64 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 Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP)


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We study a stochastic process describing the onset of spreading dynamics of an epidemic in a population composed of individuals of three classes: susceptible (S), infected (I), and recovered (R). The stochastic process is defined by local rules and involves the following cyclic process: S -> I -> R -> S (SIRS). The open process S -> I -> R (SIR) is studied as a particular case of the SIRS process. The epidemic process is analyzed at different levels of description: by a stochastic lattice gas model and by a birth and death process. By means of Monte Carlo simulations and dynamical mean-field approximations we show that the SIRS stochastic lattice gas model exhibit a line of critical points separating the two phases: an absorbing phase where the lattice is completely full of S individuals and an active phase where S, I and R individuals coexist, which may or may not present population cycles. The critical line, that corresponds to the onset of epidemic spreading, is shown to belong in the directed percolation universality class. By considering the birth and death process we analyze the role of noise in stabilizing the oscillations. (C) 2009 Elsevier B.V. All rights reserved.

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In this paper we present a finite difference method for solving two-dimensional viscoelastic unsteady free surface flows governed by the single equation version of the eXtended Pom-Pom (XPP) model. The momentum equations are solved by a projection method which uncouples the velocity and pressure fields. We are interested in low Reynolds number flows and, to enhance the stability of the numerical method, an implicit technique for computing the pressure condition on the free surface is employed. This strategy is invoked to solve the governing equations within a Marker-and-Cell type approach while simultaneously calculating the correct normal stress condition on the free surface. The numerical code is validated by performing mesh refinement on a two-dimensional channel flow. Numerical results include an investigation of the influence of the parameters of the XPP equation on the extrudate swelling ratio and the simulation of the Barus effect for XPP fluids. (C) 2010 Elsevier B.V. All rights reserved.

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This work presents a finite difference technique for simulating three-dimensional free surface flows governed by the Upper-Convected Maxwell (UCM) constitutive equation. A Marker-and-Cell approach is employed to represent the fluid free surface and formulations for calculating the non-Newtonian stress tensor on solid boundaries are developed. The complete free surface stress conditions are employed. The momentum equation is solved by an implicit technique while the UCM constitutive equation is integrated by the explicit Euler method. The resulting equations are solved by the finite difference method on a 3D-staggered grid. By using an exact solution for fully developed flow inside a pipe, validation and convergence results are provided. Numerical results include the simulation of the transient extrudate swell and the comparison between jet buckling of UCM and Newtonian fluids.

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A 2D steady model for the annular two-phase flow of water and steam in the steam-generating boiler pipes of a liquid metal fast breeder reactor is proposed The model is based on thin-layer lubrication theory and thin aerofoil theory. The exchange of mass between the vapour core and the liquid film due to evaporation of the liquid film is accounted for using some simple thermodynamics models, and the resultant change of phase is modelled by proposing a suitable Stefan problem Appropriate boundary conditions for the now are discussed The resulting non-lineal singular integro-differential equation for the shape of the liquid film free surface is solved both asymptotically and numerically (using some regularization techniques) Predictions for the length to the dryout point from the entry of the annular regime are made The influence of both the traction tau provided by the fast-flowing vapour core on the liquid layer and the mass transfer parameter eta on the dryout length is investigated

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fit the context of normalized variable formulation (NVF) of Leonard and total variation diminishing (TVD) constraints of Harten. this paper presents an extension of it previous work by the authors for solving unsteady incompressible flow problems. The main contributions of the paper are threefold. First, it presents the results of the development and implementation of a bounded high order upwind adaptative QUICKEST scheme in the 3D robust code (Freeflow), for the numerical solution of the full incompressible Navier-Stokes equations. Second, it reports numerical simulation results for 1D hock tube problem, 2D impinging jet and 2D/3D broken clam flows. Furthermore, these results are compared with existing analytical and experimental data. And third, it presents the application of the numerical method for solving 3D free surface flow problems. (C) 2007 IMACS. Published by Elsevier B.V. All rights reserved,

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This work deals with the development of a numerical technique for simulating three-dimensional viscoelastic free surface flows using the PTT (Phan-Thien-Tanner) nonlinear constitutive equation. In particular, we are interested in flows possessing moving free surfaces. The equations describing the numerical technique are solved by the finite difference method on a staggered grid. The fluid is modelled by a Marker-and-Cell type method and an accurate representation of the fluid surface is employed. The full free surface stress conditions are considered. The PTT equation is solved by a high order method, which requires the calculation of the extra-stress tensor on the mesh contours. To validate the numerical technique developed in this work flow predictions for fully developed pipe flow are compared with an analytic solution from the literature. Then, results of complex free surface flows using the FIT equation such as the transient extrudate swell problem and a jet flowing onto a rigid plate are presented. An investigation of the effects of the parameters epsilon and xi on the extrudate swell and jet buckling problems is reported. (C) 2010 Elsevier B.V. All rights reserved.

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This study investigates the numerical simulation of three-dimensional time-dependent viscoelastic free surface flows using the Upper-Convected Maxwell (UCM) constitutive equation and an algebraic explicit model. This investigation was carried out to develop a simplified approach that can be applied to the extrudate swell problem. The relevant physics of this flow phenomenon is discussed in the paper and an algebraic model to predict the extrudate swell problem is presented. It is based on an explicit algebraic representation of the non-Newtonian extra-stress through a kinematic tensor formed with the scaled dyadic product of the velocity field. The elasticity of the fluid is governed by a single transport equation for a scalar quantity which has dimension of strain rate. Mass and momentum conservations, and the constitutive equation (UCM and algebraic model) were solved by a three-dimensional time-dependent finite difference method. The free surface of the fluid was modeled using a marker-and-cell approach. The algebraic model was validated by comparing the numerical predictions with analytic solutions for pipe flow. In comparison with the classical UCM model, one advantage of this approach is that computational workload is substantially reduced: the UCM model employs six differential equations while the algebraic model uses only one. The results showed stable flows with very large extrudate growths beyond those usually obtained with standard differential viscoelastic models. (C) 2010 Elsevier Ltd. All rights reserved.

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This paper describes the development of an implicit finite difference method for solving transient three-dimensional incompressible free surface flows. To reduce the CPU time of explicit low-Reynolds number calculations, we have combined a projection method with an implicit technique for treating the pressure on the free surface. The projection method is employed to uncouple the velocity and the pressure fields, allowing each variable to be solved separately. We employ the normal stress condition on the free surface to derive an implicit technique for calculating the pressure at the free surface. Numerical results demonstrate that this modification is essential for the construction of methods that are more stable than those provided by discretizing the free surface explicitly. In addition, we show that the proposed method can be applied to viscoelastic fluids. Numerical results include the simulation of jet buckling and extrudate swell for Reynolds numbers in the range [0.01, 0.5]. (C) 2008 Elsevier Inc. All rights reserved.

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Strategies for the development of new vaccines against Streptococcus pneumoniae infections try to overcome problems such as serotype coverage and high costs, present in currently available vaccines. Formulations based on protein candidates that can induce protection in animal models have been pointed as good alternatives. Among them, the Pneumococcal Surface Protein A (PspA) plays an important role during systemic infection at least in part through the inhibition of complement deposition on the pneumococcal surface, a mechanism of evasion from the immune system. Antigen delivery systems based on live recombinant lactic acid bacteria (LAB) represents a promising strategy for mucosal vaccination, since they are generally regarded as safe bacteria able to elicit both systemic and mucosal immune responses. In this work, the N-terminal region of clade I PspA was constitutively expressed in Lactobacillus casei and the recombinant bacteria was tested as a mucosal vaccine in mice. Nasal immunization with L. casei-PspA 1 induced anti-PspA antibodies that were able to bind to pneumococcal strains carrying both clade 1 and clade 2 PspAs and to induce complement deposition on the surface of the bacteria. In addition, an increase in survival of immunized mice after a systemic challenge with a virulent pneumococcal strain was observed. (C) 2008 Elsevier Masson SAS. All rights reserved.

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A modeling study was completed to develop a methodology that combines the sequencing and finite difference methods for the simulation of a heterogeneous model of a tubular reactor applied in the treatment of wastewater. The system included a liquid phase (convection diffusion transport) and a solid phase (diffusion reaction) that was obtained by completing a mass balance in the reactor and in the particle, respectively. The model was solved using a pilot-scale horizontal-flow anaerobic immobilized biomass (HAIB) reactor to treat domestic sewage, with the concentration results compared with the experimental data. A comparison of the behavior of the liquid phase concentration profile and the experimental results indicated that both the numerical methods offer a good description of the behavior of the concentration along the reactor. The advantage of the sequencing method over the finite difference method is that it is easier to apply and requires less computational time to model the dynamic simulation of outlet response of HAIB.

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Over the last decades, anti-resonant reflecting optical waveguides (ARROW) have been used in different integrated optics applications. In this type of waveguide, light confinement is partially achieved through an anti-resonant reflection. In this work, the simulation, fabrication and characterization of ARROW waveguides using dielectric films deposited by a plasma-enhanced chemical vapor deposition (PECVD) technique, at low temperatures(similar to 300 degrees C), are presented. Silicon oxynitride (SiO(x)N(y)) films were used as core and second cladding layers and amorphous hydrogenated silicon carbide(a-SiC:H) films as first cladding layer. Furthermore, numerical simulations were performed using homemade routines based on two computational methods: the transfer matrix method (TMM) for the determination of the optimum thickness of the Fabry-Perot layers; and the non-uniform finite difference method (NU-FDM) for 2D design and determination of the maximum width that yields single-mode operation. The utilization of a silicon carbide anti-resonant layer resulted in low optical attenuations, which is due to the high refractive index difference between the core and this layer. Finally, for comparison purposes, optical waveguides using titanium oxide (TiO(2)) as the first ARROW layer were also fabricated and characterized.

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In this paper we make use of some stochastic volatility models to analyse the behaviour of a weekly ozone average measurements series. The models considered here have been used previously in problems related to financial time series. Two models are considered and their parameters are estimated using a Bayesian approach based on Markov chain Monte Carlo (MCMC) methods. Both models are applied to the data provided by the monitoring network of the Metropolitan Area of Mexico City. The selection of the best model for that specific data set is performed using the Deviance Information Criterion and the Conditional Predictive Ordinate method.

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This work examines the sources of moisture affecting the semi-arid Brazilian Northeast (NEB) during its pre-rainy and rainy season (JFMAM) through a Lagrangian diagnosis method. The FLEXPART model identifies the humidity contributions to the moisture budget over a region through the continuous computation of changes in the specific humidity along back or forward trajectories up to 10 days period. The numerical experiments were done for the period that spans between 2000 and 2004 and results were aggregated on a monthly basis. Results show that besides a minor local recycling component, the vast majority of moisture reaching NEB area is originated in the south Atlantic basin and that the nearby wet Amazon basin bears almost no impact. Moreover, although the maximum precipitation in the ""Poligono das Secas'' region (PS) occurs in March and the maximum precipitation associated with air parcels emanating from the South Atlantic towards PS is observed along January to March, the highest moisture contribution from this oceanic region occurs slightly later (April). A dynamical analysis suggests that the maximum precipitation observed in the PS sector does not coincide with the maximum moisture supply probably due to the combined effect of the Walker and Hadley cells in inhibiting the rising motions over the region in the months following April.

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The local atomic structures around the Zr atom of pure (undoped) ZrO(2) nanopowders with different average crystallite sizes, ranging from 7 to 40 nm, have been investigated. The nanopowders were synthesized by different wet-chemical routes, but all exhibit the high-temperature tetragonal phase stabilized at room temperature, as established by synchrotron radiation X-ray diffraction. The extended X-ray absorption fine structure (EXAFS) technique was applied to analyze the local structure around the Zr atoms. Several authors have studied this system using the EXAFS technique without obtaining a good agreement between crystallographic and EXAFS data. In this work, it is shown that the local structure of ZrO(2) nanopowders can be described by a model consisting of two oxygen subshells (4 + 4 atoms) with different Zr-O distances, in agreement with those independently determined by X-ray diffraction. However, the EXAFS study shows that the second oxygen subshell exhibits a Debye-Waller (DW) parameter much higher than that of the first oxygen subshell, a result that cannot be explained by the crystallographic model accepted for the tetragonal phase of zirconia-based materials. However, as proposed by other authors, the difference in the DW parameters between the two oxygen subshells around the Zr atoms can be explained by the existence of oxygen displacements perpendicular to the z direction; these mainly affect the second oxygen subshell because of the directional character of the EXAFS DW parameter, in contradiction to the crystallographic value. It is also established that this model is similar to another model having three oxygen subshells, with a 4 + 2 + 2 distribution of atoms, with only one DW parameter for all oxygen subshells. Both models are in good agreement with the crystal structure determined by X-ray diffraction experiments.

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We investigate the quantum integrability of the Landau-Lifshitz (LL) model and solve the long-standing problem of finding the local quantum Hamiltonian for the arbitrary n-particle sector. The particular difficulty of the LL model quantization, which arises due to the ill-defined operator product, is dealt with by simultaneously regularizing the operator product and constructing the self-adjoint extensions of a very particular structure. The diagonalizibility difficulties of the Hamiltonian of the LL model, due to the highly singular nature of the quantum-mechanical Hamiltonian, are also resolved in our method for the arbitrary n-particle sector. We explicitly demonstrate the consistency of our construction with the quantum inverse scattering method due to Sklyanin [Lett. Math. Phys. 15, 357 (1988)] and give a prescription to systematically construct the general solution, which explains and generalizes the puzzling results of Sklyanin for the particular two-particle sector case. Moreover, we demonstrate the S-matrix factorization and show that it is a consequence of the discontinuity conditions on the functions involved in the construction of the self-adjoint extensions.