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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MANY TRANSPORprTo cesses occur in nature and in industrial applications in which the transfer of heat is governed by the process of natural convection. Natural convection arises in fluids when the temperature changes cause density variations leading to buoyancy forces. An excellent review of natural convection flows has been given by Ede [I]. Recently, Minkowycz and Sparrow [2, 31, Cebeci [4], and Aziz and Na [S] have studied the steady, laminar, incompressible, natural convection flow over a vertical cylinder using a local nonsimilarity method, a finite-difference scheme, and an improved perturbation method, respectively. However, they did not take into account the effect ofaxial heat conduction for small Prandtl number. It is known that the axial heat conductioneffect becomesimportant for low-Prandtl-number fluids such as a liquid metal.

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The aim of this investigation is to evolve a method of solving two-dimensional unsteady flow problems by the method of characteristics. This involves the reduction of the given system of equations to an equivalent system where only interior derivatives occur on a characteristic surface. From this system, four special bicharacteristic directional derivatives are chosen. A finite difference scheme is prescribed for solving the equations. General rectangular lattices are also considered. As an example, we investigate the propagation of an initial pressure distribution in a medium at rest.

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Euler–Bernoulli beams are distributed parameter systems that are governed by a non-linear partial differential equation (PDE) of motion. This paper presents a vibration control approach for such beams that directly utilizes the non-linear PDE of motion, and hence, it is free from approximation errors (such as model reduction, linearization etc.). Two state feedback controllers are presented based on a newly developed optimal dynamic inversion technique which leads to closed-form solutions for the control variable. In one formulation a continuous controller structure is assumed in the spatial domain, whereas in the other approach it is assumed that the control force is applied through a finite number of discrete actuators located at predefined discrete locations in the spatial domain. An implicit finite difference technique with unconditional stability has been used to solve the PDE with control actions. Numerical simulation studies show that the beam vibration can effectively be decreased using either of the two formulations.

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This paper discusses the consistent regularization property of the generalized α method when applied as an integrator to an initial value high index and singular differential-algebraic equation model of a multibody system. The regularization comes from within the discretization itself and the discretization remains consistent over the range of values the regularization parameter may take. The regularization involves increase of the smallest singular values of the ill-conditioned Jacobian of the discretization and is different from Baumgarte and similar techniques which tend to be inconsistent for poor choice of regularization parameter. This regularization also helps where pre-conditioning the Jacobian by scaling is of limited effect, for example, when the scleronomic constraints contain multiple closed loops or singular configuration or when high index path constraints are present. The feed-forward control in Kane's equation models is additionally considered in the numerical examples to illustrate the effect of regularization. The discretization presented in this work is adopted to the first order DAE system (unlike the original method which is intended for second order systems) for its A-stability and same order of accuracy for positions and velocities.

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Using inhomogeneous dynamical mean-field theory, we show that the normal-metal proximity effect could force any finite number of Mott-insulating "barrier" planes sandwiched between semi-infinite metallic leads to become "fragile" Fermi liquids. They are fully Fermi-liquid-like at T=0, leading to a restoration of lattice periodicity at zero frequency, with a well-defined Fermi surface, and perfect (ballistic) conductivity. However, the Fermi-liquid character can rapidly disappear at finite omega, V, T, disorder, or magnetism, all of which restore the expected quantum tunneling regime, leading to fascinating possibilities for nonlinear response in devices.

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Small and medium-sized enterprises (SMEs) from emerging markets in Latin America are increasingly engaging in export-related activities. Nevertheless, limited research exists into the export behavior of such firms. This study proposes and tests a conceptual model that includes the main drivers and inhibitors of export intensity for SMEs from Chile. The model uses confirmatory factor analysis (CFA) to develop the underlying multi-item constructs and structural equation modeling (SEM) to test the model. Results show that manager’s export commitment as well as managerial and organizational resources and capabilities are drivers of export intensity. In addition, the results show that managerial perceptions of internal barriers, such as a manager’s lack of international experience and knowledge, act as significant barriers to developing exports. However, unlike previous findings from developed countries no evidence exists of external cost barriers having a significant impact on export intensity, which is possibly an indication of a competitive business environment in Chile.

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The solution of the steady laminar incompressible nonsimilar magneto-hydrodynamic boundary layer flow and heat transfer problem with viscous dissipation for electrically conducting fluids over two-dimensional and axisymmetric bodies with pressure gradient and magnetic field has been presented. The partial differential equations governing the flow have been solved numerically using an implicit finite-difference scheme. The computations have been carried out for flow over a cylinder and a sphere. The results indicate that the magnetic field tends to delay or prevent separation. The heat transfer strongly depends on the viscous dissipation parameter. When the dissipation parameter is positive (i.e. when the temperature of the wall is greater than the freestream temperature) and exceeds a certain value, the hot wall ceases to be cooled by the stream of cooler air because the ‘heat cushion’ provided by the frictional heat prevents cooling whereas the effect of the magnetic field is to remove the ‘heat cushion’ so that the wall continues to be cooled. The results are found to be in good agreement with those of the local similarity and local nonsimilarity methods except near the point of separation, but they are in excellent agreement with those of the difference-differential technique even near the point of separation.

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The effect of vectored mass transfer on the flow and heat transfer of the steady laminar incompressible nonsimilar boundary layer with viscous dissipation for two-dimensional and axisymmetric porous bodies with pressure gradient has been studied. The partial differential equations governing the flow have been solved numerically using an implicit finite-difference scheme. The computations have been carried out for a cylinder and a sphere. The skin friction is strongly influenced by the vectored mass transfer, and the heat transfer both by the vectored mass transfer and dissipation parameter. It is observed that the vectored suction tends to delay the separation whereas the effect of the vectored injection is just the reverse. Our results agree with those of the local nonsimilarity, difference-differential and asymptotic methods but not with those of the local similarity method.

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The flow, heat and mass transfer problem for boundary layer swirling flow of a laminar steady compressible electrically conducting gas with variable properties through a conical nozzle and a diffuser with an applied magnetic field has been studied. The partial differential equations governing the flow have been solved numerically using an implicit finite-difference scheme after they have been transformed into dimensionless form using the modified Lees transformation. The results indicate that the skin friction and heat transfer strongly depend on the magnetic field, mass transfer and variation of the density-viscosity product across the boundary layer. However, the effect of the variation of the density-viscosity product is more pronounced in the case of a nozzle than in the case of a diffuser. It has been found that large swirl is required to produce strong effect on the skin friction and heat transfer. Separationless flow along the entire length of the diffuser can be obtained by applying appropriate amount of suction. The results are found to be in good agreement with those of the local nonsimilarity method, but they differ quite significantly from those of the local similarity method.

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The unsteady laminar incompressible boundary-layer flow near the three-dimensional asymmetric stagnation point has been studied under the assumptions that the free-stream velocity, wall temperature, and surface mass transfer vary arbitrarily with time. The partial differential equations governing the flow have been solved numerically using an implicit finite-difference scheme. It is found that in contrast with the symmetric flow, the maximum heat transfer occurs away from the stagnation point due to the decrease in the boundary-layer thickness. The effect of the variation of the wall temperature with time on heat transfer is strong. The skin friction and heat transfer due to asymmetric flow only are comparatively less affected by the mass transfer as compared to those of symmetric flow.

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Particle filters find important applications in the problems of state and parameter estimations of dynamical systems of engineering interest. Since a typical filtering algorithm involves Monte Carlo simulations of the process equations, sample variance of the estimator is inversely proportional to the number of particles. The sample variance may be reduced if one uses a Rao-Blackwell marginalization of states and performs analytical computations as much as possible. In this work, we propose a semi-analytical particle filter, requiring no Rao-Blackwell marginalization, for state and parameter estimations of nonlinear dynamical systems with additively Gaussian process/observation noises. Through local linearizations of the nonlinear drift fields in the process/observation equations via explicit Ito-Taylor expansions, the given nonlinear system is transformed into an ensemble of locally linearized systems. Using the most recent observation, conditionally Gaussian posterior density functions of the linearized systems are analytically obtained through the Kalman filter. This information is further exploited within the particle filter algorithm for obtaining samples from the optimal posterior density of the states. The potential of the method in state/parameter estimations is demonstrated through numerical illustrations for a few nonlinear oscillators. The proposed filter is found to yield estimates with reduced sample variance and improved accuracy vis-a-vis results from a form of sequential importance sampling filter.

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This paper describes an algorithm for ``direct numerical integration'' of the initial value Differential-Algebraic Inequalities (DAI) in a time stepping fashion using a sequential quadratic programming (SQP) method solver for detecting and satisfying active path constraints at each time step. The activation of a path constraint generally increases the condition number of the active discretized differential algebraic equation's (DAE) Jacobian and this difficulty is addressed by a regularization property of the alpha method. The algorithm is locally stable when index 1 and index 2 active path constraints and bounds are active. Subject to available regularization it is seen to be stable for active index 3 active path constraints in the numerical examples. For the high index active path constraints, the algorithm uses a user-selectable parameter to perturb the smaller singular values of the Jacobian with a view to reducing the condition number so that the simulation can proceed. The algorithm can be used as a relatively cheaper estimation tool for trajectory and control planning and in the context of model predictive control solutions. It can also be used to generate initial guess values of optimization variables used as input to inequality path constrained dynamic optimization problems. The method is illustrated with examples from space vehicle trajectory and robot path planning.

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Given a real-valued function on R-n we study the problem of recovering the function from its spherical means over spheres centered on a hyperplane. An old paper of Bukhgeim and Kardakov derived an inversion formula for the odd n case with great simplicity and economy. We apply their method to derive an inversion formula for the even n case. A feature of our inversion formula, for the even n case, is that it does not require the Fourier transform of the mean values or the use of the Hilbert transform, unlike the previously known inversion formulas for the even n case. Along the way, we extend the isometry identity of Bukhgeim and Kardakov for odd n, for solutions of the wave equation, to the even n case.

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A Finite Element Method based forward solver is developed for solving the forward problem of a 2D-Electrical Impedance Tomography. The Method of Weighted Residual technique with a Galerkin approach is used for the FEM formulation of EIT forward problem. The algorithm is written in MatLAB7.0 and the forward problem is studied with a practical biological phantom developed. EIT governing equation is numerically solved to calculate the surface potentials at the phantom boundary for a uniform conductivity. An EIT-phantom is developed with an array of 16 electrodes placed on the inner surface of the phantom tank filled with KCl solution. A sinusoidal current is injected through the current electrodes and the differential potentials across the voltage electrodes are measured. Measured data is compared with the differential potential calculated for known current and solution conductivity. Comparing measured voltage with the calculated data it is attempted to find the sources of errors to improve data quality for better image reconstruction.

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Nucleation is the first step in the formation of a new phase inside a mother phase. Two main forms of nucleation can be distinguished. In homogeneous nucleation, the new phase is formed in a uniform substance. In heterogeneous nucleation, on the other hand, the new phase emerges on a pre-existing surface (nucleation site). Nucleation is the source of about 30% of all atmospheric aerosol which in turn has noticeable health effects and a significant impact on climate. Nucleation can be observed in the atmosphere, studied experimentally in the laboratory and is the subject of ongoing theoretical research. This thesis attempts to be a link between experiment and theory. By comparing simulation results to experimental data, the aim is to (i) better understand the experiments and (ii) determine where the theory needs improvement. Computational fluid dynamics (CFD) tools were used to simulate homogeneous onecomponent nucleation of n-alcohols in argon and helium as carrier gases, homogeneous nucleation in the water-sulfuric acid-system, and heterogeneous nucleation of water vapor on silver particles. In the nucleation of n-alcohols, vapor depletion, carrier gas effect and carrier gas pressure effect were evaluated, with a special focus on the pressure effect whose dependence on vapor and carrier gas properties could be specified. The investigation of nucleation in the water-sulfuric acid-system included a thorough analysis of the experimental setup, determining flow conditions, vapor losses, and nucleation zone. Experimental nucleation rates were compared to various theoretical approaches. We found that none of the considered theoretical descriptions of nucleation captured the role of water in the process at all relative humidities. Heterogeneous nucleation was studied in the activation of silver particles in a TSI 3785 particle counter which uses water as its working fluid. The role of the contact angle was investigated and the influence of incoming particle concentrations and homogeneous nucleation on counting efficiency determined.