be exploited in the analysis. For instance, even though there are an infinite number of eigenvalues, there are only a finite number of eigenvalues in any vertical strip of the complex plane. [6]
This characteristic equation is a nonlinear eigenproblem and there are many methods to compute the spectrum numerically. [7] [8] In some special situations it is possible to solve the characteristic equation explicitly. Consider, for example, the following DDE: The characteristic equation is There are an infinite number of solutions to this equation for complex λ. They are given by where Wk is the kth branch of the Lambert W function, so:
The following DDE: [9]
Have as solution in the function: [10] with the Fabius function.
In physics, a Langevin equation is a stochastic differential equation describing how a system evolves when subjected to a combination of deterministic and fluctuating ("random") forces. The dependent variables in a Langevin equation typically are collective (macroscopic) variables changing only slowly in comparison to the other (microscopic) variables of the system. The fast (microscopic) variables are responsible for the stochastic nature of the Langevin equation. One application is to Brownian motion, which models the fluctuating motion of a small particle in a fluid.
In statistical mechanics and information theory, the Fokker–Planck equation is a partial differential equation that describes the time evolution of the probability density function of the velocity of a particle under the influence of drag forces and random forces, as in Brownian motion. The equation can be generalized to other observables as well. The Fokker-Planck equation has multiple applications in information theory, graph theory, data science, finance, economics etc.
In physical science and mathematics, the Legendre functionsPλ, Qλ and associated Legendre functionsPμ
λ, Qμ
λ, and Legendre functions of the second kind, Qn, are all solutions of Legendre's differential equation. The Legendre polynomials and the associated Legendre polynomials are also solutions of the differential equation in special cases, which, by virtue of being polynomials, have a large number of additional properties, mathematical structure, and applications. For these polynomial solutions, see the separate Wikipedia articles.
Fractional calculus is a branch of mathematical analysis that studies the several different possibilities of defining real number powers or complex number powers of the differentiation operator
A quantity is subject to exponential decay if it decreases at a rate proportional to its current value. Symbolically, this process can be expressed by the following differential equation, where N is the quantity and λ (lambda) is a positive rate called the exponential decay constant, disintegration constant, rate constant, or transformation constant:
The Laplace–Stieltjes transform, named for Pierre-Simon Laplace and Thomas Joannes Stieltjes, is an integral transform similar to the Laplace transform. For real-valued functions, it is the Laplace transform of a Stieltjes measure, however it is often defined for functions with values in a Banach space. It is useful in a number of areas of mathematics, including functional analysis, and certain areas of theoretical and applied probability.
In mathematics, the Weierstrass elliptic functions are elliptic functions that take a particularly simple form. They are named for Karl Weierstrass. This class of functions are also referred to as ℘-functions and they are usually denoted by the symbol ℘, a uniquely fancy script p. They play an important role in the theory of elliptic functions, i.e., meromorphic functions that are doubly periodic. A ℘-function together with its derivative can be used to parameterize elliptic curves and they generate the field of elliptic functions with respect to a given period lattice.
In mathematics, integral equations are equations in which an unknown function appears under an integral sign. In mathematical notation, integral equations may thus be expressed as being of the form: where is an integral operator acting on u. Hence, integral equations may be viewed as the analog to differential equations where instead of the equation involving derivatives, the equation contains integrals. A direct comparison can be seen with the mathematical form of the general integral equation above with the general form of a differential equation which may be expressed as follows:where may be viewed as a differential operator of order i. Due to this close connection between differential and integral equations, one can often convert between the two. For example, one method of solving a boundary value problem is by converting the differential equation with its boundary conditions into an integral equation and solving the integral equation. In addition, because one can convert between the two, differential equations in physics such as Maxwell's equations often have an analog integral and differential form. See also, for example, Green's function and Fredholm theory.
In mathematics and its applications, a Sturm–Liouville problem is a second-order linear ordinary differential equation of the form for given functions , and , together with some boundary conditions at extreme values of . The goals of a given Sturm–Liouville problem are:
In mathematics, the Poisson summation formula is an equation that relates the Fourier series coefficients of the periodic summation of a function to values of the function's continuous Fourier transform. Consequently, the periodic summation of a function is completely defined by discrete samples of the original function's Fourier transform. And conversely, the periodic summation of a function's Fourier transform is completely defined by discrete samples of the original function. The Poisson summation formula was discovered by Siméon Denis Poisson and is sometimes called Poisson resummation.
In mathematics, a Dirichlet problem asks for a function which solves a specified partial differential equation (PDE) in the interior of a given region that takes prescribed values on the boundary of the region.
The Feynman–Kac formula, named after Richard Feynman and Mark Kac, establishes a link between parabolic partial differential equations and stochastic processes. In 1947, when Kac and Feynman were both faculty members at Cornell University, Kac attended a presentation of Feynman's and remarked that the two of them were working on the same thing from different directions. The Feynman–Kac formula resulted, which proves rigorously the real-valued case of Feynman's path integrals. The complex case, which occurs when a particle's spin is included, is still an open question.
In probability theory and related fields, Malliavin calculus is a set of mathematical techniques and ideas that extend the mathematical field of calculus of variations from deterministic functions to stochastic processes. In particular, it allows the computation of derivatives of random variables. Malliavin calculus is also called the stochastic calculus of variations. P. Malliavin first initiated the calculus on infinite dimensional space. Then, the significant contributors such as S. Kusuoka, D. Stroock, J-M. Bismut, Shinzo Watanabe, I. Shigekawa, and so on finally completed the foundations.
In system analysis, among other fields of study, a linear time-invariant (LTI) system is a system that produces an output signal from any input signal subject to the constraints of linearity and time-invariance; these terms are briefly defined in the overview below. These properties apply (exactly or approximately) to many important physical systems, in which case the response y(t) of the system to an arbitrary input x(t) can be found directly using convolution: y(t) = (x ∗ h)(t) where h(t) is called the system's impulse response and ∗ represents convolution (not to be confused with multiplication). What's more, there are systematic methods for solving any such system (determining h(t)), whereas systems not meeting both properties are generally more difficult (or impossible) to solve analytically. A good example of an LTI system is any electrical circuit consisting of resistors, capacitors, inductors and linear amplifiers.
In mathematics, and more specifically in partial differential equations, Duhamel's principle is a general method for obtaining solutions to inhomogeneous linear evolution equations like the heat equation, wave equation, and vibrating plate equation. It is named after Jean-Marie Duhamel who first applied the principle to the inhomogeneous heat equation that models, for instance, the distribution of heat in a thin plate which is heated from beneath. For linear evolution equations without spatial dependency, such as a harmonic oscillator, Duhamel's principle reduces to the method of variation of parameters technique for solving linear inhomogeneous ordinary differential equations. It is also an indispensable tool in the study of nonlinear partial differential equations such as the Navier–Stokes equations and nonlinear Schrödinger equation where one treats the nonlinearity as an inhomogeneity.
In mathematics, the modular lambda function λ(τ) is a highly symmetric Holomorphic function on the complex upper half-plane. It is invariant under the fractional linear action of the congruence group Γ(2), and generates the function field of the corresponding quotient, i.e., it is a Hauptmodul for the modular curve X(2). Over any point τ, its value can be described as a cross ratio of the branch points of a ramified double cover of the projective line by the elliptic curve , where the map is defined as the quotient by the [−1] involution.
In theoretical physics, relativistic Lagrangian mechanics is Lagrangian mechanics applied in the context of special relativity and general relativity.
An affine term structure model is a financial model that relates zero-coupon bond prices to a spot rate model. It is particularly useful for deriving the yield curve – the process of determining spot rate model inputs from observable bond market data. The affine class of term structure models implies the convenient form that log bond prices are linear functions of the spot rate.
The Fokas method, or unified transform, is an algorithmic procedure for analysing boundary value problems for linear partial differential equations and for an important class of nonlinear PDEs belonging to the so-called integrable systems. It is named after Greek mathematician Athanassios S. Fokas.
Tau functions are an important ingredient in the modern mathematical theory of integrable systems, and have numerous applications in a variety of other domains. They were originally introduced by Ryogo Hirota in his direct method approach to soliton equations, based on expressing them in an equivalent bilinear form.