932 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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The precise evaluation of electromagnetic field (EMF) distributions inside biological samples is becoming an increasingly important design requirement for high field MRI systems. In evaluating the induced fields caused by magnetic field gradients and RF transmitter coils, a multilayered dielectric spherical head model is proposed to provide a better understanding of electromagnetic interactions when compared to a traditional homogeneous head phantom. This paper presents Debye potential (DP) and Dyadic Green's function (DGF)-based solutions of the EMFs inside a head-sized, stratified sphere with similar radial conductivity and permittivity profiles as a human head. The DP approach is formulated for the symmetric case in which the source is a circular loop carrying a harmonic-formed current over a wide frequency range. The DGF method is developed for generic cases in which the source may be any kind of RF coil whose current distribution can be evaluated using the method of moments. The calculated EMFs can then be used to deduce MRI imaging parameters. The proposed methods, while not representing the full complexity of a head model, offer advantages in rapid prototyping as the computation times are much lower than a full finite difference time domain calculation using a complex head model. Test examples demonstrate the capability of the proposed models/methods. It is anticipated that this model will be of particular value for high field MRI applications, especially the rapid evaluation of RF resonator (surface and volume coils) and high performance gradient set designs.

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A finite difference method for simulating voltammograms of electrochemically driven enzyme catalysis is presented. The method enables any enzyme mechanism to be simulated. The finite difference equations can be represented as a matrix equation containing a nonlinear sparse matrix. This equation has been solved using the software package Mathematica. Our focus is on the use of cyclic voltammetry since this is the most commonly employed electrochemical method used to elucidate mechanisms. The use of cyclic voltammetry to obtain data from systems obeying Michaelis-Menten kinetics is discussed, and we then verify our observations on the Michaelis-Menten system using the finite difference simulation. Finally, we demonstrate how the method can be used to obtain mechanistic information on a real redox enzyme system, the complex bacterial molybdoenzyme xanthine dehydrogenase.

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We present Ehrenfest relations for the high temperature stochastic Gross-Pitaevskii equation description of a trapped Bose gas, including the effect of growth noise and the energy cutoff. A condition for neglecting the cutoff terms in the Ehrenfest relations is found which is more stringent than the usual validity condition of the truncated Wigner or classical field method-that all modes are highly occupied. The condition requires a small overlap of the nonlinear interaction term with the lowest energy single particle state of the noncondensate band, and gives a means to constrain dynamical artefacts arising from the energy cutoff in numerical simulations. We apply the formalism to two simple test problems: (i) simulation of the Kohn mode oscillation for a trapped Bose gas at zero temperature, and (ii) computing the equilibrium properties of a finite temperature Bose gas within the classical field method. The examples indicate ways to control the effects of the cutoff, and that there is an optimal choice of plane wave basis for a given cutoff energy. This basis gives the best reproduction of the single particle spectrum, the condensate fraction and the position and momentum densities.

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2000 Mathematics Subject Classification: 65M06, 65M12.

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2000 Mathematics Subject Classification: 35B40, 35L15.

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We analyze the physical-chemical surface properties of single-slit, single-groove subwavelength-structured silver films with high-resolution transmission electron microscopy and calculate exact solutions to Maxwell’s equations corresponding to recent far-field interferometry experiments using these structures. Contrary to a recent suggestion the surface analysis shows that the silver films are free of detectable contaminants. The finite-difference time-domain calculations, in excellent agreement with experiment, show a rapid fringe amplitude decrease in the near zone (slit-groove distance out to 3–4 wavelengths). Extrapolation to slit-groove distances beyond the near zone shows that the surface wave evolves to the expected bound surface plasmon polariton (SPP). Fourier analysis of these results indicates the presence of a distribution of transient, evanescent modes around the SPP that dephase and dissipate as the surface wave evolves from the near to the far zone.

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In the presented thesis work, the meshfree method with distance fields was coupled with the lattice Boltzmann method to obtain solutions of fluid-structure interaction problems. The thesis work involved development and implementation of numerical algorithms, data structure, and software. Numerical and computational properties of the coupling algorithm combining the meshfree method with distance fields and the lattice Boltzmann method were investigated. Convergence and accuracy of the methodology was validated by analytical solutions. The research was focused on fluid-structure interaction solutions in complex, mesh-resistant domains as both the lattice Boltzmann method and the meshfree method with distance fields are particularly adept in these situations. Furthermore, the fluid solution provided by the lattice Boltzmann method is massively scalable, allowing extensive use of cutting edge parallel computing resources to accelerate this phase of the solution process. The meshfree method with distance fields allows for exact satisfaction of boundary conditions making it possible to exactly capture the effects of the fluid field on the solid structure.

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During its history, several significant earthquakes have shaken the Lower Tagus Valley (Portugal). These earthquakes were destructive; some strong earthquakes were produced by large ruptures in offshore structures located southwest of the Portuguese coastline, and other moderate earthquakes were produced by local faults. In recent years, several studies have successfully obtained strong-ground motion syntheses for the Lower Tagus Valley using the finite difference method. To confirm the velocity model of this sedimentary basin obtained from geophysical and geological data, we analysed the ambient seismic noise measurements by applying the horizontal to vertical spectral ratio (HVSR) method. This study reveals the dependence of the frequency and amplitude of the low-frequency (HVSR) peaks (0.2–2 Hz) on the sediment thickness. We have obtained the depth of the Cenozoic basement along a profile transversal to the basin by the inversion of these ratios, imposing constraints from seismic reflection, boreholes, seismic sounding and gravimetric and magnetic potentials. This technique enables us to improve the existing three-dimensional model of the Lower Tagus Valley structure. The improved model will be decisive for the improvement of strong motion predictions in the earthquake hazard analysis of this highly populated basin. The methodology discussed can be applied to any other sedimentary basin.

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Ao longo de sua história a região do Vale Inferior do Tejo VIT foi abalada por vários sismos consideravelmente destrutivas, tendo alguns deles produzido significativas deformações nas estruturas marítimas localizadas no litoral a sudoeste do território Português; outros, moderados, foram produzidos por fontes locais, como os de 1344, 1531 e 1909. Nos últimos anos, devido à melhoria dos modelos de estrutura 3D e o desenvolvimento dos métodos numéricos, foram elaborados vários estudos de síntese de movimento forte do solo para a região do Baixo Tejo utilizando o método de diferenças finitas. Para confirmar o modelo de velocidades desta bacia usámos medidas de ruído sísmico, aplicámos um método baseado na razão espectral H/V, e, a partir destas curvas, por inversão, obtivemos um modelo de velocidades para a região estudada. Os resultados revelam uma boa concordância entre o modelo obtido e os dados geofísicos e geológicos recolhidos na mesma área._ ABSTRACT: Along his history the Lower Tagus Valley (LTV) area was shaken by several earthquakes. The largest reported had their origin in the southwestern part of Iberia. Other moderate earthquakes were produced by local sources such as the 1344, 1531 and the 1909. ln the last years, due to 3D structural model improvement and development in numerical methods, several studies have successful obtained strong-ground motion synthesis for the LVT region using finite difference method. To confirm the velocity model of the LTV sedimentary basin obtained by geophysical and geological data, we use broad-band microtremor measurements and application of the horizontal to vertical (H/V) spectral ratio method. We have obtained a velocity model for the studied region by inversion of the H/V curve. The results have good agreement geological and geophysical data.

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Many industrial processes and systems can be modelled mathematically by a set of Partial Differential Equations (PDEs). Finding a solution to such a PDF model is essential for system design, simulation, and process control purpose. However, major difficulties appear when solving PDEs with singularity. Traditional numerical methods, such as finite difference, finite element, and polynomial based orthogonal collocation, not only have limitations to fully capture the process dynamics but also demand enormous computation power due to the large number of elements or mesh points for accommodation of sharp variations. To tackle this challenging problem, wavelet based approaches and high resolution methods have been recently developed with successful applications to a fixedbed adsorption column model. Our investigation has shown that recent advances in wavelet based approaches and high resolution methods have the potential to be adopted for solving more complicated dynamic system models. This chapter will highlight the successful applications of these new methods in solving complex models of simulated-moving-bed (SMB) chromatographic processes. A SMB process is a distributed parameter system and can be mathematically described by a set of partial/ordinary differential equations and algebraic equations. These equations are highly coupled; experience wave propagations with steep front, and require significant numerical effort to solve. To demonstrate the numerical computing power of the wavelet based approaches and high resolution methods, a single column chromatographic process modelled by a Transport-Dispersive-Equilibrium linear model is investigated first. Numerical solutions from the upwind-1 finite difference, wavelet-collocation, and high resolution methods are evaluated by quantitative comparisons with the analytical solution for a range of Peclet numbers. After that, the advantages of the wavelet based approaches and high resolution methods are further demonstrated through applications to a dynamic SMB model for an enantiomers separation process. This research has revealed that for a PDE system with a low Peclet number, all existing numerical methods work well, but the upwind finite difference method consumes the most time for the same degree of accuracy of the numerical solution. The high resolution method provides an accurate numerical solution for a PDE system with a medium Peclet number. The wavelet collocation method is capable of catching up steep changes in the solution, and thus can be used for solving PDE models with high singularity. For the complex SMB system models under consideration, both the wavelet based approaches and high resolution methods are good candidates in terms of computation demand and prediction accuracy on the steep front. The high resolution methods have shown better stability in achieving steady state in the specific case studied in this Chapter.

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Laminar magnetohydrodynamic (MHD) natural convection flow from an isothermal sphere immersed in a fluid with viscosity proportional to linear function of temperature has been studied. The governing boundary layer equations are transformed into a non-dimensional form and the resulting nonlinear system of partial differential equations are reduced to convenient form which are solved numerically by two very efficient methods, namely, (i) Implicit finite difference method together with Keller box scheme and (ii) Direct numerical scheme. Numerical results are presented by velocity and temperature distribution, streamlines and isotherms of the fluid as well as heat transfer characteristics, namely the local skin-friction coefficients and the local heat transfer rate for a wide range of magnetohydrodynamic paramagnet and viscosity-variation parameter.

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Natural convection flow from an isothermal vertical plate with uniform heat source embedded in a stratified medium has been discussed in this paper. The resulting momentum and energy equations of boundary layer approximation are made non-similar by introducing the usual non-similarity transformations. Numerical solutions of these equations are obtained by an implicit finite difference method for a wide range of the stratification parameter, X. The solutions are also obtained for different values of pertinent parameters, namely, the Prandtl number, Pr and the heat generation or absorption parameter, λ and are expressed in terms of the local skin-friction and local heat transfer, which are shown in the graphical form. Effect of heat generation or absorption on the streamlines and isotherms are also shown graphically for different values of λ.

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Magnetohydrodynamic (MHD) natural convection laminar flow from an iso-thermal horizontal circular cylinder immersed in a fluid with viscosity proportional to a linear function of temperature will be discussed with numerical simulations. The governing boundary layer equations are transformed into a non-dimensional form and the resulting nonlinear system of partial differential equa-tions are reduced to convenient form, which are solved numerically by two very efficient methods, namely, (i) Implicit finite difference method together with Keller box scheme and (ii) Direct numerical scheme. Numerical results are presented by velocity and temperature distributions of the fluid as well as heat transfer characteristics, namely the shearing stress and the local heat transfer rate in terms of the local skin-friction coefficient and the local Nusselt number for a wide range of magnetohydrodynamic parameter, viscosity-variation parameter and viscous dissipation parameter. MHD flow in this geometry with temperature dependent viscosity is absent in the literature. The results obtained from the numerical simulations have been veri-fied by two methodologies.

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Percolation flow problems are discussed in many research fields, such as seepage hydraulics, groundwater hydraulics, groundwater dynamics and fluid dynamics in porous media. Many physical processes appear to exhibit fractional-order behavior that may vary with time, or space, or space and time. The theory of pseudodifferential operators and equations has been used to deal with this situation. In this paper we use a fractional Darcys law with variable order Riemann-Liouville fractional derivatives, this leads to a new variable-order fractional percolation equation. In this paper, a new two-dimensional variable-order fractional percolation equation is considered. A new implicit numerical method and an alternating direct method for the two-dimensional variable-order fractional model is proposed. Consistency, stability and convergence of the implicit finite difference method are established. Finally, some numerical examples are given. The numerical results demonstrate the effectiveness of the methods. This technique can be used to simulate a three-dimensional variable-order fractional percolation equation.