A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems

In order to simulate stiff biochemical reaction systems, an explicit exponential Euler scheme is derived for multidimensional, non-commutative stochastic differential equations with a semilinear drift term. The scheme is of strong order one half and A-stable in mean square. The combination with this and the projection method shows good performance in numerical experiments dealing with an alternative formulation of the chemical Langevin equation for a human ether a-go-go related gene ion channel mode

Non-Newtonian mixed convection flow from a horizontal circular cylinder with uniform surface heat flux

Mixed convection laminar two-dimensional boundary-layer flow of non-Newtonian pseudo-plastic fluids is investigated from a horizontal circular cylinder with uniform surface heat flux using a modified power-law viscosity model, that contains no unrealistic limits of zero or infinite viscosity; consequently, no irremovable singularities are introduced into boundary-layer formulations for such fluids. The governing boundary layer equations are transformed into a non-dimensional form and the resulting nonlinear systems of partial differential equations are solved numerically applying marching order implicit finite difference method with double sweep technique. Numerical results are presented for the case of shear-thinning fluids in terms of the fluid temperature distributions, rate of heat transfer in terms of the local Nusselt number.

Special Issue on Spatial Moment Techniques for Modelling Biological Processes

Over the last two decades, there has been an increasing awareness of, and interest in, the use of spatial moment techniques to provide insight into a range of biological and ecological processes. Models that incorporate spatial moments can be viewed as extensions of mean-field models. These mean-field models often consist of systems of classical ordinary differential equations and partial differential equations, whose derivation, at some point, hinges on the simplifying assumption that individuals in the underlying stochastic process encounter each other at a rate that is proportional to the average abundance of individuals. This assumption has several implications, the most striking of which is that mean-field models essentially neglect any impact of the spatial structure of individuals in the system. Moment dynamics models extend traditional mean-field descriptions by accounting for the dynamics of pairs, triples and higher n-tuples of individuals. This means that moment dynamics models can, to some extent, account for how the spatial structure affects the dynamics of the system in question.

A heterogeneous computing approach to simulation of the Heston Stochastic Volatility Model

Stochastic volatility models are of fundamental importance to the pricing of derivatives. One of the most commonly used models of stochastic volatility is the Heston Model in which the price and volatility of an asset evolve as a pair of coupled stochastic differential equations. The computation of asset prices and volatilities involves the simulation of many sample trajectories with conditioning. The problem is treated using the method of particle filtering. While the simulation of a shower of particles is computationally expensive, each particle behaves independently making such simulations ideal for massively parallel heterogeneous computing platforms. In this paper, we present our portable Opencl implementation of the Heston model and discuss its performance and efficiency characteristics on a range of architectures including Intel cpus, Nvidia gpus, and Intel Many-Integrated-Core (mic) accelerators.

A semi-analytical solution for multilayer diffusion in a composite medium consisting of a large number of layers

Diffusion in a composite slab consisting of a large number of layers provides an ideal prototype problem for developing and analysing two-scale modelling approaches for heterogeneous media. Numerous analytical techniques have been proposed for solving the transient diffusion equation in a one-dimensional composite slab consisting of an arbitrary number of layers. Most of these approaches, however, require the solution of a complex transcendental equation arising from a matrix determinant for the eigenvalues that is difficult to solve numerically for a large number of layers. To overcome this issue, in this paper, we present a semi-analytical method based on the Laplace transform and an orthogonal eigenfunction expansion. The proposed approach uses eigenvalues local to each layer that can be obtained either explicitly, or by solving simple transcendental equations. The semi-analytical solution is applicable to both perfect and imperfect contact at the interfaces between adjacent layers and either Dirichlet, Neumann or Robin boundary conditions at the ends of the slab. The solution approach is verified for several test cases and is shown to work well for a large number of layers. The work is concluded with an application to macroscopic modelling where the solution of a fine-scale multilayered medium consisting of two hundred layers is compared against an “up-scaled” variant of the same problem involving only ten layers.