Boundary value problems for stochastic differential equations

A theory of two-point boundary value problems analogous to the theory of initial value problems for stochastic ordinary differential equations whose solutions form Markov processes is developed. The theory of initial value problems consists of three main parts: the proof that the solution process is markovian and diffusive; the construction of the Kolmogorov or Fokker-Planck equation of the process; and the proof that the transistion probability density of the process is a unique solution of the Fokker-Planck equation.

It is assumed here that the stochastic differential equation under consideration has, as an initial value problem, a diffusive markovian solution process. When a given boundary value problem for this stochastic equation almost surely has unique solutions, we show that the solution process of the boundary value problem is also a diffusive Markov process. Since a boundary value problem, unlike an initial value problem, has no preferred direction for the parameter set, we find that there are two Fokker-Planck equations, one for each direction. It is shown that the density of the solution process of the boundary value problem is the unique simultaneous solution of this pair of Fokker-Planck equations.

This theory is then applied to the problem of a vibrating string with stochastic density.

Bifurcation theory of nonlinear boundary value problems

The theory of bifurcation of solutions to two-point boundary value problems is developed for a system of nonlinear first order ordinary differential equations in which the bifurcation parameter is allowed to appear nonlinearly. An iteration method is used to establish necessary and sufficient conditions for bifurcation and to construct a unique bifurcated branch in a neighborhood of a bifurcation point which is a simple eigenvalue of the linearized problem. The problem of bifurcation at a degenerate eigenvalue of the linearized problem is reduced to that of solving a system of algebraic equations. Cases with no bifurcation and with multiple bifurcation at a degenerate eigenvalue are considered.

The iteration method employed is shown to generate approximate solutions which contain those obtained by formal perturbation theory. Thus the formal perturbation solutions are rigorously justified. A theory of continuation of a solution branch out of the neighborhood of its bifurcation point is presented. Several generalizations and extensions of the theory to other types of problems, such as systems of partial differential equations, are described.

The theory is applied to the problem of the axisymmetric buckling of thin spherical shells. Results are obtained which confirm recent numerical computations.

A singularly perturbed linear two-point boundary-value problem

We consider the following singularly perturbed linear two-point boundary-value problem:

Ly(x) ≡ Ω(ε)D_xy(x) - A(x,ε)y(x) = f(x,ε) 0≤x≤1 (1a)

By ≡ L(ε)y(0) + R(ε)y(1) = g(ε) ε → 0^+ (1b)

Here Ω(ε) is a diagonal matrix whose first m diagonal elements are 1 and last m elements are ε. Aside from reasonable continuity conditions placed on A, L, R, f, g, we assume the lower right mxm principle submatrix of A has no eigenvalues whose real part is zero. Under these assumptions a constructive technique is used to derive sufficient conditions for the existence of a unique solution of (1). These sufficient conditions are used to define when (1) is a regular problem. It is then shown that as ε → 0^+ the solution of a regular problem exists and converges on every closed subinterval of (0,1) to a solution of the reduced problem. The reduced problem consists of the differential equation obtained by formally setting ε equal to zero in (1a) and initial conditions obtained from the boundary conditions (1b). Several examples of regular problems are also considered.

A similar technique is used to derive the properties of the solution of a particular difference scheme used to approximate (1). Under restrictions on the boundary conditions (1b) it is shown that for the stepsize much larger than ε the solution of the difference scheme, when applied to a regular problem, accurately represents the solution of the reduced problem.

Furthermore, the existence of a similarity transformation which block diagonalizes a matrix is presented as well as exponential bounds on certain fundamental solution matrices associated with the problem (1).

Cooperative and market-based solutions to pollution abatement problems

This work concerns itself with the possibility of solutions, both cooperative and market based, to pollution abatement problems. In particular, we are interested in pollutant emissions in Southern California and possible solutions to the abatement problems enumerated in the 1990 Clean Air Act. A tradable pollution permit program has been implemented to reduce emissions, creating property rights associated with various pollutants.

Before we discuss the performance of market-based solutions to LA's pollution woes, we consider the existence of cooperative solutions. In Chapter 2, we examine pollutant emissions as a trans boundary public bad. We show that for a class of environments in which pollution moves in a bi-directional, acyclic manner, there exists a sustainable coalition structure and associated levels of emissions. We do so via a new core concept, one more appropriate to modeling cooperative emissions agreements (and potential defection from them) than the standard definitions.

However, this leaves the question of implementing pollution abatement programs unanswered. While the existence of a cost-effective permit market equilibrium has long been understood, the implementation of such programs has been difficult. The design of Los Angeles' REgional CLean Air Incentives Market (RECLAIM) alleviated some of the implementation problems, and in part exacerbated them. For example, it created two overlapping cycles of permits and two zones of permits for different geographic regions. While these design features create a market that allows some measure of regulatory control, they establish a very difficult trading environment with the potential for inefficiency arising from the transactions costs enumerated above and the illiquidity induced by the myriad assets and relatively few participants in this market.

It was with these concerns in mind that the ACE market (Automated Credit Exchange) was designed. The ACE market utilizes an iterated combined-value call market (CV Market). Before discussing the performance of the RECLAIM program in general and the ACE mechanism in particular, we test experimentally whether a portfolio trading mechanism can overcome market illiquidity. Chapter 3 experimentally demonstrates the ability of a portfolio trading mechanism to overcome portfolio rebalancing problems, thereby inducing sufficient liquidity for markets to fully equilibrate.

With experimental evidence in hand, we consider the CV Market's performance in the real world. We find that as the allocation of permits reduces to the level of historical emissions, prices are increasing. As of April of this year, prices are roughly equal to the cost of the Best Available Control Technology (BACT). This took longer than expected, due both to tendencies to mis-report emissions under the old regime, and abatement technology advances encouraged by the program. Vve also find that the ACE market provides liquidity where needed to encourage long-term planning on behalf of polluting facilities.

Theory of s-d exchange scattering in dilute magnetic alloys

The problem of s-d exchange scattering of conduction electrons off localized magnetic moments in dilute magnetic alloys is considered employing formal methods of quantum field theoretical scattering. It is shown that such a treatment not only allows for the first time, the inclusion of multiparticle intermediate states in single particle scattering equations but also results in extremely simple and straight forward mathematical analysis. These equations are proved to be exact in the thermodynamic limit. A self-consistent integral equation for electron self energy is derived and approximately solved. The ground state and physical parameters of dilute magnetic alloys are discussed in terms of the theoretical results. Within the approximation of single particle intermediate states our results reduce to earlier versions. The following additional features are found as a consequence of the inclusion of multiparticle intermediate states;

(i) A non analytic binding energy is pre sent for both, antiferromagnetic (J < o) and ferromagnetic (J > o) couplings of the electron plus impurity system.

(ii) The correct behavior of the energy difference of the conduction electron plus impurity system and the free electron system is found which is free of unphysical singularities present in earlier versions of the theories.

(iii) The ground state of the conduction electron plus impurity system is shown to be a many-body condensate state for J < o and J > o, both. However, a distinction is made between the usual terminology of "Singlet" and "Triplet" ground states and nature of our ground state.

(iv) It is shown that a long range ordering, leading to an ordering of the magnetic moments can result from a contact interaction such as the s-d exchange interaction.

(v) The explicit dependence of the excess specific heat of the Kondo systems is obtained and found to be linear in temperatures as T→ o and T ℓnT for 0.3 T_K ≤ T ≤ 0.6 T_K. A rise in (ΔC/T) for temperatures in the region 0 < T ≤ 0.1 T_K is predicted. These results are found to be in excellent agreement with experiments.

(vi) The existence of a critical temperature for Ferromagnetic coupling (J > o) is shown. On the basis of this the apparent contradiction of the simultaneous existence of giant moments and Kondo effect is resolved.

Part I. Influence of membrane morphology on ion-exchange and charge propagation in composite polyelectrolyte electrode coatings. Part II. Dynamic surface tension measurements of polarization relaxation at mercury pool electrodes by the method of Wilhelmy.

Part I. Novel composite polyelectrolyte materials were developed that exhibit desirable charge propagation and ion-retention properties. The morphology of electrode coatings cast from these materials was shown to be more important for its electrochemical behavior than its chemical composition.

Part II. The Wilhelmy plate technique for measuring dynamic surface tension was extended to electrified liquid-liquid interphases. The dynamical response of the aqueous NaF-mercury electrified interphase was examined by concomitant measurement of surface tension, current, and applied electrostatic potential. Observations of the surface tension response to linear sweep voltammetry and to step function perturbations in the applied electrostatic potential (e.g., chronotensiometry) provided strong evidence that relaxation processes proceed for time-periods that are at least an order of magnitude longer than the time periods necessary to establish diffusion equilibrium. The dynamical response of the surface tension is analyzed within the context of non-equilibrium thermodynamics and a kinetic model that requires three simultaneous first order processes.

Value Estimation and Comparison in Multi-Attribute Choice

The following work explores the processes individuals utilize when making multi-attribute choices. With the exception of extremely simple or familiar choices, most decisions we face can be classified as multi-attribute choices. In order to evaluate and make choices in such an environment, we must be able to estimate and weight the particular attributes of an option. Hence, better understanding the mechanisms involved in this process is an important step for economists and psychologists. For example, when choosing between two meals that differ in taste and nutrition, what are the mechanisms that allow us to estimate and then weight attributes when constructing value? Furthermore, how can these mechanisms be influenced by variables such as attention or common physiological states, like hunger?

In order to investigate these and similar questions, we use a combination of choice and attentional data, where the attentional data was collected by recording eye movements as individuals made decisions. Chapter 1 designs and tests a neuroeconomic model of multi-attribute choice that makes predictions about choices, response time, and how these variables are correlated with attention. Chapter 2 applies the ideas in this model to intertemporal decision-making, and finds that attention causally affects discount rates. Chapter 3 explores how hunger, a common physiological state, alters the mechanisms we utilize as we make simple decisions about foods.

Fast numerical methods for mixed, singular Helmholtz boundary value problems and Laplace eigenvalue problems - with applications to antenna design, sloshing, electromagnetic scattering and spectral geometry

This thesis presents a novel class of algorithms for the solution of scattering and eigenvalue problems on general two-dimensional domains under a variety of boundary conditions, including non-smooth domains and certain "Zaremba" boundary conditions - for which Dirichlet and Neumann conditions are specified on various portions of the domain boundary. The theoretical basis of the methods for the Zaremba problems on smooth domains concern detailed information, which is put forth for the first time in this thesis, about the singularity structure of solutions of the Laplace operator under boundary conditions of Zaremba type. The new methods, which are based on use of Green functions and integral equations, incorporate a number of algorithmic innovations, including a fast and robust eigenvalue-search algorithm, use of the Fourier Continuation method for regularization of all smooth-domain Zaremba singularities, and newly derived quadrature rules which give rise to high-order convergence even around singular points for the Zaremba problem. The resulting algorithms enjoy high-order convergence, and they can tackle a variety of elliptic problems under general boundary conditions, including, for example, eigenvalue problems, scattering problems, and, in particular, eigenfunction expansion for time-domain problems in non-separable physical domains with mixed boundary conditions.

The influence of the NN* channel on elastic NN scattering

The problem of two channels NN and NN*, coupled through unitarity, is studied to see whether sizable peaks can be produced in elastic nucleon-nucleon scattering due to the opening of a strongly coupled inelastic channel. One-pion-exchange (OPE) interactions are calculated to estimate the NN*→NN* and NN→NN* amplitudes. The OPE production amplitudes are used as the sole dynamical input to drive the multichannel ND^-1 equations in the determinental approximation, and the effect on the J = 2+ (¹D₂) elastic NN scattering amplitude is studied as the width of the unstable N* and strength of coupling to the inelastic channel are varied. A cusp-type enhancement appears in the NN channel near the NN* threshold but for the known value of the N* width the cusp is so “wooly” that any resulting elastic peak is likely to be too broad and diminished in height to be experimentally prominent. A brief survey of current experimental knowledge of the real part of the ¹D₂ NN phase shift near the NN* threshold is given, and the values are found to be much smaller than the nearly “resonant” phase shifts predicted by the coupled channel model.

π+ photoproduction at angles from 6° to 90° C.M. and energies from 589 to 1269 MeV

The differential cross section for the reaction γp → π⁺n was measured at 32 laboratory photon energies between 589 and 1269 MeV at the Caltech Synchrotron. At each energy, data have been obtained at typically fifteen π⁺ c.m. angles between 6° and 90°. A magnetic spectrometer was used to detect the π⁺ photo-produced in a liquid hydrogen target. Two Cherenkov counters were used to reject the background of positrons and protons. The data clearly show the presence of a pole in the production amplitude due to the one pion exchange. Moravcsik fits to the 32 angular distributions, including data from another experiment, are presented. The extrapolation of these fits to the pole gives a value for the pion-nucleon coupling constant of 14.5 which is consistent with the accepted value. The second and third pion-nucleon resonances are evident as peaks in the total cross section and as changes in the shape of the angular distributions. At the third resonance there is evidence for both a D5/2 and an F5/2 amplitude. The absence of large variations in the 0° and 180° cross sections implies that the second and third resonances are mostly produced from an initial state with helicity ± 3/2.

I. Quantum mechanics of one-dimensional two-particle models. II. A quantum mechanical treatment of inelastic collisions

Part I

Solutions of Schrödinger’s equation for system of two particles bound in various stationary one-dimensional potential wells and repelling each other with a Coulomb force are obtained by the method of finite differences. The general properties of such systems are worked out in detail for the case of two electrons in an infinite square well. For small well widths (1-10 a.u.) the energy levels lie above those of the noninteresting particle model by as much as a factor of 4, although excitation energies are only half again as great. The analytical form of the solutions is obtained and it is shown that every eigenstate is doubly degenerate due to the “pathological” nature of the one-dimensional Coulomb potential. This degeneracy is verified numerically by the finite-difference method. The properties of the square-well system are compared with those of the free-electron and hard-sphere models; perturbation and variational treatments are also carried out using the hard-sphere Hamiltonian as a zeroth-order approximation. The lowest several finite-difference eigenvalues converge from below with decreasing mesh size to energies below those of the “best” linear variational function consisting of hard-sphere eigenfunctions. The finite-difference solutions in general yield expectation values and matrix elements as accurate as those obtained using the “best” variational function.

The system of two electrons in a parabolic well is also treated by finite differences. In this system it is possible to separate the center-of-mass motion and hence to effect a considerable numerical simplification. It is shown that the pathological one-dimensional Coulomb potential gives rise to doubly degenerate eigenstates for the parabolic well in exactly the same manner as for the infinite square well.

Part II

A general method of treating inelastic collisions quantum mechanically is developed and applied to several one-dimensional models. The formalism is first developed for nonreactive “vibrational” excitations of a bound system by an incident free particle. It is then extended to treat simple exchange reactions of the form A + BC →AB + C. The method consists essentially of finding a set of linearly independent solutions of the Schrödinger equation such that each solution of the set satisfies a distinct, yet arbitrary boundary condition specified in the asymptotic region. These linearly independent solutions are then combined to form a total scattering wavefunction having the correct asymptotic form. The method of finite differences is used to determine the linearly independent functions.

The theory is applied to the impulsive collision of a free particle with a particle bound in (1) an infinite square well and (2) a parabolic well. Calculated transition probabilities agree well with previously obtained values.

Several models for the exchange reaction involving three identical particles are also treated: (1) infinite-square-well potential surface, in which all three particles interact as hard spheres and each two-particle subsystem (i.e. BC and AB) is bound by an attractive infinite-square-well potential; (2) truncated parabolic potential surface, in which the two-particle subsystems are bound by a harmonic oscillator potential which becomes infinite for interparticle separations greater than a certain value; (3) parabolic (untruncated) surface. Although there are no published values with which to compare our reaction probabilities, several independent checks on internal consistency indicate that the results are reliable.

On the uniqueness of singular solutions to boundary-initial value problems in linear elastodynamics

This investigation deals with certain generalizations of the classical uniqueness theorem for the second boundary-initial value problem in the linearized dynamical theory of not necessarily homogeneous nor isotropic elastic solids. First, the regularity assumptions underlying the foregoing theorem are relaxed by admitting stress fields with suitably restricted finite jump discontinuities. Such singularities are familiar from known solutions to dynamical elasticity problems involving discontinuous surface tractions or non-matching boundary and initial conditions. The proof of the appropriate uniqueness theorem given here rests on a generalization of the usual energy identity to the class of singular elastodynamic fields under consideration.

Following this extension of the conventional uniqueness theorem, we turn to a further relaxation of the customary smoothness hypotheses and allow the displacement field to be differentiable merely in a generalized sense, thereby admitting stress fields with square-integrable unbounded local singularities, such as those encountered in the presence of focusing of elastic waves. A statement of the traction problem applicable in these pathological circumstances necessitates the introduction of "weak solutions'' to the field equations that are accompanied by correspondingly weakened boundary and initial conditions. A uniqueness theorem pertaining to this weak formulation is then proved through an adaptation of an argument used by O. Ladyzhenskaya in connection with the first boundary-initial value problem for a second-order hyperbolic equation in a single dependent variable. Moreover, the second uniqueness theorem thus obtained contains, as a special case, a slight modification of the previously established uniqueness theorem covering solutions that exhibit only finite stress-discontinuities.

Spin wave resonance in ferromagnetic films

The objective of this investigation has been a theoretical and experimental understanding of ferromagnetic resonance phenomena in ferromagnetic thin films, and a consequent understanding of several important physical properties of these films. Significant results have been obtained by ferromagnetic resonance, hysteresis, torque magnetometer, He ion backscattering, and X-ray fluorescence measurements for nickel-iron alloy films.

Taking into account all relevant magnetic fields, including the applied, demagnetizing, effective anisotropy and exchange fields, the spin wave resonance condition applicable to the thin film geometry is presented. On the basis of the simple exchange interaction model it is concluded that the normal resonance modes of an ideal film are expected to be unpinned. The possibility of nonideality near the surface of a real film was considered by means of surface anisotropy field, inhomogeneity in demagnetizing field and inhomogeneity of magnetization models. Numerical results obtained for reasonable parameters in all cases show that they negligibly perturb the resonance fields and the higher order mode shapes from those of the unpinned modes of ideal films for thicknesses greater than 1000 Å. On the other hand for films thinner than 1000 Å the resonance field deviations can be significant even though the modes are very nearly unpinned. A previously unnoticed but important feature of all three models is that the interpretation of the first resonance mode as the uniform mode of an ideal film allows an accurate measurement of the average effective demagnetizing field over the film volume. Furthermore, it is demonstrated that it is possible to choose parameters which give indistinguishable predictions for all three models, making it difficult to uniquely ascertain the source of spin pinning in real films from resonance measurements alone.

Spin wave resonance measurements of 81% Ni-19% Fe coevaporated films 30 to 9000 Å thick, at frequencies from 1 to 8 GHz, at room temperature, and with the static magnetic field parallel and perpendicular to the film plane have been performed. A self-consistent analysis of the results for films thicker than 1000 Å, in which multiple excitations can be observed, shows for the first time that a unique value of exchange constant A can only be obtained by the use of unpinned mode assignments. This evidence and the resonance behavior of films thinner than 1000 Å strongly imply that the magnetization at the surfaces of permalloy films is very weakly pinned. However, resonance measurements alone cannot determine whether this pinning is due to a surface anisotropy, an inhomogeneous demagnetizing field or an inhomogeneous magnetization. The above analysis yields a value of 4πM=10,100 Oe and A = (1.03 ± .05) x 10^-6 erg/cm for this alloy. The ability to obtain a unique value of A suggests that spin wave resonance can be used to accurately characterize the exchange interaction in a ferromagnet.

In an effort to resolve the ambiguity of the source of pinning of the magnetization, a correlation of the ratio of magnetic moment and X-ray film thickness with the value of effective demagnetizing field 4πNM as determined from resonance, for films 45 to 300 Å has been performed. The remarkable agreement of both quantities and a comparison with the predictions of five distinct models, strongly imply that the thickness dependence of both quantities is related to a thickness dependent average saturation magnetization, which is far below 10,100 Oe for very thin films. However, a series of complementary experiments shows that this large decrease of average saturation magnetization cannot be simply explained by either oxidation or interdiffusion processes. It can only be satisfactorily explained by an intrinsic decrease of the average saturation magnetization for very thin films, an effect which cannot be justified by any simple physical considerations.

Recognizing that this decrease of average saturation magnetization could be due to an oxidation process, a correlation of resonance measurements, He ion backscattering, X-ray fluorescence and torque magnetometer measurements, for films 40 to 3500 Å thick has been performed. On basis of these measurements it is unambiguously established that the oxide layer on the surface of purposefully oxidized 81% Ni-19% Fe evaporated films is predominantly Fe-oxide, and that in the oxidation process Fe atoms are removed from the bulk of the film to depths of thousands of angstroms. Extrapolation of results for pure Fe films indicates that the oxide is most likely α-Fe₂O₃. These conclusions are in agreement with results from old metallurgical studies of high temperature oxidation of bulk Fe and Ni-Fe alloys. However, X-ray fluorescence results for films oxidized at room temperature, show that although the preferential oxidation of Fe also takes place in these films, the extent of this process is by far too small to explain the large variation of their average saturation magnetization with film thickness.

Effects of magnetostriction and superlattice formation in ferromagnetic thin films

The contribution to the magnetic uniaxial perpendicular anisotropy which arises from substrate constraint through magnetostrictive effects has been measured in Ni-Fe and Ni-Co thin films evaporated on substrates at room temperature. This was accomplished by measuring the perpendicular anisotropy before and after removal of the film from the substrate. Data are given for the fcc crystal structure regions of both alloy systems, but data for Ni-Co include compositions with less than 60% Ni which have a small percentage of the hcp phase mixed with the fcc phase. The constraint contribution to the perpendicular anisotropy correlates well with the value of the bulk magnetostriction constant using the equation ∆K_˔=3/2λ_sσ. Measured values of isotropic stress for films thicker than 600 Å were 1.6 x 10¹⁰ dyn/cm². In films less than 600 Å thick the isotropic stress decreased with decreasing thickness. After removal of the films from the substrates, the measured perpendicular anisotropy deviated from the expected geometrical shape anisotropy near pure Ni in both alloys. This indicates that additional significant sources of anisotropy exist at these compositions.

The effect of substrate constraint on the crystalline anisotropy K₁ of Ni-Fe epitaxial films has been studied by use of a film removal technique, which involves the evaporation of an epitaxial layer of LiF on MgO, the epitaxial growth of the metallic film on the LiF, and the stripping of the film with water soluble tape. Films ranging in composition from 50% to 100% Ni have been studied. For compositions below 90% Ni the experimental values agree reasonably well with the first order theoretical prediction, ∆K₁=[-9/4(C₁₁-C₁₂)λ² 100+9/2C₄₄λ²111].

In order to compare the magnetic properties of epitaxial thin films more completely with the properties of bulk single crystals, Ni-Fe films ranging in composition from 60% to 90% Ni, which were evaporated epitaxially on (100) MgO substrates, have been subsequently annealed at 400°C in a vacuum of less than 10^-7 Torr to form the ordered Ni₃Fe structure near the 75% composition. This ordered structure has been confirmed by electron diffraction.

The saturation magnetization at Ni₃Fe increased about 6% with ordering which is in good agreement with previous bulk data. Measurements of the magnetocrystalline anisotropy energy K₁ for the epitaxial films show the same large changes with ordering as observed in bulk single crystal samples. In the (001) plane the magnetostriction constants ^λ100, ^λ111 are directly related to the induced anisotropy due to a uniform uniaxial strain in the [100] and [110] directions respectively. Assuming that the elastic constants of a film are the same as in bulk material and are unchanged by ordering, the changes in strain sensitivity with ordering for the epitaxial films are found to be in good agreement with values predicted from bulk data. The exchange constant A as measured by ferromagnetic resonance has been measured at the Ni₃Fe composition and found to increase 25% with ordering. This seems to indicate a significant increase in the Curie temperature which has only been inferred indirectly for bulk material.