Finite element simulation of a local scale air quality model over complex terrain

[EN]In this paper we propose a finite element method approach for modelling the air quality in a local scale over complex terrain. The area of interest is up to tens of kilometres and it includes pollutant sources. The proposed methodology involves the generation of an adaptive tetrahedral mesh, the computation of an ambient wind field, the inclusion of the plume rise effect in the wind field, and the simulation of transport and reaction of pollutants. We apply our methodology to simulate a fictitious pollution episode in La Palma island (Canary Island, Spain)...

Local scale air quality model with several pollutant sources

[EN]This paper shows a finite element method for pollutant transport with several pollutant sources. An Eulerian convection–diffusion–reaction model to simulate the pollutant dispersion is used. The discretization of the different sources allows to impose the emissions as boundary conditions. The Eulerian description can deal with the coupling of several plumes. An adaptive stabilized finite element formulation, specifically Least-Squares, with a Crank-Nicolson temporal integration is proposed to solve the problem. An splitting scheme has been used to treat separately the transport and the reaction. A mass-consistent model has been used to compute the wind field of the problem…

Convergence results for stochastic particle systems with social interaction

We consider stochastic individual-based models for social behaviour of groups of animals. In these models the trajectory of each animal is given by a stochastic differential equation with interaction. The social interaction is contained in the drift term of the SDE. We consider a global aggregation force and a short-range repulsion force. The repulsion range and strength gets rescaled with the number of animals N. We show that for N tending to infinity stochastic fluctuations disappear and a smoothed version of the empirical process converges uniformly towards the solution of a nonlinear, nonlocal partial differential equation of advection-reaction-diffusion type. The rescaling of the repulsion in the individual-based model implies that the corresponding term in the limit equation is local while the aggregation term is non-local. Moreover, we discuss the effect of a predator on the system and derive an analogous convergence result. The predator acts as an repulsive force. Different laws of motion for the predator are considered.

Estimation of the solubility parameters of model plant surfaces and agrochemicals: a valuable tool for understanding plant surface interactions

Background Most aerial plant parts are covered with a hydrophobic lipid-rich cuticle, which is the interface between the plant organs and the surrounding environment. Plant surfaces may have a high degree of hydrophobicity because of the combined effects of surface chemistry and roughness. The physical and chemical complexity of the plant cuticle limits the development of models that explain its internal structure and interactions with surface-applied agrochemicals. In this article we introduce a thermodynamic method for estimating the solubilities of model plant surface constituents and relating them to the effects of agrochemicals. Results Following the van Krevelen and Hoftyzer method, we calculated the solubility parameters of three model plant species and eight compounds that differ in hydrophobicity and polarity. In addition, intact tissues were examined by scanning electron microscopy and the surface free energy, polarity, solubility parameter and work of adhesion of each were calculated from contact angle measurements of three liquids with different polarities. By comparing the affinities between plant surface constituents and agrochemicals derived from (a) theoretical calculations and (b) contact angle measurements we were able to distinguish the physical effect of surface roughness from the effect of the chemical nature of the epicuticular waxes. A solubility parameter model for plant surfaces is proposed on the basis of an increasing gradient from the cuticular surface towards the underlying cell wall. Conclusions The procedure enabled us to predict the interactions among agrochemicals, plant surfaces, and cuticular and cell wall components, and promises to be a useful tool for improving our understanding of biological surface interactions.

Estimation of the solubility parameters of model plant surfaces and agrochemicals: a valuable tool for understanding plant surface interactions

Background Most aerial plant parts are covered with a hydrophobic lipid-rich cuticle, which is the interface between the plant organs and the surrounding environment. Plant surfaces may have a high degree of hydrophobicity because of the combined effects of surface chemistry and roughness. The physical and chemical complexity of the plant cuticle limits the development of models that explain its internal structure and interactions with surface-applied agrochemicals. In this article we introduce a thermodynamic method for estimating the solubilities of model plant surface constituents and relating them to the effects of agrochemicals. Results Following the van Krevelen and Hoftyzer method, we calculated the solubility parameters of three model plant species and eight compounds that differ in hydrophobicity and polarity. In addition, intact tissues were examined by scanning electron microscopy and the surface free energy, polarity, solubility parameter and work of adhesion of each were calculated from contact angle measurements of three liquids with different polarities. By comparing the affinities between plant surface constituents and agrochemicals derived from (a) theoretical calculations and (b) contact angle measurements we were able to distinguish the physical effect of surface roughness from the effect of the chemical nature of the epicuticular waxes. A solubility parameter model for plant surfaces is proposed on the basis of an increasing gradient from the cuticular surface towards the underlying cell wall. Conclusions The procedure enabled us to predict the interactions among agrochemicals, plant surfaces, and cuticular and cell wall components, and promises to be a useful tool for improving our understanding of biological surface interactions.

Coupled model of initiation and propagation of corrosion in reinforced concrete

Corrosion of reinforcing steel in concrete due to chloride ingress is one of the main causes of the deterioration of reinforced concrete structures. Structures most affected by such a corrosion are marine zone buildings and structures exposed to de-icing salts like highways and bridges. Such process is accompanied by an increase in volume of the corrosión products on the rebarsconcrete interface. Depending on the level of oxidation, iron can expand as much as six times its original volume. This increase in volume exerts tensile stresses in the surrounding concrete which result in cracking and spalling of the concrete cover if the concrete tensile strength is exceeded. The mechanism by which steel embedded in concrete corrodes in presence of chloride is the local breakdown of the passive layer formed in the highly alkaline condition of the concrete. It is assumed that corrosion initiates when a critical chloride content reaches the rebar surface. The mathematical formulation idealized the corrosion sequence as a two-stage process: an initiation stage, during which chloride ions penetrate to the reinforcing steel surface and depassivate it, and a propagation stage, in which active corrosion takes place until cracking of the concrete cover has occurred. The aim of this research is to develop computer tools to evaluate the duration of the service life of reinforced concrete structures, considering both the initiation and propagation periods. Such tools must offer a friendly interface to facilitate its use by the researchers even though their background is not in numerical simulation. For the evaluation of the initiation period different tools have been developed: Program TavProbabilidade: provides means to carry out a probability analysis of a chloride ingress model. Such a tool is necessary due to the lack of data and general uncertainties associated with the phenomenon of the chloride diffusion. It differs from the deterministic approach because it computes not just a chloride profile at a certain age, but a range of chloride profiles for each probability or occurrence. Program TavProbabilidade_Fiabilidade: carries out reliability analyses of the initiation period. It takes into account the critical value of the chloride concentration on the steel that causes breakdown of the passive layer and the beginning of the propagation stage. It differs from the deterministic analysis in that it does not predict if the corrosion is going to begin or not, but to quantifies the probability of corrosion initiation. Program TavDif_1D: was created to do a one dimension deterministic analysis of the chloride diffusion process by the finite element method (FEM) which numerically solves Fick’second Law. Despite of the different FEM solver already developed in one dimension, the decision to create a new code (TavDif_1D) was taken because of the need to have a solver with friendly interface for pre- and post-process according to the need of IETCC. An innovative tool was also developed with a systematic method devised to compare the ability of the different 1D models to predict the actual evolution of chloride ingress based on experimental measurements, and also to quantify the degree of agreement of the models with each others. For the evaluation of the entire service life of the structure: a computer program has been developed using finite elements method to do the coupling of both service life periods: initiation and propagation. The program for 2D (TavDif_2D) allows the complementary use of two external programs in a unique friendly interface: • GMSH - an finite element mesh generator and post-processing viewer • OOFEM – a finite element solver. This program (TavDif_2D) is responsible to decide in each time step when and where to start applying the boundary conditions of fracture mechanics module in function of the amount of chloride concentration and corrosion parameters (Icorr, etc). This program is also responsible to verify the presence and the degree of fracture in each element to send the Information of diffusion coefficient variation with the crack width. • GMSH - an finite element mesh generator and post-processing viewer • OOFEM – a finite element solver. The advantages of the FEM with the interface provided by the tool are: • the flexibility to input the data such as material property and boundary conditions as time dependent function. • the flexibility to predict the chloride concentration profile for different geometries. • the possibility to couple chloride diffusion (initiation stage) with chemical and mechanical behavior (propagation stage). The OOFEM code had to be modified to accept temperature, humidity and the time dependent values for the material properties, which is necessary to adequately describe the environmental variations. A 3-D simulation has been performed to simulate the behavior of the beam on both, action of the external load and the internal load caused by the corrosion products, using elements of imbedded fracture in order to plot the curve of the deflection of the central region of the beam versus the external load to compare with the experimental data.

Direct molecular level measurements of the electrostatic properties of a protein surface

In this work, we used direct measurements with the surface force apparatus to determine the pH-dependent electrostatic charge density of a single binding face of streptavidin. Mean field calculations have been used with considerable success to model electrostatic potential fields near protein surfaces, but these models and their inherent assumptions have not been tested directly at the molecular level. Using the force apparatus and immobilized, oriented monolayers of streptavidin, we measured a pI of 5–5.5 for the biotin-binding face of the protein. This differs from the pI of 6.3 for the soluble protein and confirms that we probed the local electrostatic features of the macromolecule. With finite difference solutions of the linearized Poisson–Boltzmann equation, we then calculated the pH-dependent charge densities adjacent to the same face of the protein. These calculated values agreed quantitatively with those obtained by direct force measurements. Although our study focuses on the pH-dependence of surface electrostatics, this direct approach to probing the electrostatic features of proteins is applicable to investigations of any perturbations that alter the charge distribution of the surfaces of immobilized molecules.

Adsorption of quadrupolar, diatomic nitrogen onto graphitized thermal carbon black and in slit-shaped carbon pores. Effects of surface mediation

In this paper, we study the effect of solid surface mediation on the intermolecular potential energy of nitrogen, and its impact on the adsorption of nitrogen on a graphitized carbon black surface and in carbon slit-shaped pores. This effect arises from the lower effective interaction potential energy between two particles close to the surface compared to the potential energy of the same two particles when they are far away from the surface. A simple equation is proposed to calculate the reduction factor and this is used in the Grand Canonical Monte Carlo (GCMC) simulation of nitrogen adsorption on graphitized thermal carbon black. With this modification, the GCMC simulation results agree extremely well with the experimental data over a wide range of pressure; the simulation results with the original potential energy (i.e. no surface mediation) give rise to a shoulder in the neighbourhood of monolayer coverage and a significant over-prediction of the second and higher layer coverages. The influence of this surface mediation on the dependence of the pore-filling pressure on the pore width is also studied. It is shown that such surface mediation has a significant effect on the pore-filling pressure. This implies that the use of the local isotherms obtained from the potential model without surface mediation could give rise to a serious error in the determination of the pore-size distribution.

A stochastic metapopulation model accounting for habitat dynamics

A stochastic metapopulation model accounting for habitat dynamics is presented. This is the stochastic SIS logistic model with the novel aspect that it incorporates varying carrying capacity. We present results of Kurtz and Barbour, that provide deterministic and diffusion approximations for a wide class of stochastic models, in a form that most easily allows their direct application to population models. These results are used to show that a suitably scaled version of the metapopulation model converges, uniformly in probability over finite time intervals, to a deterministic model previously studied in the ecological literature. Additionally, they allow us to establish a bivariate normal approximation to the quasi-stationary distribution of the process. This allows us to consider the effects of habitat dynamics on metapopulation modelling through a comparison with the stochastic SIS logistic model and provides an effective means for modelling metapopulations inhabiting dynamic landscapes.

Semiparametric smooth-coefficient stochastic frontier model

This paper proposes a semiparametric smooth-coefficient (SPSC) stochastic production frontier model where regression coefficients are unknown smooth functions of environmental factors (ZZ). Technical inefficiency is specified in the form of a parametric scaling function which also depends on the ZZ variables. Thus, in our SPSC model the ZZ variables affect productivity directly via the technology parameters as well as through inefficiency. A residual-based bootstrap test of the relevance of the environmental factors in the SPSC model is suggested. An empirical application is also used to illustrate the technique.

Leverage, Volatile Future Earnings Growth and Expected Stock Returns

We provide theory and evidence to complement Choi's [RFS, 2013] important new insights on the returns to equity in `value' firms. We show that higher future earnings growth ameliorates the value-reducing effect of leverage and, because the market for earnings is incomplete, reduces the earnings-risk sensitivity of the default option. Ceteris paribus, a levered firm with low (high) earnings growth is more sensitive to the first (second) of these effects thus generating higher (lower) expected returns. We demonstrate this by modeling equity as an Asian-style call option on net earnings and find significant empirical support for our hypotheses.

Future Earnings Growth Volatility and the Value Premium

The value premium is well established in empirical asset pricing, but to date there is little understanding as to its fundamental drivers. We use a stochastic earnings valuation model to establish a direct link between the volatility of future earnings growth and firm value. We illustrate that risky earnings growth affects growth and value firms differently. We provide empirical evidence that the volatility of future earnings growth is a significant determinant of the value premium. Using data on individual firms and characteristic-sorted test portfolios, we also find that earnings growth volatility is significant in explaining the cross-sectional variation of stock returns. Our findings imply that the value premium is the rational consequence of accounting for risky earnings growth in the firm valuation process.

The parallel solution of early-exercise Asian options with stochastic volatility

This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.

Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index, from 3 January 2005 to 31 January 2015. Both data sets capture both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to and from markets, plus net spillovers. The key difference between the measures is that the spillover index captures an average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six months.

A Lagrangian Identification of the Main Sources of Moisture Affecting Northeastern Brazil during Its Pre-Rainy and Rainy Seasons

This work examines the sources of moisture affecting the semi-arid Brazilian Northeast (NEB) during its pre-rainy and rainy season (JFMAM) through a Lagrangian diagnosis method. The FLEXPART model identifies the humidity contributions to the moisture budget over a region through the continuous computation of changes in the specific humidity along back or forward trajectories up to 10 days period. The numerical experiments were done for the period that spans between 2000 and 2004 and results were aggregated on a monthly basis. Results show that besides a minor local recycling component, the vast majority of moisture reaching NEB area is originated in the south Atlantic basin and that the nearby wet Amazon basin bears almost no impact. Moreover, although the maximum precipitation in the ""Poligono das Secas'' region (PS) occurs in March and the maximum precipitation associated with air parcels emanating from the South Atlantic towards PS is observed along January to March, the highest moisture contribution from this oceanic region occurs slightly later (April). A dynamical analysis suggests that the maximum precipitation observed in the PS sector does not coincide with the maximum moisture supply probably due to the combined effect of the Walker and Hadley cells in inhibiting the rising motions over the region in the months following April.