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

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

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

Fractal Stability Border in Plane Couette Flow

We study the dynamics of localised perturbations in plane Couette flow with periodic lateral boundary conditions. For small Reynolds number and small amplitude of the initial state the perturbation decays on a viscous time scale $t \propto Re$. For Reynolds number larger than about 200, chaotic transients appear with life times longer than the viscous one. Depending on the type of the perturbation isolated initial conditions with infinite life time appear for Reynolds numbers larger than about 270--320. In this third regime, the life time as a function of Reynolds number and amplitude is fractal. These results suggest that in the transition region the turbulent dynamics is characterised by a chaotic repeller rather than an attractor.Comment: 4 pages, Latex, 4 eps-figures, submitted to Phys. Rev. Le

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

Non-normality, reactivity, and intrinsic stochasticity in neural dynamics: a non-equilibrium potential approach

Intrinsic stochasticity can induce highly non-trivial effects on dynamical systems, such as stochastic resonance, noise induced bistability, and noise-induced oscillations, to name but a few. Here we revisit a mechanism-first investigated in the context of neuroscience-by which relatively small intrinsic (demographic) fluctuations can lead to the emergence of avalanching behavior in systems that are deterministically characterized by a single stable fixed point (up state). The anomalously large response of such systems to stochasticity stems from (or is strongly associated with) the existence of a 'non-normal' stability matrix at the deterministic fixed point, which may induce the system to be 'reactive'. By employing a number of analytical and computational approaches, we further investigate this mechanism and explore the interplay between non-normality and intrinsic stochasticity. In particular, we conclude that the resulting dynamics of this type of systems cannot be simply derived from a scalar potential but, additionally, one needs to consider a curl flux which describes the essential non-equilibrium nature of this type of noisy non-normal systems. Moreover, we shed further light on the origin of the phenomenon, introduce the novel concept of 'non-linear reactivity', and rationalize the observed values of avalanche exponents.We are grateful to the Spanish-MINECO for financial support (under grants FIS2013-43201-P and FIS2017-84256-P; FEDER funds). MAM also acknowledges the support from TeachinParma and the Cariparma foundation