Stability of central finite difference schemes for the Heston PDE

This paper deals with stability in the numerical solution of the prominent Heston partial differential equation from mathematical finance. We study the well-known central second-order finite difference discretization, which leads to large semi-discrete systems with non-normal matrices A. By employing the logarithmic spectral norm we prove practical, rigorous stability bounds. Our theoretical stability results are illustrated by ample numerical experiments

Pseudospectra in non-Hermitian quantum mechanics

We propose giving the mathematical concept of the pseudospectrum a central role in quantum mechanics with non-Hermitian operators. We relate pseudospectral properties to quasi-Hermiticity, similarity to self-adjoint operators, and basis properties of eigenfunctions. The abstract results are illustrated by unexpected wild properties of operators familiar from PT-symmetric quantum mechanics.Comment: version accepted for publication in J. Math. Phys.: criterion excluding basis property (Proposition 6) added, unbounded time-evolution discussed, new reference

Singular Modes of the Electromagnetic Field

We show that the mode corresponding to the point of essential spectrum of the electromagnetic scattering operator is a vector-valued distribution representing the square root of the three-dimensional Dirac's delta function. An explicit expression for this singular mode in terms of the Weyl sequence is provided and analyzed. An essential resonance thus leads to a perfect localization (confinement) of the electromagnetic field, which in practice, however, may result in complete absorption.Comment: 14 pages, no figure

Eigenvector statistics in non-Hermitian random matrix ensembles

We study statistical properties of the eigenvectors of non-Hermitian random matrices, concentrating on Ginibre's complex Gaussian ensemble, in which the real and imaginary parts of each element of an N x N matrix, J, are independent random variables. Calculating ensemble averages based on the quantity $< L_\alpha | L_\beta >$, where $< L_\alpha |$ and $| R_\beta >$ are left and right eigenvectors of J, we show for large N that eigenvectors associated with a pair of eigenvalues are highly correlated if the two eigenvalues lie close in the complex plane. We examine consequences of these correlations that are likely to be important in physical applications.Comment: 4 pages, no figure

Determination of Inter-Phase Line Tension in Langmuir Films

A Langmuir film is a molecularly thin film on the surface of a fluid; we study the evolution of a Langmuir film with two co-existing fluid phases driven by an inter-phase line tension and damped by the viscous drag of the underlying subfluid. Experimentally, we study an 8CB Langmuir film via digitally-imaged Brewster Angle Microscopy (BAM) in a four-roll mill setup which applies a transient strain and images the response. When a compact domain is stretched by the imposed strain, it first assumes a bola shape with two tear-drop shaped reservoirs connected by a thin tether which then slowly relaxes to a circular domain which minimizes the interfacial energy of the system. We process the digital images of the experiment to extract the domain shapes. We then use one of these shapes as an initial condition for the numerical solution of a boundary-integral model of the underlying hydrodynamics and compare the subsequent images of the experiment to the numerical simulation. The numerical evolutions first verify that our hydrodynamical model can reproduce the observed dynamics. They also allow us to deduce the magnitude of the line tension in the system, often to within 1%. We find line tensions in the range of 200-600 pN; we hypothesize that this variation is due to differences in the layer depths of the 8CB fluid phases.Comment: See (http://www.math.hmc.edu/~ajb/bola/) for related movie

Exact Controllability of the Time Discrete Wave Equation: A Multiplier Approach

In this paper we summarize our recent results on the exact boundary controllability of a trapezoidal time discrete wave equation in a bounded domain. It is shown that the projection of the solution in an appropriate space in which the high frequencies have been filtered is exactly controllable with uniformly bounded controls (with respect to the time-step). By classical duality arguments, the problem is reduced to a boundary observability inequality for a time-discrete wave equation. Using multiplier techniques the uniform observability property is proved in a class of filtered initial data. The optimality of the filtering parameter is also analyzed

Spectral Theory of Sparse Non-Hermitian Random Matrices

Sparse non-Hermitian random matrices arise in the study of disordered physical systems with asymmetric local interactions, and have applications ranging from neural networks to ecosystem dynamics. The spectral characteristics of these matrices provide crucial information on system stability and susceptibility, however, their study is greatly complicated by the twin challenges of a lack of symmetry and a sparse interaction structure. In this review we provide a concise and systematic introduction to the main tools and results in this field. We show how the spectra of sparse non-Hermitian matrices can be computed via an analogy with infinite dimensional operators obeying certain recursion relations. With reference to three illustrative examples --- adjacency matrices of regular oriented graphs, adjacency matrices of oriented Erd\H{o}s-R\'{e}nyi graphs, and adjacency matrices of weighted oriented Erd\H{o}s-R\'{e}nyi graphs --- we demonstrate the use of these methods to obtain both analytic and numerical results for the spectrum, the spectral distribution, the location of outlier eigenvalues, and the statistical properties of eigenvectors.Comment: 60 pages, 10 figure

Modelling for Robust Feedback Control of Fluid Flows

This paper addresses the problem of obtaining low-order models of fluid flows for the purpose of designing robust feedback controllers. This is challenging since whilst many flows are governed by a set of nonlinear, partial differential-algebraic equations (the Navier-Stokes equations), the majority of established control theory assumes models of much greater simplicity, in that they are firstly: linear, secondly: described by ordinary differential equations, and thirdly: finite-dimensional. Linearisation, where appropriate, overcomes the first disparity, but attempts to reconcile the remaining two have proved difficult. This paper addresses these two problems as follows. Firstly, a numerical approach is used to project the governing equations onto a divergence-free basis, thus converting a system of differential-algebraic equations into one of ordinary differential equations. This dispenses with the need for analytical velocity-vorticity transformations, and thus simplifies the modelling of boundary sensing and actuation. Secondly, this paper presents a novel and straightforward approach for obtaining suitable low-order models of fluid flows, from which robust feedback controllers can be synthesised that provide~\emph{a~priori} guarantees of robust performance when connected to the (infinite-dimensional) linearised flow system. This approach overcomes many of the problems inherent in approaches that rely upon model-reduction. To illustrate these methods, a perturbation shear stress controller is designed and applied to plane channel flow, assuming arrays of wall mounted shear-stress sensors and transpiration actuators. DNS results demonstrate robust attenuation of the perturbation shear-stresses across a wide range of Reynolds numbers with a single, linear controller