Numerical solutions of stochastic differential equations – implementation and stability issues

Stochastic differential equations (SDEs) arise fi om physical systems where the parameters describing the system can only be estimated or are subject to noise. There has been much work done recently on developing numerical methods for solving SDEs. This paper will focus on stability issues and variable stepsize implementation techniques for numerically solving SDEs effectively.

Travelling waves for a velocity–jump model of cell migration and proliferation

Cell invasion, characterised by moving fronts of cells, is an essential aspect of development, repair and disease. Typically, mathematical models of cell invasion are based on the Fisher–Kolmogorov equation. These traditional parabolic models can not be used to represent experimental measurements of individual cell velocities within the invading population since they imply that information propagates with infinite speed. To overcome this limitation we study combined cell motility and proliferation based on a velocity–jump process where information propagates with finite speed. The model treats the total population of cells as two interacting subpopulations: a subpopulation of left–moving cells, $L(x,t)$, and a subpopulation of right–moving cells, $R(x,t)$. This leads to a system of hyperbolic partial differential equations that includes a turning rate, $\Lambda \ge 0$, describing the rate at which individuals in the population change direction of movement. We present exact travelling wave solutions of the system of partial differential equations for the special case where $\Lambda = 0$ and in the limit that $\Lambda \to \infty$. For intermediate turning rates, $0 < \Lambda < \infty$, we analyse the travelling waves using the phase plane and we demonstrate a transition from smooth monotone travelling waves to smooth nonmonotone travelling waves as $\Lambda$ decreases through a critical value $\Lambda_{crit}$. We conclude by providing a qualitative comparison between the travelling wave solutions of our model and experimental observations of cell invasion. This comparison indicates that the small $\Lambda$ limit produces results that are consistent with experimental observations.

Jacobian-free Newton-Krylov methods with GPU acceleration for computing nonlinear ship wave patterns

The nonlinear problem of steady free-surface flow past a submerged source is considered as a case study for three-dimensional ship wave problems. Of particular interest is the distinctive wedge-shaped wave pattern that forms on the surface of the fluid. By reformulating the governing equations with a standard boundary-integral method, we derive a system of nonlinear algebraic equations that enforce a singular integro-differential equation at each midpoint on a two-dimensional mesh. Our contribution is to solve the system of equations with a Jacobian-free Newton-Krylov method together with a banded preconditioner that is carefully constructed with entries taken from the Jacobian of the linearised problem. Further, we are able to utilise graphics processing unit acceleration to significantly increase the grid refinement and decrease the run-time of our solutions in comparison to schemes that are presently employed in the literature. Our approach provides opportunities to explore the nonlinear features of three-dimensional ship wave patterns, such as the shape of steep waves close to their limiting configuration, in a manner that has been possible in the two-dimensional analogue for some time.

Predictive validity of accelerometer prediction equations for energy expenditure (EE) during overland walking and running in children and adolescents

Purpose The aim of this study was to assess the predictive validity of three accelerometer prediction equations (Freedson et aL, 1997; Trost et aL, 1998; Puyau et al., 2002) for energy expenditure (EE) during overland walking and running in children and adolescents. Methods 45 healthy children and adolescents aged 10-18 completed the following protocol, each task 5-mins in duration, with a 5-min rest period in between; walking normally; walking briskly; running easily and running fast. During each task participants wore MTI (WAM 7164) Actigraphs on the left and right hips. VO2 was monitored breath by breath using the Cosmed K4b2 portable indirect calorimetry system. For each prediction equation, difference scores were calculated as EE measured minus EE predicted. The percentage of 1-min epochs correctly categorized as light (<3 METs), moderate (3-5.9 METs), and vigorous (≥6 METS) was also calculated. Results The Freedson and Trost equations consistently overestimated MET level. The level of overestimation was statistically significant across all tasks for the Freedson equation, and was significant for only the walking tasks for the Trost equation. The Puyau equation consistently underestimated AEE with the exception of the walking normally task. In terms of categorisation, the Freedson equation (72.8% agreement) demonstrated better agreement than the Puyau (60.6%). Conclusions These data suggest that the three accelerometer prediction equations do not accurately predict EE on a minute-by-minute basis in children and adolescents during overland walking and running. However, the cut points generated by these equations maybe useful for classifying activity as either, light, moderate, or vigorous.

On the nature of power flow equations in security analysis

The power system network is assumed to be in steady-state even during low frequency transients. However, depending on generator dynamics, and toad and control characteristics, the system model and the nature of power flow equations can vary The nature of power flow equations describing the system during a contingency is investigated in detail. It is shown that under some mild assumptions on load-voltage characteristics, the power flow equations can be decoupled in an exact manner. When the generator dynamics are considered, the solutions for the load voltages are exact if load nodes are not directly connected to each other

Scheme of squares: Part I. Systems formalism for potentiostatic studies

The so-called “Scheme of Squares”, displaying an interconnectivity of heterogeneous electron transfer and homogeneous (e.g., proton transfer) reactions, is analysed. Explicit expressions for the various partial currents under potentiostatic conditions are given. The formalism is applicable to several electrode geometries and models (e.g., semi-infinite linear diffusion, rotating disk electrodes, spherical or cylindrical systems) and the analysis is exact. The steady-state (t→∞) expressions for the current are directly given in terms of constant matrices whereas the transients are obtained as Laplace transforms that need to be inverted by approximation of numerical methods. The methodology employs a systems approach which replaces a system of partial differential equations (governing the concentrations of the several electroactive species) by an equivalent set of difference equations obeyed by the various partial currents.

Exact solutions of coupled multispecies linear reaction–diffusion equations on a uniformly growing domain

Embryonic development involves diffusion and proliferation of cells, as well as diffusion and reaction of molecules, within growing tissues. Mathematical models of these processes often involve reaction–diffusion equations on growing domains that have been primarily studied using approximate numerical solutions. Recently, we have shown how to obtain an exact solution to a single, uncoupled, linear reaction–diffusion equation on a growing domain, 0 < x < L(t), where L(t) is the domain length. The present work is an extension of our previous study, and we illustrate how to solve a system of coupled reaction–diffusion equations on a growing domain. This system of equations can be used to study the spatial and temporal distributions of different generations of cells within a population that diffuses and proliferates within a growing tissue. The exact solution is obtained by applying an uncoupling transformation, and the uncoupled equations are solved separately before applying the inverse uncoupling transformation to give the coupled solution. We present several example calculations to illustrate different types of behaviour. The first example calculation corresponds to a situation where the initially–confined population diffuses sufficiently slowly that it is unable to reach the moving boundary at x = L(t). In contrast, the second example calculation corresponds to a situation where the initially–confined population is able to overcome the domain growth and reach the moving boundary at x = L(t). In its basic format, the uncoupling transformation at first appears to be restricted to deal only with the case where each generation of cells has a distinct proliferation rate. However, we also demonstrate how the uncoupling transformation can be used when each generation has the same proliferation rate by evaluating the exact solutions as an appropriate limit.

A Fredholm-type theory for third-kind linear integral equations

The third-kind linear integral equation Image where g(t) vanishes at a finite number of points in (a, b), is considered. In general, the Fredholm Alternative theory [[5.]] does not hold good for this type of integral equation. However, imposing certain conditions on g(t) and K(t, t′), the above integral equation was shown [[1.], 49–57] to obey a Fredholm-type theory, except for a certain class of kernels for which the question was left open. In this note a theory is presented for the equation under consideration with some additional assumptions on such kernels.

Solutions of Boundary Layer Equations Governing Free Convective and Magnetohydrodynamic Flows through Parametric Differentiation

In der vorliegenden Arbeit wird die Methode der parametrischen Differentiation angewendet, um ein System nichtlinearer Gleichungen zu lösen, das zwei- und dreidimensionale freie, konvektive Grenzschichströmungen bzw. eine zweidimensionale magnetohydrodynamische Grenzschichtströmung beherrscht. Der Hauptvorteil dieser Methode besteht darin, daß die nichlinearen Gleichungen auf lineare reduziert werden und die Nichtlinearität auf ein System von Gleichungen erster Ordnung beschränkt wird, das, verglichen mit den ursprünglichen Nichtlinearen Gleichungen, viel leichter gelöst werden kann. Ein anderer Vorzug der Methode ist, daß sie es ermöglicht, die Lösung von einer bekannten, zu einem bestimmten Parameterwert gehörigen Lösung aus durch schrittweises Vorgehen die Lösung für den gesamten Parameterbereich zu erhalten. Die mit dieser Methode gewonnenen Ergebnisse stimmen gut mit den entsprechenden, mit anderen numerischen Verfahren erzielten überein.

Boundedness and convergence of singular integrals on fractal type sets

The topic of this dissertation lies in the intersection of harmonic analysis and fractal geometry. We particulary consider singular integrals in Euclidean spaces with respect to general measures, and we study how the geometric structure of the measures affects certain analytic properties of the operators. The thesis consists of three research articles and an overview. In the first article we construct singular integral operators on lower dimensional Sierpinski gaskets associated with homogeneous Calderón-Zygmund kernels. While these operators are bounded their principal values fail to exist almost everywhere. Conformal iterated function systems generate a broad range of fractal sets. In the second article we prove that many of these limit sets are porous in a very strong sense, by showing that they contain holes spread in every direction. In the following we connect these results with singular integrals. We exploit the fractal structure of these limit sets, in order to establish that singular integrals associated with very general kernels converge weakly. Boundedness questions consist a central topic of investigation in the theory of singular integrals. In the third article we study singular integrals of different measures. We prove a very general boundedness result in the case where the two underlying measures are separated by a Lipshitz graph. As a consequence we show that a certain weak convergence holds for a large class of singular integrals.

Nonadiabatic charge pumping by oscillating potentials in one dimension: Results for infinite system and finite ring

We study charge pumping when a combination of static potentials and potentials oscillating with a time period T is applied in a one-dimensional system of noninteracting electrons. We consider both an infinite system using the Dirac equation in the continuum approximation and a periodic ring with a finite number of sites using the tight-binding model. The infinite system is taken to be coupled to reservoirs on the two sides which are at the same chemical potential and temperature. We consider a model in which oscillating potentials help the electrons to access a transmission resonance produced by the static potentials and show that nonadiabatic pumping violates the simple sin phi rule which is obeyed by adiabatic two-site pumping. For the ring, we do not introduce any reservoirs, and we present a method for calculating the current averaged over an infinite time using the time evolution operator U(T) assuming a purely Hamiltonian evolution. We analytically show that the averaged current is zero if the Hamiltonian is real and time-reversal invariant. Numerical studies indicate another interesting result, namely, that the integrated current is zero for any time dependence of the potential if it is applied to only one site. Finally we study the effects of pumping at two sites on a ring at resonant and nonresonant frequencies, and show that the pumped current has different dependences on the pumping amplitude in the two cases.

A Direct Approach to the Problem of Diffraction by a Half-Plane under Mixed Boundary Conditions

A general direct technique of solving a mixed boundary value problem in the theory of diffraction by a semi-infinite plane is presented. Taking account of the correct edge-conditions, the unique solution of the problem is derived, by means of Jones' method in the theory of Wiener-Hopf technique, in the case of incident plane wave. The solution of the half-plane problem is found out in exact form. (The far-field is derived by the method of steepest descent.) It is observed that it is not the Wiener-Hopf technique which really needs any modification but a new technique is certainly required to handle the peculiar type of coupled integral equations which the Wiener-Hopf technique leads to. Eine allgemeine direkte Technik zur Lösung eines gemischten Randwertproblems in der Theorie der Beugung an einer halbunendlichen Ebene wird vorgestellt. Unter Berücksichtigung der korrekten Eckbedingungen wird mit der Methode von Jones aus der Theorie der Wiener-Hopf-Technik die eindeutige Lösung für den Fall der einfallenden ebenen Welle hergeleitet. Die Lösung des Halbebenenproblems wird in exakter Form angegeben. (Das Fernfeld wurde mit der Methode des steilsten Abstiegs bestimmt.) Es wurde bemerkt, daß es nicht die Wiener-Hopf-Technik ist, die wirklich irgend welcher Modifikationen bedurfte. Gewiß aber wird eine neue Technik zur Behandlung des besonderen Typs gekoppelter Integralgleichungen benötigt, auf die die Wiener-Hopf-Technik führt.

A bicharacteristic formulation of the ideal MHD equations

On a characteristic surface Omega of a hyperbolic system of first-order equations in multi-dimensions (x, t), there exits a compatibility condition which is in the form of a transport equation along a bicharacteristic on Omega. This result can be interpreted also as a transport equation along rays of the wavefront Omega(t) in x-space associated with Omega. For a system of quasi-linear equations, the ray equations (which has two distinct parts) and the transport equation form a coupled system of underdetermined equations. As an example of this bicharacteristic formulation, we consider two-dimensional unsteady flow of an ideal magnetohydrodynamics gas with a plane aligned magnetic field. For any mode of propagation in this two-dimensional flow, there are three ray equations: two for the spatial coordinates x and y and one for the ray diffraction. In spite of little longer calculations, the final four equations (three ray equations and one transport equation) for the fast magneto-acoustic wave are simple and elegant and cannot be derived in these simple forms by use of a computer program like REDUCE.

Similarity solution of unsteady boundary layer equations with a magnetic field

The unsteady laminar incompressible boundary layer flow of an electrically conducting fluid in the stagnation region of two-dimensional and axisymmetric bodies with an applied magnetic field has been studied. The boundary layer equations which are parabolic partial differential equations with three independent variables have been reduced to a system of ordinary differential equations by using suitable transformations and then solved numerically using a shooting method. Here, we have obtained new solutions which are solutions of both the boundary layer and Navier-Stokes equations.

Solutions of a system of forced Burgers equation

In this article, we obtain explicit solutions of a system of forced Burgers equation subject to some classes of bounded and compactly supported initial data and also subject to certain unbounded initial data. In a series of papers, Rao and Yadav (2010) 1-3] obtained explicit solutions of a nonhomogeneous Burgers equation in one dimension subject to certain classes of bounded and unbounded initial data. Earlier Kloosterziel (1990) 4] represented the solution of an initial value problem for the heat equation, with initial data in L-2 (R-n, e(vertical bar x vertical bar 2/2)), as a series of self-similar solutions of the heat equation in R-n. Here we express the solutions of certain classes of Cauchy problems for a system of forced Burgers equation in terms of self-similar solutions of some linear partial differential equations. (C) 2013 Elsevier Inc. All rights reserved.