Numerical solutions of stochastic differential equations – implementation and stability issues

Stochastic differential equations (SDEs) arise fi om physical systems where the parameters describing the system can only be estimated or are subject to noise. There has been much work done recently on developing numerical methods for solving SDEs. This paper will focus on stability issues and variable stepsize implementation techniques for numerically solving SDEs effectively.

A variable stepsize implementation for stochastic differential equations

Stochastic differential equations (SDEs) arise from physical systems where the parameters describing the system can only be estimated or are subject to noise. Much work has been done recently on developing higher order Runge-Kutta methods for solving SDEs numerically. Fixed stepsize implementations of numerical methods have limitations when, for example, the SDE being solved is stiff as this forces the stepsize to be very small. This paper presents a completely general variable stepsize implementation of an embedded Runge Kutta pair for solving SDEs numerically; in this implementation, there is no restriction on the value used for the stepsize, and it is demonstrated that the integration remains on the correct Brownian path.

Adams-Type Methods for the Numerical Solution of Stochastic Ordinary Differential Equations

Stochastic differential equations (SDEs) arise fi om physical systems where the parameters describing the system can only be estimated or are subject to noise. There has been much work done recently on developing numerical methods for solving SDEs. This paper will focus on stability issues and variable stepsize implementation techniques for numerically solving SDEs effectively. (C) 2000 Elsevier Science B.V. All rights reserved.

A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations

In Burrage and Burrage [1] it was shown that by introducing a very general formulation for stochastic Runge-Kutta methods, the previous strong order barrier of order one could be broken without having to use higher derivative terms. In particular, methods of strong order 1.5 were developed in which a Stratonovich integral of order one and one of order two were present in the formulation. In this present paper, general order results are proven about the maximum attainable strong order of these stochastic Runge-Kutta methods (SRKs) in terms of the order of the Stratonovich integrals appearing in the Runge-Kutta formulation. In particular, it will be shown that if an s-stage SRK contains Stratonovich integrals up to order p then the strong order of the SRK cannot exceed min{(p + 1)/2, (s - 1)/2), p greater than or equal to 2, s greater than or equal to 3 or 1 if p = 1.

Efficient solution of multiple cracks in great number using eigen COD boundary integral equations with iteration procedure

A newly developed computational approach is proposed in the paper for the analysis of multiple crack problems based on the eigen crack opening displacement (COD) boundary integral equations. The eigen COD particularly refers to a crack in an infinite domain under fictitious traction acting on the crack surface. With the concept of eigen COD, the multiple cracks in great number can be solved by using the conventional displacement discontinuity boundary integral equations in an iterative fashion with a small size of system matrix to determine all the unknown CODs step by step. To deal with the interactions among cracks for multiple crack problems, all cracks in the problem are divided into two groups, namely the adjacent group and the far-field group, according to the distance to the current crack in consideration. The adjacent group contains cracks with relatively small distances but strong effects to the current crack, while the others, the cracks of far-field group are composed of those with relatively large distances. Correspondingly, the eigen COD of the current crack is computed in two parts. The first part is computed by using the fictitious tractions of adjacent cracks via the local Eshelby matrix derived from the traction boundary integral equations in discretized form, while the second part is computed by using those of far-field cracks so that the high computational efficiency can be achieved in the proposed approach. The numerical results of the proposed approach are compared not only with those using the dual boundary integral equations (D-BIE) and the BIE with numerical Green's functions (NGF) but also with those of the analytical solutions in literature. The effectiveness and the efficiency of the proposed approach is verified. Numerical examples are provided for the stress intensity factors of cracks, up to several thousands in number, in both the finite and infinite plates.

Efficient solution of two-sided nonlinear space-fractional diffusion equations using fast Poisson preconditioners

We develop a fast Poisson preconditioner for the efficient numerical solution of a class of two-sided nonlinear space fractional diffusion equations in one and two dimensions using the method of lines. Using the shifted Gr¨unwald finite difference formulas to approximate the two-sided(i.e. the left and right Riemann-Liouville) fractional derivatives, the resulting semi-discrete nonlinear systems have dense Jacobian matrices owing to the non-local property of fractional derivatives. We employ a modern initial value problem solver utilising backward differentiation formulas and Jacobian-free Newton-Krylov methods to solve these systems. For efficient performance of the Jacobianfree Newton-Krylov method it is essential to apply an effective preconditioner to accelerate the convergence of the linear iterative solver. The key contribution of our work is to generalise the fast Poisson preconditioner, widely used for integer-order diffusion equations, so that it applies to the two-sided space fractional diffusion equation. A number of numerical experiments are presented to demonstrate the effectiveness of the preconditioner and the overall solution strategy.

A preconditioned Lanczos method for space-fractional reaction-diffusion equations on two-dimensional unstructured meshes

We consider a two-dimensional space-fractional reaction diffusion equation with a fractional Laplacian operator and homogeneous Neumann boundary conditions. The finite volume method is used with the matrix transfer technique of Ilić et al. (2006) to discretise in space, yielding a system of equations that requires the action of a matrix function to solve at each timestep. Rather than form this matrix function explicitly, we use Krylov subspace techniques to approximate the action of this matrix function. Specifically, we apply the Lanczos method, after a suitable transformation of the problem to recover symmetry. To improve the convergence of this method, we utilise a preconditioner that deflates the smallest eigenvalues from the spectrum. We demonstrate the efficiency of our approach for a fractional Fisher’s equation on the unit disk.

Early adolescents’ helping behaviours when a friend is injured in a fight : the role of an extended Theory of Planned Behavior

This paper examines the role of first aid training in increasing adolescent helping behaviours when taught in a school-based injury prevention program, Skills for Preventing Injury in Youth (SPIY). The research involved the development and application of an extended Theory of Planned Behaviour (TPB), including “behavioural willingness in a fight situation,” “first aid knowledge” and “perceptions of injury seriousness”, to predict the relationship between participation in SPIY and helping behaviours when a friend is injured in a fight. From 35 Queensland high schools, 2500 Year 9 students (mean age = 13.5, 40% male) completed surveys measuring their attitudes, perceived behavioural control, subjective norms and behavioural intention, from the TPB, and added measures of behavioural willingness in a fight situation, perceptions of injury seriousness and first aid knowledge, to predict helping behaviours when a friend is injured in a fight. It is expected that the TPB will significantly contribute to understanding the relationship between participation in SPIY and helping behaviours when a friend is injured in a fight. Further analyses will determine whether the extension of the model significantly increases the variance explained in helping behaviours. The findings of this research will provide insight into the critical factors that may increase adolescent bystanders’ actions in injury situations.

Exploring the validity and predictive power of an extended volunteer functions inventory within the context of episodic skilled volunteering by retirees

The current study examined the structure of the volunteer functions inventory within a sample of older individuals (N = 187). The career items were replaced with items examining the concept of continuity of work, a potentially more useful and relevant concept for this population. Factor analysis supported a four factor solution, with values, social and continuity emerging as single factors and enhancement and protective items loading together on a single factor. Understanding items did not load highly on any factor. The values and continuity functions were the only dimensions to emerge as predictors of intention to volunteer. This research has important implications for understanding the motivation of older adults to engage in contemporary volunteering settings.

Numerical solution of an optimal control model of dendritic cell treatment of a growing tumour

A new optimal control model of the interactions between a growing tumour and the host immune system along with an immunotherapy treatment strategy is presented. The model is based on an ordinary differential equation model of interactions between the growing tu- mour and the natural killer, cytotoxic T lymphocyte and dendritic cells of the host immune system, extended through the addition of a control function representing the application of a dendritic cell treat- ment to the system. The numerical solution of this model, obtained from a multi species Runge–Kutta forward-backward sweep scheme, is described. We investigate the effects of varying the maximum al- lowed amount of dendritic cell vaccine administered to the system and find that control of the tumour cell population is best effected via a high initial vaccine level, followed by reduced treatment and finally cessation of treatment. We also found that increasing the strength of the dendritic cell vaccine causes an increase in the number of natural killer cells and lymphocytes, which in turn reduces the growth of the tumour.

Multicomponent charge transport in electrolyte solutions

The work presented in this thesis investigates the mathematical modelling of charge transport in electrolyte solutions, within the nanoporous structures of electrochemical devices. We compare two approaches found in the literature, by developing onedimensional transport models based on the Nernst-Planck and Maxwell-Stefan equations. The development of the Nernst-Planck equations relies on the assumption that the solution is infinitely dilute. However, this is typically not the case for the electrolyte solutions found within electrochemical devices. Furthermore, ionic concentrations much higher than those of the bulk concentrations can be obtained near the electrode/electrolyte interfaces due to the development of an electric double layer. Hence, multicomponent interactions which are neglected by the Nernst-Planck equations may become important. The Maxwell-Stefan equations account for these multicomponent interactions, and thus they should provide a more accurate representation of transport in electrolyte solutions. To allow for the effects of the electric double layer in both the Nernst-Planck and Maxwell-Stefan equations, we do not assume local electroneutrality in the solution. Instead, we model the electrostatic potential as a continuously varying function, by way of Poisson’s equation. Importantly, we show that for a ternary electrolyte solution at high interfacial concentrations, the Maxwell-Stefan equations predict behaviour that is not recovered from the Nernst-Planck equations. The main difficulty in the application of the Maxwell-Stefan equations to charge transport in electrolyte solutions is knowledge of the transport parameters. In this work, we apply molecular dynamics simulations to obtain the required diffusivities, and thus we are able to incorporate microscopic behaviour into a continuum scale model. This is important due to the small size scales we are concerned with, as we are still able to retain the computational efficiency of continuum modelling. This approach provides an avenue by which the microscopic behaviour may ultimately be incorporated into a full device-scale model. The one-dimensional Maxwell-Stefan model is extended to two dimensions, representing an important first step for developing a fully-coupled interfacial charge transport model for electrochemical devices. It allows us to begin investigation into ambipolar diffusion effects, where the motion of the ions in the electrolyte is affected by the transport of electrons in the electrode. As we do not consider modelling in the solid phase in this work, this is simulated by applying a time-varying potential to one interface of our two-dimensional computational domain, thus allowing a flow field to develop in the electrolyte. Our model facilitates the observation of the transport of ions near the electrode/electrolyte interface. For the simulations considered in this work, we show that while there is some motion in the direction parallel to the interface, the interfacial coupling is not sufficient for the ions in solution to be "dragged" along the interface for long distances.

Social influences and the physical activity intentions of parents of young-children families: An extended Theory of Planned Behavior Approach

Evidence within Australia and internationally suggests parenthood as a risk factor for inactivity; however, research into understanding parental physical activity is scarce. Given that active parents can create active families and social factors are important for parents’ decision making, the authors investigated a range of social influences on parents’ intentions to be physically active. Parents (N = 580; 288 mothers and 292 fathers) of children younger than 5 years completed an extended Theory of Planned Behavior questionnaire either online or paper based. For both genders, attitude, control factors, group norms, friend general support, and an active parent identity predicted intentions, with social pressure and family support further predicting mothers’ intentions and active others further predicting fathers’ intentions. Attention to these factors and those specific to the genders may improve parents’ intentions to be physically active, thus maximizing the benefits to their own health and the healthy lifestyle practices for other family members.

Predicting the retention of first-time donors using an extended Theory of Planned Behavior

BACKGROUND: Donor retention is vital to blood collection agencies. Past research has highlighted the importance of early career behavior for long-term donor retention, yet research investigating the determinants of early donor behavior is scarce. Using an extended Theory of Planned Behavior (TPB), this study sought to identify the predictors of first-time blood donors' early career retention. STUDY DESIGN AND METHODS: First-time donors (n = 256) completed three surveys on blood donation. The standard TPB predictors and self-identity as a donor were assessed 3 weeks (Time 1) and at 4 months (Time 2) after an initial donation. Path analyses examined the utility of the extended TPB to predict redonation at 4 and 8 months after initial donation. RESULTS: The extended TPB provided a good fit to the data. Post-Time 1 and 2 behavior was consistently predicted by intention to redonate. Further, intention was predicted by attitudes, perceived control, and self-identity (Times 1 and 2). Donors' intentions to redonate at Time 1 were the strongest predictor of intention to donate at Time 2, while donors' behavior at Time 1 strengthened self-identity as a blood donor at Time 2. CONCLUSION: An extended TPB framework proved efficacious in revealing the determinants of first-time donor retention in an initial 8-month period. The results suggest that collection agencies should intervene to bolster donors' attitudes, perceived control, and identity as a donor during this crucial post–first donation period.

A simplified approach for calculating the moments of action for linear reaction-diffusion equations

The mean action time is the mean of a probability density function that can be interpreted as a critical time, which is a finite estimate of the time taken for the transient solution of a reaction-diffusion equation to effectively reach steady state. For high-variance distributions, the mean action time under-approximates the critical time since it neglects to account for the spread about the mean. We can improve our estimate of the critical time by calculating the higher moments of the probability density function, called the moments of action, which provide additional information regarding the spread about the mean. Existing methods for calculating the nth moment of action require the solution of n nonhomogeneous boundary value problems which can be difficult and tedious to solve exactly. Here we present a simplified approach using Laplace transforms which allows us to calculate the nth moment of action without solving this family of boundary value problems and also without solving for the transient solution of the underlying reaction-diffusion problem. We demonstrate the generality of our method by calculating exact expressions for the moments of action for three problems from the biophysics literature. While the first problem we consider can be solved using existing methods, the second problem, which is readily solved using our approach, is intractable using previous techniques. The third problem illustrates how the Laplace transform approach can be used to study coupled linear reaction-diffusion equations.

Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise

There has been considerable recent work on the development of energy conserving one-step methods that are not symplectic. Here we extend these ideas to stochastic Hamiltonian problems with additive noise and show that there are classes of Runge-Kutta methods that are very effective in preserving the expectation of the Hamiltonian, but care has to be taken in how the Wiener increments are sampled at each timestep. Some numerical simulations illustrate the performance of these methods.