895 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 problem of MHD natural convection boundary layer flow of an electrically conducting and optically dense gray viscous fluid along a heated vertical plate is analyzed in the presence of strong cross magnetic field with radiative heat transfer. In the analysis radiative heat flux is considered by adopting optically thick radiation limit. Attempt is made to obtain the solutions valid for liquid metals by taking Pr≪1. Boundary layer equations are transformed in to a convenient dimensionless form by using stream function formulation (SFF) and primitive variable formulation (PVF). Non-similar equations obtained from SFF are then simulated by implicit finite difference (Keller-box) method whereas parabolic partial differential equations obtained from PVF are integrated numerically by hiring direct finite difference method over the entire range of local Hartmann parameter, $xi$ . Further, asymptotic solutions are also obtained for large and small values of local Hartmann parameter $xi$ . A favorable agreement is found between the results for small, large and all values of $xi$ . Numerical results are also demonstrated graphically by showing the effect of various physical parameters on shear stress, rate of heat transfer, velocity and temperature.

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Terrorists usually target high occupancy iconic and public buildings using vehicle borne incendiary devices in order to claim a maximum number of lives and cause extensive damage to public property. While initial casualties are due to direct shock by the explosion, collapse of structural elements may extensively increase the total figure. Most of these buildings have been or are built without consideration of their vulnerability to such events. Therefore, the vulnerability and residual capacity assessment of buildings to deliberately exploded bombs is important to provide mitigation strategies to protect the buildings' occupants and the property. Explosive loads and their effects on a building have therefore attracted significant attention in the recent past. Comprehensive and economical design strategies must be developed for future construction. This research investigates the response and damage of reinforced concrete (RC) framed buildings together with their load bearing key structural components to a near field blast event. Finite element method (FEM) based analysis was used to investigate the structural framing system and components for global stability, followed by a rigorous analysis of key structural components for damage evaluation using the codes SAP2000 and LS DYNA respectively. The research involved four important areas in structural engineering. They are blast load determination, numerical modelling with FEM techniques, material performance under high strain rate and non-linear dynamic structural analysis. The response and damage of a RC framed building for different blast load scenarios were investigated. The blast influence region for a two dimensional RC frame was investigated for different load conditions and identified the critical region for each loading case. Two types of design methods are recommended for RC columns to provide superior residual capacities. They are RC columns detailing with multi-layer steel reinforcement cages and a composite columns including a central structural steel core. These are to provide post blast gravity load resisting capacity compared to typical RC column against a catastrophic collapse. Overall, this research broadens the current knowledge of blast and residual capacity analysis of RC framed structures and recommends methods to evaluate and mitigate blast impact on key elements of multi-storey buildings.

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The numerical solution in one space dimension of advection--reaction--diffusion systems with nonlinear source terms may invoke a high computational cost when the presently available methods are used. Numerous examples of finite volume schemes with high order spatial discretisations together with various techniques for the approximation of the advection term can be found in the literature. Almost all such techniques result in a nonlinear system of equations as a consequence of the finite volume discretisation especially when there are nonlinear source terms in the associated partial differential equation models. This work introduces a new technique that avoids having such nonlinear systems of equations generated by the spatial discretisation process when nonlinear source terms in the model equations can be expanded in positive powers of the dependent function of interest. The basis of this method is a new linearisation technique for the temporal integration of the nonlinear source terms as a supplementation of a more typical finite volume method. The resulting linear system of equations is shown to be both accurate and significantly faster than methods that necessitate the use of solvers for nonlinear system of equations.

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Both the semi-similar and self-similar flows due to a viscous fluid rotating with time dependent angular velocity over a porous disk of large radius at rest with or without a magnetic field are investigated. For the self-similar case the resulting equations for the suction and no mass transfer cases are solved numerically by quasilinearization method whereas for the semi-similar case and injection in the self-similar case an implicit finite difference method with Newton's linearization is employed. For rapid deceleration of fluid and for moderate suction in the case of self-similar flow there exists a layer of fluid, close to the disk surface where the sense of rotation is opposite to that of the fluid rotating far away. The velocity profiles in the absence of magnetic field are found to be oscillatory except for suction. For the accelerating freestream, (semi-similar flow) the effect of time is to reduce the amplitude of the oscillations of the velocity components. On the other hand the effect of time for the oscillating case is just the opposite.

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A hot billet in contact with relatively cold dies undergoes rapid cooling in the forging operation. This may give rise to unfilled cavities, poor surface finish and stalling of the press. A knowledge of billet-die temperatures as a function of time is therefore essential for process design. A computer code using finite difference method is written to estimate such temperature histories and validated by comparing the predicted cooling of an integral die-billet configuration with that obtained experimentally.

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The flapping equation for a rotating rigid helicopter blade is typically derived by considering (1)small flap angle, (2) small induced angle of attack and (3) linear aerodynamics. However, the use of nonlinear aerodynamics such as dynamic stall can make the assumptions of small angles suspect as shown in this paper. A general equation describing helicopter blade flap dynamics for large flap angle and large induced inflow angle of attack is derived. A semi-empirical dynamic stall aerodynamics model (ONERA model) is used. Numerical simulations are performed by solving the nonlinear flapping ordinary differential equation for steady state conditions and the validity of the small angle approximations are examined. It is shown that the small flapping assumption, and to a lesser extent, the small induced angle ofattack assumption, can lead to inaccurate predictions of the blade flap response in certain flight conditions for some rotors when nonlinear aerodynamics is considered. (C) 2010 Elsevier Inc. All rights reserved.

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Often the soil hydraulic parameters are obtained by the inversion of measured data (e.g. soil moisture, pressure head, and cumulative infiltration, etc.). However, the inverse problem in unsaturated zone is ill-posed due to various reasons, and hence the parameters become non-unique. The presence of multiple soil layers brings the additional complexities in the inverse modelling. The generalized likelihood uncertainty estimate (GLUE) is a useful approach to estimate the parameters and their uncertainty when dealing with soil moisture dynamics which is a highly non-linear problem. Because the estimated parameters depend on the modelling scale, inverse modelling carried out on laboratory data and field data may provide independent estimates. The objective of this paper is to compare the parameters and their uncertainty estimated through experiments in the laboratory and in the field and to assess which of the soil hydraulic parameters are independent of the experiment. The first two layers in the field site are characterized by Loamy sand and Loamy. The mean soil moisture and pressure head at three depths are measured with an interval of half hour for a period of 1 week using the evaporation method for the laboratory experiment, whereas soil moisture at three different depths (60, 110, and 200 cm) is measured with an interval of 1 h for 2 years for the field experiment. A one-dimensional soil moisture model on the basis of the finite difference method was used. The calibration and validation are approximately for 1 year each. The model performance was found to be good with root mean square error (RMSE) varying from 2 to 4 cm(3) cm(-3). It is found from the two experiments that mean and uncertainty in the saturated soil moisture (theta(s)) and shape parameter (n) of van Genuchten equations are similar for both the soil types. Copyright (C) 2010 John Wiley & Sons, Ltd.

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We investigate an optical waveguide system consisting of an unclad fiber core suspended at a constant distance parallel to the surface of a planar waveguide. The coupling and propagation of light in the combined system is studied using the three-dimensional explicit finite difference beam propagation method with a nonuniform mesh configuration. The power loss in the fiber and the field distribution in the waveguide are studied as a function of various parameters, such as index changes, index profile, and propagation distance, for the combined system.

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Laser processing of structure sensitive hypereutectic ductile iron, a cast alloy employed for dynamically loaded automative components, was experimentally investigated over a wide range of process parameters: from power (0.5-2.5 kW) and scan rate (7.5-25 mm s(-1)) leading to solid state transformation, all the way through to melting followed by rapid quenching. Superfine dendritic (at 10(5) degrees C s(-1)) or feathery (at 10(4) degrees C s(-1)) ledeburite of 0.2-0.25 mu m lamellar space, gamma-austenite and carbide in the laser melted and martensite in the transformed zone or heat-affected zone were observed, depending on the process parameters. Depth of geometric profiles of laser transformed or melt zone structures, parameters such as dendrile arm spacing, volume fraction of carbide and surface hardness bear a direct relationship with the energy intensity P/UDb2, (10-100 J mm(-3)). There is a minimum energy intensity threshold for solid state transformation hardening (0.2 J mm(-3)) and similarly for the initiation of superficial melting (9 J mm(-3)) and full melting (15 J mm(-3)) in the case of ductile iron. Simulation, modeling and thermal analysis of laser processing as a three-dimensional quasi-steady moving heat source problem by a finite difference method, considering temperature dependent energy absorptivity of the material to laser radiation, thermal and physical properties (kappa, rho, c(p)) and freezing under non-equilibrium conditions employing Scheil's equation to compute the proportion of the solid enabled determination of the thermal history of the laser treated zone. This includes assessment of the peak temperature attained at the surface, temperature gradients, the freezing time and rates as well as the geometric profile of the melted, transformed or heat-affected zone. Computed geometric profiles or depth are in close agreement with the experimental data, validating the numerical scheme.

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The unsteady laminar boundary layer flow of an electrically conducting fluid past a semi-infinite flat plate with an aligned magnetic field has been studied when at time t > 0 the plate is impulsively moved with a constant velocity which is in the same or opposite direction to that of free stream velocity. The effect of the induced magnetic field has been included in the analysis. The non-linear partial differential equations have been solved numerically using an implicit finite-difference method. The effect of the impulsive motion of the surface is found to be more pronounced on the skin friction but its effect on the x-component of the induced magnetic field and heat transfer is small. Velocity defect occurs near the surface when the plate is impulsively moved in the same direction as that of the free stream velocity. The surface shear stress, x-component of the induced magnetic field on the surface and the surface heat transfer decrease with an increasing magnetic field, but they increase with the reciprocal of the magnetic Prandtl number. However, the effect of the reciprocal of the magnetic Prandtl number is more pronounced on the x-component of the induced magnetic field. (C) 1999 Elsevier Science Ltd. All rights reserved.

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A methodology termed the “filtered density function” (FDF) is developed and implemented for large eddy simulation (LES) of chemically reacting turbulent flows. In this methodology, the effects of the unresolved scalar fluctuations are taken into account by considering the probability density function (PDF) of subgrid scale (SGS) scalar quantities. A transport equation is derived for the FDF in which the effect of chemical reactions appears in a closed form. The influences of scalar mixing and convection within the subgrid are modeled. The FDF transport equation is solved numerically via a Lagrangian Monte Carlo scheme in which the solutions of the equivalent stochastic differential equations (SDEs) are obtained. These solutions preserve the Itô-Gikhman nature of the SDEs. The consistency of the FDF approach, the convergence of its Monte Carlo solution and the performance of the closures employed in the FDF transport equation are assessed by comparisons with results obtained by direct numerical simulation (DNS) and by conventional LES procedures in which the first two SGS scalar moments are obtained by a finite difference method (LES-FD). These comparative assessments are conducted by implementations of all three schemes (FDF, DNS and LES-FD) in a temporally developing mixing layer and a spatially developing planar jet under both non-reacting and reacting conditions. In non-reacting flows, the Monte Carlo solution of the FDF yields results similar to those via LES-FD. The advantage of the FDF is demonstrated by its use in reacting flows. In the absence of a closure for the SGS scalar fluctuations, the LES-FD results are significantly different from those based on DNS. The FDF results show a much closer agreement with filtered DNS results. © 1998 American Institute of Physics.

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Phototaxis is a directed swimming response dependent upon the light intensity sensed by micro-organisms. Positive (negative) phototaxis denotes the motion directed towards (away from) the source of light. Using the phototaxis model of Ghorai, Panda, and Hill ''Bioconvection in a suspension of isotropically scattering phototactic algae,'' Phys. Fluids 22, 071901 (2010)], we investigate two-dimensional phototactic bioconvection in an absorbing and isotropic scattering suspension in the nonlinear regime. The suspension is confined by a rigid bottom boundary, and stress-free top and lateral boundaries. The governing equations for phototactic bioconvection consist of Navier-Stokes equations for an incompressible fluid coupled with a conservation equation for micro-organisms and the radiative transfer equation for light transport. The governing system is solved efficiently using a semi-implicit second-order accurate conservative finite-difference method. The radiative transfer equation is solved by the finite volume method using a suitable step scheme. The resulting bioconvective patterns differ qualitatively from those found by Ghorai and Hill ''Penetrative phototactic bioconvection,'' Phys. Fluids 17, 074101 (2005)] at a higher critical wavelength due to the effects of scattering. The solutions show transition from steady state to periodic oscillations as the governing parameters are varied. Also, we notice the accumulation of micro-organisms in two horizontal layers at two different depths via their mean swimming orientation profile for some governing parameters at a higher scattering albedo. (C) 2013 AIP Publishing LLC.

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The convective--diffusion equation is of primary importance in such fields as fluid dynamics and heat transfer hi the numerical methods solving the convective-diffusion equation, the finite volume method can use conveniently diversified grids (structured and unstructured grids) and is suitable for very complex geometry The disadvantage of FV methods compared to the finite difference method is that FV-methods of order higher than second are more difficult to develop in three-dimensional cases. The second-order central scheme (2cs) offers a good compromise among accuracy, simplicity and efficiency, however, it will produce oscillatory solutions when the grid Reynolds numbers are large and then very fine grids are required to obtain accurate solution. The simplest first-order upwind (IUW) scheme satisfies the convective boundedness criteria, however. Its numerical diffusion is large. The power-law scheme, QMCK and second-order upwind (2UW) schemes are also often used in some commercial codes. Their numerical accurate are roughly consistent with that of ZCS. Therefore, it is meaningful to offer higher-accurate three point FV scheme. In this paper, the numerical-value perturbational method suggested by Zhi Gao is used to develop an upwind and mixed FV scheme using any higher-order interpolation and second-order integration approximations, which is called perturbational finite volume (PFV) scheme. The PFV scheme uses the least nodes similar to the standard three-point schemes, namely, the number of the nodes needed equals to unity plus the face-number of the control volume. For instanc6, in the two-dimensional (2-D) case, only four nodes for the triangle grids and five nodes for the Cartesian grids are utilized, respectively. The PFV scheme is applied on a number of 1-D problems, 2~Dand 3-D flow model equations. Comparing with other standard three-point schemes, The PFV scheme has much smaller numerical diffusion than the first-order upwind (IUW) scheme, its numerical accuracy are also higher than the second-order central scheme (2CS), the power-law scheme (PLS), the QUICK scheme and the second-order upwind(ZUW) scheme.

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Tradicionalmente, na análise e dimensionamento de estruturas de aço, assume-se que as ligações viga-coluna são rígidas ou flexíveis (rotuladas). Por outro lado, é de conhecimento geral que a grande maioria das ligações viga-coluna apresenta um comportamento intermediário, ou seja, semi-rígido. Inúmeros trabalhos de pesquisa têm sido desenvolvidos nos últimos vinte e cinco anos, de forma a estudar o comportamento desse tipo de ligação. Um dos principais objetivos desta investigação é o de propor uma metodologia de análise que represente de forma apropriada a influência do comportamento semi-rígido de placas de base e de ligações viga-coluna, sobre a resposta dinâmica (linear e não-linear) de estruturas de aço. Outra contribuição desta dissertação diz respeito à investigação do comportamento dinâmico (linear e não-linear) de pórticos de aço, a partir da consideração de ligações viga-coluna simétricas e não-simétricas e especialmente das placas de base. A análise estrutural é desenvolvida com base no emprego do programa de elementos finitos ANSYS [27]. Nos modelos em elementos finitos foram considerados os efeitos de não-linearidade geométrica (efeitos de segunda ordem), o comportamento não-linear das placas de base e das ligações viga-coluna e, bem como, o efeito de histerese que ocorre quando a estrutura é submetida a cargas cíclicas. Os resultados alcançados indicaram que o fenômeno físico da ressonância não ocorre no que se refere à resposta dinâmica dos modelos semi-rígidos não-lineares. A ressonância não ocorre na resposta dos modelos devido ao fato de que, na análise dinâmica não-linear, o efeito de histerese presente nas ligações (placas de base e viga-coluna), essencialmente com comportamento não-linear, provoca um amortecimento na resposta dinâmica da estrutura.

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Este trabalho apresenta uma modelagem matemática para o processo de aquecimento de um corpo exposto a uma fonte pontual de radiação térmica. O resultado original que permite a solução exata de uma equação diferencial parcial não linear a partir de uma seqüência de problemas lineares também é apresentado. Gráficos gerados com resultados obtidos pelo método de diferenças finitas ilustram a solução do problema proposto.