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


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A finite-difference time-domain (FDTD) thermal model has been developed to compute the temperature elevation in the Sprague Dawley rat due to electromagnetic energy deposition in high-field magnetic resonance imaging (MRI). The field strengths examined ranged from 11.75-23.5 T (corresponding to H-1 resonances of 0.5-1 GHz) and an N-stub birdcage resonator was used to both transmit radio-frequency energy and receive the MRI signals. With an in-plane resolution of 1.95 mm, the inhomogeneous rat phantom forms a segmented model of 12 different tissue types, each having its electrical and thermal parameters assigned. The steady-state temperature distribution was calculated using a Pennes 'bioheat' approach. The numerical algorithm used to calculate the induced temperature distribution has been successfully validated against analytical solutions in the form of simplified spherical models with electrical and thermal properties of rat muscle. As well as assisting with the design of MRI experiments and apparatus, the numerical procedures developed in this study could help in future research and design of tumour-treating hyperthermia applicators to be used on rats in vivo.

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The long-term biostability of a novel thermoplastic polyurethane elastomer (Elast-Eon(TM) 2 80A) synthesized using poly(hexamethylene oxide) (PHMO) and poly(dimethylsiloxane) (PDMS) macrodiols has been studied using an in vivo ovine model. The material's biostability was compared with that of three commercially available control materials, Pellethane(R) 2363-80A, Pellethane(R) 2363-55D and Bionate(R) 55D, after subcutaneous implantation of strained compression moulded flat sheet dumbbells in sheep for periods ranging from 3 to 24 months. Scanning electron microscopy, attenuated total reflectance-Fourier transform infrared spectroscopy, and X-ray photoelectron spectroscopy were used to assess changes in the surface chemical structure and morphology of the materials. Gel permeation chromatography, differential scanning calorimetry and tensile testing were used to examine changes in bulk characteristics of the materials. The results showed that the biostability of the soft flexible PDMS-based test polyurethane was significantly better than the control material of similar softness, Pellethane(R) 80A, and as good as or better than both of the harder commercially available negative control polyurethanes. Pellethane(R) 55D and Bionate(R) 55D. Changes observed in the surface of the Pellethane(R) materials were consistent with oxidation of the aliphatic polyether soft segment and hydrolysis of the urethane bonds joining hard to soft segment with degradation in Pellethane(R) 80A significantly more severe than that observed in Pellethane(R) 55D. Very minor changes were seen on the surfaces of the Elast-Eon(TM) 2 80A and Bionate(R) 55D materials. There was a general trend of molecular weight decreasing with time across all polymers and the molecular weights of all materials decreased at a similar relative rate. The polydispersity ratio, M-w/M-n, increased with time for all materials. Tensile tests indicated that UTS increased in Elast-Eon(TM) 2 80A and Bionate(R) 55D following implantation under strained conditions. However, ultimate strain decreased and elastic modulus increased in the explanted specimens of all three materials when compared with their unimplanted unstrained counterparts. The results indicate that a soft, flexible PDMS-based polyurethane synthesized using 20% PHMO and 80% PDMS macrodiols has excellent long-term biostability compared with commercially available polyurethanes. (C) 2004 Elsevier Ltd. All rights reserved.

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The influence of three dimensional effects on isochromatic birefringence is evaluated for planar flows by means of numerical simulation. Two fluid models are investigated in channel and abrupt contraction geometries. In practice, the flows are confined by viewing windows, which alter the stresses along the optical path. The observed optical properties differ therefore from their counterpart in an ideal two-dimensional flow. To investigate the influence of these effects, the stress optical rule and the differential propagation Mueller matrix are used. The material parameters are selected so that a retardation of multiple orders is achieved, as is typical for highly birefringent melts. Errors due to three dimensional effects are mainly found on the symmetry plane, and increase significantly with the flow rate. Increasing the geometric aspect ratio improve the accuracy provided that the error on the retardation is less than one order. (C) 2004 Elsevier B.V. All rights reserved.

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Distortional buckling, unlike the usual lateral-torsional buckling in which the cross-section remains rigid in its own plane, involves distortion of web in the cross-section. This type of buckling typically occurs in beams with slender web and stocky flanges. Most of the published studies assume the web to deform with a cubic shape function. As this assumption may limit the accuracy of the results, a fifth order polynomial is chosen here for the web displacements. The general line-type finite element model used here has two nodes and a maximum of twelve degrees of freedom per node. The model not only can predict the correct coupled mode but also is capable of handling the local buckling of the web.

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Observations of horizontal and vertical variations in piezometric head in a homogeneous, laboratory aquifer are presented and discussed. The observed fluctuations are induced by a simple harmonic oscillation in the clear water reservoir acting across a sloping boundary. The data qualitatively supports existing theories in that higher harmonics are generated in the active forcing zone and that a significant increase in the inland, asymptotic watertable over height (relative to that found for the vertical boundary case) is observed. The observed overheight is shown to be accurately reproduced by existing small-amplitude perturbation theory. Detailed measurements in the vicinity of the sloping boundary reveal that the signal of generated higher harmonics is strongest near the sand surface and that vertical flows are significant in this region. The aquifer is of finite-depth and is influenced by capillary effects, the experimental data therefore exposes limitations of theories which are based on the assumption of a shallow aquifer free of capillary effects. The dispersive properties of the measured pressure wave in the aquifer are comparable to those found from field observations and likewise do not agree with those predicted by the capillary free, shallow aquifer theory. Although some improvement is obtained, discrepancies between the data and theory persist even when a finite-depth aquifer and capillary effects are considered in the theoretical model. Further sand column experiments eliminate a truncated capillary fringe as a possible contributor to these discrepancies. However, the neglect of horizontal flows in the fringe may have caused the discrepancies. (C) 2004 Elsevier Ltd. All rights reserved.

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Density functional theory (DFT) is a powerful approach to electronic structure calculations in extended systems, but suffers currently from inadequate incorporation of long-range dispersion, or Van der Waals (VdW) interactions. VdW-corrected DFT is tested for interactions involving molecular hydrogen, graphite, single-walled carbon nanotubes (SWCNTs), and SWCNT bundles. The energy correction, based on an empirical London dispersion term with a damping function at short range, allows a reasonable physisorption energy and equilibrium distance to be obtained for H-2 on a model graphite surface. The VdW-corrected DFT calculation for an (8, 8) nanotube bundle reproduces accurately the experimental lattice constant. For H-2 inside or outside an (8, 8) SWCNT, we find the binding energies are respectively higher and lower than that on a graphite surface, correctly predicting the well known curvature effect. We conclude that the VdW correction is a very effective method for implementing DFT calculations, allowing a reliable description of both short-range chemical bonding and long-range dispersive interactions. The method will find powerful applications in areas of SWCNT research where empirical potential functions either have not been developed, or do not capture the necessary range of both dispersion and bonding interactions.

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A modified UNIQUAC model has been extended to describe and predict the equilibrium relative humidity and moisture content for wood. The method is validated over a range of moisture content from oven-dried state to fiber saturation point, and over a temperature range of 20-70 degrees C. Adjustable parameters and binary interaction parameters of the UNIQUAC model were estimated from experimental data for Caribbean pine and Hoop pine as well as data available in the literature. The two group-interaction parameters for the wood-moisture system were consistent with using function group contributions for H2O, -OH and -CHO. The result reconfirms that the main contributors to water adsorption in cell walls are the hydroxyl groups of the carbohydrates in cellulose and hemicelluloses. This provides some physical insight into the intermolecular force and energy between bound water and the wood material. (c) 2006 Elsevier Ltd. All rights reserved.

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Brugada syndrome (BS) is a genetic disease identified by an abnormal electrocardiogram ( ECG) ( mainly abnormal ECGs associated with right bundle branch block and ST-elevation in right precordial leads). BS can lead to increased risk of sudden cardiac death. Experimental studies on human ventricular myocardium with BS have been limited due to difficulties in obtaining data. Thus, the use of computer simulation is an important alternative. Most previous BS simulations were based on animal heart cell models. However, due to species differences, the use of human heart cell models, especially a model with three-dimensional whole-heart anatomical structure, is needed. In this study, we developed a model of the human ventricular action potential (AP) based on refining the ten Tusscher et al (2004 Am. J. Physiol. Heart Circ. Physiol. 286 H1573 - 89) model to incorporate newly available experimental data of some major ionic currents of human ventricular myocytes. These modified channels include the L-type calcium current (ICaL), fast sodium current (I-Na), transient outward potassium current (I-to), rapidly and slowly delayed rectifier potassium currents (I-Kr and I-Ks) and inward rectifier potassium current (I-Ki). Transmural heterogeneity of APs for epicardial, endocardial and mid-myocardial (M) cells was simulated by varying the maximum conductance of IKs and Ito. The modified AP models were then used to simulate the effects of BS on cellular AP and body surface potentials using a three-dimensional dynamic heart - torso model. Our main findings are as follows. (1) BS has little effect on the AP of endocardial or mid-myocardial cells, but has a large impact on the AP of epicardial cells. (2) A likely region of BS with abnormal cell AP is near the right ventricular outflow track, and the resulting ST-segment elevation is located in the median precordium area. These simulation results are consistent with experimental findings reported in the literature. The model can reproduce a variety of electrophysiological behaviors and provides a good basis for understanding the genesis of abnormal ECG under the condition of BS disease.

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We describe methods for estimating the parameters of Markovian population processes in continuous time, thus increasing their utility in modelling real biological systems. A general approach, applicable to any finite-state continuous-time Markovian model, is presented, and this is specialised to a computationally more efficient method applicable to a class of models called density-dependent Markov population processes. We illustrate the versatility of both approaches by estimating the parameters of the stochastic SIS logistic model from simulated data. This model is also fitted to data from a population of Bay checkerspot butterfly (Euphydryas editha bayensis), allowing us to assess the viability of this population. (c) 2006 Elsevier Inc. All rights reserved.

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We present the first characterization of the mechanical properties of lysozyme films formed by self-assembly at the air-water interface using the Cambridge interfacial tensiometer (CIT), an apparatus capable of subjecting protein films to a much higher level of extensional strain than traditional dilatational techniques. CIT analysis, which is insensitive to surface pressure, provides a direct measure of the extensional stress-strain behavior of an interfacial film without the need to assume a mechanical model (e.g., viscoelastic), and without requiring difficult-to-test assumptions regarding low-strain material linearity. This testing method has revealed that the bulk solution pH from which assembly of an interfacial lysozyme film occurs influences the mechanical properties of the film more significantly than is suggested by the observed differences in elastic moduli or surface pressure. We have also identified a previously undescribed pH dependency in the effect of solution ionic strength on the mechanical strength of the lysozyme films formed at the air-water interface. Increasing solution ionic strength was found to increase lysozyme film strength when assembly occurred at pH 7, but it caused a decrease in film strength at pH 11, close to the pI of lysozyme. This result is discussed in terms of the significant contribution made to protein film strength by both electrostatic interactions and the hydrophobic effect. Washout experiments to remove protein from the bulk phase have shown that a small percentage of the interfacially adsorbed lysozyme molecules are reversibly adsorbed. Finally, the washout tests have probed the role played by additional adsorption to the fresh interface formed by the application of a large strain to the lysozyme film and have suggested the movement of reversibly bound lysozyme molecules from a subinterfacial layer to the interface.

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To foster ongoing international cooperation beyond ACES (APEC Cooperation for Earthquake Simulation) on the simulation of solid earth phenomena, agreement was reached to work towards establishment of a frontier international research institute for simulating the solid earth: iSERVO = International Solid Earth Research Virtual Observatory institute (http://www.iservo.edu.au). This paper outlines a key Australian contribution towards the iSERVO institute seed project, this is the construction of: (1) a typical intraplate fault system model using practical fault system data of South Australia (i.e., SA interacting fault model), which includes data management and editing, geometrical modeling and mesh generation; and (2) a finite-element based software tool, which is built on our long-term and ongoing effort to develop the R-minimum strategy based finite-element computational algorithm and software tool for modelling three-dimensional nonlinear frictional contact behavior between multiple deformable bodies with the arbitrarily-shaped contact element strategy. A numerical simulation of the SA fault system is carried out using this software tool to demonstrate its capability and our efforts towards seeding the iSERVO Institute.

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The particle-based lattice solid model developed to study the physics of rocks and the nonlinear dynamics of earthquakes is refined by incorporating intrinsic friction between particles. The model provides a means for studying the causes of seismic wave attenuation, as well as frictional heat generation, fault zone evolution, and localisation phenomena. A modified velocity-Verlat scheme that allows friction to be precisely modelled is developed. This is a difficult computational problem given that a discontinuity must be accurately simulated by the numerical approach (i.e., the transition from static to dynamical frictional behaviour). This is achieved using a half time step integration scheme. At each half time step, a nonlinear system is solved to compute the static frictional forces and states of touching particle-pairs. Improved efficiency is achieved by adaptively adjusting the time step increment, depending on the particle velocities in the system. The total energy is calculated and verified to remain constant to a high precision during simulations. Numerical experiments show that the model can be applied to the study of earthquake dynamics, the stick-slip instability, heat generation, and fault zone evolution. Such experiments may lead to a conclusive resolution of the heat flow paradox and improved understanding of earthquake precursory phenomena and dynamics. (C) 1999 Academic Press.

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Based on our previously developed electrical heart model, an electromechanical biventricular model, which couples the electrical property and mechanical property of the heart, was constructed and the right ventricular wall motion and deformation was simulated using this model. The model was developed on the basis of composite material theory and finite element method. The excitation propagation was simulated by electrical heart model, and the resultant active forces were used to study the ventricular wall motion during systole. The simulation results show that: (1) The right ventricular free wall moves towards the septum, and at the same time, the base and middle of free wall move towards the apex, which reduce the volume of right ventricle; (2) The minimum principle strain (E3) is largest at the apex, then at the middle of free wall, and its direction is in the approximate direction of epicardial muscle fibers. These results are in good accordance with solutions obtained from MR tagging images. It suggests that such electromechanical biventricular model can be used to assess the mechanical function of two ventricles.