
Mathematical Methods in the Physical Sciences
3rd Edition
ISBN: 9780471198260
Author: Mary L. Boas
Publisher: Wiley, John & Sons, Incorporated
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Textbook Question
Chapter 8.7, Problem 23P
Solve the two differential equations in Problem 5.11 of Chapter 13.
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Chapter 8 Solutions
Mathematical Methods in the Physical Sciences
Ch. 8.1 - Verify the statement of Example 2. Also verify...Ch. 8.1 - Solve Example 4 using the general solution...Ch. 8.1 - Verify that y=sinx,y=cosx,y=eix, and y=eix are all...Ch. 8.1 - Find the distance which an object moves in time t...Ch. 8.1 - Find the position x of a particle at time t if its...Ch. 8.1 - A substance evaporates at a rate proportional to...Ch. 8.1 - The momentum p of an electron at speed v near the...Ch. 8.2 - For each of the following differential equations,...Ch. 8.2 - For each of the following differential equations,...Ch. 8.2 - For each of the following differential equations,...
Ch. 8.2 - For each of the following differential equations,...Ch. 8.2 - For each of the following differential equations,...Ch. 8.2 - For each of the following differential equations,...Ch. 8.2 - For each of the following differential equations,...Ch. 8.2 - For each of the following differential equations,...Ch. 8.2 - For each of the following differential equations,...Ch. 8.2 - For each of the following differential equations,...Ch. 8.2 - For each of the following differential equations,...Ch. 8.2 - For each of the following differential equations,...Ch. 8.2 - In Problems 13 to 15, find a solution (or...Ch. 8.2 - In Problems 13 to 15, find a solution (or...Ch. 8.2 - In Problems 13 to 15, find a solution (or...Ch. 8.2 - By separation of variables, find a solution of the...Ch. 8.2 - The speed of a particle on the x axis, x0, is...Ch. 8.2 - Let the rate of growth dN/dt of a colony of...Ch. 8.2 - (a) Consider a light beam traveling downward into...Ch. 8.2 - Consider the following special cases of the simple...Ch. 8.2 - Suppose the rate at which bacteria in a culture...Ch. 8.2 - Solve the equation for the rate of growth of...Ch. 8.2 - Heat is escaping at a constant rate [dQ/dtin(1.1)...Ch. 8.2 - Do Problem 23 for a spherical cavity containing a...Ch. 8.2 - Show that the thickness of the ice on a lake...Ch. 8.2 - An object of mass m falls from rest under gravity...Ch. 8.2 - According to Newtons law of cooling, the rate at...Ch. 8.2 - A glass of milk at 38 is removed from the...Ch. 8.2 - A solution containing 90 by volume of alcohol (in...Ch. 8.2 - If P dollars are left in the bank at interest I...Ch. 8.2 - Find the orthogonal trajectories of each of the...Ch. 8.2 - Find the orthogonal trajectories of each of the...Ch. 8.2 - Find the orthogonal trajectories of each of the...Ch. 8.2 - Find the orthogonal trajectories of each of the...Ch. 8.2 - Find the orthogonal trajectories of each of the...Ch. 8.3 - Using (3.9), find the general solution of each of...Ch. 8.3 - Using (3.9), find the general solution of each of...Ch. 8.3 - Using (3.9), find the general solution of each of...Ch. 8.3 - Using (3.9), find the general solution of each of...Ch. 8.3 - Using (3.9), find the general solution of each of...Ch. 8.3 - Using (3.9), find the general solution of each of...Ch. 8.3 - Using (3.9), find the general solution of each of...Ch. 8.3 - Using (3.9), find the general solution of each of...Ch. 8.3 - Using (3.9), find the general solution of each of...Ch. 8.3 - Using (3.9), find the general solution of each of...Ch. 8.3 - Using (3.9), find the general solution of each of...Ch. 8.3 - Using (3.9), find the general solution of each of...Ch. 8.3 - Using (3.9), find the general solution of each of...Ch. 8.3 - Using (3.9), find the general solution of each of...Ch. 8.3 - Water with a small salt content (5 lb in 1000 gal)...Ch. 8.3 - Find the general solution of (1.2) for an RL...Ch. 8.3 - Find the general solution of (1.3) for an RC...Ch. 8.3 - Prob. 18PCh. 8.3 - If 1=2= in (3.10), then e21tdt=dt. Find N2 for...Ch. 8.3 - Extend the radioactive decay problem (Example 2)...Ch. 8.3 - Generalize Problem 20 to any number of stages.Ch. 8.3 - Find the orthogonal trajectories of the family of...Ch. 8.3 - Find the orthogonal trajectories of the family of...Ch. 8.4 - Use the methods of this section to solve the...Ch. 8.4 - Use the methods of this section to solve the...Ch. 8.4 - Use the methods of this section to solve the...Ch. 8.4 - Use the methods of this section to solve the...Ch. 8.4 - Use the methods of this section to solve the...Ch. 8.4 - Use the methods of this section to solve the...Ch. 8.4 - Use the methods of this section to solve the...Ch. 8.4 - Use the methods of this section to solve the...Ch. 8.4 - Use the methods of this section to solve the...Ch. 8.4 - Use the methods of this section to solve the...Ch. 8.4 - Use the methods of this section to solve the...Ch. 8.4 - Use the methods of this section to solve the...Ch. 8.4 - Use the methods of this section to solve the...Ch. 8.4 - Use the methods of this section to solve the...Ch. 8.4 - Use the methods of this section to solve the...Ch. 8.4 - Solve the differential equation yy2+2xyy=0 by...Ch. 8.4 - If an incompressible fluid flows in a corner...Ch. 8.4 - Find the family of orthogonal trajectories of the...Ch. 8.4 - Find the family of curves satisfying the...Ch. 8.4 - Find the shape of a mirror which has the property...Ch. 8.4 - As in text just before (4.11), show that (a)...Ch. 8.4 - Show that the change of variables (4.13) in (4.11)...Ch. 8.4 - Show that (xP+yQ)1 is an integrating factor for...Ch. 8.4 - Solve Problems 9 and 10 by using an integrating...Ch. 8.4 - An equation of the form y=f(x)y2+g(x)y+h(x) is...Ch. 8.4 - Show that the substitution given in Problem 25...Ch. 8.5 - Solve the following differential equations by the...Ch. 8.5 - Solve the following differential equations by the...Ch. 8.5 - Solve the following differential equations by the...Ch. 8.5 - Solve the following differential equations by the...Ch. 8.5 - Solve the following differential equations by the...Ch. 8.5 - Solve the following differential equations by the...Ch. 8.5 - Solve the following differential equations by the...Ch. 8.5 - Solve the following differential equations by the...Ch. 8.5 - Solve the following differential equations by the...Ch. 8.5 - Solve the following differential equations by the...Ch. 8.5 - Solve the following differential equations by the...Ch. 8.5 - Solve the following differential equations by the...Ch. 8.5 - Recall from Chapter 3, equation ( 8.5), that a set...Ch. 8.5 - Recall from Chapter 3, equation ( 8.5), that a set...Ch. 8.5 - Recall from Chapter 3, equation ( 8.5), that a set...Ch. 8.5 - Recall from Chapter 3, equation (8.5), that a set...Ch. 8.5 - Recall from Chapter 3, equation ( 8.5), that a set...Ch. 8.5 - Recall from Chapter 3, equation (8.5), that a set...Ch. 8.5 - Solve the algebraic equation D2+(1+2i)D+i1=0 (note...Ch. 8.5 - As in Problem 19, solve y+(1i)yiy=0. Hint: See...Ch. 8.5 - By the method used in solving (5.4) to get (5.9),...Ch. 8.5 - Use the results of Problem 21 to find the general...Ch. 8.5 - Use the results of Problem 21 to find the general...Ch. 8.5 - Use the results of Problem 21 to find the general...Ch. 8.5 - Use the results of Problem 21 to find the general...Ch. 8.5 - Use the results of Problem 21 to find the general...Ch. 8.5 - Use the results of Problem 21 to find the general...Ch. 8.5 - Use the results of Problem 21 to find the general...Ch. 8.5 - Use the results of Problem 21 to find the general...Ch. 8.5 - Use the results of Problem 21 to find the general...Ch. 8.5 - Let D stand for d/dx, that is, Dy=dy/dx; then...Ch. 8.5 - In Example 3, we used the second solution in...Ch. 8.5 - A particle moves along the x axis subject to a...Ch. 8.5 - Find the equation of motion of a simple pendulum...Ch. 8.5 - The gravitational force on a particle of mass m...Ch. 8.5 - Find (in terms of L and C) the frequency of...Ch. 8.5 - A block of wood is floating in water; it is...Ch. 8.5 - Solve the RLC circuit equation [(5.33)or(5.34)]...Ch. 8.5 - (a) Find numerical values of the constants and...Ch. 8.5 - The natural period of an undamped system is 3 sec,...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Find the general solution of the following...Ch. 8.6 - Verify that (6.4) is a particular solution of...Ch. 8.6 - Solve (6.16) by the method used in solving (...Ch. 8.6 - Consider the differential equation...Ch. 8.6 - (a) Show that (Da)ecx=(ca)ecx;...Ch. 8.6 - (a) Show that Deaxy=eax(D+a)y, D2eaxy=eax(D+a)2y,...Ch. 8.6 - Using Problems 29 and 31b, show that equation...Ch. 8.6 - In Problem 33 to 38, solve the given differential...Ch. 8.6 - In Problem 33 to 38, solve the given differential...Ch. 8.6 - In Problem 33 to 38, solve the given differential...Ch. 8.6 - In Problem 33 to 38, solve the given differential...Ch. 8.6 - In Problem 33 to 38, solve the given differential...Ch. 8.6 - In Problem 33 to 38, solve the given differential...Ch. 8.6 - Find the solutions of (1.2) (put I=dq/dt ) and...Ch. 8.6 - In (6.38), show that for a given forcing frequency...Ch. 8.6 - Solve Problems 41 and 42 by use of Fourier series....Ch. 8.6 - Solve Problems 41 and 42 by use of Fourier series....Ch. 8.6 - Consider an equation for damped forced vibrations...Ch. 8.7 - Solve the following differential equations by...Ch. 8.7 - Solve the following differential equations by...Ch. 8.7 - Solve the following differential equations by...Ch. 8.7 - Solve the following differential equations by...Ch. 8.7 - The differential equation of a hanging chain...Ch. 8.7 - The curvature of a curve in the (x,y) plane is...Ch. 8.7 - Solve y+2y=0 by method (c) above and compare with...Ch. 8.7 - The force of gravitational attraction on a mass m...Ch. 8.7 - Show that (7.15) is a separable equation. [You may...Ch. 8.7 - In Problems 10 and 11, solve (7.14) to find v(x)...Ch. 8.7 - In Problems 10 and 11, solve (7.14) to find v(x)...Ch. 8.7 - In Problem 11, find v(x) if v=0,x=1, at t=0. Then...Ch. 8.7 - The exact equation of motion of a simple pendulum...Ch. 8.7 - Verify (7.19) and (7.20). Hint:...Ch. 8.7 - If you solve (7.17) when f(x)=0 by assuming a...Ch. 8.7 - Solve the following equations either by method (d)...Ch. 8.7 - Solve the following equations using method (d)...Ch. 8.7 - Solve the following equations using method (d)...Ch. 8.7 - Solve the following equations using method (d)...Ch. 8.7 - Solve the following equations using method (d)...Ch. 8.7 - Solve the following equations using method (d)...Ch. 8.7 - Solve the following equations using method (d)...Ch. 8.7 - Solve the two differential equations in Problem...Ch. 8.7 - Substitute (7.22) into (7.21) to obtain the...Ch. 8.7 - For the following problems, verify the given...Ch. 8.7 - For the following problems, verify the given...Ch. 8.7 - For the following problems, verify the given...Ch. 8.7 - For the following problems, verify the given...Ch. 8.7 - For the following problems, verify the given...Ch. 8.7 - For the following problems, verify the given...Ch. 8.8 - For integral k, verify L5 and L6 in the Laplace...Ch. 8.8 - By using L2, verify L7 and L8 in the Laplace...Ch. 8.8 - Using either L2, or L3 and L4, verify L9 and L10.Ch. 8.8 - By differentiating the appropriate formula with...Ch. 8.8 - By integrating the appropriate formula with...Ch. 8.8 - By replacing a in L2 by a+ib and then by aib, and...Ch. 8.8 - Verify L15 to L18, by combining appropriate...Ch. 8.8 - Find the inverse transforms of the functions F(p)...Ch. 8.8 - Find the inverse transforms of the functions F(p)...Ch. 8.8 - Find the inverse transforms of the functions F(p)...Ch. 8.8 - Find the inverse transforms of the functions F(p)...Ch. 8.8 - Find the inverse transforms of the functions F(p)...Ch. 8.8 - Find the inverse transforms of the functions F(p)...Ch. 8.8 - Show that a combination of entries L3 to L10, L13,...Ch. 8.8 - Prove L32 for n=1. Hint: Differentiate equation...Ch. 8.8 - Use L32 and L3 to obtain L11.Ch. 8.8 - Use L32 and L11 to obtain Lt2sinat.Ch. 8.8 - Use L31 to derive L21Ch. 8.8 - Table entries L28 and L29 are known as translation...Ch. 8.8 - Table entries L28 and L29 are known as translation...Ch. 8.8 - Table entries L28 and L29 are known as translation...Ch. 8.8 - Table entries L28 and L29 are known as translation...Ch. 8.8 - Table entries L28 and L29 are known as translation...Ch. 8.8 - Table entries L28 and L29 are known as translation...Ch. 8.8 - Table entries L28 and L29 are known as translation...Ch. 8.8 - Table entries L28 and L29 are known as translation...Ch. 8.8 - Table entries L28 and L29 are known as translation...Ch. 8.9 - Continuing the method used in deriving (9.1) and...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - By using Laplace transforms, solve the following...Ch. 8.9 - Solve the following sets of equations by the...Ch. 8.9 - Solve the following sets of equations by the...Ch. 8.9 - Solve the following sets of equations by the...Ch. 8.9 - Solve the following sets of equations by the...Ch. 8.9 - Solve the following sets of equations by the...Ch. 8.9 - Solve the following sets of equations by the...Ch. 8.9 - Solve the following sets of equations by the...Ch. 8.9 - Evaluate each of the following definite integrals...Ch. 8.9 - Evaluate each of the following definite integrals...Ch. 8.9 - Evaluate each of the following definite integrals...Ch. 8.9 - Evaluate each of the following definite integrals...Ch. 8.9 - Evaluate each of the following definite integrals...Ch. 8.9 - Evaluate each of the following definite integrals...Ch. 8.9 - Evaluate each of the following definite integrals...Ch. 8.9 - Evaluate each of the following definite integrals...Ch. 8.9 - Evaluate each of the following definite integrals...Ch. 8.10 - Show that g*h=h*g as claimed in I34. Hint: Let u=t...Ch. 8.10 - Use L34 and L2 to find the inverse transform of...Ch. 8.10 - Use the convolution integral to find the inverse...Ch. 8.10 - Use the convolution integral to find the inverse...Ch. 8.10 - Use the convolution integral to find the inverse...Ch. 8.10 - Use the convolution integral to find the inverse...Ch. 8.10 - Use the convolution integral to find the inverse...Ch. 8.10 - Use the convolution integral to find the inverse...Ch. 8.10 - Use the convolution integral to find the inverse...Ch. 8.10 - Use the convolution integral to find the inverse...Ch. 8.10 - Use the convolution integral to find the inverse...Ch. 8.10 - Use the convolution integral to find the inverse...Ch. 8.10 - Use the Laplace transform table to find...Ch. 8.10 - Use the convolution integral (see Example 2) to...Ch. 8.10 - Use the convolution integral (see Example 2) to...Ch. 8.10 - Consider solving an equation like (10.1) but with...Ch. 8.10 - Solve the differential equation ya2y=f(t), where...Ch. 8.10 - A mechanical or electrical system is described by...Ch. 8.10 - Following the method of equations (10.8) to...Ch. 8.11 - Find the inverse Laplace transform of e2p/p2 in...Ch. 8.11 - Verify L24 in the table by using L1, L27, and the...Ch. 8.11 - Verify L28 in the table by using L27 and the...Ch. 8.11 - Show that fn(t)dt=1 for the functions fn(t) in...Ch. 8.11 - Solve the differential equation y+2y=f(t),y0=y0=0,...Ch. 8.11 - (a) Let a mechanical or electrical system be...Ch. 8.11 - Using the function method, find the response (see...Ch. 8.11 - Using the function method, find the response (see...Ch. 8.11 - Using the function method, find the response (see...Ch. 8.11 - Using the function method, find the response (see...Ch. 8.11 - Using the function method, find the response (see...Ch. 8.11 - Evaluate the functions fn(xa) defined by the...Ch. 8.11 - Using functions, write the following mass or...Ch. 8.11 - Integrate by parts as we did for (11.14) to obtain...Ch. 8.11 - Use (11.6) and (11.14) to (11.16) to evaluate the...Ch. 8.11 - Verify the operator equation ddxsgnx=2(x) where...Ch. 8.11 - Verify (11.18a) and (11.18c) by multiplying by a...Ch. 8.11 - Use equation (11.16) to generalize the operator...Ch. 8.11 - (a) Show that you can differentiate a generalized...Ch. 8.11 - Verify the operator equations in (11.19) not done...Ch. 8.11 - Make use of the operator equations (11.19) and...Ch. 8.11 - You may find the spherical coordinate function...Ch. 8.11 - Write a formula in rectangular coordinates, in...Ch. 8.11 - Prob. 24PCh. 8.11 - Let F(x)=x2,x0,0,x0. Show that F(x)=0 for all x0,...Ch. 8.12 - Solve (12.3) if G=0 and dG/dt=0 at t=0 to obtain...Ch. 8.12 - In Problems 2 and 3, use (12.6) to solve (12.1)...Ch. 8.12 - In Problems 2 and 3, use (12.6) to solve (12.1)...Ch. 8.12 - Use equation (12.6) to solve Problem 10.18.Ch. 8.12 - Obtain ( 12.6 ) by using the convolution integral...Ch. 8.12 - For Problem 10.17, show (as in Problem 1) that the...Ch. 8.12 - Use the Green function of Problem 6 to solve...Ch. 8.12 - Solve the differential equation...Ch. 8.12 - Following the proof of (12.4), show that (12.9)...Ch. 8.12 - Solve (12.12) and (12.14) to get (12.15). Hint:...Ch. 8.12 - In Problems 11 to 13, use (12.17) to find the...Ch. 8.12 - In Problems 11 to 13, use (12.17) to find the...Ch. 8.12 - In Problems 11 to 13, use (12.17) to find the...Ch. 8.12 - (a) Given that y1(x) and y2(x) are solutions of...Ch. 8.12 - In Problems 15 to 18, use the given solutions of...Ch. 8.12 - In Problems 15 to 18, use the given solutions of...Ch. 8.12 - In Problems 15 to 18, use the given solutions of...Ch. 8.12 - In Problems 15 to 18, use the given solutions of...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - Identify each of the differential equations in...Ch. 8.13 - In Problems 25 to 28, find a particular solution...Ch. 8.13 - In Problems 25 to 28, find a particular solution...Ch. 8.13 - In Problems 25 to 28, find a particular solution...Ch. 8.13 - In Problems 25 to 28, find a particular solution...Ch. 8.13 - If 10kg of rock salt is placed in water, it...Ch. 8.13 - A mass m falls under gravity (force mg ) through a...Ch. 8.13 - The acceleration of an electron in the electric...Ch. 8.13 - Suppose that the rate at which you work on a hot...Ch. 8.13 - Compare the temperatures of your cup of coffee at...Ch. 8.13 - A flexible chain of length l is hung over a peg...Ch. 8.13 - A raindrop falls through a cloud, increasing in...Ch. 8.13 - (a) A rocket of (variable) mass m is propelled by...Ch. 8.13 - The differential equation for the path of a planet...Ch. 8.13 - Use L15 and L31 to find the Laplace transform of...Ch. 8.13 - Use L32 and L9 to find the Laplace transform of t...Ch. 8.13 - Use the Laplace transform table to evaluate:...Ch. 8.13 - Use the Laplace transform table to evaluate:...Ch. 8.13 - Find the inverse Laplace transform of: p(p+a)3Ch. 8.13 - Find the inverse Laplace transform of: p2p2+a22Ch. 8.13 - Find the inverse Laplace transform of: 1p2+a23Ch. 8.13 - Prove the following shifting or translation...Ch. 8.13 - Use the table of Laplace transforms to find the...Ch. 8.13 - Solve Problems 47 and 48 either by Laplace...Ch. 8.13 - Solve Problems 47 and 48 either by Laplace...
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- Problem 3. Pricing a multi-stock option the Margrabe formula The purpose of this problem is to price a swap option in a 2-stock model, similarly as what we did in the example in the lectures. We consider a two-dimensional Brownian motion given by W₁ = (W(¹), W(2)) on a probability space (Q, F,P). Two stock prices are modeled by the following equations: dX = dY₁ = X₁ (rdt+ rdt+0₁dW!) (²)), Y₁ (rdt+dW+0zdW!"), with Xo xo and Yo =yo. This corresponds to the multi-stock model studied in class, but with notation (X+, Y₁) instead of (S(1), S(2)). Given the model above, the measure P is already the risk-neutral measure (Both stocks have rate of return r). We write σ = 0₁+0%. We consider a swap option, which gives you the right, at time T, to exchange one share of X for one share of Y. That is, the option has payoff F=(Yr-XT). (a) We first assume that r = 0 (for questions (a)-(f)). Write an explicit expression for the process Xt. Reminder before proceeding to question (b): Girsanov's theorem…arrow_forwardProblem 1. Multi-stock model We consider a 2-stock model similar to the one studied in class. Namely, we consider = S(1) S(2) = S(¹) exp (σ1B(1) + (M1 - 0/1 ) S(²) exp (02B(2) + (H₂- M2 where (B(¹) ) +20 and (B(2) ) +≥o are two Brownian motions, with t≥0 Cov (B(¹), B(2)) = p min{t, s}. " The purpose of this problem is to prove that there indeed exists a 2-dimensional Brownian motion (W+)+20 (W(1), W(2))+20 such that = S(1) S(2) = = S(¹) exp (011W(¹) + (μ₁ - 01/1) t) 롱) S(²) exp (021W (1) + 022W(2) + (112 - 03/01/12) t). where σ11, 21, 22 are constants to be determined (as functions of σ1, σ2, p). Hint: The constants will follow the formulas developed in the lectures. (a) To show existence of (Ŵ+), first write the expression for both W. (¹) and W (2) functions of (B(1), B(²)). as (b) Using the formulas obtained in (a), show that the process (WA) is actually a 2- dimensional standard Brownian motion (i.e. show that each component is normal, with mean 0, variance t, and that their…arrow_forwardRoedel Electronics produces tablet computer accessories, including integrated keyboard tablet stands that connect a keyboard to a tablet device and holds the device at a preferred angle for easy viewing and typing. Roedel produces two sizes of integrated keyboard tablet stands, small and large. Each size uses the same keyboard attachment, but the stand consists of two different pieces, a top flap and a vertical stand that differ by size. Thus, a completed integrated keyboard tablet stand consists of three subassemblies that are manufactured by Roedel: a keyboard, a top flap, and a vertical stand. Roedel's sales forecast indicates that 7,000 small integrated keyboard tablet stands and 5,000 large integrated keyboard tablet stands will be needed to satisfy demand during the upcoming Christmas season. Because only 500 hours of in-house manufacturing time are available, Roedel is considering purchasing some, or all, of the subassemblies from outside suppliers. If Roedel manufactures a…arrow_forward
- Show three different pairs of integers, a and b, where at least one example includes a negative integer. For each of your examples, determine if each of the following statements are true or falsearrow_forwardThe scores of 8 students on the midterm exam and final exam were as follows. Student Midterm Final Anderson 98 89 Bailey 88 74 Cruz 87 97 DeSana 85 79 Erickson 85 94 Francis 83 71 Gray 74 98 Harris 70 91 Find the value of the (Spearman's) rank correlation coefficient test statistic that would be used to test the claim of no correlation between midterm score and final exam score. Round your answer to 3 places after the decimal point, if necessary. Test statistic: rs =arrow_forward(a) Develop a model that minimizes semivariance for the Hauck Financial data given in the file HauckData with a required return of 10%. Assume that the five planning scenarios in the Hauck Financial rvices model are equally likely to occur. Hint: Modify model (8.10)-(8.19). Define a variable d, for each scenario and let d₂ > R - R¸ with d ≥ 0. Then make the objective function: Min Let FS = proportion of portfolio invested in the foreign stock mutual fund IB = proportion of portfolio invested in the intermediate-term bond fund LG = proportion of portfolio invested in the large-cap growth fund LV = proportion of portfolio invested in the large-cap value fund SG = proportion of portfolio invested in the small-cap growth fund SV = proportion of portfolio invested in the small-cap value fund R = the expected return of the portfolio R = the return of the portfolio in years. Min s.t. R₁ R₂ = R₁ R R5 = FS + IB + LG + LV + SG + SV = R₂ R d₁ =R- d₂z R- d₂ ZR- d₁R- d≥R- R = FS, IB, LG, LV, SG, SV…arrow_forward
- The Martin-Beck Company operates a plant in St. Louis with an annual capacity of 30,000 units. Product is shipped to regional distribution centers located in Boston, Atlanta, and Houston. Because of an anticipated increase in demand, Martin-Beck plans to increase capacity by constructing a new plant in one or more of the following cities: Detroit, Toledo, Denver, or Kansas. The following is a linear program used to determine which cities Martin-Beck should construct a plant in. Let y₁ = 1 if a plant is constructed in Detroit; 0 if not y₂ = 1 if a plant is constructed in Toledo; 0 if not y₂ = 1 if a plant is constructed in Denver; 0 if not y = 1 if a plant is constructed in Kansas City; 0 if not. The variables representing the amount shipped from each plant site to each distribution center are defined just as for a transportation problem. *,, = the units shipped in thousands from plant i to distribution center j i = 1 (Detroit), 2 (Toledo), 3 (Denver), 4 (Kansas City), 5 (St.Louis) and…arrow_forwardConsider the following mixed-integer linear program. Max 3x1 + 4x2 s.t. 4x1 + 7x2 ≤ 28 8x1 + 5x2 ≤ 40 x1, x2 ≥ and x1 integer (a) Graph the constraints for this problem. Indicate on your graph all feasible mixed-integer solutions. On the coordinate plane the horizontal axis is labeled x1 and the vertical axis is labeled x2. A region bounded by a series of connected line segments, and several horizontal lines are on the graph. The series of line segments connect the approximate points (0, 4), (3.889, 1.778), and (5, 0). The region is above the horizontal axis, to the right of the vertical axis, and below the line segments. At each integer value between 0 and 4 on the vertical axis, a horizontal line extends out from the vertical axis to the series of connect line segments. On the coordinate plane the horizontal axis is labeled x1 and the vertical axis is labeled x2. A region bounded by a series of connected line segments, and several…arrow_forwardConsider the nonlinear optimization model stated below. Min s.t. 2x²-18x + 2XY + y² - 14Y + 53 x + 4Y ≤ 8 (a) Find the minimum solution to this problem. |at (X, Y) = (b) If the right-hand side of the constraint is increased from 8 to 9, how much do you expect the objective function to change? Based on the dual value on the constraint X + 4Y ≤ 8, we expect the optimal objective function value to decrease by (c) Resolve the problem with a new right-hand side of the constraint of 9. How does the actual change compare with your estimate? If we resolve the problem with a new right-hand-side of 9 the new optimal objective function value is| , so the actual change is a decrease of rather than what we expected in part (b).arrow_forward
- Statement:If 2 | a and 3| a, then 6 a. So find three integers, and at least one integer should be negative. For each of your examples, determine if the statement is true or false.arrow_forwardStatement: If 4 | a and 6 | a, then 24 | a. So find three integers, and at least one integer should be negative. For each of your examples, determine if the statement is true or false.arrow_forward2) dassify each critical point of the given plane autovers system x'=x-2x²-2xy y' = 4y-Sy³-7xyarrow_forward
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