Numerical methods for strong solutions of stochastic differential equations: an overview

This paper gives a review of recent progress in the design of numerical methods for computing the trajectories (sample paths) of solutions to stochastic differential equations. We give a brief survey of the area focusing on a number of application areas where approximations to strong solutions are important, with a particular focus on computational biology applications, and give the necessary analytical tools for understanding some of the important concepts associated with stochastic processes. We present the stochastic Taylor series expansion as the fundamental mechanism for constructing effective numerical methods, give general results that relate local and global order of convergence and mention the Magnus expansion as a mechanism for designing methods that preserve the underlying structure of the problem. We also present various classes of explicit and implicit methods for strong solutions, based on the underlying structure of the problem. Finally, we discuss implementation issues relating to maintaining the Brownian path, efficient simulation of stochastic integrals and variable-step-size implementations based on various types of control.

Numerical simulation of stochastic ordinary differential equations in biomathematical modelling

In this work we discuss the effects of white and coloured noise perturbations on the parameters of a mathematical model of bacteriophage infection introduced by Beretta and Kuang in [Math. Biosc. 149 (1998) 57]. We numerically simulate the strong solutions of the resulting systems of stochastic ordinary differential equations (SDEs), with respect to the global error, by means of numerical methods of both Euler-Taylor expansion and stochastic Runge-Kutta type. (C) 2003 IMACS. Published by Elsevier B.V. All rights reserved.

Thin-layer isothermal drying of fructose, maltodextrin, and their mixture solutions

Solutions of fructose, maltodextrin (DE 5), and their mixtures at the ratios of 20:80, 40:60, 50:50, 60:40, and 80:20 were gelled with 1% agar-agar and dried under convective-conductive drying conditions. The thin slabs were maintained at isothermal drying condition of 30 and 50 degrees C. Yamamoto's simplified method based on regular regime approach was used to calculate the (effective) moisture diffusivity. Both the drying rates and the moisture diffusivity exhibited strong concentration dependence. The concentration dependence was stronger in the case of fructose and fructose rich solutions. Both the moisture diffusivity and drying rates of the mixture solutions were enhanced due to plasticization of fructose on maltodextrin, which is explained through free volume theory.

Inorganic surface passivation of PbS nanocrystals resulting in strong photoluminescent emission

Strong photoluminescent emission has been obtained from 3 nm PbS nanocrystals in aqueous colloidal solution, following treatment with CdS precursors. The observed emission can extend across the entire visible spectrum and usually includes a peak near 1.95 eV. We show that much of the visible emission results from absorption by higher-lying excited states above 3.0 eV with subsequent relaxation to and emission from states lying above the observed band-edge of the PbS nanocrystals. The fluorescent lifetimes for this emission are in the nanosecond regime, characteristic of exciton recombination.

Separating fluorescent species of aqueous PbS semiconductor nanocrystals using micro-emulsions

Colloidal PbS nanocrystals over-coated with CdS are prepared in aqueous solutions and exhibit strong photoluminescence with two distinct peaks in the visible regime. A photoluminescence peak is observed at 640 nm, which is attributed to the band edge recombination in the PbS nanocrystals, and another peak at 510 nm, which is above the band edge of the PbS nanocrystals. The two PL peaks are isolated by extracting separate species of nanocrystal based upon their surface morphology. Micro-emulsions of hexane:PVA are used to remove the species containing the PL peak at 640 nm from the solution, leaving a singular peak at 510 nm. We show conclusively that the double-peaked structure observed in the photoluminescence spectra of PbS nanocrystals over-coated with CdS is due to the presence of two distinctly different nanocrystal species.

Least energy solutions of a critical Neumann problem with a weight

We investigate the effect of the coefficient of the critical nonlinearity for the Neumann problem on the existence of least energy solutions. As a by-product we establish a Sobolev inequality with interior norm.

Existence of Multiple Solutions for Second Order Boundary Value Problems

We give conditions on f involving pairs of lower and upper solutions which lead to the existence of at least three solutions of the two point boundary value problem y" + f(x, y, y') = 0, x epsilon [0, 1], y(0) = 0 = y(1). In the special case f(x, y, y') = f(y) greater than or equal to 0 we give growth conditions on f and apply our general result to show the existence of three positive solutions. We give an example showing this latter result is sharp. Our results extend those of Avery and of Lakshmikantham et al.

Nodal solutions for nonlinear eigenvalue problems

We are concerned with determining values of, for which there exist nodal solutions of the boundary value problems u" + ra(t) f(u) = 0, 0 < t < 1, u(O) = u(1) = 0. The proof of our main result is based upon bifurcation techniques.

Periodic or Bounded Solutions of Carathéodory Systems of Ordinary Differential Equations

In this paper we extend the guiding function approach to show that there are periodic or bounded solutions for first order systems of ordinary differential equations of the form x1 =f(t,x), a.e. epsilon[a,b], where f satisfies the Caratheodory conditions. Our results generalize recent ones of Mawhin and Ward.

Useful representations of series solutions for transport problems

Simple techniques are presented for rearrangement of an infinite series in a systematic way such that the convergence of the resulting expression is accelerated. These procedures also allow calculation of required boundary derivatives. Several examples of conduction and diffusion-reaction problems illustrate the methods.

The transient response of a CSTR containing porous catalyst pellets. Asymptotic solutions

Transient response of a CSTR containing porous catalyst pellets is analyzed theoretically using a matched asymptotic expansion technique. This singular perturbation technique leads directly to the conditions under which the minima of reservoir concentration occur. The existence of the minima may be used to estimate some inherent parameters of the catalyst pellet.

Approximate analytical solutions for porous catalysts with nonuniform activity

Using a novel finite integral transform technique, the problem of diffusion and chemical reaction in a porous catalyst with general activity profile is investigated theoretically. Analytical expressions for the effectiveness factor are obtained for pth order and Michaelis-Menten kinetics. Perturbation methods are employed to provide useful asymptotic solutions for large or small values of Thiele modulus and Biot number.

Evaluating Flexible Transport Solutions

Flexible transport services (FTS) have been of increasing interest in developed countries as a bridge between the use of personal car travel and fixed route transit services. This paper reports on findings from a recent study in Queensland Australia, which identified lessons from an international review and implications for Australia. Potential strategic directions, including a vision, mission, key result areas, strategies, and identified means of measuring performance are described. Evaluation criteria for assessing flexible transport proposals were developed, and approaches to identifying and assessing needs and demands outlined. The use of emerging technologies is also a key element of successful flexible transport services.