895 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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Portable water filled barriers (PWFB) are semi-rigid roadside barriers which have the potential to display good crash attenuation characteristics at low and moderate impact speeds. The traditional mesh based numerical methods alone fail to simulate this type of impact with precision, stability and efficiency. This paper proposes to develop an advanced simulation model based on the combination of Smoothed Particles Hydrodynamics (SPH), a meshless method, and finite element method (FEM) for fluid-structure analysis using the commercially available software package LS-Dyna. The interaction between SPH particles and FEA elements is studied in this paper. Two methods of element setup at the element boundary were investigated. The response of the impacted barrier and fluid inside were analysed and compared. The system response and lagging were observed and reported in this paper. It was demonstrated that coupled SPH/FEM can be used in full scale PWFB modelling application. This will aid the research in determining the best initial setup to couple FEA and SPH in road safety barrier for impact response and safety analysis in the future.

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We develop a fast Poisson preconditioner for the efficient numerical solution of a class of two-sided nonlinear space fractional diffusion equations in one and two dimensions using the method of lines. Using the shifted Gr¨unwald finite difference formulas to approximate the two-sided(i.e. the left and right Riemann-Liouville) fractional derivatives, the resulting semi-discrete nonlinear systems have dense Jacobian matrices owing to the non-local property of fractional derivatives. We employ a modern initial value problem solver utilising backward differentiation formulas and Jacobian-free Newton-Krylov methods to solve these systems. For efficient performance of the Jacobianfree Newton-Krylov method it is essential to apply an effective preconditioner to accelerate the convergence of the linear iterative solver. The key contribution of our work is to generalise the fast Poisson preconditioner, widely used for integer-order diffusion equations, so that it applies to the two-sided space fractional diffusion equation. A number of numerical experiments are presented to demonstrate the effectiveness of the preconditioner and the overall solution strategy.

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Hard biological materials such as bone possess superior material properties of high stiffness and toughness. Two unique characteristics of bone microstructure are a large aspect ratio of mineralized collagen fibrils (MCF), and an extremely thin and large area of extrafibrillar protein matrix located between the MCF. The objective of this study is to investigate the effects of: (1) MCF aspect ratio, and (2) energy dissipation in extrafibrillar protein matrix on the mechanical behaviour of MCF arrays. In this study, notched specimens of MCF arrays in extrafibrillar protein matrix are subjected to bending. Cohesive zone model was implemented to simulate the failure of extrafibrillar protein matrix. The study reveals that the MCF array with a higher MCF aspect ratio and the MCF array with a higher protein energy dissipation in the interface direction are able to sustain a higher bending force and dissipate higher energy.

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The configuration of comprehensive Enterprise Systems to meet the specific requirements of an organisation up to today is consuming significant resources. The results of failing implementation projects are severe and may even threaten the organisation’s existence. This paper proposes a method which aims at increasing the efficiency of Enterprise Systems implementations. First, we argue that existing process modelling languages that feature different degrees of abstraction for different user groups exist and are used for different purposes which makes it necessary to integrate them. We describe how to do this using the meta models of the involved languages. Second, we motivate that an integrated process model based on the integrated meta model needs to be configurable and elaborate on the mechanisms by which this model configuration can be achieved. We introduce a business example using SAP modelling techniques to illustrate the proposed method.

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We present a rigorous validation of the analytical Amadei solution for the stress concentration around an arbitrarily orientated borehole in general anisotropic elastic media. First, we revisit the theoretical framework of the Amadei solution and present analytical insights that show that the solution does indeed contain all special cases of symmetry, contrary to previous understanding, provided that the reduced strain coefficients b11 and b55 are not equal. It is shown from theoretical considerations and published experimental data that the b11 and b55 are not equal for realistic rocks. Second, we develop a 3D finite element elastic model within a hybrid analytical–numerical workflow that circumvents the need to rebuild and remesh the model for every borehole and material orientation. Third, we show that the borehole stresses computed from the numerical model and the analytical solution match almost perfectly for different borehole orientations (vertical, deviated and horizontal) and for several cases involving isotropic, transverse isotropic and orthorhombic symmetries. It is concluded that the analytical Amadei solution is valid with no restriction on the borehole orientation or the symmetry of the elastic anisotropy.

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Anisotropic damage distribution and evolution have a profound effect on borehole stress concentrations. Damage evolution is an irreversible process that is not adequately described within classical equilibrium thermodynamics. Therefore, we propose a constitutive model, based on non-equilibrium thermodynamics, that accounts for anisotropic damage distribution, anisotropic damage threshold and anisotropic damage evolution. We implemented this constitutive model numerically, using the finite element method, to calculate stress–strain curves and borehole stresses. The resulting stress–strain curves are distinctively different from linear elastic-brittle and linear elastic-ideal plastic constitutive models and realistically model experimental responses of brittle rocks. We show that the onset of damage evolution leads to an inhomogeneous redistribution of material properties and stresses along the borehole wall. The classical linear elastic-brittle approach to borehole stability analysis systematically overestimates the stress concentrations on the borehole wall, because dissipative strain-softening is underestimated. The proposed damage mechanics approach explicitly models dissipative behaviour and leads to non-conservative mud window estimations. Furthermore, anisotropic rocks with preferential planes of failure, like shales, can be addressed with our model.

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Controlled drug delivery is a key topic in modern pharmacotherapy, where controlled drug delivery devices are required to prolong the period of release, maintain a constant release rate, or release the drug with a predetermined release profile. In the pharmaceutical industry, the development process of a controlled drug delivery device may be facilitated enormously by the mathematical modelling of drug release mechanisms, directly decreasing the number of necessary experiments. Such mathematical modelling is difficult because several mechanisms are involved during the drug release process. The main drug release mechanisms of a controlled release device are based on the device’s physiochemical properties, and include diffusion, swelling and erosion. In this thesis, four controlled drug delivery models are investigated. These four models selectively involve the solvent penetration into the polymeric device, the swelling of the polymer, the polymer erosion and the drug diffusion out of the device but all share two common key features. The first is that the solvent penetration into the polymer causes the transition of the polymer from a glassy state into a rubbery state. The interface between the two states of the polymer is modelled as a moving boundary and the speed of this interface is governed by a kinetic law. The second feature is that drug diffusion only happens in the rubbery region of the polymer, with a nonlinear diffusion coefficient which is dependent on the concentration of solvent. These models are analysed by using both formal asymptotics and numerical computation, where front-fixing methods and the method of lines with finite difference approximations are used to solve these models numerically. This numerical scheme is conservative, accurate and easily implemented to the moving boundary problems and is thoroughly explained in Section 3.2. From the small time asymptotic analysis in Sections 5.3.1, 6.3.1 and 7.2.1, these models exhibit the non-Fickian behaviour referred to as Case II diffusion, and an initial constant rate of drug release which is appealing to the pharmaceutical industry because this indicates zeroorder release. The numerical results of the models qualitatively confirms the experimental behaviour identified in the literature. The knowledge obtained from investigating these models can help to develop more complex multi-layered drug delivery devices in order to achieve sophisticated drug release profiles. A multi-layer matrix tablet, which consists of a number of polymer layers designed to provide sustainable and constant drug release or bimodal drug release, is also discussed in this research. The moving boundary problem describing the solvent penetration into the polymer also arises in melting and freezing problems which have been modelled as the classical onephase Stefan problem. The classical one-phase Stefan problem has unrealistic singularities existed in the problem at the complete melting time. Hence we investigate the effect of including the kinetic undercooling to the melting problem and this problem is called the one-phase Stefan problem with kinetic undercooling. Interestingly we discover the unrealistic singularities existed in the classical one-phase Stefan problem at the complete melting time are regularised and also find out the small time behaviour of the one-phase Stefan problem with kinetic undercooling is different to the classical one-phase Stefan problem from the small time asymptotic analysis in Section 3.3. In the case of melting very small particles, it is known that surface tension effects are important. The effect of including the surface tension to the melting problem for nanoparticles (no kinetic undercooling) has been investigated in the past, however the one-phase Stefan problem with surface tension exhibits finite-time blow-up. Therefore we investigate the effect of including both the surface tension and kinetic undercooling to the melting problem for nanoparticles and find out the the solution continues to exist until complete melting. The investigation of including kinetic undercooling and surface tension to the melting problems reveals more insight into the regularisations of unphysical singularities in the classical one-phase Stefan problem. This investigation gives a better understanding of melting a particle, and contributes to the current body of knowledge related to melting and freezing due to heat conduction.

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Background Thoracoscopic anterior scoliosis instrumentation is a safe and viable surgical option for corrective fusion of progressive adolescent idiopathic scoliosis (AIS) and has been performed at our centre on 205 patients since 2000. However, there is a paucity of literature reporting on or examining optimum methods of analgesia following this type of surgery. A retrospective study was designed to present the authors’ technique for delivering intermittent local anaesthetic boluses via an intrapleural catheter following thoracoscopic scoliosis surgery; report the pain levels that may be expected and any adverse effects associated with the use of intrapleural analgesia, as part of a combined postoperative analgesia regime. Methods Records for 32 patients who underwent thoracoscopic anterior correction for AIS were reviewed. All patients received an intrapleural catheter inserted during surgery, in addition to patient-controlled opiate analgesia and oral analgesia. After surgery, patients received a bolus of 0.25% bupivacaine every four hours via the intrapleural catheter. Patient’s perceptions of their pain control was measured using the visual analogue pain scale scores which were recorded before and after local anaesthetic administration and the quantity and time of day that any other analgesia was taken, were also recorded. Results 28 female and four male patients (mean age 14.5 ± 1.5 years) had a total of 230 boluses of local anaesthetic administered in the 96 hour period following surgery. Pain scores significantly decreased following the administration of a bolus (p < 0.0001), with the mean pain score decreasing from 3.66 to 1.83. The quantity of opiates via patient-controlled analgesia after surgery decreased steadily between successive 24 hours intervals after an initial increase in the second 24 hour period when patients were mobilised. One intrapleural catheter required early removal due to leakage; there were no other associated complications with the intermittent intrapleural analgesia method. Conclusions Local anaesthetic administration via an intrapleural catheter is a safe and effective method of analgesia following thoracoscopic anterior scoliosis correction. Post-operative pain following anterior thoracic scoliosis surgery can be reduced to ‘mild’ levels by combined analgesia regimes. Keywords: Adolescent idiopathic scoliosis; Thoracoscopic anterior spinal fusion; Anterior fusion; Intrapleural analgesia; Endoscopic anterior surgery; Pain relief; Scoliosis surgery

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Cell migration is a behaviour critical to many key biological effects, including wound healing, cancerous cell invasion and morphogenesis, the development of an organism from an embryo. However, given that each of these situations is distinctly different and cells are extremely complicated biological objects, interest lies in more basic experiments which seek to remove conflating factors and present a less complex environment within which cell migration can be experimentally examined. These include in vitro studies like the scratch assay or circle migration assay, and ex vivo studies like the colonisation of the hindgut by neural crest cells. The reduced complexity of these experiments also makes them much more enticing as problems to mathematically model, like done here. The primary goal of the mathematical models used in this thesis is to shed light on which cellular behaviours work to generate the travelling waves of invasion observed in these experiments, and to explore how variations in these behaviours can potentially predict differences in this invasive pattern which are experimentally observed when cell types or chemical environment are changed. Relevant literature has already identified the difficulty of distinguishing between these behaviours when using traditional mathematical biology techniques operating on a macroscopic scale, and so here a sophisticated individual-cell-level model, an extension of the Cellular Potts Model (CPM), is been constructed and used to model a scratch assay experiment. This model includes a novel mechanism for dealing with cell proliferations that allowed for the differing properties of quiescent and proliferative cells to be implemented into their behaviour. This model is considered both for its predictive power and used to make comparisons with the travelling waves which result in more traditional macroscopic simulations. These comparisons demonstrate a surprising amount of agreement between the two modelling frameworks, and suggest further novel modifications to the CPM that would allow it to better model cell migration. Considerations of the model’s behaviour are used to argue that the dominant effect governing cell migration (random motility or signal-driven taxis) likely depends on the sort of invasion demonstrated by cells, as easily seen by microscopic photography. Additionally, a scratch assay simulated on a non-homogeneous domain consisting of a ’fast’ and ’slow’ region is also used to further differentiate between these different potential cell motility behaviours. A heterogeneous domain is a novel situation which has not been considered mathematically in this context, nor has it been constructed experimentally to the best of the candidate’s knowledge. Thus this problem serves as a thought experiment used to test the conclusions arising from the simulations on homogeneous domains, and to suggest what might be observed should this non-homogeneous assay situation be experimentally realised. Non-intuitive cell invasion patterns are predicted for diffusely-invading cells which respond to a cell-consumed signal or nutrient, contrasted with rather expected behaviour in the case of random-motility-driven invasion. The potential experimental observation of these behaviours is demonstrated by the individual-cell-level model used in this thesis, which does agree with the PDE model in predicting these unexpected invasion patterns. In the interest of examining such a case of a non-homogeneous domain experimentally, some brief suggestion is made as to how this could be achieved.

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This paper deals with the failure of high adhesive, low compressive strength, thin layered polymer mortar joints in masonry through a contact modelling in finite element framework. Failure due to combined shear, tensile and compressive stresses are considered through a constitutive damaging contact model that incorporates traction–separation as a function of displacement discontinuity. The modelling method is verified using single and multiple contact analyses of thin mortar layered masonry specimens under shear, tensile and compressive stresses and their combinations. Using this verified method, the failure of thin mortar layered masonry under a range of shear to tension ratios and shear to compression ratios has been examined. Finally, this model is applied to thin bed masonry wallettes for their behaviour under biaxial tension–tension and compression–tension loadings perpendicular and parallel to the bed joints.

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This paper presents a novel and practical procedure for estimating the mean deck height to assist in automatic landing operations of a Rotorcraft Unmanned Aerial Vehicle (RUAV) in harsh sea environments. A modified Prony Analysis (PA) procedure is outlined to deal with real-time observations of deck displacement, which involves developing an appropriate dynamic model to approach real deck motion with parameters identified through implementing the Forgetting Factor Recursive Least Square (FFRLS) method. The model order is specified using a proper order-selection criterion based on minimizing the summation of accumulated estimation errors. In addition, a feasible threshold criterion is proposed to separate the dominant components of deck displacement, which results in an accurate instantaneous estimation of the mean deck position. Simulation results demonstrate that the proposed recursive procedure exhibits satisfactory estimation performance when applied to real-time deck displacement measurements, making it well suited for integration into ship-RUAV approach and landing guidance systems.

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Currently, finite element analyses are usually done by means of commercial software tools. Accuracy of analysis and computational time are two important factors in efficiency of these tools. This paper studies the effective parameters in computational time and accuracy of finite element analyses performed by ANSYS and provides the guidelines for the users of this software whenever they us this software for study on deformation of orthopedic bone plates or study on similar cases. It is not a fundamental scientific study and only shares the findings of the authors about structural analysis by means of ANSYS workbench. It gives an idea to the readers about improving the performance of the software and avoiding the traps. The solutions provided in this paper are not the only possible solutions of the problems and in similar cases there are other solutions which are not given in this paper. The parameters of solution method, material model, geometric model, mesh configuration, number of the analysis steps, program controlled parameters and computer settings are discussed through thoroughly in this paper.

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Osmotic treatments are often applied prior to convective drying of foods to impart sensory appeal aspects. During this process a multicomponent mass flow, composed mainly of water and osmotic agent, takes place. In this work, a heat and mass transfer model for the osmo-convective drying of yacon was developed and solved by the Finite Element Method using COMSOL Multiphysics®, considering a 2-D axisymmetric geometry and moisture dependent thermophysical properties. Yacon slices were osmotically dehydrated for 2 hours in a solution of sucralose and then dried in a tray dryer for 3 hours. The model was validated by experimental data of temperature, moisture content and sucralose uptake (R²> 0.90).

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A new cold-formed and resistance welded section known as the Hollow Flange Beam (HFB) has been developed recently in Australia. In contrast to the common lateral torsional buckling mode of I-beams, this unique section comprising two stiff triangular flanges and a slender web is susceptible to a lateral distortional buckling mode of failure involving lateral deflection, twist, and cross-section change due to web distortion. This lateral distortional buckling behavior has been shown to cause significant reduction of the available flexural capacity of HFBs. An investigation using finite element analyses and large scale experiments was carried out into the use of transverse web plate stiffeners to improve the lateral buckling capacity of HFBs. This paper presents the details of the finite element model and analytical results. The experimental procedure and results are outlined in a companion paper at this conference.

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A new cold-formed and resistance-welded section known as the hollow flange beam (HFB) has been developed recently in Australia. In contrast to the common lateral-torsional buckling mode of I-beams, this unique section comprising two stiff triangular flanges and a slender web is susceptible to a lateral-distortional buckling mode of failure involving lateral deflection, twist, and cross-section change due to web distortion. This lateral-distortional buckling behavior has been shown to cause significant reduction of the available flexural capacity of HFBs. An investigation using finite-element analyses and large-scale experiments was carried out into the use of transverse web plate stiffeners to improve the lateral buckling capacity of HFBs. This paper presents the details of the finite-element model and analytical results. The experimental procedure and results are outlined in a companion paper.