1,701 research outputs found
Transition probability of Brownian motion in the octant and its application to default modeling
We derive a semi-analytic formula for the transition probability of
three-dimensional Brownian motion in the positive octant with absorption at the
boundaries. Separation of variables in spherical coordinates leads to an
eigenvalue problem for the resulting boundary value problem in the two angular
components. The main theoretical result is a solution to the original problem
expressed as an expansion into special functions and an eigenvalue which has to
be chosen to allow a matching of the boundary condition. We discuss and test
several computational methods to solve a finite-dimensional approximation to
this nonlinear eigenvalue problem. Finally, we apply our results to the
computation of default probabilities and credit valuation adjustments in a
structural credit model with mutual liabilities
A new integral representation for quasiperiodic fields and its application to two-dimensional band structure calculations
In this paper, we consider band-structure calculations governed by the
Helmholtz or Maxwell equations in piecewise homogeneous periodic materials.
Methods based on boundary integral equations are natural in this context, since
they discretize the interface alone and can achieve high order accuracy in
complicated geometries. In order to handle the quasi-periodic conditions which
are imposed on the unit cell, the free-space Green's function is typically
replaced by its quasi-periodic cousin. Unfortunately, the quasi-periodic
Green's function diverges for families of parameter values that correspond to
resonances of the empty unit cell. Here, we bypass this problem by means of a
new integral representation that relies on the free-space Green's function
alone, adding auxiliary layer potentials on the boundary of the unit cell
itself. An important aspect of our method is that by carefully including a few
neighboring images, the densities may be kept smooth and convergence rapid.
This framework results in an integral equation of the second kind, avoids
spurious resonances, and achieves spectral accuracy. Because of our image
structure, inclusions which intersect the unit cell walls may be handled easily
and automatically. Our approach is compatible with fast-multipole acceleration,
generalizes easily to three dimensions, and avoids the complication of
divergent lattice sums.Comment: 25 pages, 6 figures, submitted to J. Comput. Phy
A space-time discretization procedure for wave propagation problems
Higher order compact algorithms are developed for the numerical simulation of wave propagation by using the concept of a discrete dispersion relation. The dispersion relation is the imprint of any linear operator in space-time. The discrete dispersion relation is derived from the continuous dispersion relation by examining the process by which locally plane waves propagate through a chosen grid. The exponential structure of the discrete dispersion relation suggests an efficient splitting of convective and diffusive terms for dissipative waves. Fourth- and eighth-order convection schemes are examined that involve only three or five spatial grid points. These algorithms are subject to the same restrictions that govern the use of dispersion relations in the constructions of asymptotic expansions to nonlinear evolution equations. A new eighth-order scheme is developed that is exact for Courant numbers of 1, 2, 3, and 4. Examples are given of a pulse and step wave with a small amount of physical diffusion
An unconditionally energy stable finite difference scheme for a stochastic Cahn-Hilliard equation
In this work, the MMC-TDGL equation, a stochastic Cahn-Hilliard equation is
solved numerically by using the finite difference method in combination with a
convex splitting technique of the energy functional. For the non-stochastic
case, we develop an unconditionally energy stable difference scheme which is
proved to be uniquely solvable. For the stochastic case, by adopting the same
splitting of the energy functional, we construct a similar and uniquely
solvable difference scheme with the discretized stochastic term. The resulted
schemes are nonlinear and solved by Newton iteration. For the long time
simulation, an adaptive time stepping strategy is developed based on both
first- and second-order derivatives of the energy. Numerical experiments are
carried out to verify the energy stability, the efficiency of the adaptive time
stepping and the effect of the stochastic term.Comment: This paper has been accepted for publication in SCIENCE CHINA
Mathematic
A study of the application of singular perturbation theory
A hierarchical real time algorithm for optimal three dimensional control of aircraft is described. Systematic methods are developed for real time computation of nonlinear feedback controls by means of singular perturbation theory. The results are applied to a six state, three control variable, point mass model of an F-4 aircraft. Nonlinear feedback laws are presented for computing the optimal control of throttle, bank angle, and angle of attack. Real Time capability is assessed on a TI 9900 microcomputer. The breakdown of the singular perturbation approximation near the terminal point is examined Continuation methods are examined to obtain exact optimal trajectories starting from the singular perturbation solutions
Microwave Background Anisotropies and Nonlinear Structures I. Improved Theoretical Models
A new method is proposed for modelling spherically symmetric inhomogeneities
in the Universe. The inhomogeneities have finite size and are compensated, so
they do not exert any measurable gravitational force beyond their boundary. The
region exterior to the perturbation is represented by a
Friedmann-Robertson-Walker (FRW) Universe, which we use to study the anisotropy
in the cosmic microwave background (CMB) induced by the cluster. All
calculations are performed in a single, global coordinate system, with
nonlinear gravitational effects fully incorporated. An advantage of the gauge
choices employed here is that the resultant equations are essentially Newtonian
in form. Examination of the problem of specifying initial data shows that the
new model presented here has many advantages over `Swiss cheese' and other
models. Numerical implementation of the equations derived here is described in
a subsequent paper.Comment: 10 pages, 4 figures; Monthly Notices of the Royal Astronomical
Society (MNRAS), in pres
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