Center for Industrial and Applied Mathematics

Johor Bahru, Malaysia

Center for Industrial and Applied Mathematics

Johor Bahru, Malaysia
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Granita,Islamic University of Riau | Granita,University of Technology Malaysia | Bahar A.,University of Technology Malaysia | Bahar A.,Center for Industrial and Applied Mathematics
AIP Conference Proceedings | Year: 2015

This paper discusses on linear birth and death with immigration and emigration (BIDE) process to stochastic differential equation (SDE) model. Forward Kolmogorov equation in continuous time Markov chain (CTMC) with a central-difference approximation was used to find Fokker-Planckequation corresponding to a diffusion process having the stochastic differential equation of BIDE process. The exact solution, mean and variance function of BIDE process was found. © 2015 AIP Publishing LLC.

Granita,University of Technology Malaysia | Bahar A.,University of Technology Malaysia | Bahar A.,Center for Industrial and Applied Mathematics
AIP Conference Proceedings | Year: 2015

The Prendiville process is another variation of the logistic model which assumes linearly decreasing population growth rate. It is a continuous time Markov chain (CTMC) taking integer values in the finite interval. The continuous time Markov chain can be approximated by stochastic differential equation (SDE). This paper discusses the stochastic differential equation of Prendiville process. The work started with the forward Kolmogorov equation in continuous time Markov chain of Prendiville process. Then it was formulated in the form of a central-difference approximation. The approximation was then used in Fokker-Planck equation in relation to the stochastic differential equation of the Prendiville process. The explicit solution of the Prendiville process was obtained from the stochastic differential equation. Therefore, the mean and variance function of the Prendiville process could be easily found from the explicit solution. © 2015 AIP Publishing LLC.

Noh N.M.,Center for Industrial and Applied Mathematics | Noh N.M.,Universiti Sains Malaysia | Chen K.C.,Center for Industrial and Applied Mathematics | Chen K.C.,Universiti Sains Malaysia | And 4 more authors.
AIP Conference Proceedings | Year: 2016

Recently, crude oil price becomes volatile and have been the popular issue to be discussed in every country. Oil price fluctuations have major impact on the overall economy and finally will lead to increase in the inflation rate. It is important to describe these oil price fluctuations mathematically. This study aims to describe the above phenomena using geometric Brownian motion. Two crude oil prices, namely WTI and Brent have been analyzed based on daily oil price data from year 2000 until year 2015. Through the analysis using model assessment and model determination, crude oil price after year 2000 follows geometric Brownian motion process. We conclude that oil price fluctuations follow a geometric Brownian motion process without considering unexpected incidents. © 2016 Author(s).

Aspon S.Z.,UTM | Murid A.H.M.,UTM | Murid A.H.M.,Center for Industrial and Applied Mathematics | Nasser M.M.S.,King Khalid University | Rahmat H.,UTM
Jurnal Teknologi | Year: 2014

This research is about computing the Green’s function on doubly connected regions by using the method of boundary integral equation. The method depends on solving a Dirichlet problem. The Dirichlet problem is then solved using a uniquely solvable Fredholm integral equation on the boundary of the region. The kernel of this integral equation is the generalized Neumann kernel. The method for solving this integral equation is by using the Nystrӧm method with trapezoidal rule to discretize it to a linear system. The linear system is then solved by the Gauss elimination method. Mathematica plots of Green’s functions for several test regions are also presented. © 2014 Penerbit UTM Press. All rights reserved.

Pullepu B.,SRM University | Sambath P.,SRM University | Viswanathan K.K.,Center for Industrial and Applied Mathematics
Mathematical Problems in Engineering | Year: 2014

A mathematical model for the effects of chemical reaction and heat generation/absorption on unsteady laminar free convective flow with heat and mass transfer over an incompressible viscous fluid past a vertical permeable cone with nonuniform surface temperature T w '(x) = T ∞' + a x n and concentration C w '(x) = C ∞' + b x m is considered here. The dimensionless governing boundary layer equations of the flow that are transient, coupled, and nonlinear partial differential equations are solved by an efficient, accurate, and unconditionally stable finite difference scheme of Crank-Nicholson type. The velocity, temperature, and concentration profiles have been studied for various parameters, namely, chemical reaction parameter, the heat generation and absorption parameter Δ, Schmidt number Sc, Prandtl number Pr, buoyancy ratio parameter N, surface temperature power law exponent n, and surface concentration power law exponent m. The local as well as average skin friction, Nusselt number, and Sherwood number are discussed and analyzed graphically. The present results are compared with available results in open literature and are found to be in excellent agreement. © 2014 Bapuji Pullepu et al.

Aspon S.Z.,Center for Industrial and Applied Mathematics | Murid A.H.M.,University of Technology Malaysia | Rahmat H.,University of Technology Malaysia
AIP Conference Proceedings | Year: 2014

This research is about computing the Green's functions on unbounded doubly connected regions by using the method of boundary integral equation. The method depends on solving an exterior Dirichlet problem. The Dirichlet problem is then solved using a uniquely solvable Fredholm integral equation on the boundary of the region. The kernel of this integral equation is the generalized Neumann kernel. The method for solving this integral equation is by using the Nyström method with trapezoidal rule to discretize it to a linear system. The linear system is then solved by the Gaussian elimination method. Mathematica plots of Green's functions for several test regions are also presented. © 2014 AIP Publishing LLC.

Chen K.C.,University of Technology Malaysia | Bahar A.,University of Technology Malaysia | Bahar A.,Center for Industrial and Applied Mathematics | Ting C.-M.,Center for Biomedical Engineering
AIP Conference Proceedings | Year: 2014

This paper studies the Ornstein-Uhlenbeck model that incorporates long memory stochastic volatility which is known as fractional Ornstein-Uhlenbeck model. The determination of the existence of long range dependence of the index prices of FTSE Bursa Malaysia KLCI is measured by the Hurst exponent. The empirical distribution of unobserved volatility is estimated using the particle filtering method. The performance between fractional Ornstein -Uhlenbeck and standard Ornstein -Uhlenbeck process had been compared. The mean square errors of the fractional Ornstein-Uhlenbeck model indicated that the model describes index prices better than the standard Ornstein-Uhlenbeck process. © 2014 AIP Publishing LLC.

Ranjbari L.,University of Technology Malaysia | Bahar A.,Center for Industrial and Applied Mathematics | Aziz Z.A.,University of Technology Malaysia | Aziz Z.A.,Center for Industrial and Applied Mathematics
AIP Conference Proceedings | Year: 2013

The paper considers the natural-gas storage valuation based on the information-based pricing framework of Brody-Hughston-Macrina (BHM). As opposed to many studies which the associated filtration is considered pre-specified, this work tries to construct the filtration in terms of the information provided to the market. The value of the storage is given by the sum of the discounted expectations of the cash flows under risk-neutral measure, conditional to the constructed filtration with the Brownian bridge noise term. In order to model the flow of information about the cash flows, we assume the existence of a fixed pricing kernel with liquid, homogenous and incomplete market without arbitrage. © 2013 AIP Publishing LLC.

Barati V.,University of Technology Malaysia | Nazari M.,University of Technology Malaysia | David V.D.,University of Technology Malaysia | David V.D.,University Technology of MARA | And 2 more authors.
Research Journal of Applied Sciences, Engineering and Technology | Year: 2014

In this study a new technique of the Homotopy Analysis Method (nHAM) is applied to obtain an approximate analytic solution of the well-known Korteweg-de Vries (KdV) equation. This method removes the extra terms and decreases the time taken in the original HAM by converting the KdV equation to a system of first order differential equations. The resulted nHAM solution at third order approximation is then compared with that of the exact soliton solution of the KdV equation and found to be in excellent agreement.

Salah F.,Center for Industrial and Applied Mathematics | Salah F.,University of Kordofan | Aziz Z.A.,Center for Industrial and Applied Mathematics | Aziz Z.A.,University of Technology Malaysia | And 2 more authors.
2014 the 4th International Workshop on Computer Science and Engineering-Winter, WCSE 2014 | Year: 2014

The influence of heat transfer on oscillatory flow of MHD Second grade fluid in a porous channel is investigated. Modified Darcy's law is used to formulate the physical problem in a porous space. The fluid flow has been induced due to external pressure gradient. The closed from for exact solutions have been obtained for the velocity and temperature fields. The effects of emerging flow parameters on the velocity field are displayed and discussed through plotted graphs.