905 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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Predicting the evolution of ice sheets requires numerical models able to accurately track the migration of ice sheet continental margins or grounding lines. We introduce a physically based moving-point approach for the flow of ice sheets based on the conservation of local masses. This allows the ice sheet margins to be tracked explicitly. Our approach is also well suited to capture waiting-time behaviour efficiently. A finite-difference moving-point scheme is derived and applied in a simplified context (continental radially symmetrical shallow ice approximation). The scheme, which is inexpensive, is verified by comparing the results with steady states obtained from an analytic solution and with exact moving-margin transient solutions. In both cases the scheme is able to track the position of the ice sheet margin with high accuracy.

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Purpose - The purpose of this paper is to develop a novel unstructured simulation approach for injection molding processes described by the Hele-Shaw model. Design/methodology/approach - The scheme involves dual dynamic meshes with active and inactive cells determined from an initial background pointset. The quasi-static pressure solution in each timestep for this evolving unstructured mesh system is approximated using a control volume finite element method formulation coupled to a corresponding modified volume of fluid method. The flow is considered to be isothermal and non-Newtonian. Findings - Supporting numerical tests and performance studies for polystyrene described by Carreau, Cross, Ellis and Power-law fluid models are conducted. Results for the present method are shown to be comparable to those from other methods for both Newtonian fluid and polystyrene fluid injected in different mold geometries. Research limitations/implications - With respect to the methodology, the background pointset infers a mesh that is dynamically reconstructed here, and there are a number of efficiency issues and improvements that would be relevant to industrial applications. For instance, one can use the pointset to construct special bases and invoke a so-called ""meshless"" scheme using the basis. This would require some interesting strategies to deal with the dynamic point enrichment of the moving front that could benefit from the present front treatment strategy. There are also issues related to mass conservation and fill-time errors that might be addressed by introducing suitable projections. The general question of ""rate of convergence"" of these schemes requires analysis. Numerical results here suggest first-order accuracy and are consistent with the approximations made, but theoretical results are not available yet for these methods. Originality/value - This novel unstructured simulation approach involves dual meshes with active and inactive cells determined from an initial background pointset: local active dual patches are constructed ""on-the-fly"" for each ""active point"" to form a dynamic virtual mesh of active elements that evolves with the moving interface.

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Neste trabalho é dado ênfase à inclusão das incertezas na avaliação do comportamento estrutural, objetivando uma melhor representação das características do sistema e uma quantificação do significado destas incertezas no projeto. São feitas comparações entre as técnicas clássicas existentes de análise de confiabilidade, tais como FORM, Simulação Direta Monte Carlo (MC) e Simulação Monte Carlo com Amostragem por Importância Adaptativa (MCIS), e os métodos aproximados da Superfície de Resposta( RS) e de Redes Neurais Artificiais(ANN). Quando possível, as comparações são feitas salientando- se as vantagens e inconvenientes do uso de uma ou de outra técnica em problemas com complexidades crescentes. São analisadas desde formulações com funções de estado limite explícitas até formulações implícitas com variabilidade espacial de carregamento e propriedades dos materiais, incluindo campos estocásticos. É tratado, em especial, o problema da análise da confiabilidade de estruturas de concreto armado incluindo o efeito da variabilidade espacial de suas propriedades. Para tanto é proposto um modelo de elementos finitos para a representação do concreto armado que incorpora as principais características observadas neste material. Também foi desenvolvido um modelo para a geração de campos estocásticos multidimensionais não Gaussianos para as propriedades do material e que é independente da malha de elementos finitos, assim como implementadas técnicas para aceleração das avaliações estruturais presentes em qualquer das técnicas empregadas. Para o tratamento da confiabilidade através da técnica da Superfície de Resposta, o algoritmo desenvolvido por Rajashekhar et al(1993) foi implementado. Já para o tratamento através de Redes Neurais Artificias, foram desenvolvidos alguns códigos para a simulação de redes percéptron multicamada e redes com função de base radial e então implementados no algoritmo de avaliação de confiabilidade desenvolvido por Shao et al(1997). Em geral, observou-se que as técnicas de simulação tem desempenho bastante baixo em problemas mais complexos, sobressaindo-se a técnica de primeira ordem FORM e as técnicas aproximadas da Superfície de Resposta e de Redes Neurais Artificiais, embora com precisão prejudicada devido às aproximações presentes.

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In this paper we propose a dynamic stochastic general equilibrium model to evaluate financial adjustments that some emerging market economies went through to overcome external crises during the latest decades, such as default and local currency devaluation. We assume that real devaluation can be used to avoid external debt default, to improve trade balance and to reduce the real public debt level denominated in local currency. Such effects increase the government ability to deal with external crisis, but also have costs in terms of welfare, related to expected inflation, reductions in private investments and higher interest to be paid over the public debt. We conclude that openness improves expected welfare as it allows for a better devaluation-response technology against crises. We also present results for 32 middle-income countries, verifying that the proposed model can indicate, in a stylized way, the preferences for default-devaluation options and the magnitude of the currency depreciation required to overcome 48 external crises occurred as from 1971. Finally, as we construct our model based on the Cole-Kehoe self-fulfilling debt crisis model ([7]), adding local debt and trade, it is important to say that their policy alternatives to leave the crisis zone remains in our extended model, namely, to reduce the external debt level and to lengthen its maturity.

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This paper deals with a stochastic stability concept for discrete-time Markovian jump linear systems. The random jump parameter is associated to changes between the system operation modes due to failures or repairs, which can be well described by an underlying finite-state Markov chain. In the model studied, a fixed number of failures or repairs is allowed, after which, the system is brought to a halt for maintenance or for replacement. The usual concepts of stochastic stability are related to pure infinite horizon problems, and are not appropriate in this scenario. A new stability concept is introduced, named stochastic tau-stability that is tailored to the present setting. Necessary and sufficient conditions to ensure the stochastic tau-stability are provided, and the almost sure stability concept associated with this class of processes is also addressed. The paper also develops equivalences among second order concepts that parallels the results for infinite horizon problems. (C) 2003 Elsevier B.V. All rights reserved.

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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

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The merozoite surface protein-2 (MSP-2) of Plasmodium falciparum comprises repeats flanked by dimorphic domains defining the allelic families FC27 and IC1. Here, we examined sequence diversity at the msp-2 locus in Brazil and its impact on MSP-2 antibody recognition by local patients. Only 25 unique partial sequences of msp-2 were found in 61 isolates examined. The finding of identical msp-2 sequences in unrelated parasites, collected 6-13 years apart, suggests that no major directional selection is exerted by variant-specific immunity in this malaria-endemic area. To examine antibody cross-reactivity, recombinant polypeptides derived from locally prevalent and foreign MSP-2 variants were used in ELISA. Foreign IC1-type variants, such as 3D7 (currently tested for human vaccination), were less frequently recognized than FC27-type and local IC1-type variants. Antibodies discriminated between local and foreign IC1-type variants, but cross-recognized structurally different local IC1-type variants. The use of evolutionary models of MSP-2 is suggested to design vaccines that minimize differences between local parasites and vaccine antigens. (C) 2004 Elsevier B.V. All rights reserved.

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We present new theoretical results on the spectrum of the quantum field theory of the double sine-Gordon model. This non-integrable model displays different varieties of kink excitations and bound states thereof. Their mass can be obtained by using a semiclassical expression of the matrix elements of the local fields. In certain regions of the coupling-constants space the semiclassical method provides a picture which is complementary to the one of the form factor perturbation theory, since the two techniques give information about the mass of different types of excitations. In other regions the two methods are comparable, since they describe the same kind of particles. Furthermore, the semiclassical picture is particularly suited to describe the phenomenon of false vacuum decay, and it also accounts in a natural way the presence of resonance states and the occurrence of a phase transition. (C) 2004 Elsevier B.V. All rights reserved.

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Deterministic Optimal Reactive Power Dispatch problem has been extensively studied, such that the demand power and the availability of shunt reactive power compensators are known and fixed. Give this background, a two-stage stochastic optimization model is first formulated under the presumption that the load demand can be modeled as specified random parameters. A second stochastic chance-constrained model is presented considering uncertainty on the demand and the equivalent availability of shunt reactive power compensators. Simulations on six-bus and 30-bus test systems are used to illustrate the validity and essential features of the proposed models. This simulations shows that the proposed models can prevent to the power system operator about of the deficit of reactive power in the power system and suggest that shunt reactive sourses must be dispatched against the unavailability of any reactive source. © 2012 IEEE.

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Based on the literature data from HT-29 cell monolayers, we develop a model for its growth, analogous to an epidemic model, mixing local and global interactions. First, we propose and solve a deterministic equation for the progress of these colonies. Thus, we add a stochastic (local) interaction and simulate the evolution of an Eden-like aggregate by using dynamical Monte Carlo methods. The growth curves of both deterministic and stochastic models are in excellent agreement with the experimental observations. The waiting times distributions, generated via our stochastic model, allowed us to analyze the role of mesoscopic events. We obtain log-normal distributions in the initial stages of the growth and Gaussians at long times. We interpret these outcomes in the light of cellular division events: in the early stages, the phenomena are dependent each other in a multiplicative geometric-based process, and they are independent at long times. We conclude that the main ingredients for a good minimalist model of tumor growth, at mesoscopic level, are intrinsic cooperative mechanisms and competitive search for space. © 2013 Elsevier Ltd.

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In order to describe the dynamics of monochromatic surface waves in deep water, we derive a nonlinear and dispersive system of equations for the free surface elevation and the free surface velocity from the Euler equations in infinite depth. From it, and using a multiscale perturbative method, an asymptotic model for small wave steepness ratio is derived. The model is shown to be completely integrable. The Lax pair, the first conserved quantities as well as the symmetries are exhibited. Theoretical and numerical studies reveal that it supports periodic progressive Stokes waves which peak and break in finite time. Comparison between the limiting wave solution of the asymptotic model and classical results is performed.

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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

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The FENE-CR model is investigated through a numerical algorithm to simulate the time-dependent moving free surface flow produced by a jet impinging on a flat surface. The objective is to demonstrate that by increasing the extensibility parameter L, the numerical solutions converge to the solutions obtained with the Oldroyd-B model. The governing equations are solved by an established free surface flow solver based on the finite difference and marker-and-cell methods. Numerical predictions of the extensional viscosity obtained with several values of the parameter L are presented. The results show that if the extensibility parameter L is sufficiently large then the extensional viscosities obtained with the FENE-CR model approximate the corresponding Oldroyd-B viscosity. Moreover, the flow from a jet impinging on a flat surface is simulated with various values of the extensibility parameter L and the fluid flow visualizations display convergence to the Oldroyd-B jet flow results.

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This paper presents electrochemical experiments on natural pyrite that combine potentiostatic and voltammetric techniques. X-ray microanalysis is used as an auxiliary technique. The layer growth on pyrite surface is conducted in a wide range of pH and potential range: 3.4 <= pH <= 5.9 with E = 0.80 V (versus SHE), and 0.80 V <= E <= 1.00 V with pH 4.5 (versus SHE) in acetic acid-acetate buffer. This work is unique for two reasons: (1) phenomenological model about layer growth is applied and mathematical-physic consistence is verified and (2) Meyer's hypotheses of chemical mechanism are used to explain kinetic parameters of the phenomenological model. (c) 2005 Elsevier B.V. All rights reserved.

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The N-terminus of the human dihydroorotate dehydrogenase (HsDHODH) has been described as important for the enzyme attachment in the inner mitochondrial membrane and possibly to regulate enzymatic activity. In this study, we synthesized the peptide acetyl-GDERFYAEHLMPTLQGLLDPESAHRL AVRFTSLGamide, comprising the residues 33-66 of HsDHODH N-terminal conserved microdomain. Langmuir monolayers and circular dichroism (CD) were employed to investigate the interactions between the peptide and membrane model, as micelles and monolayers of the lipids phosphatidylcholine (PC), 3-phosphatidylethanolamine (PE) and cardiolipin (CL). These lipids represent the major constituents of inner mitochondrial membranes. According to CD data, the peptide adopted a random structure in water, whereas it acquired α-helical structures in the presence of micelles. The π–A isotherms and polarization- modulated infrared reflection-absorption spectroscopy on monolayers showed that the peptide interacted with all lipids, but in different ways. In DPPC monolayers, the peptide penetrated into the hydrophobic region. The strongest initial interaction occurred with DPPE, but the peptide was expelled from this monolayer at high surface pressures. In CL, the peptide could induce a partial dissolution of the monolayer, leading to shorter areas at the monolayer collapse. These results corroborate the literature, where the HsDHODH microdomain is anchored into the inner mitochondrial membrane. Moreover, the existence of distinct conformations and interactions with the different membrane lipids indicates that the access to the enzyme active site may be controlled not only by conformational changes occurring at the microdomain of the protein, but also by some lipid-protein synergetic mechanism, where the HsDHODH peptide would be able to recognize lipid domains in the membrane. - See more at: http://www.eurekaselect.com/122062/article#sthash.1ZZbc7E0.dpuf