An efficient finite difference scheme for three-dimensional, non-equilibrium flows using operator splitting

An efficient finite difference scheme is presented for the inviscid terms of the three-dimensional, compressible flow equations for chemical non-equilibrium gases. This scheme represents an extension and an improvement of one proposed by the author, and includes operator splitting.

A TVD finite difference scheme with non-uniform meshes and without upstream weighting

We present a finite difference scheme, with the TVD (total variation diminishing) property, for scalar conservation laws. The scheme applies to non-uniform meshes, allowing for variable mesh spacing, and is without upstream weighting. When applied to systems of conservation laws, no scalar decomposition is required, nor are any artificial tuning parameters, and this leads to an efficient, robust algorithm.

A finite difference scheme for inviscid flows with non-eequilibrium chemistry and internal energy

A finite difference scheme is presented for the inviscid terms of the equations of compressible fluid dynamics with general non-equilibrium chemistry and internal energy.

A finite difference scheme for steady, supersonic, two-dimensional, compressible flow of real gases

A finite difference scheme is presented for the solution of the two-dimensional equations of steady, supersonic, compressible flow of real gases. The scheme incorparates numerical characteristic decomposition, is shock-capturing by design and incorporates space-marching as a result of the assumption that the flow is wholly supersonic in at least one space dimension. Results are shown for problems involving oblique hydraulic jumps and reflection from a wall.

Gradient recovery in adaptive finite-element methods for parabolic problems

We derive energy-norm a posteriori error bounds, using gradient recovery (ZZ) estimators to control the spatial error, for fully discrete schemes for the linear heat equation. This appears to be the �rst completely rigorous derivation of ZZ estimators for fully discrete schemes for evolution problems, without any restrictive assumption on the timestep size. An essential tool for the analysis is the elliptic reconstruction technique.Our theoretical results are backed with extensive numerical experimentation aimed at (a) testing the practical sharpness and asymptotic behaviour of the error estimator against the error, and (b) deriving an adaptive method based on our estimators. An extra novelty provided is an implementation of a coarsening error "preindicator", with a complete implementation guide in ALBERTA in the appendix.

BOUND HYDROGENIC STATES IN A MAGNETIC FIELD: A FINITE-DIFFERENCE APPROACH

A finite-difference scheme is used to calculate bound electronic states of an electron in a hydrogen atom subject to a magnetic field. The numerical results are in good agreement with exact results, in the absence of the magnetic field, and with a two-parameters variational calculation, when the magnetic field is applied.

Alternate treatments of jacobian singularities in polar coordinates within finite-difference schemes

Jacobian singularities of differential operators in curvilinear coordinates occur when the Jacobian determinant of the curvilinear-to-Cartesian mapping vanishes, thus leading to unbounded coefficients in partial differential equations. Within a finite-difference scheme, we treat the singularity at the pole of polar coordinates by setting up complementary equations. Such equations are obtained by either integral or smoothness conditions. They are assessed by application to analytically solvable steady-state heat-conduction problems.

Finite-difference calculation of donor energy levels in a spherical quantum dot subject to a magnetic field

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Finite element methods for the Stokes system based on a Zienkiewicz type N-simplex

Hermite interpolation is increasingly showing to be a powerful numerical solution tool, as applied to different kinds of second order boundary value problems. In this work we present two Hermite finite element methods to solve viscous incompressible flows problems, in both two- and three-dimension space. In the two-dimensional case we use the Zienkiewicz triangle to represent the velocity field, and in the three-dimensional case an extension of this element to tetrahedra, still called a Zienkiewicz element. Taking as a model the Stokes system, the pressure is approximated with continuous functions, either piecewise linear or piecewise quadratic, according to the version of the Zienkiewicz element in use, that is, with either incomplete or complete cubics. The methods employ both the standard Galerkin or the Petrov–Galerkin formulation first proposed in Hughes et al. (1986) [18], based on the addition of a balance of force term. A priori error analyses point to optimal convergence rates for the PG approach, and for the Galerkin formulation too, at least in some particular cases. From the point of view of both accuracy and the global number of degrees of freedom, the new methods are shown to have a favorable cost-benefit ratio, as compared to velocity Lagrange finite elements of the same order, especially if the Galerkin approach is employed.

Mixed finite-element methods for elliptic convection-dominated problems arising in semiconductor physics

In this work we develop and analyze an adaptive numerical scheme for simulating a class of macroscopic semiconductor models. At first the numerical modelling of semiconductors is reviewed in order to classify the Energy-Transport models for semiconductors that are later simulated in 2D. In this class of models the flow of charged particles, that are negatively charged electrons and so-called holes, which are quasi-particles of positive charge, as well as their energy distributions are described by a coupled system of nonlinear partial differential equations. A considerable difficulty in simulating these convection-dominated equations is posed by the nonlinear coupling as well as due to the fact that the local phenomena such as "hot electron effects" are only partially assessable through the given data. The primary variables that are used in the simulations are the particle density and the particle energy density. The user of these simulations is mostly interested in the current flow through parts of the domain boundary - the contacts. The numerical method considered here utilizes mixed finite-elements as trial functions for the discrete solution. The continuous discretization of the normal fluxes is the most important property of this discretization from the users perspective. It will be proven that under certain assumptions on the triangulation the particle density remains positive in the iterative solution algorithm. Connected to this result an a priori error estimate for the discrete solution of linear convection-diffusion equations is derived. The local charge transport phenomena will be resolved by an adaptive algorithm, which is based on a posteriori error estimators. At that stage a comparison of different estimations is performed. Additionally a method to effectively estimate the error in local quantities derived from the solution, so-called "functional outputs", is developed by transferring the dual weighted residual method to mixed finite elements. For a model problem we present how this method can deliver promising results even when standard error estimator fail completely to reduce the error in an iterative mesh refinement process.

IMEX finite volume methods for the shallow water equations

Die Flachwassergleichungen (SWE) sind ein hyperbolisches System von Bilanzgleichungen, die adäquate Approximationen an groß-skalige Strömungen der Ozeane, Flüsse und der Atmosphäre liefern. Dabei werden Masse und Impuls erhalten. Wir unterscheiden zwei charakteristische Geschwindigkeiten: die Advektionsgeschwindigkeit, d.h. die Geschwindigkeit des Massentransports, und die Geschwindigkeit von Schwerewellen, d.h. die Geschwindigkeit der Oberflächenwellen, die Energie und Impuls tragen. Die Froude-Zahl ist eine Kennzahl und ist durch das Verhältnis der Referenzadvektionsgeschwindigkeit zu der Referenzgeschwindigkeit der Schwerewellen gegeben. Für die oben genannten Anwendungen ist sie typischerweise sehr klein, z.B. 0.01. Zeit-explizite Finite-Volume-Verfahren werden am öftersten zur numerischen Berechnung hyperbolischer Bilanzgleichungen benutzt. Daher muss die CFL-Stabilitätsbedingung eingehalten werden und das Zeitinkrement ist ungefähr proportional zu der Froude-Zahl. Deswegen entsteht bei kleinen Froude-Zahlen, etwa kleiner als 0.2, ein hoher Rechenaufwand. Ferner sind die numerischen Lösungen dissipativ. Es ist allgemein bekannt, dass die Lösungen der SWE gegen die Lösungen der Seegleichungen/ Froude-Zahl Null SWE für Froude-Zahl gegen Null konvergieren, falls adäquate Bedingungen erfüllt sind. In diesem Grenzwertprozess ändern die Gleichungen ihren Typ von hyperbolisch zu hyperbolisch.-elliptisch. Ferner kann bei kleinen Froude-Zahlen die Konvergenzordnung sinken oder das numerische Verfahren zusammenbrechen. Insbesondere wurde bei zeit-expliziten Verfahren falsches asymptotisches Verhalten (bzgl. der Froude-Zahl) beobachtet, das diese Effekte verursachen könnte.Ozeanographische und atmosphärische Strömungen sind typischerweise kleine Störungen eines unterliegenden Equilibriumzustandes. Wir möchten, dass numerische Verfahren für Bilanzgleichungen gewisse Equilibriumzustände exakt erhalten, sonst können künstliche Strömungen vom Verfahren erzeugt werden. Daher ist die Quelltermapproximation essentiell. Numerische Verfahren die Equilibriumzustände erhalten heißen ausbalanciert.rnrnIn der vorliegenden Arbeit spalten wir die SWE in einen steifen, linearen und einen nicht-steifen Teil, um die starke Einschränkung der Zeitschritte durch die CFL-Bedingung zu umgehen. Der steife Teil wird implizit und der nicht-steife explizit approximiert. Dazu verwenden wir IMEX (implicit-explicit) Runge-Kutta und IMEX Mehrschritt-Zeitdiskretisierungen. Die Raumdiskretisierung erfolgt mittels der Finite-Volumen-Methode. Der steife Teil wird mit Hilfe von finiter Differenzen oder au eine acht mehrdimensional Art und Weise approximniert. Zur mehrdimensionalen Approximation verwenden wir approximative Evolutionsoperatoren, die alle unendlich viele Informationsausbreitungsrichtungen berücksichtigen. Die expliziten Terme werden mit gewöhnlichen numerischen Flüssen approximiert. Daher erhalten wir eine Stabilitätsbedingung analog zu einer rein advektiven Strömung, d.h. das Zeitinkrement vergrößert um den Faktor Kehrwert der Froude-Zahl. Die in dieser Arbeit hergeleiteten Verfahren sind asymptotisch erhaltend und ausbalanciert. Die asymptotischer Erhaltung stellt sicher, dass numerische Lösung das "korrekte" asymptotische Verhalten bezüglich kleiner Froude-Zahlen besitzt. Wir präsentieren Verfahren erster und zweiter Ordnung. Numerische Resultate bestätigen die Konvergenzordnung, so wie Stabilität, Ausbalanciertheit und die asymptotische Erhaltung. Insbesondere beobachten wir bei machen Verfahren, dass die Konvergenzordnung fast unabhängig von der Froude-Zahl ist.

Numerical methods for option pricing.

This thesis aims to introduce some fundamental concepts underlying option valuation theory including implementation of computational tools. In many cases analytical solution for option pricing does not exist, thus the following numerical methods are used: binomial trees, Monte Carlo simulations and finite difference methods. First, an algorithm based on Hull and Wilmott is written for every method. Then these algorithms are improved in different ways. For the binomial tree both speed and memory usage is significantly improved by using only one vector instead of a whole price storing matrix. Computational time in Monte Carlo simulations is reduced by implementing a parallel algorithm (in C) which is capable of improving speed by a factor which equals the number of processors used. Furthermore, MatLab code for Monte Carlo was made faster by vectorizing simulation process. Finally, obtained option values are compared to those obtained with popular finite difference methods, and it is discussed which of the algorithms is more appropriate for which purpose.