Nonstandard Finite Difference Schemes with Application to Finance: Option Pricing

2000 Mathematics Subject Classification: 65M06, 65M12.

Low Volatility Options and Numerical Diffusion of Finite Difference Schemes

2000 Mathematics Subject Classification: 65M06, 65M12.

Characterization of ultra wideband antennas for personal communication devices using finite difference time domain technique

The current mobile networks don't offer sufficient data rates to support multimedia intensive applications in development for multifunctional mobile devices. Ultra wideband (UWB) wireless technology is being considered as the solution to overcome data rate bottlenecks in the current mobile networks. UWB is able to achieve such high data transmission rates because it transmits data over a very large chunk of the frequency spectrum. As currently approved by the U.S. Federal Communication Commission it utilizes 7.5 GHz of spectrum between 3.1 GHz and 10.6 GHz. ^ Successful transmission and reception of information data using UWB wireless technology in mobile devices, requires an antenna that has linear phase, low dispersion and a voltage standing wave ratio (VSWR) ≤ 2 throughout the entire frequency band. Compatibility with an integrated circuit requires an unobtrusive and electrically small design. The previous techniques that have been used to optimize the performance of UWB wireless systems, involve proper design of source pulses for optimal UWB performance. The goal of this work is directed towards the designing of antennas for personal communication devices, with optimal UWB bandwidth performance. Several techniques are proposed for optimal UWB bandwidth performance of the UWB antenna designs in this Ph.D. dissertation. ^ This Ph.D. dissertation presents novel UWB antenna designs for personal communication devices that have been characterized and optimized using the finite difference time domain (FDTD) technique. The antenna designs reported in this research are physically compact, planar for low profile use, with sufficient impedance bandwidth (>20%), antenna input impedance of 50-Ω, and an omni-directional (±1.5 dB) radiation pattern in the operating bandwidth. ^

Customization of the design of antenna using genetic algorithm and finite-difference time-domain technique

Antenna design is an iterative process in which structures are analyzed and changed to comply with certain performance parameters required. The classic approach starts with analyzing a "known" structure, obtaining the value of its performance parameter and changing this structure until the "target" value is achieved. This process relies on having an initial structure, which follows some known or "intuitive" patterns already familiar to the designer. The purpose of this research was to develop a method of designing UWB antennas. What is new in this proposal is that the design process is reversed: the designer will start with the target performance parameter and obtain a structure as the result of the design process. This method provided a new way to replicate and optimize existing performance parameters. The base of the method was the use of a Genetic Algorithm (GA) adapted to the format of the chromosome that will be evaluated by the Electromagnetic (EM) solver. For the electromagnetic study we used XFDTD™ program, based in the Finite-Difference Time-Domain technique. The programming portion of the method was created under the MatLab environment, which serves as the interface for converting chromosomes, file formats and transferring of data between the XFDTD™ and GA. A high level of customization had to be written into the code to work with the specific files generated by the XFDTD™ program. Two types of cost functions were evaluated; the first one seeking broadband performance within the UWB band, and the second one searching for curve replication of a reference geometry. The performance of the method was evaluated considering the speed provided by the computer resources used. Balance between accuracy, data file size and speed of execution was achieved by defining parameters in the GA code as well as changing the internal parameters of the XFDTD™ projects. The results showed that the GA produced geometries that were analyzed by the XFDTD™ program and changed following the search criteria until reaching the target value of the cost function. Results also showed how the parameters can change the search criteria and influence the running of the code to provide a variety of geometries.

Characterization and modeling of multi-conductor transmission line using Finite-difference Time-Domain method

A two-dimensional, 2D, finite-difference time-domain (FDTD) method is used to analyze two different models of multi-conductor transmission lines (MTL). The first model is a two-conductor MTL and the second is a threeconductor MTL. Apart from the MTL's, a three-dimensional, 3D, FDTD method is used to analyze a three-patch microstrip parasitic array. While the MTL analysis is entirely in time-domain, the microstrip parasitic array is a study of scattering parameter Sn in the frequency-domain. The results clearly indicate that FDTD is an efficient and accurate tool to model and analyze multiconductor transmission line as well as microstrip antennas and arrays.

Principal Component Analysis of Results Obtained from Finite-Difference Time-Domain Algorithms

Finite-Differences Time-Domain (FDTD) algorithms are well established tools of computational electromagnetism. Because of their practical implementation as computer codes, they are affected by many numerical artefact and noise. In order to obtain better results we propose using Principal Component Analysis (PCA) based on multivariate statistical techniques. The PCA has been successfully used for the analysis of noise and spatial temporal structure in a sequence of images. It allows a straightforward discrimination between the numerical noise and the actual electromagnetic variables, and the quantitative estimation of their respective contributions. Besides, The GDTD results can be filtered to clean the effect of the noise. In this contribution we will show how the method can be applied to several FDTD simulations: the propagation of a pulse in vacuum, the analysis of two-dimensional photonic crystals. In this last case, PCA has revealed hidden electromagnetic structures related to actual modes of the photonic crystal.

Appraisal of open software for finite element simulation of 2D metal sheet laser cut.

FEA simulation of thermal metal cutting is central to interactive design and manufacturing. It is therefore relevant to assess the applicability of FEA open software to simulate 2D heat transfer in metal sheet laser cuts. Application of open source code (e.g. FreeFem++, FEniCS, MOOSE) makes possible additional scenarios (e.g. parallel, CUDA, etc.), with lower costs. However, a precise assessment is required on the scenarios in which open software can be a sound alternative to a commercial one. This article contributes in this regard, by presenting a comparison of the aforementioned freeware FEM software for the simulation of heat transfer in thin (i.e. 2D) sheets, subject to a gliding laser point source. We use the commercial ABAQUS software as the reference to compare such open software. A convective linear thin sheet heat transfer model, with and without material removal is used. This article does not intend a full design of computer experiments. Our partial assessment shows that the thin sheet approximation turns to be adequate in terms of the relative error for linear alumina sheets. Under mesh resolutions better than 10e−5 m , the open and reference software temperature differ in at most 1 % of the temperature prediction. Ongoing work includes adaptive re-meshing, nonlinearities, sheet stress analysis and Mach (also called ‘relativistic’) effects.

Characterisation and investigation of local variations in mechanical behaviour in cast aluminium using gradient solidification, Digital Image Correlation and finite element simulation

Due to design and process-related factors, there are local variations in the microstructure and mechanical behaviour of cast components. This work establishes a Digital Image Correlation (DIC) based method for characterisation and investigation of the effects of such local variations on the behaviour of a high pressure, die cast (HPDC) aluminium alloy. Plastic behaviour is studied using gradient solidified samples and characterisation models for the parameters of the Hollomon equation are developed, based on microstructural refinement. Samples with controlled microstructural variations are produced and the observed DIC strain field is compared with Finite Element Method (FEM) simulation results. The results show that the DIC based method can be applied to characterise local mechanical behaviour with high accuracy. The microstructural variations are observed to cause a redistribution of strain during tensile loading. This redistribution of strain can be predicted in the FEM simulation by incorporating local mechanical behaviour using the developed characterization model. A homogeneous FEM simulation is unable to predict the observed behaviour. The results motivate the application of a previously proposed simulation strategy, which is able to predict and incorporate local variations in mechanical behaviour into FEM simulations already in the design process for cast components.

脉冲激光晶化非晶硅薄膜的有限差分模拟

根据热传导原理，建立了脉冲激光晶化非晶硅薄膜的理论模型。运用有限差分方法研究了不同激光波长、能量密度等因素对薄膜温度变化及相变过程的影响。计算了不同波长激光器对厚度500nm非晶硅晶化的阈值能量密度。结果发现，准分子晶化的阈值能量密度最低，但是在同样的能量密度下，熔融深度却不及使用更长波长的激光器。计算并分析了升高衬底温度对结晶速度和晶粒尺寸的影响，模拟结果较好地验证了实验结论和规律。

Numerical and experimental analysis on green laser crystallization of amorphous silicon thin films

The effect of laser fluence on the crystallization of amorphous silicon irradiated by a frequency-doubled Nd:YAG laser is studied both theoretically and experimentally. An effective numerical model is set up to predict the melting threshold and the optimized laser fluence for the crystallization of 200-nm-thick amorphous silicon. The variation of the temperature distribution with time and the melt depth is analyzed. Besides the model, the Raman spectra of thin films treated with different fluences are measured to confirm the phase transition and to determine the optimized fluence. The calculating results accord well with those obtained from the experimental data in this research. (C) 2008 Elsevier Ltd. All rights reserved.

Modelling the mechanical response of the reed-mouthpiece-lip system of a clarinet. Part II: A lumped model approximation

A non-linear lumped model of the reed-mouthpiece-lip system of a clarinet is formulated, in which the lumped parameters are derived from numerical experiments with a finite-difference simulation based on a distributed reed model. The effective stiffness per unit area is formulated as a function of the pressure signal driving the reed, in order to simulate the effects of the reed bending against the lay, and mass and damping terms are added as a first approximation to the dynamic behaviour of the reed. A discrete-time formulation is presented, and its response is compared to that of the distributed model. In addition, the lumped model is applied in the simulation of clarinet tones, enabling the analysis of the effects of using a pressure-dependent stiffness per unit area on sustained oscillations. The analysed effects and features are in qualitative agreement with players' experiences and experimental results obtained in prior studies.

Stability of numerical schemes on staggered grids

This paper considers the stability of explicit, implicit and Crank-Nicolson schemes for the one-dimensional heat equation on a staggered grid. Furthemore, we consider the cases when both explicit and implicit approximations of the boundary conditions arc employed. Why we choose to do this is clearly motivated and arises front solving fluid flow equations with free surfaces when the Reynolds number can be very small. in at least parts of the spatial domain. A comprehensive stability analysis is supplied: a novel result is the precise stability restriction on the Crank-Nicolson method when the boundary conditions are approximated explicitly, that is, at t =n delta t rather than t = (n + 1)delta t. The two-dimensional Navier-Stokes equations were then solved by a marker and cell approach for two simple problems that had analytic solutions. It was found that the stability results provided in this paper were qualitatively very similar. thereby providing insight as to why a Crank-Nicolson approximation of the momentum equations is only conditionally, stable. Copyright (C) 2008 John Wiley & Sons, Ltd.

An implicit technique for solving 3D low Reynolds number moving free surface flows

This paper describes the development of an implicit finite difference method for solving transient three-dimensional incompressible free surface flows. To reduce the CPU time of explicit low-Reynolds number calculations, we have combined a projection method with an implicit technique for treating the pressure on the free surface. The projection method is employed to uncouple the velocity and the pressure fields, allowing each variable to be solved separately. We employ the normal stress condition on the free surface to derive an implicit technique for calculating the pressure at the free surface. Numerical results demonstrate that this modification is essential for the construction of methods that are more stable than those provided by discretizing the free surface explicitly. In addition, we show that the proposed method can be applied to viscoelastic fluids. Numerical results include the simulation of jet buckling and extrudate swell for Reynolds numbers in the range [0.01, 0.5]. (C) 2008 Elsevier Inc. All rights reserved.

Determination of rate constants using microelectrodes

An understanding of the rate and the mechanism of reaction is of fundamental importance in the many facets of chemistry. Electrochemical systems are further complicated by the heterogeneous boundary, between the solution and the electrode, that the electron passes through before any electrochemical reaction can take place. This thesis concerns the development of methods for analysing electrode kinetics. One part involves the further development of the Global Analysis procedure to include electrodes with a spherical geometry which are traditionally the most popular form of electrodes. Simulated data is analysed to ascertain the accuracy of the procedure and then the known artifacts of uncompensated solution resistance and charging current are added to the simulated data so that the effects can be observed. The experimental analysis of 2-methyl-2-nitropropane is undertaken and comparisons are made with the Marcus-Hush electrochemical theories concerning electrode kinetics. A related section explores procedures for the kinetic analysis of steady state voltammetric data obtained at microdisc electrodes. A method is proposed under the name of Normalised Steady State Voltammetry and is tested using data obtained from a Fast Quasi-Explicit Finite Difference simulation of diffusion to a microdisc electrode. In a second area of work using microelectrodes, the electrochemical behaviour of compounds of the general formula M(CO)3(η3 - P2P1) where M is either Cr, Mo or W and P2P' is bis(2-diphenylphosphinoethyl)phenylphosphine) is elucidated. The development of instrumentation and mathematical procedures relevant to the measurement and quantitation of these systems is also investigated. The tungsten compound represents the first examples where the 17-electronfac+ and mer+ isomers are of comparable stability.

A numerical approach to modeling the catalytic voltammetry of surface-confined redox enzymes

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.