Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility

This paper considers the single factor Heath-Jarrow-Morton model for the interest rate curve with stochastic volatility. Its natural formulation, described in terms of stochastic differential equations, is solved through Monte Carlo simulations, that usually involve rather large computation time, inefficient from a practical (financial) perspective. This model turns to be Markovian in three dimensions and therefore it can be mapped into a 3D partial differential equations problem. We propose an optimized numerical method to solve the 3D PDE model in both low computation time and reasonable accuracy, a fundamental criterion for practical purposes. The spatial and temporal discretization are performed using finite-difference and Crank-Nicholson schemes respectively, and the computational efficiency is largely increased performing a scale analysis and using Alternating Direction Implicit schemes. Several numerical considerations such as convergence criteria or computation time are analyzed and discussed.Comment: submitted for publicatio

Comparison of Mesh Adaptation Using the Adjoint Methodology and Truncation Error Estimates

Mesh adaptation based on error estimation has become a key technique to improve th eaccuracy o fcomputational-fluid-dynamics computations. The adjoint-based approach for error estimation is one of the most promising techniques for computational-fluid-dynamics applications. Nevertheless, the level of implementation of this technique in the aeronautical industrial environment is still low because it is a computationally expensive method. In the present investigation, a new mesh refinement method based on estimation of truncation error is presented in the context of finite-volume discretization. The estimation method uses auxiliary coarser meshes to estimate the local truncation error, which can be used for driving an adaptation algorithm. The method is demonstrated in the context of two-dimensional NACA0012 and three-dimensional ONERA M6 wing inviscid flows, and the results are compared against the adjoint-based approach and physical sensors based on features of the flow field

The estimation of truncation error by tau-estimation revisited

The aim of this paper was to accurately estimate the local truncation error of partial differential equations, that are numerically solved using a finite difference or finite volume approach on structured and unstructured meshes. In this work, we approximated the local truncation error using the @t-estimation procedure, which aims to compare the residuals on a sequence of grids with different spacing. First, we focused the analysis on one-dimensional scalar linear and non-linear test cases to examine the accuracy of the estimation of the truncation error for both finite difference and finite volume approaches on different grid topologies. Then, we extended the analysis to two-dimensional problems: first on linear and non-linear scalar equations and finally on the Euler equations. We demonstrated that this approach yields a highly accurate estimation of the truncation error if some conditions are fulfilled. These conditions are related to the accuracy of the restriction operators, the choice of the boundary conditions, the distortion of the grids and the magnitude of the iteration error

Introducing novel approaches for examining the variability of individuals' physical activity

Tudor-Locke and colleagues previously assessed steps/day for 1 year. The aim of this study was to use this data set to introduce a novel approach for the investigation of whether individual's physical activity exhibits periodicity fluctuating round a mean and, if so, the degree of fluctuation and whether the mean changes over time. Twenty-three participants wore a pedometer for 365 days, recorded steps/day and whether the day was a workday. Fourier transform of each participant's daily steps data showed the physical activity had a periodicity of 7 days in half of the participants, matching the periodicity of the workday pattern. Activity level remained stable in half of the participants, decreased in ten participants and increased in two. In conclusion, the 7-day periodicity of activity in half of the participants and correspondence with the workday pattern suggest a social or environmental influence. The novel analytical approach introduced herein allows the determination of the periodicity of activity, the degree of variability in activity that is tolerated during day-to-day life and whether the activity level is stable. Results from the use of these methodologies in larger data sets may enable a more focused approach to the design of interventions that aim to increase activity

Sleep and cardiometabolic health in children and adults: examining sleep as a component of the 24-h day

Study objectives Sleep, physical activity and sedentary time are all known to play a role in cardiometabolic health. Compositional data analysis (CoDA) enables us to examine associations between 24-h use of time and health outcomes. Methods Data were collected in the Child Health CheckPoint study, a one-off national population-cohort study conducted between February 2015 and March 2016. Wrist-worn actigraphy monitors (GENEActiv Original, Cambs, UK) were used to measure activity behaviours (sleep, physical activity and sedentary time) and sleep characteristics (sleep variability, midsleep, efficiency). CoDA was applied to determine the association between 24-h use of time and cardiometabolic risk markers (blood pressure; body mass index; apolipoprotein B/A1; glycoprotein acetyls; and composite metabolic syndrome score). Substitution modelling (one-for-remaining and one-for-one) examined the associations of reallocating sleep time with other activity behaviours. ResultsData were available for 1073 Australian children aged 11–12 years (50% male) and 1337 adults (13% male). Strong association was found between 24-h use of time and all cardiometabolic health outcomes. Longer sleep was associated with more favourable cardiovascular health. Sleep characteristics other than duration (efficiency, timing, variability) were weakly and inconsistently associated with outcomes. Reallocating time from sleep to moderate-vigorous physical activity (MVPA) had favourable associations with cardiometabolic health, but reallocating from sleep to sedentary time was associated with less favourable cardiometabolic health. Conclusion The 24-h activity composition is strongly associated with cardiometabolic health in children and adults. Days with more sleep and MVPA are associated with improved cardiometabolic health.</p

Evaluation of the dystrophin carboxy-terminal domain for micro-dystrophin gene therapy in cardiac and skeletal muscles in the DMDmdx rat model

Duchenne muscular dystrophy (DMD) is a muscle wasting disorder caused by mutations in the gene encoding dystrophin. Gene therapy using micro-dystrophin (MD) transgenes and recombinant adeno-associated virus (rAAV) vectors hold great promise. To overcome the limited packaging capacity of rAAV vectors, most MD do not include dystrophin carboxy-terminal (CT) domain. Yet, the CT domain is known to recruit α1- and β1-syntrophins and α-dystrobrevin, a part of the dystrophin-associated protein complex (DAPC), which is a signaling and structural mediator of muscle cells. In this study, we explored the impact of inclusion of the dystrophin CT domain on ΔR4-23/ΔCT MD (MD1), in DMDmdx rats, which allows for relevant evaluations at muscular and cardiac levels. We showed by LC-MS/MS that MD1 expression is sufficient to restore the interactions at a physiological level of most DAPC partners in skeletal and cardiac muscles, and that inclusion of the CT domain increases the recruitment of some DAPC partners at supra-physiological levels. In parallel, we demonstrated that inclusion of the CT domain does not improve MD1 therapeutic efficacy on DMD muscle and cardiac pathologies. Our work highlights new evidences of the therapeutic potential of MD1 and strengthens the relevance of this candidate for gene therapy of DMD

Numerical Error Prediction and its applications in CFD using tau-estimation

Nowadays, Computational Fluid Dynamics (CFD) solvers are widely used within the industry to model fluid flow phenomenons. Several fluid flow model equations have been employed in the last decades to simulate and predict forces acting, for example, on different aircraft configurations. Computational time and accuracy are strongly dependent on the fluid flow model equation and the spatial dimension of the problem considered. While simple models based on perfect flows, like panel methods or potential flow models can be very fast to solve, they usually suffer from a poor accuracy in order to simulate real flows (transonic, viscous). On the other hand, more complex models such as the full Navier- Stokes equations provide high fidelity predictions but at a much higher computational cost. Thus, a good compromise between accuracy and computational time has to be fixed for engineering applications. A discretisation technique widely used within the industry is the so-called Finite Volume approach on unstructured meshes. This technique spatially discretises the flow motion equations onto a set of elements which form a mesh, a discrete representation of the continuous domain. Using this approach, for a given flow model equation, the accuracy and computational time mainly depend on the distribution of nodes forming the mesh. Therefore, a good compromise between accuracy and computational time might be obtained by carefully defining the mesh. However, defining an optimal mesh for complex flows and geometries requires a very high level expertize in fluid mechanics and numerical analysis, and in most cases a simple guess of regions of the computational domain which might affect the most the accuracy is impossible. Thus, it is desirable to have an automatized remeshing tool, which is more flexible with unstructured meshes than its structured counterpart. However, adaptive methods currently in use still have an opened question: how to efficiently drive the adaptation ? Pioneering sensors based on flow features generally suffer from a lack of reliability, so in the last decade more effort has been made in developing numerical error-based sensors, like for instance the adjoint-based adaptation sensors. While very efficient at adapting meshes for a given functional output, the latter method is very expensive as it requires to solve a dual set of equations and computes the sensor on an embedded mesh. Therefore, it would be desirable to develop a more affordable numerical error estimation method. The current work aims at estimating the truncation error, which arises when discretising a partial differential equation. These are the higher order terms neglected in the construction of the numerical scheme. The truncation error provides very useful information as it is strongly related to the flow model equation and its discretisation. On one hand, it is a very reliable measure of the quality of the mesh, therefore very useful in order to drive a mesh adaptation procedure. On the other hand, it is strongly linked to the flow model equation, so that a careful estimation actually gives information on how well a given equation is solved, which may be useful in the context of _ -extrapolation or zonal modelling. The following work is organized as follows: Chap. 1 contains a short review of mesh adaptation techniques as well as numerical error prediction. In the first section, Sec. 1.1, the basic refinement strategies are reviewed and the main contribution to structured and unstructured mesh adaptation are presented. Sec. 1.2 introduces the definitions of errors encountered when solving Computational Fluid Dynamics problems and reviews the most common approaches to predict them. Chap. 2 is devoted to the mathematical formulation of truncation error estimation in the context of finite volume methodology, as well as a complete verification procedure. Several features are studied, such as the influence of grid non-uniformities, non-linearity, boundary conditions and non-converged numerical solutions. This verification part has been submitted and accepted for publication in the Journal of Computational Physics. Chap. 3 presents a mesh adaptation algorithm based on truncation error estimates and compares the results to a feature-based and an adjoint-based sensor (in collaboration with Jorge Ponsín, INTA). Two- and three-dimensional cases relevant for validation in the aeronautical industry are considered. This part has been submitted and accepted in the AIAA Journal. An extension to Reynolds Averaged Navier- Stokes equations is also included, where _ -estimation-based mesh adaptation and _ -extrapolation are applied to viscous wing profiles. The latter has been submitted in the Proceedings of the Institution of Mechanical Engineers, Part G: Journal of Aerospace Engineering. Keywords: mesh adaptation, numerical error prediction, finite volume Hoy en día, la Dinámica de Fluidos Computacional (CFD) es ampliamente utilizada dentro de la industria para obtener información sobre fenómenos fluidos. La Dinámica de Fluidos Computacional considera distintas modelizaciones de las ecuaciones fluidas (Potencial, Euler, Navier-Stokes, etc) para simular y predecir las fuerzas que actúan, por ejemplo, sobre una configuración de aeronave. El tiempo de cálculo y la precisión en la solución depende en gran medida de los modelos utilizados, así como de la dimensión espacial del problema considerado. Mientras que modelos simples basados en flujos perfectos, como modelos de flujos potenciales, se pueden resolver rápidamente, por lo general aducen de una baja precisión a la hora de simular flujos reales (viscosos, transónicos, etc). Por otro lado, modelos más complejos tales como el conjunto de ecuaciones de Navier-Stokes proporcionan predicciones de alta fidelidad, a expensas de un coste computacional mucho más elevado. Por lo tanto, en términos de aplicaciones de ingeniería se debe fijar un buen compromiso entre precisión y tiempo de cálculo. Una técnica de discretización ampliamente utilizada en la industria es el método de los Volúmenes Finitos en mallas no estructuradas. Esta técnica discretiza espacialmente las ecuaciones del movimiento del flujo sobre un conjunto de elementos que forman una malla, una representación discreta del dominio continuo. Utilizando este enfoque, para una ecuación de flujo dado, la precisión y el tiempo computacional dependen principalmente de la distribución de los nodos que forman la malla. Por consiguiente, un buen compromiso entre precisión y tiempo de cálculo se podría obtener definiendo cuidadosamente la malla, concentrando sus elementos en aquellas zonas donde sea estrictamente necesario. Sin embargo, la definición de una malla óptima para corrientes y geometrías complejas requiere un nivel muy alto de experiencia en la mecánica de fluidos y el análisis numérico, así como un conocimiento previo de la solución. Aspecto que en la mayoría de los casos no está disponible. Por tanto, es deseable tener una herramienta que permita adaptar los elementos de malla de forma automática, acorde a la solución fluida (remallado). Esta herramienta es generalmente más flexible en mallas no estructuradas que con su homóloga estructurada. No obstante, los métodos de adaptación actualmente en uso todavía dejan una pregunta abierta: cómo conducir de manera eficiente la adaptación. Sensores pioneros basados en las características del flujo en general, adolecen de una falta de fiabilidad, por lo que en la última década se han realizado grandes esfuerzos en el desarrollo numérico de sensores basados en el error, como por ejemplo los sensores basados en el adjunto. A pesar de ser muy eficientes en la adaptación de mallas para un determinado funcional, este último método resulta muy costoso, pues requiere resolver un doble conjunto de ecuaciones: la solución y su adjunta. Por tanto, es deseable desarrollar un método numérico de estimación de error más asequible. El presente trabajo tiene como objetivo estimar el error local de truncación, que aparece cuando se discretiza una ecuación en derivadas parciales. Estos son los términos de orden superior olvidados en la construcción del esquema numérico. El error de truncación proporciona una información muy útil sobre la solución: es una medida muy fiable de la calidad de la malla, obteniendo información que permite llevar a cabo un procedimiento de adaptación de malla. Está fuertemente relacionado al modelo matemático fluido, de modo que una estimación precisa garantiza la idoneidad de dicho modelo en un campo fluido, lo que puede ser útil en el contexto de modelado zonal. Por último, permite mejorar la precisión de la solución resolviendo un nuevo sistema donde el error local actúa como término fuente (_ -extrapolación). El presenta trabajo se organiza de la siguiente manera: Cap. 1 contiene una breve reseña de las técnicas de adaptación de malla, así como de los métodos de predicción de los errores numéricos. En la primera sección, Sec. 1.1, se examinan las estrategias básicas de refinamiento y se presenta la principal contribución a la adaptación de malla estructurada y no estructurada. Sec 1.2 introduce las definiciones de los errores encontrados en la resolución de problemas de Dinámica Computacional de Fluidos y se examinan los enfoques más comunes para predecirlos. Cap. 2 está dedicado a la formulación matemática de la estimación del error de truncación en el contexto de la metodología de Volúmenes Finitos, así como a un procedimiento de verificación completo. Se estudian varias características que influyen en su estimación: la influencia de la falta de uniformidad de la malla, el efecto de las no linealidades del modelo matemático, diferentes condiciones de contorno y soluciones numéricas no convergidas. Esta parte de verificación ha sido presentada y aceptada para su publicación en el Journal of Computational Physics. Cap. 3 presenta un algoritmo de adaptación de malla basado en la estimación del error de truncación y compara los resultados con sensores de featured-based y adjointbased (en colaboración con Jorge Ponsín del INTA). Se consideran casos en dos y tres dimensiones, relevantes para la validación en la industria aeronáutica. Este trabajo ha sido presentado y aceptado en el AIAA Journal. También se incluye una extensión de estos métodos a las ecuaciones RANS (Reynolds Average Navier- Stokes), en donde adaptación de malla basada en _ y _ -extrapolación son aplicados a perfiles con viscosidad de alas. Este último trabajo se ha presentado en los Actas de la Institución de Ingenieros Mecánicos, Parte G: Journal of Aerospace Engineering. Palabras clave: adaptación de malla, predicción del error numérico, volúmenes finito