Micropolar flow in a porous channel with high mass transfer

Two dimensional flow of a micropolar fluid in a porous channel is investigated. The flow is driven by suction or injection at the channel walls, and the micropolar model due to Eringen is used to describe the working fluid. An extension of Berman's similarity transform is used to reduce the governing equations to a set of non-linear coupled ordinary differential equations. The latter are solved for large mass transfer via a perturbation analysis where the inverse of the cross-flow Reynolds number is used as the perturbing parameter. Complementary numerical solutions for strong injection are also obtained using a quasilinearisation scheme, and good agreement is observed between the solutions obtained from the perturbation analysis and the computations.

Stochastic modelling of financial time series with memory and multifractal scaling

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient market hypothesis, is still an issue for further debates. These difficulties present challenges with the problems of memory detection and modelling the co-presence of long memory and heavy tails. This PhD project aims to respond to these challenges. The first part aims to detect memory in a large number of financial time series on stock prices and exchange rates using their scaling properties. Since financial time series often exhibit stochastic trends, a common form of nonstationarity, strong trends in the data can lead to false detection of memory. We will take advantage of a technique known as multifractal detrended fluctuation analysis (MF-DFA) that can systematically eliminate trends of different orders. This method is based on the identification of scaling of the q-th-order moments and is a generalisation of the standard detrended fluctuation analysis (DFA) which uses only the second moment; that is, q = 2. We also consider the rescaled range R/S analysis and the periodogram method to detect memory in financial time series and compare their results with the MF-DFA. An interesting finding is that short memory is detected for stock prices of the American Stock Exchange (AMEX) and long memory is found present in the time series of two exchange rates, namely the French franc and the Deutsche mark. Electricity price series of the five states of Australia are also found to possess long memory. For these electricity price series, heavy tails are also pronounced in their probability densities. The second part of the thesis develops models to represent short-memory and longmemory financial processes as detected in Part I. These models take the form of continuous-time AR(∞) -type equations whose kernel is the Laplace transform of a finite Borel measure. By imposing appropriate conditions on this measure, short memory or long memory in the dynamics of the solution will result. A specific form of the models, which has a good MA(∞) -type representation, is presented for the short memory case. Parameter estimation of this type of models is performed via least squares, and the models are applied to the stock prices in the AMEX, which have been established in Part I to possess short memory. By selecting the kernel in the continuous-time AR(∞) -type equations to have the form of Riemann-Liouville fractional derivative, we obtain a fractional stochastic differential equation driven by Brownian motion. This type of equations is used to represent financial processes with long memory, whose dynamics is described by the fractional derivative in the equation. These models are estimated via quasi-likelihood, namely via a continuoustime version of the Gauss-Whittle method. The models are applied to the exchange rates and the electricity prices of Part I with the aim of confirming their possible long-range dependence established by MF-DFA. The third part of the thesis provides an application of the results established in Parts I and II to characterise and classify financial markets. We will pay attention to the New York Stock Exchange (NYSE), the American Stock Exchange (AMEX), the NASDAQ Stock Exchange (NASDAQ) and the Toronto Stock Exchange (TSX). The parameters from MF-DFA and those of the short-memory AR(∞) -type models will be employed in this classification. We propose the Fisher discriminant algorithm to find a classifier in the two and three-dimensional spaces of data sets and then provide cross-validation to verify discriminant accuracies. This classification is useful for understanding and predicting the behaviour of different processes within the same market. The fourth part of the thesis investigates the heavy-tailed behaviour of financial processes which may also possess long memory. We consider fractional stochastic differential equations driven by stable noise to model financial processes such as electricity prices. The long memory of electricity prices is represented by a fractional derivative, while the stable noise input models their non-Gaussianity via the tails of their probability density. A method using the empirical densities and MF-DFA will be provided to estimate all the parameters of the model and simulate sample paths of the equation. The method is then applied to analyse daily spot prices for five states of Australia. Comparison with the results obtained from the R/S analysis, periodogram method and MF-DFA are provided. The results from fractional SDEs agree with those from MF-DFA, which are based on multifractal scaling, while those from the periodograms, which are based on the second order, seem to underestimate the long memory dynamics of the process. This highlights the need and usefulness of fractal methods in modelling non-Gaussian financial processes with long memory.

Exponential asymptotics with multiple stokes lines

When asymptotic series methods are applied in order to solve problems that arise in applied mathematics in the limit that some parameter becomes small, they are unable to demonstrate behaviour that occurs on a scale that is exponentially small compared to the algebraic terms of the asymptotic series. There are many examples of physical systems where behaviour on this scale has important effects and, as such, a range of techniques known as exponential asymptotic techniques were developed that may be used to examinine behaviour on this exponentially small scale. Many problems in applied mathematics may be represented by behaviour within the complex plane, which may subsequently be examined using asymptotic methods. These problems frequently demonstrate behaviour known as Stokes phenomenon, which involves the rapid switches of behaviour on an exponentially small scale in the neighbourhood of some curve known as a Stokes line. Exponential asymptotic techniques have been applied in order to obtain an expression for this exponentially small switching behaviour in the solutions to orginary and partial differential equations. The problem of potential flow over a submerged obstacle has been previously considered in this manner by Chapman & Vanden-Broeck (2006). By representing the problem in the complex plane and applying an exponential asymptotic technique, they were able to detect the switching, and subsequent behaviour, of exponentially small waves on the free surface of the flow in the limit of small Froude number, specifically considering the case of flow over a step with one Stokes line present in the complex plane. We consider an extension of this work to flow configurations with multiple Stokes lines, such as flow over an inclined step, or flow over a bump or trench. The resultant expressions are analysed, and demonstrate interesting implications, such as the presence of exponentially sub-subdominant intermediate waves and the possibility of trapped surface waves for flow over a bump or trench. We then consider the effect of multiple Stokes lines in higher order equations, particu- larly investigating the behaviour of higher-order Stokes lines in the solutions to partial differential equations. These higher-order Stokes lines switch off the ordinary Stokes lines themselves, adding a layer of complexity to the overall Stokes structure of the solution. Specifically, we consider the different approaches taken by Howls et al. (2004) and Chap- man & Mortimer (2005) in applying exponential asymptotic techniques to determine the higher-order Stokes phenomenon behaviour in the solution to a particular partial differ- ential equation.

Stability and convergence of an effective numerical method for the time-space fractional Fokker-Planck equation with a nonlinear source term

Fractional Fokker-Planck equations (FFPEs) have gained much interest recently for describing transport dynamics in complex systems that are governed by anomalous diffusion and nonexponential relaxation patterns. However, effective numerical methods and analytic techniques for the FFPE are still in their embryonic state. In this paper, we consider a class of time-space fractional Fokker-Planck equations with a nonlinear source term (TSFFPE-NST), which involve the Caputo time fractional derivative (CTFD) of order α ∈ (0, 1) and the symmetric Riesz space fractional derivative (RSFD) of order μ ∈ (1, 2). Approximating the CTFD and RSFD using the L1-algorithm and shifted Grunwald method, respectively, a computationally effective numerical method is presented to solve the TSFFPE-NST. The stability and convergence of the proposed numerical method are investigated. Finally, numerical experiments are carried out to support the theoretical claims.

Computationally efficient numerical methods for time- and space-fractional Fokker–Planck equations

Fractional Fokker–Planck equations have been used to model several physical situations that present anomalous diffusion. In this paper, a class of time- and space-fractional Fokker–Planck equations (TSFFPE), which involve the Riemann–Liouville time-fractional derivative of order 1-α (α(0, 1)) and the Riesz space-fractional derivative (RSFD) of order μ(1, 2), are considered. The solution of TSFFPE is important for describing the competition between subdiffusion and Lévy flights. However, effective numerical methods for solving TSFFPE are still in their infancy. We present three computationally efficient numerical methods to deal with the RSFD, and approximate the Riemann–Liouville time-fractional derivative using the Grünwald method. The TSFFPE is then transformed into a system of ordinary differential equations (ODE), which is solved by the fractional implicit trapezoidal method (FITM). Finally, numerical results are given to demonstrate the effectiveness of these methods. These techniques can also be applied to solve other types of fractional partial differential equations.

Lie group symmetry analysis for granular media stress equations

The Airy stress function, although frequently employed in classical linear elasticity, does not receive similar usage for granular media problems. For plane strain quasi-static deformations of a cohesionless Coulomb–Mohr granular solid, a single nonlinear partial differential equation is formulated for the Airy stress function by combining the equilibrium equations with the yield condition. This has certain advantages from the usual approach, in which two stress invariants and a stress angle are introduced, and a system of two partial differential equations is needed to describe the flow. In the present study, the symmetry analysis of differential equations is utilised for our single partial differential equation, and by computing an optimal system of one-dimensional Lie algebras, a complete set of group-invariant solutions is derived. By this it is meant that any group-invariant solution of the governing partial differential equation (provided it can be derived via the classical symmetries method) may be obtained as a member of this set by a suitable group transformation. For general values of the parameters (angle of internal friction and gravity g) it is found there are three distinct classes of solutions which correspond to granular flows considered previously in the literature. For the two limiting cases of high angle of internal friction and zero gravity, the governing partial differential equation admit larger families of Lie point symmetries, and from these symmetries, further solutions are derived, many of which are new. Furthermore, the majority of these solutions are exact, which is rare for granular flow, especially in the case of gravity driven flows.

An advanced implicit meshless approach for fractional partial differential equation in computational mechanics

Recently, the numerical modelling and simulation for fractional partial differential equations (FPDE), which have been found with widely applications in modern engineering and sciences, are attracting increased attentions. The current dominant numerical method for modelling of FPDE is the explicit Finite Difference Method (FDM), which is based on a pre-defined grid leading to inherited issues or shortcomings. This paper aims to develop an implicit meshless approach based on the radial basis functions (RBF) for numerical simulation of time fractional diffusion equations. The discrete system of equations is obtained by using the RBF meshless shape functions and the strong-forms. The stability and convergence of this meshless approach are then discussed and theoretically proven. Several numerical examples with different problem domains are used to validate and investigate accuracy and efficiency of the newly developed meshless formulation. The results obtained by the meshless formations are also compared with those obtained by FDM in terms of their accuracy and efficiency. It is concluded that the present meshless formulation is very effective for the modelling and simulation for FPDE.

Time-dependent fractional advection–diffusion equations by an implicit MLS meshless method

Recently, many new applications in engineering and science are governed by a series of fractional partial differential equations (FPDEs). Unlike the normal partial differential equations (PDEs), the differential order in a FPDE is with a fractional order, which will lead to new challenges for numerical simulation, because most existing numerical simulation techniques are developed for the PDE with an integer differential order. The current dominant numerical method for FPDEs is Finite Difference Method (FDM), which is usually difficult to handle a complex problem domain, and also hard to use irregular nodal distribution. This paper aims to develop an implicit meshless approach based on the moving least squares (MLS) approximation for numerical simulation of fractional advection-diffusion equations (FADE), which is a typical FPDE. The discrete system of equations is obtained by using the MLS meshless shape functions and the meshless strong-forms. The stability and convergence related to the time discretization of this approach are then discussed and theoretically proven. Several numerical examples with different problem domains and different nodal distributions are used to validate and investigate accuracy and efficiency of the newly developed meshless formulation. It is concluded that the present meshless formulation is very effective for the modeling and simulation of the FADE.

An implicit RBF meshless approach for time fractional diffusion equations

This paper aims to develop an implicit meshless approach based on the radial basis function (RBF) for numerical simulation of time fractional diffusion equations. The meshless RBF interpolation is firstly briefed. The discrete equations for two-dimensional time fractional diffusion equation (FDE) are obtained by using the meshless RBF shape functions and the strong-forms of the time FDE. The stability and convergence of this meshless approach are discussed and theoretically proven. Numerical examples with different problem domains and different nodal distributions are studied to validate and investigate accuracy and efficiency of the newly developed meshless approach. It has proven that the present meshless formulation is very effective for modeling and simulation of fractional differential equations.

Velocity-jump models with crowding effects

Velocity jump processes are discrete random walk models that have many applications including the study of biological and ecological collective motion. In particular, velocity jump models are often used to represent a type of persistent motion, known as a “run and tumble”, which is exhibited by some isolated bacteria cells. All previous velocity jump processes are non-interacting, which means that crowding effects and agent-to-agent interactions are neglected. By neglecting these agent-to-agent interactions, traditional velocity jump models are only applicable to very dilute systems. Our work is motivated by the fact that many applications in cell biology, such as wound healing, cancer invasion and development, often involve tissues that are densely packed with cells where cell-to-cell contact and crowding effects can be important. To describe these kinds of high cell density problems using a velocity jump process we introduce three different classes of crowding interactions into a one-dimensional model. Simulation data and averaging arguments lead to a suite of continuum descriptions of the interacting velocity jump processes. We show that the resulting systems of hyperbolic partial differential equations predict the mean behavior of the stochastic simulations very well.

Models of collective cell motion for cell populations with different aspect ratio : diffusion, proliferation and travelling waves

Continuum, partial differential equation models are often used to describe the collective motion of cell populations, with various types of motility represented by the choice of diffusion coefficient, and cell proliferation captured by the source terms. Previously, the choice of diffusion coefficient has been largely arbitrary, with the decision to choose a particular linear or nonlinear form generally based on calibration arguments rather than making any physical connection with the underlying individual-level properties of the cell motility mechanism. In this work we provide a new link between individual-level models, which account for important cell properties such as varying cell shape and volume exclusion, and population-level partial differential equation models. We work in an exclusion process framework, considering aligned, elongated cells that may occupy more than one lattice site, in order to represent populations of agents with different sizes. Three different idealizations of the individual-level mechanism are proposed, and these are connected to three different partial differential equations, each with a different diffusion coefficient; one linear, one nonlinear and degenerate and one nonlinear and nondegenerate. We test the ability of these three models to predict the population level response of a cell spreading problem for both proliferative and nonproliferative cases. We also explore the potential of our models to predict long time travelling wave invasion rates and extend our results to two dimensional spreading and invasion. Our results show that each model can accurately predict density data for nonproliferative systems, but that only one does so for proliferative systems. Hence great care must be taken to predict density data for with varying cell shape.

Double diffusive magneto-convection fluid flow in a strong cross magnetic field with uniform surface heat and mass flux

In this study, magnetohydrodynamic natural convection boundary layer flow of an electrically conducting and viscous incompressible fluid along a heated vertical flat plate with uniform heat and mass flux in the presence of strong cross magnetic field has been investigated. For smooth integrations the boundary layer equations are transformed in to a convenient dimensionless form by using stream function formulation as well as the free variable formulation. The nonsimilar parabolic partial differential equations are integrated numerically for Pr ≪1 that is appropriate for liquid metals against the local Hartmann parameter ξ . Further, asymptotic solutions are obtained near the leading edge using regular perturbation method for smaller values of ξ . Solutions for values of ξ ≫ 1 are also obtained by employing the matched asymptotic technique. The results obtained for small, large and all ξ regimes are examined in terms of shear stress, τw, rate of heat transfer, qw, and rate of mass transfer, mw, for important physical parameter. Attention has been given to the influence of Schmidt number, Sc, buoyancy ratio parameter, N and local Hartmann parameter, ξ on velocity, temperature and concentration distributions and noted that velocity and temperature of the fluid achieve their asymptotic profiles for Sc ≥ 10:0.

A boundary preserving numerical algorithm for the Wright-Fisher model with mutation

The Wright-Fisher model is an Itô stochastic differential equation that was originally introduced to model genetic drift within finite populations and has recently been used as an approximation to ion channel dynamics within cardiac and neuronal cells. While analytic solutions to this equation remain within the interval [0,1], current numerical methods are unable to preserve such boundaries in the approximation. We present a new numerical method that guarantees approximations to a form of Wright-Fisher model, which includes mutation, remain within [0,1] for all time with probability one. Strong convergence of the method is proved and numerical experiments suggest that this new scheme converges with strong order 1/2. Extending this method to a multidimensional case, numerical tests suggest that the algorithm still converges strongly with order 1/2. Finally, numerical solutions obtained using this new method are compared to those obtained using the Euler-Maruyama method where the Wiener increment is resampled to ensure solutions remain within [0,1].