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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Based on the second-order random wave solutions of water wave equations in finite water depth, statistical distributions of the depth- integrated local horizontal momentum components are derived by use of the characteristic function expansion method. The parameters involved in the distributions can be all determined by the water depth and the wave-number spectrum of ocean waves. As an illustrative example, a fully developed wind-generated sea is considered and the parameters are calculated for typical wind speeds and water depths by means of the Donelan and Pierson spectrum. The effects of nonlinearity and water depth on the distributions are also investigated.
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Seismic Numerical Modeling is one of bases of the Exploratory Seismology and Academic Seismology, also is a research field in great demand. Essence of seismic numerical modeling is to assume that structure and parameters of the underground media model are known, simulate the wave-field and calculate the numerical seismic record that should be observed. Seismic numerical modeling is not only a means to know the seismic wave-field in complex inhomogeneous media, but also a test to the application effect by all kinds of methods. There are many seismic numerical modeling methods, each method has its own merits and drawbacks. During the forward modeling, the computation precision and the efficiency are two pivotal questions to evaluate the validity and superiority of the method. The target of my dissertation is to find a new method to possibly improve the computation precision and efficiency, and apply the new forward method to modeling the wave-field in the complex inhomogeneous media. Convolutional Forsyte polynomial differentiator (CFPD) approach developed in this dissertation is robust and efficient, it shares some of the advantages of the high precision of generalized orthogonal polynomial and the high speed of the short operator finite-difference. By adjusting the operator length and optimizing the operator coefficient, the method can involve whole and local information of the wave-field. One of main tasks of the dissertation is to develop a creative, generalized and high precision method. The author introduce convolutional Forsyte polynomial differentiator to calculate the spatial derivative of seismic wave equation, and apply the time staggered grid finite-difference which can better meet the high precision of the convolutional differentiator to substitute the conventional finite-difference to calculate the time derivative of seismic wave equation, then creating a new forward method to modeling the wave-field in complex inhomogeneous media. Comparing with Fourier pseudo-spectral method, Chebyshev pseudo-spectral method, staggered- grid finite difference method and finite element method, convolutional Forsyte polynomial differentiator (CFPD) method has many advantages: 1. Comparing with Fourier pseudo-spectral method. Fourier pseudo-spectral method (FPS) is a local operator, its results have Gibbs effects when the media parameters change, then arose great errors. Therefore, Fourier pseudo-spectral method can not deal with special complex and random heterogeneous media. But convolutional Forsyte polynomial differentiator method can cover global and local information. So for complex inhomogeneous media, CFPD is more efficient. 2. Comparing with staggered-grid high-order finite-difference method, CFPD takes less dots than FD at single wave length, and the number does not increase with the widening of the studying area. 3. Comparing with Chebyshev pseudo-spectral method (CPS). The calculation region of Chebyshev pseudo-spectral method is fixed in , under the condition of unchangeable precision, the augmentation of calculation is unacceptable. Thus Chebyshev pseudo-spectral method is inapplicable to large area. CFPD method is more applicable to large area. 4. Comparing with finite element method (FE), CFPD can use lager grids. The other task of this dissertation is to study 2.5 dimension (2.5D) seismic wave-field. The author reviews the development and present situation of 2.5D problem, expatiates the essentiality of studying the 2.5D problem, apply CFPD method to simulate the seismic wave-field in 2.5D inhomogeneous media. The results indicate that 2.5D numerical modeling is efficient to simulate one of the sections of 3D media, 2.5D calculation is much less time-consuming than 3D calculation, and the wave dispersion of 2.5D modeling is obviously less than that of 3D modeling. Question on applying time staggered-grid convolutional differentiator based on CFPD to modeling 2.5D complex inhomogeneous media was not studied by any geophysicists before, it is a fire-new creation absolutely. The theory and practices prove that the new method can efficiently model the seismic wave-field in complex media. Proposing and developing this new method can provide more choices to study the seismic wave-field modeling, seismic wave migration, seismic inversion, and seismic wave imaging.
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The South China Sea (SCS) is one of the largest marginal seas in the western Pacific, which is located at the junction of Eurasian plate, Pacific plate and Indian-Australian plate. It was formed by continent breakup and sea-floor spreading in Cenozoic. The complicated interaction among the three major plates made tectonic movement complex and geological phenomena very rich in this area. The SCS is an ideal place to study the formation and evolution of rifted continental margin and sea-floor spreading since it is old enough to have experienced the major stages of the basin evolution but still young enough to have preserved its original nature. As the demand for energy grows day by day in our country, the deep water region of the northern continental margin in the SCS has become a focus of oil and gas exploration because of its huge hydrocarbon potential. Therefore, to study the rifted continental margin of the SCS not only can improve our understanding of the formation and evolution processes of rifted continental margin, but also can provide theoretical support for hydrocarbon exploration in rifted continental margin. This dissertation mainly includes five topics as follows: (1) Various classic lithosphere stretching models are reviewed, and the continuous non-uniform stretching model is modified to make it suitable for the case where the extension of lithopheric mantle exceeds that of the crust. Then simple/pure shear flexural cantilever model is applied to model the basement geometries of SO49-18 profile in the northern continental margin of the SCS. By fitting the basements obtained by using 2DMove software with modeling results, it is found that the reasonable effective elastic thickness is less than 5km in this region. According to this result, it is assumed that there is weak lower crust in the northern continental margin in the SCS. (2) We research on the methods for stretching factor estimation based on various lithosphere stretching models, and apply the method based on multiple finite rifting model to estimate the stretching factors of several wells and profiles in the northern continental margin of the SCS. (3) We improve one-dimension strain rate inversion method with conjugate gradient method, and apply it to invert the strain rate of several wells in the northern continental margin of the SCS. Two-dimension strain rate forward modeling is carried out, and the modeling results show that effective elastic thickness is a key parameter to control basin’s geometry. (4) We simulate divergent upwelling mantle flow model using finite difference method, and apply this newly developed model to examine the formation mechanism of the northwest and central sub-basin in the SCS. (5) We inverse plate thickness and basal temperature of oceanic lithosphere using sea-floor ages and bathymetries of the North Pacific and the North Atlantic based on varied-parameters plate model, in which the heat conductivity, heat capacity and coefficient of thermal expansion depend on temperature or depth. A new empirical formula is put forward based the inversed parameters, which depicts the relation among sea-floor age, bathymetry and heat flow. Then various similar empirical formulae, including the newly developed one, are applied to examine the sea-floor spread issue in the SCS based on the heat flow and bathymetry data of the abyssal sub-basin.
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The topic of this study is about the propagation features of elastic waves in the anisotropic and nonlinear media by numerical methods with high accuracy and stability. The main achievements of this paper are as followings: Firstly, basing on the third order elastic energy formula, principle of energy conservation and circumvolved matrix method, we firstly reported the equations of non-linear elastic waves with two dimensions and three components in VTI media. Secondly, several conclusions about some numerical methods have been obtained in this paper. Namely, the minimum suitable sample stepth in space is about 1/8-1/12 of the main wavelength in order to distinctly reduce the numerical dispersion resulted from the numerical mehtod, at the same time, the higher order conventional finite difference (CFD) schemes will give little contribution to avoid the numerical solutions error accumulating with time. To get the similar accuracy with the fourth order center finite difference method, the half truncation length of SFFT should be no less than 7. The FDFCT method can present with the numerical solutions without obvious dispersion when the paprameters of FCT is suitable (we think they should be in the scope from 0.0001 to 0.07). Fortunately, the NADM method not only can reported us with the higher order accuracy solutions (higher than that of the fourth order finite difference method and lower than that of the sixth order finite difference method), but also can distinctly reduce the numerical dispersion. Thirdly, basing on the numerial and theoretical analysis, we reported such nonlinear response accumulating with time as waveform aberration, harmonic generation and resonant peak shift shown by the propagation of one- and two-dimensional non-linear elasticwaves in this paper. And then, we drew the conclusion that these nonlinear responses are controlled by the product between nonlinear strength (SN) and the amplitude of the source. At last, the modified FDFCT numerical method presented by this paper is used to model the two-dimensional non-linear elastic waves propagating in VTI media. Subsequently, the wavelet analysis and polarization are adopted to investigate and understand the numerical results. And then, we found the following principles (attention: the nonlinear strength presented by this paper is weak, the thickness of the -nonlinear media is thin (200m), the initial energy of the source is weak and the anisotropy of the media is weak too): The non-linear response shown by the elastic waves in VTI media is anisotropic too; The instantaneous main frequency sections of seismic records resulted from the media with a non-linear layer have about 1/4 to 1/2 changes of the initial main frequency of source with that resulted from the media without non-linear layer; The responses shown by the elasic waves about the anisotropy and nonlinearity have obvious mutual reformation, namely, the non-linear response will be stronger in some directions because of the anisotropy and the anisotropic strength shown by the elastic waves will be stronger when the media is nonlinear.
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A novel multi-scale seamless model of brittle-crack propagation is proposed and applied to the simulation of fracture growth in a two-dimensional Ag plate with macroscopic dimensions. The model represents the crack propagation at the macroscopic scale as the drift-diffusion motion of the crack tip alone. The diffusive motion is associated with the crack-tip coordinates in the position space, and reflects the oscillations observed in the crack velocity following its critical value. The model couples the crack dynamics at the macroscales and nanoscales via an intermediate mesoscale continuum. The finite-element method is employed to make the transition from the macroscale to the nanoscale by computing the continuum-based displacements of the atoms at the boundary of an atomic lattice embedded within the plate and surrounding the tip. Molecular dynamics (MD) simulation then drives the crack tip forward, producing the tip critical velocity and its diffusion constant. These are then used in the Ito stochastic calculus to make the reverse transition from the nanoscale back to the macroscale. The MD-level modelling is based on the use of a many-body potential. The model successfully reproduces the crack-velocity oscillations, roughening transitions of the crack surfaces, as well as the macroscopic crack trajectory. The implications for a 3-D modelling are discussed.
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The motion of a clarinet reed that is clamped to a mouthpiece and supported by a lip is simulated in the time-domain using finite difference methods. The reed is modelled as a bar with non-uniform cross section, and is described using a one-dimensional, fourth-order partial differential equation. The interactions with the mouthpiece Jay and the player's lip are taken into account by incorporating conditional contact forces in the bar equation. The model is completed by clamped-free boundary conditions for the reed. An implicit finite difference method is used for discretising the system, and values for the physical parameters are chosen both from laboratory measurements and by accurate tuning of the numerical simulations. The accuracy of the numerical system is assessed through analysis of frequency warping effects and of resonance estimation. Finally, the mechanical properties of the system are studied by analysing its response to external driving forces. In particular, the effects of reed curling are investigated.
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We consider the local order estimation of nonlinear autoregressive systems with exogenous inputs (NARX), which may have different local dimensions at different points. By minimizing the kernel-based local information criterion introduced in this paper, the strongly consistent estimates for the local orders of the NARX system at points of interest are obtained. The modification of the criterion and a simple procedure of searching the minimum of the criterion, are also discussed. The theoretical results derived here are tested by simulation examples.
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The present paper studies the probability of ruin of an insurer, if excess of loss reinsurance with reinstatements is applied. In the setting of the classical Cramer-Lundberg risk model, piecewise deterministic Markov processes are used to describe the free surplus process in this more general situation. It is shown that the finite-time ruin probability is both the solution of a partial integro-differential equation and the fixed point of a contractive integral operator. We exploit the latter representation to develop and implement a recursive algorithm for numerical approximation of the ruin probability that involves high-dimensional integration. Furthermore we study the behavior of the finite-time ruin probability under various levels of initial surplus and security loadings and compare the efficiency of the numerical algorithm with the computational alternative of stochastic simulation of the risk process. (C) 2011 Elsevier Inc. All rights reserved.
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We consider the Dirichlet and Robin boundary value problems for the Helmholtz equation in a non-locally perturbed half-plane, modelling time harmonic acoustic scattering of an incident field by, respectively, sound-soft and impedance infinite rough surfaces.Recently proposed novel boundary integral equation formulations of these problems are discussed. It is usual in practical computations to truncate the infinite rough surface, solving a boundary integral equation on a finite section of the boundary, of length 2A, say. In the case of surfaces of small amplitude and slope we prove the stability and convergence as A→∞ of this approximation procedure. For surfaces of arbitrarily large amplitude and/or surface slope we prove stability and convergence of a modified finite section procedure in which the truncated boundary is ‘flattened’ in finite neighbourhoods of its two endpoints. Copyright © 2001 John Wiley & Sons, Ltd.
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This study investigates the numerical simulation of three-dimensional time-dependent viscoelastic free surface flows using the Upper-Convected Maxwell (UCM) constitutive equation and an algebraic explicit model. This investigation was carried out to develop a simplified approach that can be applied to the extrudate swell problem. The relevant physics of this flow phenomenon is discussed in the paper and an algebraic model to predict the extrudate swell problem is presented. It is based on an explicit algebraic representation of the non-Newtonian extra-stress through a kinematic tensor formed with the scaled dyadic product of the velocity field. The elasticity of the fluid is governed by a single transport equation for a scalar quantity which has dimension of strain rate. Mass and momentum conservations, and the constitutive equation (UCM and algebraic model) were solved by a three-dimensional time-dependent finite difference method. The free surface of the fluid was modeled using a marker-and-cell approach. The algebraic model was validated by comparing the numerical predictions with analytic solutions for pipe flow. In comparison with the classical UCM model, one advantage of this approach is that computational workload is substantially reduced: the UCM model employs six differential equations while the algebraic model uses only one. The results showed stable flows with very large extrudate growths beyond those usually obtained with standard differential viscoelastic models. (C) 2010 Elsevier Ltd. All rights reserved.
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This paper describes the development of an implicit finite difference method for solving transient three-dimensional incompressible free surface flows. To reduce the CPU time of explicit low-Reynolds number calculations, we have combined a projection method with an implicit technique for treating the pressure on the free surface. The projection method is employed to uncouple the velocity and the pressure fields, allowing each variable to be solved separately. We employ the normal stress condition on the free surface to derive an implicit technique for calculating the pressure at the free surface. Numerical results demonstrate that this modification is essential for the construction of methods that are more stable than those provided by discretizing the free surface explicitly. In addition, we show that the proposed method can be applied to viscoelastic fluids. Numerical results include the simulation of jet buckling and extrudate swell for Reynolds numbers in the range [0.01, 0.5]. (C) 2008 Elsevier Inc. All rights reserved.
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Strategies for the development of new vaccines against Streptococcus pneumoniae infections try to overcome problems such as serotype coverage and high costs, present in currently available vaccines. Formulations based on protein candidates that can induce protection in animal models have been pointed as good alternatives. Among them, the Pneumococcal Surface Protein A (PspA) plays an important role during systemic infection at least in part through the inhibition of complement deposition on the pneumococcal surface, a mechanism of evasion from the immune system. Antigen delivery systems based on live recombinant lactic acid bacteria (LAB) represents a promising strategy for mucosal vaccination, since they are generally regarded as safe bacteria able to elicit both systemic and mucosal immune responses. In this work, the N-terminal region of clade I PspA was constitutively expressed in Lactobacillus casei and the recombinant bacteria was tested as a mucosal vaccine in mice. Nasal immunization with L. casei-PspA 1 induced anti-PspA antibodies that were able to bind to pneumococcal strains carrying both clade 1 and clade 2 PspAs and to induce complement deposition on the surface of the bacteria. In addition, an increase in survival of immunized mice after a systemic challenge with a virulent pneumococcal strain was observed. (C) 2008 Elsevier Masson SAS. All rights reserved.
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fit the context of normalized variable formulation (NVF) of Leonard and total variation diminishing (TVD) constraints of Harten. this paper presents an extension of it previous work by the authors for solving unsteady incompressible flow problems. The main contributions of the paper are threefold. First, it presents the results of the development and implementation of a bounded high order upwind adaptative QUICKEST scheme in the 3D robust code (Freeflow), for the numerical solution of the full incompressible Navier-Stokes equations. Second, it reports numerical simulation results for 1D hock tube problem, 2D impinging jet and 2D/3D broken clam flows. Furthermore, these results are compared with existing analytical and experimental data. and third, it presents the application of the numerical method for solving 3D free surface flow problems. (C) 2007 IMACS. Published by Elsevier B.V. All rights reserved,
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)