MODELING,SIMULATION,AND OPTIMIZATION OF SURFACE ACOUSTIC WAVE DRIVEN MICROFLUIDIC BIOCHIPS

We will be concerned with the mathematical modeling, numerical simulation, and shape optimization of micro fluidic biochips that are used for various biomedical applications. A particular feature is that the fluid flow in the fluidic network on top of the biochips is in- duced by surface acoustic waves generated by interdigital transducers. We are thus faced with a multiphysics problem that will be modeled by coupling the equations of piezoelectricity with the compressible Navier-Stokes equations. Moreover, the fluid flow exhibits a multiscale character that will be taken care of by a homogenization approach. We will discuss and analyze the mathematical models and deal with their numerical solution by space-time discretizations featuring appropriate finite element approximations with respect to hierarchies of simplicial triangulations of the underlying computational domains. Simulation results will be given for the propagation of the surface acoustic waves on top of the piezoelectric substrate and for the induced fluid flow in the microchannels of the fluidic network. The performance of the operational behavior of the biochips can be significantly improved by shape optimization. In particular, for such purposes we present a multilevel interior point method relying on a predictor-corrector strategy with an adaptive choice of the continuation steplength along the barrier path. As a specific example, we will consider the shape optimization of pressure driven capillary barriers between microchannels and reservoirs.     

Corrected Nonconservative Schemes

Derivatives of discontinuities being Dirac singularities, it is usually not possible to multiply them by discontinuous functions. However in the context of conservation laws we have shown in a recent paper that it can be done. We shall make use of this new framework to revisit some upwind methods, mostly characteristic schemes, and show that they can be corrected to be conservative and to work on difficult problems such as Euler's equations for fluids. Numerous numerical results are given.     

Function spaces on local fields

We study the function spaces on local fields in this paper, such as Triebel B-type and F-type spaces, Holder type spaces, Sobolev type spaces, and so on, moreover, study the relationship between the p-type derivatives and the Holder type spaces. Our obtained results show that there exists quite difference between the functions defined on Euclidean spaces and local fields, respectively. Furthermore, many properties of functions defined on local fields motivate the new idea of solving some important topics on fractal analysis.     

On Coflat Modules and the Weak Global Dimension of Rings

We continue the discussion on coflat modules as defined in [2]. Further properties of coflat modules are given, especially the relations between collat resolutions and the functor Ext. Weak global codimension of rings will then be introduced and it's agreement with weak global dimension shown for coherent rings,Since the later is left-right symmetrical, this offers then an alternative to demonstrate the fact that left and right global dimension are the same for Notherian rings over which each coflar module is injective.     

AN EFFECTIVE SEQUENTIAL QUADRATIC PROGRAMMING ALGORITHM FOR NONLINEAR OPTIMIZATION PROBLEMS

In this paper,a new globally convergent algorithm for nonlinear optimization prablems with equality and inequality constraints is presented. The new algorithm is of SQP type which determines a search direction by solving a quadratic programming subproblem per itera-tion. Some revisions on the quadratic programming subproblem have been made in such a way that the associated constraint region is nonempty for each point x generated by the algorithm, i. e. , the subproblems always have optimal solutions. The new algorithm has two important properties. The computation of revision parameter for guaranteeing the consistency of quadratic sub-problem and the computation of the second order correction step for superlinear convergence use the same inverse of a matrix per iteration, so the computation amount of the new algorithm will not be increased much more than other SQP type algorithms; Another is that the new algorithm can give automatically a feasible point as a starting point for the quadratic subproblems pe     

FINITE ELEMENT METHODS FOR SOBOLEV EQUATIONS

A new high-order time-stepping finite element method based upon the high-order numerical integration formula is formulated for Sobolev equations, whose computations consist of an iteration procedure coupled with a system of two elliptic equations. The optimal and superconvergence error estimates for this new method are derived both in space and in time. Also, a class of new error estimates of convergence and superconvergence for the time-continuous finite element method is demonstrated in which there are no time derivatives of the exact solution involved, such that these estimates can be bounded by the norms of the known data. Moreover, some useful a-posteriori error estimators are given on the basis of the superconvergence estimates.     

A COMPACT UPWIND SECOND ORDER SCHEME FOR THE EIKONAL EQUATION

We present a compact upwind second order scheme for computing the viscosity solution of the Eikonal equation. This new scheme is based on： 1. the numerical observation that classical first order monotone upwind schemes for the Eikonal equation yield numerical upwind gradient which is also first order accurate up to singularities; 2. a remark that partial information on the second derivatives of the solution is known and given in the structure of the Eikonal equation and can be used to reduce the size of the stencil. We implement the second order scheme as a correction to the well known sweeping method but it should be applicable to any first order monotone upwind scheme. Care is needed to choose the appropriate stencils to avoid instabilities.     

A new generalized linear exponential distribution and its applications

A new generalized linear exponential distribution （NCLED） is considered in this paper which can be deemed as a new and more flexible extension of linear exponential distribution. Some statistical properties for the NGLED such as the hazard rate function, moments, quantiles are given. The maximum likelihood estimations （MLE） of unknown parameters are also discussed. A simulation study and two real data analyzes are carried out to illustrate that the new distribution is more flexible and effective than other popular distributions in modeling lifetime data.     

The Application of Kernel Smoothing to Time Series Data

There are already a lot of models to fit a set of stationary time series, such as AR, MA, and ARMA models. For the non-stationary data, an ARIMA or seasonal ARIMA models can be used to fit the given data. Moreover, there are also many statistical softwares that can be used to build a stationary or non-stationary time series model for a given set of time series data, such as SAS, SPLUS, etc. However, some statistical softwares wouldn＇t work well for small samples with or without missing data, especially for small time series data with seasonal trend. A nonparametric smoothing technique to build a forecasting model for a given small seasonal time series data is carried out in this paper. And then, both the method provided in this paper and that in SAS package are applied to the modeling of international airline passengers data respectively, the comparisons between the two methods are done afterwards. The results of the comparison show us the method provided in this paper has superiority over SAS＇s method.     

A mixed finite volume scheme for anisotropic diffusion problems on any grid

We present a new finite volume scheme for anisotropic heterogeneous diffusion problems on unstructured irregular grids, which simultaneously gives an approximation of the solution and of its gradient. The approximate solution is shown to converge to the continuous one as the size of the mesh tends to 0, and an error estimate is given. An easy implementation method is then proposed, and the efficiency of the scheme is shown on various types of grids and for various diffusion matrices.     

An asymptotic preserving scheme on staggered grids for the barotropic Euler system in low Mach regimes

We present a new scheme for the simulation of the barotropic Euler equation in low Mach regimes. The method uses two main ingredients. First, the system is treated with a suitable time splitting strategy, directly inspired from the previous study that separates low and fast waves. Second, we adapt a numerical scheme where the discrete densities and velocities are stored on staggered grids, in the spirit of MAC methods, and with numerical fluxes derived from the kinetic approach. We bring out the main properties of the scheme in terms of consistency, stability, and asymptotic behavior, and we present a series of numerical experiments to validate the method.     

An adaptive multiresolution method on dyadic grids: Application to transport equations

We propose a modified adaptive multiresolution scheme for solving d$d$-dimensional hyperbolic conservation laws which is based on cell-average discretization in dyadic grids. Adaptivity is obtained by interrupting the refinement at the locations where appropriate scale (wavelet) coefficients are sufficiently small. One important aspect of such a multiresolution representation is that we can use the same binary tree data structure for domains of any dimension. The tree structure allows us to succinctly represent the data and efficiently navigate through it. Dyadic grids also provide a more gradual refinement as compared with the traditional quad-trees (2D) or oct-trees (3D) that are commonly used for multiresolution analysis. We show some examples of adaptive binary tree representations, with significant savings in data storage when compared to quad-tree based schemes. As a test problem, we also consider this modified adaptive multiresolution method, using a dynamic binary tree data structure, applied to a transport equation in 2D domain, based on a second-order finite volume discretization.     

DERIVATIVES ON NONSTORABLE RENEWABLE RESOURCES: FISH FUTURES AND OPTIONS,NOT SO FISHY AFTER ALL

Abstract We study forwards and European call options, which are written on a nonstorable renewable resource. Examples of such derivatives in form of futures on fresh catch of wild salmon for the United States and the recently created Fish Pool market in Norway, where futures on a composite of wild catch and farmed salmon are traded, will be discussed. We approach the problem of pricing these contracts from first principles, starting off by modeling the dynamics of the resource reserves, and assuming that in approximation resource extraction is managed as open access. We derive formulas for the forward price of the renewable resource as well as European call options written on it.     

Difference schemes on uniform grids performed by general discrete operators

Our aim is to set the foundations of a discrete vectorial calculus on uniform n-dimensional grids, that can be easily reformulated on general irregular grids. As a key tool we first introduce the notion of tangent space to any grid node. Then we define the concepts of vector field, field of matrices and inner products on the space of grid functions and on the space of vector fields, mimicking the continuous setting. This allows us to obtain the discrete analogous of the basic first order differential operators, gradient and divergence, whose composition define the fundamental second order difference operator. As an application, we show that all difference schemes, with constant coefficients, for first and second order differential operators with constant coefficients can be seen as difference operators of the form for suitable choices of q, and  . In addition, we characterize special properties of the difference scheme, such as consistency, symmetry and positivity in terms of q, and  .     

Dynamic Index Tracking and Risk Exposure Control Using Derivatives

We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pathwise approach to construct dynamic portfolios of derivatives in order to gain exposure to an index and/or market factors that may be not directly tradable. Among our results, we establish a general tracking condition that relates the portfolio drift to the desired exposure coefficients under any given model. We also derive a slippage process that reveals how the portfolio return deviates from the targeted return. In our multi-factor setting, the portfolio’s realized slippage depends not only on the realized variance of the index but also the realized covariance among the index and factors. We implement our trading strategies under a number of models, and compare the tracking strategies and performances when using different derivatives, such as futures and options.     

Empirical Evaluation of Hybrid Defaultable Bond Pricing Models

A four‐factor model (the extended model of Schmid and Zagst) is presented for pricing credit risk related instruments such as defaultable bonds or credit derivatives. It is an advancement of an earlier three‐factor model. In addition to a firm‐specific credit risk factor, a new systematic risk factor in the form of GDP growth rate is included. This new model is set in the context of other hybrid defaultable bond pricing models and empirically compared to specific representatives. We find that a model based only on firm‐specific variables is unable to capture changes in credit spreads completely. However, it is shown that in this model, market variables such as GDP growth rates, non‐defaultable interest rates and firm‐specific variables together significantly influence credit spread levels and changes.     

Hybrid Lévy Models: Design and Computational Aspects

ABSTRACT

A hybrid model is a model, where two markets are studied jointly such that stochastic dependence can be taken into account. Such a dependence is well known for equity and interest rate markets on which we focus here. Other pairs can be considered in a similar way. Two different versions of a hybrid approach are developed. Independent time-inhomogeneous Lévy processes are used as the drivers of the dynamics of interest rates and equity. In both versions, the dynamics of the interest rate side is described by an equation for the instantaneous forward rate. Dependence between the markets is generated by introducing the driver of the interest rate market as an additional term into the dynamics of equity in the first version. The second version starts with the equity dynamics and uses a corresponding construction for the interest rate side. Dependence can be quantified in both cases by a single parameter. Numerically efficient valuation formulas for interest rate and equity derivatives are developed. Using market quotes for liquidly traded assets we show that the hybrid approach can be successfully calibrated.     

Scalar Derivatives in Hilbert Spaces

Computational formulae for scalar derivatives of mappings and pairs of mappings in the direction of a set will be given. These formulae are very important for explicitly verifying conditions of existence for fixed point theorems, surjectivity theorems, integral equations, variational inequalities and complementarity problems under additional differentiability conditions. To emphasize this idea at the end of the paper we give an application to complementarity problems. Some theorems which extend the correspondence between monotone mappings and scalar derivatives from Euclidean spaces to Hilbert spaces will also be given.     

A non-conforming domain decomposition for Raviart-Thomas vector fields in three dimensions

In this paper we are concerned with a domain decomposition method with nonmatching grids for Raviart-Thomas finite elements. In this method, the normal complement of the resulting approximation is not continuous across the interface. To handle such non-conformity, a new matching condition will be introduced. Such matching condition still