Computational aspects of the numerical solution of SDEs

In the last 30 to 40 years, many researchers have combined to build the knowledge base of theory and solution techniques that can be applied to the case of differential equations which include the effects of noise. This class of ``noisy'' differential equations is now known as stochastic differential equations (SDEs). Markov diffusion processes are included within the field of SDEs through the drift and diffusion components of the Itô form of an SDE. When these drift and diffusion components are moderately smooth functions, then the processes' transition probability densities satisfy the Fokker-Planck-Kolmogorov (FPK) equation -- an ordinary partial differential equation (PDE). Thus there is a mathematical inter-relationship that allows solutions of SDEs to be determined from the solution of a noise free differential equation which has been extensively studied since the 1920s. The main numerical solution technique employed to solve the FPK equation is the classical Finite Element Method (FEM). The FEM is of particular importance to engineers when used to solve FPK systems that describe noisy oscillators. The FEM is a powerful tool but is limited in that it is cumbersome when applied to multidimensional systems and can lead to large and complex matrix systems with their inherent solution and storage problems. I show in this thesis that the stochastic Taylor series (TS) based time discretisation approach to the solution of SDEs is an efficient and accurate technique that provides transition and steady state solutions to the associated FPK equation. The TS approach to the solution of SDEs has certain advantages over the classical techniques. These advantages include their ability to effectively tackle stiff systems, their simplicity of derivation and their ease of implementation and re-use. Unlike the FEM approach, which is difficult to apply in even only two dimensions, the simplicity of the TS approach is independant of the dimension of the system under investigation. Their main disadvantage, that of requiring a large number of simulations and the associated CPU requirements, is countered by their underlying structure which makes them perfectly suited for use on the now prevalent parallel or distributed processing systems. In summary, l will compare the TS solution of SDEs to the solution of the associated FPK equations using the classical FEM technique. One, two and three dimensional FPK systems that describe noisy oscillators have been chosen for the analysis. As higher dimensional FPK systems are rarely mentioned in the literature, the TS approach will be extended to essentially infinite dimensional systems through the solution of stochastic PDEs. In making these comparisons, the advantages of modern computing tools such as computer algebra systems and simulation software, when used as an adjunct to the solution of SDEs or their associated FPK equations, are demonstrated.

Coordinate and time-dependent diffusion dynamics in protein folding

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Comparison of SRIM, MCNPX and GEANT simulations with experimental data for thick Al absorbers

Proton computerized tomography deals with relatively thick targets like the human head or trunk. In this case precise analytical calculation of the proton final energy is a rather complicated task, thus the Monte Carlo simulation stands out as a solution. We used the GEANT4.8.2 code to calculate the proton final energy spectra after passing a thick Al absorber and compared it with the same conditions of the experimental data. The ICRU49, Ziegler85 and Ziegler2000 models from the low energy extension pack were used. The results were also compared with the SRIM2008 and MCNPX2.4 simulations, and with solutions of the Boltzmann transport equation in the Fokker-Planck approximation. (C) 2009 Elsevier Ltd. All rights reserved.

Quantum hydrodynamic models for semiconductors with and without collisions

In dieser Arbeit werden Quantum-Hydrodynamische (QHD) Modelle betrachtet, die ihren Einsatz besonders in der Modellierung von Halbleiterbauteilen finden. Das QHD Modell besteht aus den Erhaltungsgleichungen für die Teilchendichte, das Momentum und die Energiedichte, inklusive der Quanten-Korrekturen durch das Bohmsche Potential. Zu Beginn wird eine Übersicht über die bekannten Ergebnisse der QHD Modelle unter Vernachlässigung von Kollisionseffekten gegeben, die aus ein­em Schrödinger-System für den gemischten-Zustand oder aus der Wigner-Glei­chung hergeleitet werden können. Nach der Reformulierung der eindimensionalen QHD Gleichungen mit linearem Potential als stationäre Schrö­din­ger-Gleichung werden die semianalytischen Fassungen der QHD Gleichungen für die Gleichspannungs-Kurve betrachtet. Weiterhin werden die viskosen Stabilisierungen des QHD Modells be­rück­sich­tigt, sowie die von Gardner vorgeschlagene numerische Viskosität für das {sf upwind} Finite-Differenzen Schema berechnet. Im Weiteren wird das viskose QHD Modell aus der Wigner-Glei­chung mit Fokker-Planck Kollisions-Ope­ra­tor hergeleitet. Dieses Modell enthält die physikalische Viskosität, die durch den Kollision-Operator eingeführt wird. Die Existenz der Lösungen (mit strikt positiver Teilchendichte) für das isotherme, stationäre, eindimensionale, viskose Modell für allgemeine Daten und nichthomogene Randbedingungen wird gezeigt. Die dafür notwendigen Abschätzungen hängen von der Viskosität ab und erlauben daher den Grenzübergang zum nicht-viskosen Fall nicht. Numerische Simulationen der Resonanz-Tunneldiode modelliert mit dem nichtisothermen, stationären, eindimensionalen, viskosen QHD Modell zeigen den Einfluss der Viskosität auf die Lösung. Unter Verwendung des von Degond und Ringhofer entwickelten Quanten-Entropie-Minimierungs-Verfahren werden die allgemeinen QHD-Gleichungen aus der Wigner-Boltzmann-Gleichung mit dem BGK-Kollisions-Operator hergeleitet. Die Herleitung basiert auf der vorsichtige Entwicklung des Quanten-Max­well­ians in Potenzen der skalierten Plankschen Konstante. Das so erhaltene Modell enthält auch vertex-Terme und dispersive Terme für die Ge­schwin­dig­keit. Dadurch bleibt die Gleichspannungs-Kurve für die Re­so­nanz-Tunnel­diode unter Verwendung des allgemeinen QHD Modells in einer Dimension numerisch erhalten. Die Ergebnisse zeigen, dass der dispersive Ge­schwin­dig­keits-Term die Lösung des Systems stabilisiert.

Design of a Semi-analytical Method to Describe Plasma-Wall Interactions

Electric probes are objects immersed in the plasma with sharp boundaries which collect of emit charged particles. Consequently, the nearby plasma evolves under abrupt imposed and/or naturally emerging conditions. There could be localized currents, different time scales for plasma species evolution, charge separation and absorbing-emitting walls. The traditional numerical schemes based on differences often transform these disparate boundary conditions into computational singularities. This is the case of models using advection-diffusion differential equations with source-sink terms (also called Fokker-Planck equations). These equations are used in both, fluid and kinetic descriptions, to obtain the distribution functions or the density for each plasma species close to the boundaries. We present a resolution method grounded on an integral advancing scheme by using approximate Green's functions, also called short-time propagators. All the integrals, as a path integration process, are numerically calculated, what states a robust grid-free computational integral method, which is unconditionally stable for any time step. Hence, the sharp boundary conditions, as the current emission from a wall, can be treated during the short-time regime providing solutions that works as if they were known for each time step analytically. The form of the propagator (typically a multivariate Gaussian) is not unique and it can be adjusted during the advancing scheme to preserve the conserved quantities of the problem. The effects of the electric or magnetic fields can be incorporated into the iterative algorithm. The method allows smooth transitions of the evolving solutions even when abrupt discontinuities are present. In this work it is proposed a procedure to incorporate, for the very first time, the boundary conditions in the numerical integral scheme. This numerical scheme is applied to model the plasma bulk interaction with a charge-emitting electrode, dealing with fluid diffusion equations combined with Poisson equation self-consistently. It has been checked the stability of this computational method under any number of iterations, even for advancing in time electrons and ions having different time scales. This work establishes the basis to deal in future work with problems related to plasma thrusters or emissive probes in electromagnetic fields.

Income and poverty in a developing economy

We present a stochastic agent-based model for the distribution of personal incomes in a developing economy. We start with the assumption that incomes are determined both by individual labour and by stochastic effects of trading and investment. The income from personal effort alone is distributed about a mean, while the income from trade, which may be positive or negative, is proportional to the trader's income. These assumptions lead to a Langevin model with multiplicative noise, from which we derive a Fokker-Planck (FP) equation for the income probability density function (IPDF) and its variation in time. We find that high earners have a power law income distribution while the low-income groups have a Levy IPDF. Comparing our analysis with the Indian survey data (obtained from the world bank website: http://go.worldbank.org/SWGZB45DN0) taken over many years we obtain a near-perfect data collapse onto our model's equilibrium IPDF. Using survey data to relate the IPDF to actual food consumption we define a poverty index (Sen A. K., Econometrica., 44 (1976) 219; Kakwani N. C., Econometrica, 48 (1980) 437), which is consistent with traditional indices, but independent of an arbitrarily chosen "poverty line" and therefore less susceptible to manipulation. Copyright © EPLA, 2010.

Frequency of elemental events of intracellular Ca²⁺ dynamics

The dynamics of intracellular Ca²⁺ is driven by random events called Ca²⁺ puffs, in which Ca²⁺ is liberated from intracellular stores. We show that the emergence of Ca²⁺ puffs can be mapped to an escape process. The mean first passage times that correspond to the stochastic fraction of puff periods are computed from a novel master equation and two Fokker-Planck equations. Our results demonstrate that the mathematical modeling of Ca²⁺ puffs has to account for the discrete character of the Ca²⁺ release sites and does not permit a continuous description of the number of open channels.

EFFECT OF CORE-SHELL STRUCTURE OF HYDROGEL BEADS ON THE THRESHOLD CONCENTRATION OF WATER FOR SWELLING AND ITS PH SENSITIVITY

In this paper we investigate the effect of core-shell structure of Sodium Alginate based hydrogel beads and their size on certain activation threshold concentration of water for applications in swelling and pH sensing. This type of hydrogel experiences diffusive pressure due to transport of certain free charges across its interface with a solvent or electrolyte. This process is essentially a dynamic equilibrium of the electric force field, stress in the polymeric network with cage like structure and molecular diffusion including phase transformation due to pressure imbalance between the hydrogel and its surroundings. The effect of pH of the solvant on the swelling rate of these beads has been studied experimentally. A mathematical model of the swelling process has been developed by considering Nernst-Planck equation representing the migration of mobile ions and Er ions, Poisson equation representing the equilibrium of the electric field and mechanical field equation representing swelling of the gel. An attempt has been made to predict the experimentally observed phenomena using these numerical simulations. It is observed experimentally that certain minimum concentration called activation threshold concentration of the water molecules must be present in the hydrogel in order to activate the swelling process. For the required activation threshold concentration of water in the beads, the pH induced change in the rate of swelling is also investigated. This effect is analyzed for various different core-shell structures of the beads.

Unusual eigenvalue spectrum and relaxation in the Levy-Ornstein-Uhlenbeck process

We consider the rates of relaxation of a particle in a harmonic well, subject to Levy noise characterized by its Levy index mu. Using the propagator for this Levy-Ornstein-Uhlenbeck process (LOUP), we show that the eigenvalue spectrum of the associated Fokker-Planck operator has the form (n + m mu)nu where nu is the force constant characterizing the well, and n, m is an element of N. If mu is irrational, the eigenvalues are all nondegenerate, but rational mu can lead to degeneracy. The maximum degeneracy is shown to be 2. The left eigenfunctions of the fractional Fokker-Planck operator are very simple while the right eigenfunctions may be obtained from the lowest eigenfunction by a combination of two different step-up operators. Further, we find that the acceptable eigenfunctions should have the asymptotic behavior vertical bar x vertical bar(-n1-n2 mu) as vertical bar x vertical bar -> infinity, with n(1) and n(2) being positive integers, though this condition alone is not enough to identify them uniquely. We also assert that the rates of relaxation of LOUP are determined by the eigenvalues of the associated fractional Fokker-Planck operator and do not depend on the initial state if the moments of the initial distribution are all finite. If the initial distribution has fat tails, for which the higher moments diverge, one can have nonspectral relaxation, as pointed out by Toenjes et al. Phys. Rev. Lett. 110, 150602 (2013)].

Solute transport in nanochannels with roughness-like structures

Newfound attention has been given to solute transport in nanochannels. Because the electric double layer (EDL) thickness is comparable to characteristic channel dimensions, nanochannels have been used to separate ionic species with a constant charge-to-size ratio (i.e., electrophoretic mobility) that otherwise cannot be separated in electroosmotic or pressure- driven flow along microchannels. In nanochannels, the electrical fields within the EDL cause transverse ion distributions and thus yield charge-dependent mean ion speeds in the flow. Surface roughness is usually inevitable during microfabrication of microchannels or nanochannels. Surface roughness is usually inevitable during the fabrication of nanochannels. In the present study, we develop a numerical model to investigate the transport of charged solutes in nanochannels with hundreds of roughness-like structures. The model is based on continuum theory that couples Navier-Stokes equations for flows, Poisson-Boltzmann equation for electrical fields, and Nernst-Planck equation for solute transports. Different operating conditions are considered and the solute transport patterns in rough channels are compared with those in smooth channels. Results indicate that solutes move slower in rough nanochannels than in smooth ones for both pressure- driven and electroosmotic flows. Moreover, solute separation can be significantly improved by surface roughness under certain circumstances.

适用于中等耦合等离子体的碰撞算子

完全电离等离子体中，当试探粒子分布函数fα是关于试探粒子速度vα的偶函数时，导出了一个新的动力学方程的碰撞算子．该碰撞算子同时包括了大角散射（库仑近碰撞）和小角散射（库仑远碰撞）的二体碰撞的贡献，因此，该碰撞算子同时适用于弱耦合（库仑对数ln∧≥10）和中等耦合（库仑对数2≤ln∧≤10）等离子体．而且经过修改的碰撞算子和Rosenbluth势有直接的联系，当试探粒子和场粒子满足条件mα＜mβ（如电子-离子碰撞或Lorentz气体模型）和｜vα｜〉｜vβ｜时，经约化的电子-离子碰撞算子同最初的Fokker

HIRFL-CSRm Betatron振荡随机冷却

对拟在HIRFL CSRm上建造的横向自由振荡随机冷却进行了数值优化计算和设计 ,得到了最佳带宽、冷却时间、频谱上束流谱密度分布函数随时间的变化 ,以及在冷却过程中束流横向位移的分布等值 ,并且对功率限定情况作了讨论 ,从而为冷却系统的设计、优化、建造和运行提供了理论依据

HIRFL-CSRm纵向随机冷却——Palmer冷却研究

对拟在HIRFL CSRm上建造的纵向Palmer冷却进行了数值优化计算 ,得出了最佳带宽、最佳增益及最短冷却时间 ,并运用Fokker Planck方程进行了模拟 ,得到了动量散度分布函数在冷却过程中随时间的变化 ,从而为纵向冷却系统的具体设计和优化提供了重要的理论依据 .

HIRFL-CSRm纵向随机冷却-槽形滤波冷却模拟研究

　通过Fokker Planck方程,对拟在HIRFL CSRm上建造的纵向槽形滤波器(notchfilter)的冷却机理进行了研究,得出了冷却原理及冷却时间的表达式,并对影响冷却时间和冷却效果的因素进行了模拟和讨论,模拟结果表明,噪信比越小,冷却时间越短,冷却效果越好;带宽越宽冷却越快。该研究为具体纵向冷却系统的设计和优化提供了依据。

CSR随机冷却研究

随机冷却是用一个宽带反馈系统对束流进行衰减，位于束流上游的探测器探测到与粒子偏差成正比的电子学信号，这一输出信号经过放大滤波系统后被加到下游的冲击器上，粒子在冲击器上得到正比于偏差的校正，从而达到冷却的目的。随机冷却可以用于粒子储存环任意能区的冷却，尤其是对大动量分散的次级束、高能束、稀有粒子束有其独特的作用，并与电子冷却互补。本论文首先对随机冷却的发展历史及贡献作了叙述，并对国外研究现状以及随机冷却同其它冷却的不同作了描述，继而提出了在HIRFL-CSR上建立随机冷却的重要性、必要性以及条件的成熟性。接着本论文对Schottky噪声信号理论、随机冷却理论（分别在时域和频域下）作了详细的推导和描述，并对-Schoftky噪声诊断和用于随机冷却系统测量和束流稳定性分析的束流传输函数作了一定的分析和讨论。由于探测器和冲击器在随机冷却中起着核心作用，因此也对探测器和冲击器作了一定的研究。最后，也是本论文的核心部分，根据CSR的实际情况，如环的Lattice参数，环上元件布置，现有Sdhottky诊断装置以及资金等，对CSR随机冷却做了初步的设计和优化，用冷却方程和Fokker-Planck方程对CSR随机冷却做了详细的数值模拟计算，得到了最佳带宽、冷却时间、频谱上束流谱密度分布函数随时间的变化，以及在冷却过程中的束流分布变化等值，并且对功率限定情况作了讨论研究表明随机冷却对CSR束流冷却速度很快，冷却效果很好。并对电子冷却和随机冷却做了比较，提出对CSR束流冷却用电子冷却和随机冷却相结合的办法，先用随机冷却粗冷，再用电子冷却精细冷却，这样可以得到更高流强更好品质的束流。本文对具体冷却系统的设计补优代；健滇码运行有重要意义为CSR随机冷却系统的建造做了充分的准备，也为实验数据的分析提供了理论依据。