First-passage time of Duffing oscillator under combined harmonic and white-noise excitations

The first-passage time of Duffing oscillator under combined harmonic and white-noise excitations is studied. The equation of motion of the system is first reduced to a set of averaged Ito stochastic differential equations by using the stochastic averaging method. Then, a backward Kolmogorov equation governing the conditional reliability function and a set of generalized Pontryagin equations governing the conditional moments of first-passage time are established. Finally, the conditional reliability function, and the conditional probability density and moments of first-passage time are obtained by solving the backward Kolmogorov equation and generalized Pontryagin equations with suitable initial and boundary conditions. Numerical results for two resonant cases with several sets of parameter values are obtained and the analytical results are verified by using those from digital simulation.

Optimal bounded control of first-passage failure of strongly non-linear oscillators under combined harmonic and white-noise excitations

A procedure for designing the optimal bounded control of strongly non-linear oscillators under combined harmonic and white-noise excitations for minimizing their first-passage failure is proposed. First, a stochastic averaging method for strongly non-linear oscillators under combined harmonic and white-noise excitations using generalized harmonic functions is introduced. Then, the dynamical programming equations and their boundary and final time conditions for the control problems of maximizing reliability and of maximizing mean first-passage time are formulated from the averaged Ito equations by using the dynamical programming principle. The optimal control law is derived from the dynamical programming equations and control constraint. Finally, the conditional reliability function, the conditional probability density and mean of the first-passage time of the optimally controlled system are obtained from solving the backward Kolmogorov equation and Pontryagin equation. An example is given to illustrate the proposed procedure and the results obtained are verified by using those from digital simulation. (C) 2003 Elsevier Ltd. All rights reserved.

Interaction of additive and quantization noises in digital PLLs

Phase-locked loops (PLLs) are a crucial component in modern communications systems. Comprising of a phase-detector, linear filter, and controllable oscillator, they are widely used in radio receivers to retrieve the information content from remote signals. As such, they are capable of signal demodulation, phase and carrier recovery, frequency synthesis, and clock synchronization. Continuous-time PLLs are a mature area of study, and have been covered in the literature since the early classical work by Viterbi [1] in the 1950s. With the rise of computing in recent decades, discrete-time digital PLLs (DPLLs) are a more recent discipline; most of the literature published dates from the 1990s onwards. Gardner [2] is a pioneer in this area. It is our aim in this work to address the difficulties encountered by Gardner [3] in his investigation of the DPLL output phase-jitter where additive noise to the input signal is combined with frequency quantization in the local oscillator. The model we use in our novel analysis of the system is also applicable to another of the cases looked at by Gardner, that is the DPLL with a delay element integrated in the loop. This gives us the opportunity to look at this system in more detail, our analysis providing some unique insights into the variance `dip' seen by Gardner in [3]. We initially provide background on the probability theory and stochastic processes. These branches of mathematics are the basis for the study of noisy analogue and digital PLLs. We give an overview of the classical analogue PLL theory as well as the background on both the digital PLL and circle map, referencing the model proposed by Teplinsky et al. [4, 5]. For our novel work, the case of the combined frequency quantization and noisy input from [3] is investigated first numerically, and then analytically as a Markov chain via its Chapman-Kolmogorov equation. The resulting delay equation for the steady-state jitter distribution is treated using two separate asymptotic analyses to obtain approximate solutions. It is shown how the variance obtained in each case matches well to the numerical results. Other properties of the output jitter, such as the mean, are also investigated. In this way, we arrive at a more complete understanding of the interaction between quantization and input noise in the first order DPLL than is possible using simulation alone. We also do an asymptotic analysis of a particular case of the noisy first-order DPLL with delay, previously investigated by Gardner [3]. We show a unique feature of the simulation results, namely the variance `dip' seen for certain levels of input noise, is explained by this analysis. Finally, we look at the second-order DPLL with additive noise, using numerical simulations to see the effects of low levels of noise on the limit cycles. We show how these effects are similar to those seen in the noise-free loop with non-zero initial conditions.

Green function for the diffusion limit of one-dimensional continuous time random walks

It is shown how the fractional probability density diffusion equation for the diffusion limit of one-dimensional continuous time random walks may be derived from a generalized Markovian Chapman-Kolmogorov equation. The non-Markovian behaviour is incorporated into the Markovian Chapman-Kolmogorov equation by postulating a Levy like distribution of waiting times as a kernel. The Chapman-Kolmogorov equation so generalised then takes on the form of a convolution integral. The dependence on the initial conditions typical of a non-Markovian process is treated by adding a time dependent term involving the survival probability to the convolution integral. In the diffusion limit these two assumptions about the past history of the process are sufficient to reproduce anomalous diffusion and relaxation behaviour of the Cole-Cole type. The Green function in the diffusion limit is calculated using the fact that the characteristic function is the Mittag-Leffler function. Fourier inversion of the characteristic function yields the Green function in terms of a Wright function. The moments of the distribution function are evaluated from the Mittag-Leffler function using the properties of characteristic functions and a relation between the powers of the second moment and higher order even moments is derived. (C) 2004 Elsevier B.V. All rights reserved.

Introducción del número racional en EGB mediante el concepto de operador : análisis comparativo con la introducción tradicional.

Comparación de la eficacia didáctica de dos métodos en la construcción del conjunto q+, partiendo del concepto intuitivo de fracción y definiendo la fracción mediante el concepto de operador. 5 colegios de Granada, rurales y urbanos. Se elabora una programación y se aplica durante dos cursos. También se realiza un estudio estadístico recopilando los datos obtenidos en las pruebas de evaluación. 12 pruebas de control elaboradas a tal fin, cada quincena. 1. Fiabilidad de la prueba: Kuder-Richardson 21. 2. Discriminación: índice de Pemberton. 3. Homogeneidad del grupo: prueba T. 4. Dificultad, matrices aciertos-errores: Fisher, Kolmogorov-Smirnov. 5. Diferencias entre los dos métodos Chi cuadrado. 1. Dificultad que presentan los alumnos al expresarse verbalmente y por escrito, cuando se les pide una definición o explicación de un concepto. El concepto de fracción como operador puede introducirse con este método en sexto nivel, aunque presente más dificultad que el concepto clásico.

Sistemas ecológicos modelados por equações de reação-difusão

Pós-graduação em Física - IFT

Statistical analysis and simulation techniques in wall-bounded turbulence

The present work is devoted to the assessment of the energy fluxes physics in the space of scales and physical space of wall-turbulent flows. The generalized Kolmogorov equation will be applied to DNS data of a turbulent channel flow in order to describe the energy fluxes paths from production to dissipation in the augmented space of wall-turbulent flows. This multidimensional description will be shown to be crucial to understand the formation and sustainment of the turbulent fluctuations fed by the energy fluxes coming from the near-wall production region. An unexpected behavior of the energy fluxes comes out from this analysis consisting of spiral-like paths in the combined physical/scale space where the controversial reverse energy cascade plays a central role. The observed behavior conflicts with the classical notion of the Richardson/Kolmogorov energy cascade and may have strong repercussions on both theoretical and modeling approaches to wall-turbulence. To this aim a new relation stating the leading physical processes governing the energy transfer in wall-turbulence is suggested and shown able to capture most of the rich dynamics of the shear dominated region of the flow. Two dynamical processes are identified as driving mechanisms for the fluxes, one in the near wall region and a second one further away from the wall. The former, stronger one is related to the dynamics involved in the near-wall turbulence regeneration cycle. The second suggests an outer self-sustaining mechanism which is asymptotically expected to take place in the log-layer and could explain the debated mixed inner/outer scaling of the near-wall statistics. The same approach is applied for the first time to a filtered velocity field. A generalized Kolmogorov equation specialized for filtered velocity field is derived and discussed. The results will show what effects the subgrid scales have on the resolved motion in both physical and scale space, singling out the prominent role of the filter length compared to the cross-over scale between production dominated scales and inertial range, lc, and the reverse energy cascade region lb. The systematic characterization of the resolved and subgrid physics as function of the filter scale and of the wall-distance will be shown instrumental for a correct use of LES models in the simulation of wall turbulent flows. Taking inspiration from the new relation for the energy transfer in wall turbulence, a new class of LES models will be also proposed. Finally, the generalized Kolmogorov equation specialized for filtered velocity fields will be shown to be an helpful statistical tool for the assessment of LES models and for the development of new ones. As example, some classical purely dissipative eddy viscosity models are analyzed via an a priori procedure.

A numerical study of turbulent Rayleigh-Bénard convection

Il flusso di Rayleigh-Bénard, costituito da un fluido racchiuso fra due pareti a diversa temperatura, rappresenta il paradigma della convezione termica. In natura e nelle applicazioni industriali, il moto convettivo avviene principalmente in regime turbolento, rivelando un fenomeno estremamente complesso. L'obiettivo principale di questo elaborato di tesi consiste nell'isolare e descrivere gli aspetti salienti di un flusso turbolento di Rayleigh-Bénard. L'analisi è applicata a dati ottenuti da tre simulazioni numeriche dirette effettuate allo stesso numero di Rayleigh (Ra=10^5) e a numeri di Prandtl differenti (Pr=0.7,2,7). Sulla base di alcune statistiche a singolo punto, vengono definite nel flusso tre regioni caratteritiche: il bulk al centro della cella, lo strato limite termico e quello viscoso in prossimità delle pareti. Grazie all'analisi dei campi istantanei e delle correlazioni spaziali a due punti, sono state poi individuate due strutture fondamentali della convezione turbolenta: le piume termiche e la circolazione a grande scala. L'equazione generalizzata di Kolmogorov, introdotta nell'ultima parte della trattazione, permette di approcciare il problema nella sua complessità, visualizzando come l'energia cinetica viene immessa, si distribuisce e viene dissipata sia nello spazio fisico, sia in quello delle scale turbolente. L'immagine che emerge dall'analisi complessiva è quella di un flusso del tutto simile a una macchina termica. L'energia cinetica viene prodotta nel bulk, considerato il motore del flusso, e da qui fluisce verso le pareti, dove viene infine dissipata.

Stochastic local volatility model for fx markets

Questa tesi verte sullo studio di un modello a volatilità stocastica e locale, utilizzato per valutare opzioni esotiche nei mercati dei cambio. La difficoltà nell'implementare un modello di tal tipo risiede nella calibrazione della leverage surface e uno degli scopi principali di questo lavoro è quello di mostrarne la procedura.

Traveling wave front for the Fisher equation on an infinite band region

Instead of discussing the existence of a one-dimensional traveling wave front solution which connects two constant steady states, the present work deals with the case connecting a constant and a nonhomogeneous steady state on an infinite band region. The corresponding model is the well-known Fisher equation with variational coefficient and Dirichlet boundary condition. (c) 2006 Elsevier Ltd. All rights reserved.

The carreau-yasuda fluids: a skin friction equation for turbulent flow in pipes and kolmogorov dissipative scales

In this work the turbulent flow of the Non-Newtonian Carreau-Yasuda fluid will be studied. A skin friction equation for the turbulent flow of Carreau-Yasuda fluids will be derived assuming a logarithmic behavior of the turbulent mean velocity for the near wall flow out of the viscous sub layer. An alternative near wall characteristic length scale which takes into account the effects of the relaxation time will be introduced. The characteristic length will be obtained through the analysis of viscous region near the wall. The results compared with experimental data obtained with Tylose (methyl hydroxil cellulose) solutions showing good agreement. The relations between scales integral and dissipative obtained for length, time, velocity, kinetic energy, and vorticity will be derived for this type of fluid. When the power law index approach to unity the relations reduces to Newtonian case.

Computationally efficient methods for solving time-variable-order time-space fractional reaction-diffusion equation

Fractional differential equations are becoming more widely accepted as a powerful tool in modelling anomalous diffusion, which is exhibited by various materials and processes. Recently, researchers have suggested that rather than using constant order fractional operators, some processes are more accurately modelled using fractional orders that vary with time and/or space. In this paper we develop computationally efficient techniques for solving time-variable-order time-space fractional reaction-diffusion equations (tsfrde) using the finite difference scheme. We adopt the Coimbra variable order time fractional operator and variable order fractional Laplacian operator in space where both orders are functions of time. Because the fractional operator is nonlocal, it is challenging to efficiently deal with its long range dependence when using classical numerical techniques to solve such equations. The novelty of our method is that the numerical solution of the time-variable-order tsfrde is written in terms of a matrix function vector product at each time step. This product is approximated efficiently by the Lanczos method, which is a powerful iterative technique for approximating the action of a matrix function by projecting onto a Krylov subspace. Furthermore an adaptive preconditioner is constructed that dramatically reduces the size of the required Krylov subspaces and hence the overall computational cost. Numerical examples, including the variable-order fractional Fisher equation, are presented to demonstrate the accuracy and efficiency of the approach.

A boundary preserving numerical algorithm for the Wright-Fisher model with mutation

The Wright-Fisher model is an Itô stochastic differential equation that was originally introduced to model genetic drift within finite populations and has recently been used as an approximation to ion channel dynamics within cardiac and neuronal cells. While analytic solutions to this equation remain within the interval [0,1], current numerical methods are unable to preserve such boundaries in the approximation. We present a new numerical method that guarantees approximations to a form of Wright-Fisher model, which includes mutation, remain within [0,1] for all time with probability one. Strong convergence of the method is proved and numerical experiments suggest that this new scheme converges with strong order 1/2. Extending this method to a multidimensional case, numerical tests suggest that the algorithm still converges strongly with order 1/2. Finally, numerical solutions obtained using this new method are compared to those obtained using the Euler-Maruyama method where the Wiener increment is resampled to ensure solutions remain within [0,1].

The addition of depression to the Framingham Risk Equation model for predicting coronary heart disease risk in women

BACKGROUND: Depression is widely considered to be an independent and robust predictor of Coronary Heart Disease (CHD), however is seldom considered in the context of formal risk assessment. We assessed whether the addition of depression to the Framingham Risk Equation (FRE) improved accuracy for predicting 10-year CHD in a sample of women.

DESIGN: A prospective, longitudinal design comprising an age-stratified, population-based sample of Australian women collected between 1993 and 2011 (n=862).

METHODS: Clinical depressive disorder was assessed using the Structured Clinical Interview for Diagnostic and Statistical Manual of Mental Disorders (SCID-I/NP), using retrospective age-of-onset data. A composite measure of CHD included non-fatal myocardial infarction, unstable angina coronary intervention or cardiac death. Cox proportional-hazards regression models were conducted and overall accuracy assessed using area under receiver operating characteristic (ROC) curve analysis.

RESULTS: ROC curve analyses revealed that the addition of baseline depression status to the FRE model improved its overall accuracy (AUC:0.77, Specificity:0.70, Sensitivity:0.75) when compared to the original FRE model (AUC:0.75, Specificity:0.73, Sensitivity:0.67). However, when calibrated against the original model, the predicted number of events generated by the augmented version marginally over-estimated the true number observed.

CONCLUSIONS: The addition of a depression variable to the FRE equation improves the overall accuracy of the model for predicting 10-year CHD events in women, however may over-estimate the number of events that actually occur. This model now requires validation in larger samples as it could form a new CHD risk equation for women.