Modelling Transition Due to Backward Facing Steps Using the Laminar Kinetic Energy Concept

Boundary layer transition estimation and modelling is essential for the design of many engineering products across many industries. In this paper, the Reynolds-averaged Navier–Stokes are solved in conjunction with three additional transport equations to model and predict boundary layer transition. The transition model (referred to as the kTkT–kLkL–ωω model) is based on the kk–ωω framework with an additional transport equation to incorporate the effects low-frequency flow oscillations in the form of a laminar kinetic energy (kLkL). Firstly, a number of rectifications are made to the original kTkT–kLkL–ωω framework in order to ensure an appropriate response to the free-stream turbulence level and to improve near wall predictions. Additionally, the model is extended to incorporate the capability to model transition due to surface irregularities in the form of backward-facing steps with maximum non-dimensional step sizes of approximately 1.5 times the local displacement thickness of the boundary layer where the irregularity is located (i.e k/δ∗⪅1.5k/δ∗⪅1.5) at upstream turbulence intensities in the range 0.01<Tu(%)<0.80.01<Tu(%)<0.8. A novel function is proposed to incorporate transition sensitivity due to aft-facing steps. This paper details the rationale behind the development of this new function and demonstrates its suitability for transition onset estimation on a flat plate at zero pressure gradient.

Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates

Reducible diffusions (RDs) are nonlinear transformations of analytically solvable Basic Diffusions (BDs). Hence, by construction RDs are analytically tractable and flexible diffusion processes. Existing literature on RDs has mostly focused on time-homogeneous transformations, which to a significant extent fail to explore the full potential of RDs from both theoretical and practical points of view. In this paper, we propose flexible and economically justifiable time variations to the transformations of RDs. Concentrating on the Constant Elasticity Variance (CEV) RDs, we consider nonlinear dynamics for our time-varying transformations with both deterministic and stochastic designs. Such time variations can greatly enhance the flexibility of RDs while maintaining sufficient tractability of the resulting models. In the meantime, our modeling approach enjoys the benefits of classical inferential techniques such as the Maximum Likelihood (ML). Our application to the UK and the US short-term interest rates suggests that from an empirical point of view time-varying transformations are highly relevant and statistically significant. We expect that the proposed models can describe more truthfully the dynamic time-varying behavior of economic and financial variables and potentially improve out-of-sample forecasts significantly.

Modélisation du carnet d'ordres limites et prévision de séries temporelles

Le contenu de cette thèse est divisé de la façon suivante. Après un premier chapitre d’introduction, le Chapitre 2 est consacré à introduire aussi simplement que possible certaines des théories qui seront utilisées dans les deux premiers articles. Dans un premier temps, nous discuterons des points importants pour la construction de l’intégrale stochastique par rapport aux semimartingales avec paramètre spatial. Ensuite, nous décrirons les principaux résultats de la théorie de l’évaluation en monde neutre au risque et, finalement, nous donnerons une brève description d’une méthode d’optimisation connue sous le nom de dualité. Les Chapitres 3 et 4 traitent de la modélisation de l’illiquidité et font l’objet de deux articles. Le premier propose un modèle en temps continu pour la structure et le comportement du carnet d’ordres limites. Le comportement du portefeuille d’un investisseur utilisant des ordres de marché est déduit et des conditions permettant d’éliminer les possibilités d’arbitrages sont données. Grâce à la formule d’Itô généralisée il est aussi possible d’écrire la valeur du portefeuille comme une équation différentielle stochastique. Un exemple complet de modèle de marché est présenté de même qu’une méthode de calibrage. Dans le deuxième article, écrit en collaboration avec Bruno Rémillard, nous proposons un modèle similaire mais cette fois-ci en temps discret. La question de tarification des produits dérivés est étudiée et des solutions pour le prix des options européennes de vente et d’achat sont données sous forme explicite. Des conditions spécifiques à ce modèle qui permettent d’éliminer l’arbitrage sont aussi données. Grâce à la méthode duale, nous montrons qu’il est aussi possible d’écrire le prix des options européennes comme un problème d’optimisation d’une espérance sur en ensemble de mesures de probabilité. Le Chapitre 5 contient le troisième article de la thèse et porte sur un sujet différent. Dans cet article, aussi écrit en collaboration avec Bruno Rémillard, nous proposons une méthode de prévision des séries temporelles basée sur les copules multivariées. Afin de mieux comprendre le gain en performance que donne cette méthode, nous étudions à l’aide d’expériences numériques l’effet de la force et la structure de dépendance sur les prévisions. Puisque les copules permettent d’isoler la structure de dépendance et les distributions marginales, nous étudions l’impact de différentes distributions marginales sur la performance des prévisions. Finalement, nous étudions aussi l’effet des erreurs d’estimation sur la performance des prévisions. Dans tous les cas, nous comparons la performance des prévisions en utilisant des prévisions provenant d’une série bivariée et d’une série univariée, ce qui permet d’illustrer l’avantage de cette méthode. Dans un intérêt plus pratique, nous présentons une application complète sur des données financières.

Digitales stochastisches Magnetfeld-Sensorarray

Digitales stochastisches Magnetfeld-Sensorarray Stefan Rohrer Im Rahmen eines mehrjährigen Forschungsprojektes, gefördert von der Deutschen Forschungsgesellschaft (DFG), wurden am Institut für Mikroelektronik (IPM) der Universität Kassel digitale Magnetfeldsensoren mit einer Breite bis zu 1 µm entwickelt. Die vorliegende Dissertation stellt ein aus diesem Forschungsprojekt entstandenes Magnetfeld-Sensorarray vor, das speziell dazu entworfen wurde, um digitale Magnetfelder schnell und auf minimaler Fläche mit einer guten räumlichen und zeitlichen Auflösung zu detektieren. Der noch in einem 1,0µm-CMOS-Prozess gefertigte Test-Chip arbeitet bis zu einer Taktfrequenz von 27 MHz bei einem Sensorabstand von 6,75 µm. Damit ist er das derzeit kleinste und schnellste digitale Magnetfeld-Sensorarray in einem Standard-CMOS-Prozess. Konvertiert auf eine 0,09µm-Technologie können Frequenzen bis 1 GHz erreicht werden bei einem Sensorabstand von unter 1 µm. In der Dissertation werden die wichtigsten Ergebnisse des Projekts detailliert beschrieben. Basis des Sensors ist eine rückgekoppelte Inverter-Anordnung. Als magnetfeldsensitives Element dient ein auf dem Hall-Effekt basierender Doppel-Drain-MAGFET, der das Verhalten der Kippschaltung beeinflusst. Aus den digitalen Ausgangsdaten kann die Stärke und die Polarität des Magnetfelds bestimmt werden. Die Gesamtanordnung bildet einen stochastischen Magnetfeld-Sensor. In der Arbeit wird ein Modell für das Kippverhalten der rückgekoppelten Inverter präsentiert. Die Rauscheinflüsse des Sensors werden analysiert und in einem stochastischen Differentialgleichungssystem modelliert. Die Lösung der stochastischen Differentialgleichung zeigt die Entwicklung der Wahrscheinlichkeitsverteilung des Ausgangssignals über die Zeit und welche Einflussfaktoren die Fehlerwahrscheinlichkeit des Sensors beeinflussen. Sie gibt Hinweise darauf, welche Parameter für das Design und Layout eines stochastischen Sensors zu einem optimalen Ergebnis führen. Die auf den theoretischen Berechnungen basierenden Schaltungen und Layout-Komponenten eines digitalen stochastischen Sensors werden in der Arbeit vorgestellt. Aufgrund der technologisch bedingten Prozesstoleranzen ist für jeden Detektor eine eigene kompensierende Kalibrierung erforderlich. Unterschiedliche Realisierungen dafür werden präsentiert und bewertet. Zur genaueren Modellierung wird ein SPICE-Modell aufgestellt und damit für das Kippverhalten des Sensors eine stochastische Differentialgleichung mit SPICE-bestimmten Koeffizienten hergeleitet. Gegenüber den Standard-Magnetfeldsensoren bietet die stochastische digitale Auswertung den Vorteil einer flexiblen Messung. Man kann wählen zwischen schnellen Messungen bei reduzierter Genauigkeit und einer hohen lokalen Auflösung oder einer hohen Genauigkeit bei der Auswertung langsam veränderlicher Magnetfelder im Bereich von unter 1 mT. Die Arbeit präsentiert die Messergebnisse des Testchips. Die gemessene Empfindlichkeit und die Fehlerwahrscheinlichkeit sowie die optimalen Arbeitspunkte und die Kennliniencharakteristik werden dargestellt. Die relative Empfindlichkeit der MAGFETs beträgt 0,0075/T. Die damit erzielbaren Fehlerwahrscheinlichkeiten werden in der Arbeit aufgelistet. Verglichen mit dem theoretischen Modell zeigt das gemessene Kippverhalten der stochastischen Sensoren eine gute Übereinstimmung. Verschiedene Messungen von analogen und digitalen Magnetfeldern bestätigen die Anwendbarkeit des Sensors für schnelle Magnetfeldmessungen bis 27 MHz auch bei kleinen Magnetfeldern unter 1 mT. Die Messungen der Sensorcharakteristik in Abhängigkeit von der Temperatur zeigen, dass die Empfindlichkeit bei sehr tiefen Temperaturen deutlich steigt aufgrund der Abnahme des Rauschens. Eine Zusammenfassung und ein ausführliches Literaturverzeichnis geben einen Überblick über den Stand der Technik.

Ecuaciones diferenciales estocásticas con condición final y soluciones de viscosidad de EDPS semilineales de segundo orden

El objetivo de este documento es recopilar algunos resultados clasicos sobre existencia y unicidad ´ de soluciones de ecuaciones diferenciales estocasticas (EDEs) con condici ´ on final (en ingl ´ es´ Backward stochastic differential equations) con particular enfasis en el caso de coeficientes mon ´ otonos, y su cone- ´ xion con soluciones de viscosidad de sistemas de ecuaciones diferenciales parciales (EDPs) parab ´ olicas ´ y el´ıpticas semilineales de segundo orden.

A depth-integrated 2D coastal and estuarine model with conformal boundary-fitted mesh generation

Details are given of the development and application of a 2D depth-integrated, conformal boundary-fitted, curvilinear model for predicting the depth-mean velocity field and the spatial concentration distribution in estuarine and coastal waters. A numerical method for conformal mesh generation, based on a boundary integral equation formulation, has been developed. By this method a general polygonal region with curved edges can be mapped onto a regular polygonal region with the same number of horizontal and vertical straight edges and a multiply connected region can be mapped onto a regular region with the same connectivity. A stretching transformation on the conformally generated mesh has also been used to provide greater detail where it is needed close to the coast, with larger mesh sizes further offshore, thereby minimizing the computing effort whilst maximizing accuracy. The curvilinear hydrodynamic and solute model has been developed based on a robust rectilinear model. The hydrodynamic equations are approximated using the ADI finite difference scheme with a staggered grid and the solute transport equation is approximated using a modified QUICK scheme. Three numerical examples have been chosen to test the curvilinear model, with an emphasis placed on complex practical applications

Numerical prediction of three-dimensional time-dependent viscoelastic extrudate swell using differential and algebraic models

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.

An approximate numerical technique for characterizing optical pulse propagation in inhomogeneous biological tissue

An approximate numerical technique for modeling optical pulse propagation through weakly scattering biological tissue is developed by solving the photon transport equation in biological tissue that includes varying refractive index and varying scattering/absorption coefficients. The proposed technique involves first tracing the ray paths defined by the refractive index profile of the medium by solving the eikonal equation using a Runge-Kutta integration algorithm. The photon transport equation is solved only along these ray paths, minimizing the overall computational burden of the resulting algorithm. The main advantage of the current algorithm is that it enables to discretise the pulse propagation space adaptively by taking optical depth into account. Therefore, computational efficiency can be increased without compromising the accuracy of the algorithm.

Use of artificial neural networks as explicit finite difference operators

Results of a numerical exercise, substituting a numerical operator by an artificial neural network (ANN) are presented in this paper. The numerical operator used is the explicit form of the finite difference (FD) scheme. The FD scheme was used to discretize the one-dimensional transport equation, which included both the advection and dispersion terms. Inputs to the ANN are the FD representation of the transport equation, and the concentration was designated as the output. Concentration values used for training the ANN were obtained from analytical solutions. The numerical operator was reconstructed from a back calculation of the weights of the ANN. Linear transfer functions were used for this purpose. The ANN was able to accurately recover the velocity used in the training data, but not the dispersion coefficient. This capability was improved when numerical dispersion was taken into account; however, it is limited to the condition: C/P<0.5 , where C is the Courant number and P , the Peclet number (i.e., the restriction imposed by the Neumann stability condition).

Formulação LTSn para problemas de transporte sem simetria azimutal e problemas dependentes do tempo

Neste trabalho, estendemos, de forma analítica, a formulação LTSN à problemas de transporte unidimensionais sem simetria azimutal. Para este problema, também apresentamos a solução com dependência contínua na variável angular, a partir da qual é estabelecido um método iterativo de solução da equação de transporte unidimensional. Também discutimos como a formulação LTSN é aplicada na resolução de problemas de transporte unidimensionais dependentes do tempo, tanto de forma aproximada pela inversão numérica do fluxo transformado na variável tempo, bem como analiticamente, pela aplicação do método LTSNnas equações nodais. Simulações numéricas e comparações com resultados disponíveis na literatura são apresentadas.

Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article, the empirical section presents precise evidence on the reward of implementing arbitrage-free parametric term structure models: The ability of obtaining a good approximation for the state vector by simply using cross sectional data.

Teoria cinética não extensiva: efeitos físicos em gases e plasmas

The standard kinetic theory for a nonrelativistic diluted gas is generalized in the spirit of the nonextensive statistic distribution introduced by Tsallis. The new formalism depends on an arbitrary q parameter measuring the degree of nonextensivity. In the limit q = 1, the extensive Maxwell-Boltzmann theory is recovered. Starting from a purely kinetic deduction of the velocity q-distribution function, the Boltzmann H-teorem is generalized for including the possibility of nonextensive out of equilibrium effects. Based on this investigation, it is proved that Tsallis' distribution is the necessary and sufficient condition defining a thermodynamic equilibrium state in the nonextensive context. This result follows naturally from the generalized transport equation and also from the extended H-theorem. Two physical applications of the nonextensive effects have been considered. Closed analytic expressions were obtained for the Doppler broadening of spectral lines from an excited gas, as well as, for the dispersion relations describing the eletrostatic oscillations in a diluted electronic plasma. In the later case, a comparison with the experimental results strongly suggests a Tsallis distribution with the q parameter smaller than unity. A complementary study is related to the thermodynamic behavior of a relativistic imperfect simple fluid. Using nonequilibrium thermodynamics, we show how the basic primary variables, namely: the energy momentum tensor, the particle and entropy fluxes depend on the several dissipative processes present in the fluid. The temperature variation law for this moving imperfect fluid is also obtained, and the Eckart and Landau-Lifshitz formulations are recovered as particular cases

CLASSICAL DISTRIBUTION-FUNCTIONS DERIVED FROM WIGNER DISTRIBUTION-FUNCTIONS

A mapping which relates the Wigner phase-space distribution function associated with a given stationary quantum-mechanical wavefunction to a specific solution of the time-independent Liouville transport equation is obtained. Two examples are studied.

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.

Transient flow of the oil-refrigerant mixture through the radial clearance in rolling piston compressors

Unsteady flow of oil and refrigerant gas through radial clearance in rolling piston compressors has been modeled as a heterogeneous mixture, where the properties are determined from the species conservation transport equation coupled with momentum and energy equations. Time variations of pressure, tangential velocity of the rolling piston and radial clearance due to pump setting have been included in the mixture flow model. Those variables have been obtained by modeling the compression process, rolling piston dynamics and by using geometric characteristics of the pump, respectively. An important conclusion concerning this work is the large variation of refrigerant concentration in the oil-filled radial clearance during the compression cycle. That is particularly true for large values of mass flow rates, and for those cases the flow mixture cannot be considered as having uniform concentration. In presence of low mass flow rates homogeneous flow prevail and the mixture tend to have a uniform concentration. In general, it was observed that for calculating the refrigerant mass flow rate using the difference in refrigerant concentration between compression and suction chambers, a time average value for the gas concentration should be used at the clearance inlet.