40 resultados para stochastic local volatility model leverage surface Dupire formula for local volatility Gyöngy theorem nonlinear partial integro-differential Kolmogorov equation finite difference method

em QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast


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The motion of a clarinet reed that is clamped to a mouthpiece and supported by a lip is simulated in the time-domain using finite difference methods. The reed is modelled as a bar with non-uniform cross section, and is described using a one-dimensional, fourth-order partial differential equation. The interactions with the mouthpiece Jay and the player's lip are taken into account by incorporating conditional contact forces in the bar equation. The model is completed by clamped-free boundary conditions for the reed. An implicit finite difference method is used for discretising the system, and values for the physical parameters are chosen both from laboratory measurements and by accurate tuning of the numerical simulations. The accuracy of the numerical system is assessed through analysis of frequency warping effects and of resonance estimation. Finally, the mechanical properties of the system are studied by analysing its response to external driving forces. In particular, the effects of reed curling are investigated.

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We consider the local order estimation of nonlinear autoregressive systems with exogenous inputs (NARX), which may have different local dimensions at different points. By minimizing the kernel-based local information criterion introduced in this paper, the strongly consistent estimates for the local orders of the NARX system at points of interest are obtained. The modification of the criterion and a simple procedure of searching the minimum of the criterion, are also discussed. The theoretical results derived here are tested by simulation examples.

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Mounting accuracy of satellite payload and ADCS (attitude determination and control subsystem) seats is one of the requirements to achieve the satellite mission with acceptable performance. Components of mounting inaccuracy are technological inaccuracies, residual plastic deformations after loading (during transportation and orbital insertion), elastic deformations, and thermal deformations during orbital operation. This paper focuses on estimation of thermal deformations of satellite structure. Thermal analysis is executed by applying finite-difference method (IDEAS) and temperature profile for satellite components case is evaluated. Then, Perform thermal finite-element analysis applying the finite-difference model results as boundary conditions; and calculate the resultant thermal strain. Next, applying the resultant thermal strain, perform finite-element structure analysis to evaluate structure deformations at the payload and ADCS equipments seats.

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This work analyzes the relationship between large food webs describing potential feeding relations between species and smaller sub-webs thereof describing relations actually realized in local communities of various sizes. Special attention is given to the relationships between patterns of phylogenetic correlations encountered in large webs and sub-webs. Based on the current theory of food-web topology as implemented in the matching model, it is shown that food webs are scale invariant in the following sense: given a large web described by the model, a smaller, randomly sampled sub-web thereof is described by the model as well. A stochastic analysis of model steady states reveals that such a change in scale goes along with a re-normalization of model parameters. Explicit formulae for the renormalized parameters are derived. Thus, the topology of food webs at all scales follows the same patterns, and these can be revealed by data and models referring to the local scale alone. As a by-product of the theory, a fast algorithm is derived which yields sample food webs from the exact steady state of the matching model for a high-dimensional trophic niche space in finite time. (C) 2008 Elsevier B.V. All rights reserved.

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We study the predictability of a theoretical model for earthquakes, using a pattern recognition algorithm similar to the CN and M8 algorithms known in seismology. The model, which is a stochastic spring-block model with both global correlation and local interaction, becomes more predictable as the strength of the global correlation or the local interaction is increased.

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This paper describes the development of a two-dimensional transient catalyst model. Although designed primarily for two-stroke direct injection engines, the model is also applicable to four-stroke lean burn and diesel applications. The first section describes the geometries, properties and chemical processes simulated by the model and discusses the limitations and assumptions applied. A review of the modeling techniques adopted by other researchers is also included. The mathematical relationships which are used to represent the system are then described, together with the finite volume method used in the computer program. The need for a two-dimensional approach is explained and the methods used to model effects such as flow and temperature distribution are presented. The problems associated with developing surface reaction rates are discussed in detail and compared with published research. Validation and calibration of the model is achieved by comparing predictions with measurements from a flow reactor. While an extensive validation process, involving detailed measurements of gas composition and thermal gradients, has been completed, the analysis is too detailed for publication here and is the subject of a separate technical paper.

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A new method for modeling-frequency-dependent boundaries in finite-difference time-domain (FDTD) and Kirchhoff variable digital waveguide mesh (K-DWM) room acoustics simulations is presented. The proposed approach allows the direct incorporation of a digital impedance filter (DIF) in the Multidimensional (2D or 3D) FDTD boundary model of a locally reacting surface. An explicit boundary update equation is obtained by carefully constructing a Suitable recursive formulation. The method is analyzed in terms of pressure wave reflectance for different wall impedance filters and angles of incidence. Results obtained from numerical experiments confirm the high accuracy of the proposed digital impedance filter boundary model, the reflectance of which matches locally reacting surface (LRS) theory closely. Furthermore a numerical boundary analysis (NBA) formula is provided as a technique for an analytic evaluation of the numerical reflectance of the proposed digital impedance filter boundary formulation.

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The structures of liquid water and isopropanol have been studied as a function of the size of a hydrophobic patch present in a model hydrophilic surface via molecular dynamics simulations. A significant anisotropy extending into the first few solvent layers is found over the patch which suggests implications for many real-world systems in which nanoscale heterogeneity is found.

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Motivation: We study a stochastic method for approximating the set of local minima in partial RNA folding landscapes associated with a bounded-distance neighbourhood of folding conformations. The conformations are limited to RNA secondary structures without pseudoknots. The method aims at exploring partial energy landscapes pL induced by folding simulations and their underlying neighbourhood relations. It combines an approximation of the number of local optima devised by Garnier and Kallel (2002) with a run-time estimation for identifying sets of local optima established by Reeves and Eremeev (2004).

Results: The method is tested on nine sequences of length between 50 nt and 400 nt, which allows us to compare the results with data generated by RNAsubopt and subsequent barrier tree calculations. On the nine sequences, the method captures on average 92% of local minima with settings designed for a target of 95%. The run-time of the heuristic can be estimated by O(n2D?ln?), where n is the sequence length, ? is the number of local minima in the partial landscape pL under consideration and D is the maximum number of steepest descent steps in attraction basins associated with pL.

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The excitation of surface plasmon-polariton (SPP) waveguide modes in subwavelength dielectric ridges deposited on a thin gold film has been characterized and optimized at telecommunication wavelengths. The experimental data on the electromagnetic mode structure obtained using scanning near-field optical microscopy have been directly compared to full vectorial three-dimensional finite element method simulations. Two excitation geometries have been investigated where SPPs are excited outside or inside the dielectric tapered region adjoint to the waveguide. The dependence of the efficiency of the SPP guided mode excitation on the taper opening angle has been measured and modeled. Single-mode guiding and strong lateral mode confinement of dielectric-loaded SPP waveguide modes have been characterized with the near-field measurements and compared to the effective-index method model.

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Hard turning (HT) is a material removal process employing a combination of a single point cutting tool and high speeds to machine hard ferrous alloys which exhibit hardness values over 45 HRC. In this paper, a surface defect machining (SDM) method for HT is proposed which harnesses the combined advantages of porosity machining and pulsed laser pre-treatment processing. From previous experimental work, this was shown to provide better controllability of the process and improved quality of the machined surface. While the experiments showed promising results, a comprehensive understanding of this new technique could only be achieved through a rigorous, in depth theoretical analysis. Therefore, an assessment of the SDM technique was carried out using both finite element method (FEM) and molecular dynamics (MD) simulations.
FEM modelling was used to compare the conventional HT of AISI 4340 steel (52 HRC) using an Al2O3 insert with the proposed SDM method. The simulations showed very good agreement with the previously published experimental results. Compared to conventional HT, SDM provided favourable machining outcomes, such as reduced shear plane angle, reduced average cutting forces, improved surface roughness, lower residual stresses on the machined surface, reduced tool–chip interface contact length and increased chip flow velocity. Furthermore, a scientific explanation of the improved surface finish was revealed using a state-of-the-art MD simulation model which suggested that during SDM, a combination of both the cutting action and rough polishing action help improve the machined surface finish.

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We present a novel method for the light-curve characterization of Pan-STARRS1 Medium Deep Survey (PS1 MDS) extragalactic sources into stochastic variables (SVs) and burst-like (BL) transients, using multi-band image-differencing time-series data. We select detections in difference images associated with galaxy hosts using a star/galaxy catalog extracted from the deep PS1 MDS stacked images, and adopt a maximum a posteriori formulation to model their difference-flux time-series in four Pan-STARRS1 photometric bands gP1, rP1, iP1, and zP1. We use three deterministic light-curve models to fit BL transients; a Gaussian, a Gamma distribution, and an analytic supernova (SN) model, and one stochastic light-curve model, the Ornstein-Uhlenbeck process, in order to fit variability that is characteristic of active galactic nuclei (AGNs). We assess the quality of fit of the models band-wise and source-wise, using their estimated leave-out-one cross-validation likelihoods and corrected Akaike information criteria. We then apply a K-means clustering algorithm on these statistics, to determine the source classification in each band. The final source classification is derived as a combination of the individual filter classifications, resulting in two measures of classification quality, from the averages across the photometric filters of (1) the classifications determined from the closest K-means cluster centers, and (2) the square distances from the clustering centers in the K-means clustering spaces. For a verification set of AGNs and SNe, we show that SV and BL occupy distinct regions in the plane constituted by these measures. We use our clustering method to characterize 4361 extragalactic image difference detected sources, in the first 2.5 yr of the PS1 MDS, into 1529 BL, and 2262 SV, with a purity of 95.00% for AGNs, and 90.97% for SN based on our verification sets. We combine our light-curve classifications with their nuclear or off-nuclear host galaxy offsets, to define a robust photometric sample of 1233 AGNs and 812 SNe. With these two samples, we characterize their variability and host galaxy properties, and identify simple photometric priors that would enable their real-time identification in future wide-field synoptic surveys.

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The goal of this work is to present an efficient CAD-based adjoint process chain for calculating parametric sensitivities (derivatives of the objective function with respect to the CAD parameters) in timescales acceptable for industrial design processes. The idea is based on linking parametric design velocities (geometric sensitivities computed from the CAD model) with adjoint surface sensitivities. A CAD-based design velocity computation method has been implemented based on distances between discrete representations of perturbed geometries. This approach differs from other methods due to the fact that it works with existing commercial CAD packages (unlike most analytical approaches) and it can cope with the changes in CAD model topology and face labeling. Use of the proposed method allows computation of parametric sensitivities using adjoint data at a computational cost which scales with the number of objective functions being considered, while it is essentially independent of the number of design variables. The gradient computation is demonstrated on test cases for a Nozzle Guide Vane (NGV) model and a Turbine Rotor Blade model. The results are validated against finite difference values and good agreement is shown. This gradient information can be passed to an optimization algorithm, which will use it to update the CAD model parameters.

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The design of a low loss quasi-optical beam splitter which is required to provide efficient diplexing of the bands 316.5-325.5 GHz and 349.5-358.5 GHz is presented. To minimise the filter insertion loss, the chosen architecture is a three-layer freestanding array of dipole slot elements. Floquet modal analysis and finite element method computer models are used to establish the geometry of the periodic structure and to predict its spectral response. Two different micromachining approaches have been employed to fabricate close packed arrays of 460 mm long elements in the screens that form the basic building block of the 30mm diameter multilayer frequency selective surface. Comparisons between simulated and measured transmission coefficients for the individual dichroic surfaces are used to determine the accuracy of the computer models and to confirm the suitability of the fabrication methods.