Communication system model for information rate evaluation of differential detection over time-varying channels

A communication system model for mutual information performance analysis of multiple-symbol differential M-phase shift keying over time-correlated, time-varying flat-fading communication channels is developed. This model is a finite-state Markov (FSM) equivalent channel representing the cascade of the differential encoder, FSM channel model and differential decoder. A state-space approach is used to model channel phase time correlations. The equivalent model falls in a class that facilitates the use of the forward backward algorithm, enabling the important information theoretic results to be evaluated. Using such a model, one is able to calculate mutual information for differential detection over time-varying fading channels with an essentially finite time set of correlations, including the Clarke fading channel. Using the equivalent channel, it is proved and corroborated by simulations that multiple-symbol differential detection preserves the channel information capacity when the observation interval approaches infinity.

Multigrid for American option pricing with stochastic volatility

The paper describes an implicit finite difference approach to the pricing of American options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices and adaptive time-stepping.

Stochastic monotonicity and duality for continuous time Markov chains with general q-Matrix

The key problems in discussing stochastic monotonicity and duality for continuous time Markov chains are to give the criteria for existence and uniqueness and to construct the associated monotone processes in terms of their infinitesimal q -matrices. In their recent paper, Chen and Zhang [6] discussed these problems under the condition that the given q-matrix Q is conservative. The aim of this paper is to generalize their results to a more general case, i.e., the given q-matrix Q is not necessarily conservative. New problems arise 'in removing the conservative assumption. The existence and uniqueness criteria for this general case are given in this paper. Another important problem, the construction of all stochastically monotone Q-processes, is also considered.

An improved result of exponential stability of stochastic semilinear evolution equations

Sufficient conditions for the exponential stability of a class ofnonlinear, non-autonomous stochastic differential equations in infinitedimensions are studied. The analysis consists of introducing a suitableapproximating solution systems and using a limiting argument to pass onstability of strong solutions to mild ones. As a consequence, the classicalcriteriaof stability in A. Ichikawa [8] are improved and extended to cover a class ofnon-autonomous stochastic evolution equations.Two examples are investigated to illustrate our theory.

Coupled 3-D finite difference time domain and finite volume methods for solving microwave heating in porous media

Computational results for the microwave heating of a porous material are presented in this paper. Combined finite difference time domain and finite volume methods were used to solve equations that describe the electromagnetic field and heat and mass transfer in porous media. The coupling between the two schemes is through a change in dielectric properties which were assumed to be dependent both on temperature and moisture content. The model was able to reflect the evolution of temperature and moisture fields as the moisture in the porous medium evaporates. Moisture movement results from internal pressure gradients produced by the internal heating and phase change.

Moment decay rates of solutions of stochastic differential equations

The objective of this paper is to investigate the p-ίh moment asymptotic stability decay rates for certain finite-dimensional Itό stochastic differential equations. Motivated by some practical examples, the point of our analysis is a special consideration of general decay speeds, which contain as a special case the usual exponential or polynomial type one, to meet various situations. Sufficient conditions for stochastic differential equations (with variable delays or not) are obtained to ensure their asymptotic properties. Several examples are studied to illustrate our theory.

On information rates of time-varying fading channels modeled as finite-state Markov channels

We study information rates of time-varying flat-fading channels (FFC) modeled as finite-state Markov channels (FSMC). FSMCs have two main applications for FFCs: modeling channel error bursts and decoding at the receiver. Our main finding in the first application is that receiver observation noise can more adversely affect higher-order FSMCs than lower-order FSMCs, resulting in lower capacities. This is despite the fact that the underlying higher-order FFC and its corresponding FSMC are more predictable. Numerical analysis shows that at low to medium SNR conditions (SNR lsim 12 dB) and at medium to fast normalized fading rates (0.01 lsim fDT lsim 0.10), FSMC information rates are non-increasing functions of memory order. We conclude that BERs obtained by low-order FSMC modeling can provide optimistic results. To explain the capacity behavior, we present a methodology that enables analytical comparison of FSMC capacities with different memory orders. We establish sufficient conditions that predict higher/lower capacity of a reduced-order FSMC, compared to its original high-order FSMC counterpart. Finally, we investigate the achievable information rates in FSMC-based receivers for FFCs. We observe that high-order FSMC modeling at the receiver side results in a negligible information rate increase for normalized fading rates fDT lsim 0.01.

The parallel solution of early-exercise Asian options with stochastic volatility

This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.

Monotone scheme and boundary conditions for finite volume simulation of magnetohydrodynamic internal flows at high Hartmann number

A monotone scheme for finite volume simulation of magnetohydrodynamic internal flows at high Hartmann number is presented. The numerical stability is analysed with respect to the electromagnetic force. Standard central finite differences applied to finite volumes can only be numerically stable if the vector products involved in this force are computed with a scheme using a fully staggered grid. The electromagnetic quantities (electric currents and electric potential) must be shifted by half the grid size from the mechanical ones (velocity and pressure). An integral treatment of the boundary layers is used in conjunction with boundary conditions for electrically conducting walls. The simulations are performed with inhomogeneous electrical conductivities of the walls and reach high Hartmann numbers in three-dimensional simulations, even though a non-adaptive grid is used.

Viscoelastic flow through a planar contraction using a semi-Lagrangian finite volume method

A semi-Lagrangian finite volume scheme for solving viscoelastic flow problems is presented. A staggered grid arrangement is used in which the dependent variables are located at different mesh points in the computational domain. The convection terms in the momentum and constitutive equations are treated using a semi-Lagrangian approach in which particles on a regular grid are traced backwards over a single time-step. The method is applied to the 4 : 1 planar contraction problem for an Oldroyd B fluid for both creeping and inertial flow conditions. The development of vortex behaviour with increasing values of We is analyzed.

Buoyancy driven flow and its stability in a horizontal rectangular channel with an arbitrary oriented transversal magnetic field

An MHD flow is considered which is relevant to horizontal Bridgman technique for crystal growth from a melt. In the unidirectional parallel flow approximation an analytical solution is found accounting for the finite rectangular cross section of the channel in the case of a vertical magnetic field. Numerical pseudo-spectral solutions are used in the cases of arbitrary magnetic field and gravity vector orientations. The vertical magnetic field (parallel to the gravity) is found to be he most effective to damp the flow, however, complicated flow profiles with "overvelocities" in the comers are typical in the case of a finite cross-section channel. The temperature distribution is shown to be dependent on the flow profile. The linear stability of the flow is investigated by use of the Chebyshev pseudospectral method. For the case of an infinite width channel the transversal rolls instability is investigated, and for the finite cross-section channel the longitudinal rolls instability is considered. The critical Gr number values are computed in the dependence of the Ha number and the wave number or the aspect ratio in the case of finite section.

Stochastic comparability and dual q-functions

In this paper we discuss the relationship and characterization of stochastic comparability, duality, and Feller–Reuter–Riley transition functions which are closely linked with each other for continuous time Markov chains. A necessary and sufficient condition for two Feller minimal transition functions to be stochastically comparable is given in terms of their density q-matrices only. Moreover, a necessary and sufficient condition under which a transition function is a dual for some stochastically monotone q-function is given in terms of, again, its density q-matrix. Finally, for a class of q-matrices, the necessary and sufficient condition for a transition function to be a Feller–Reuter–Riley transition function is also given.

A finite volume unstructured mesh approach to dynamic fluid-structure interaction: an assessment of the challenge of flutter analysis

Computational modelling of dynamic fluid-structure interaction (DFSI) is problematical since conventionally computational fluid dynamics (CFD) is solved using finite volume (FV) methods and computational structural mechanics (CSM) is based entirely on finite element (FE) methods. Hence, progress in modelling the emerging multi-physics problem of dynamic fluid-structure interaction in a consistent manner is frustrated and significant problems in computation convergence may be encountered in transferring and filtering data from one mesh and solution procedure to another, unless the fluid-structure coupling is either one way, very weak or both. This paper sets out the solution procedure for modelling the multi-physics dynamic fluid-structure interaction problem within a single software framework PHYSICA, using finite volume, unstructured mesh (FV-UM) procedures and will focus upon some of the problems and issues that have to be resolved for time accurate closely coupled dynamic fluid-structure flutter analysis.

Dynamic solid mechanics using finite volume methods

A procedure for evaluating the dynamic structural response of elastic solid domains is presented. A prerequisite for the analysis of dynamic fluid–structure interaction is the use of a consistent set of finite volume (FV) methods on a single unstructured mesh. This paper describes a three-dimensional (3D) FV, vertex-based method for dynamic solid mechanics. A novel Newmark predictor–corrector implicit scheme was developed to provide time accurate solutions and the scheme was evaluated on a 3D cantilever problem. By employing a small amount of viscous damping, very accurate predictions of the fundamental natural frequency were obtained with respect to both the amplitude and period of oscillation. This scheme has been implemented into the multi-physics modelling software framework, PHYSICA, for later application to full dynamic fluid structure interaction.

Evaluation of distortions in laser welded shipbuilding parts using local-global finite element approach

In recognition of the differences of scale between the welding pool and the heat affected zone along the welding line on one hand, and the overall size of the components being welded on the other, a local-global finite element approach was developed for the evaluation of distortions in laser welded shipbuilding parts. The approach involves the tandem use of a 'local' and a 'global' step. The local step involves a three-dimensional finite element model for the simulation of the laser welding process using the Sysweld finite element code, which takes into account thermal, metallurgical, and mechanical aspects. The simulation of the laser welding process was performed using a non-linear heat transfer analysis, based on a keyhole formation model, and a coupled transient thermomechanical analysis, which takes into account metallurgical transformations using the temperature dependent material properties and the continuous cooling transformation diagram. The size and shape of the keyhole used in the local finite element analysis was evaluated using a keyhole formation model and the Physica finite volume code. The global step involves the transfer of residual plastic strains and the stiffness of the weld obtained from the local model to the global analysis, which then provides the predicted distortions for the whole part. This newly developed methodology was applied to the evaluation of global distortions due to laser welding of stiffeners on a shipbuilding part. The approach has been proved reliable in comparison with experiments and of practical industrial use in terms of computing time and storage.