Calibration of the default probability model

In this paper, we study the calibration problem for the Merton–Vasicek default probability model [Robert Merton, On the pricing of corporate debt: the risk structure of interest rate, Journal of Finance 29 (1974) 449–470]. We derive conditions that guarantee existence and uniqueness of the solution. Using analytical properties of the model, we propose a fast calibration procedure for the conditional default probability model in the integrated market and credit risk framework. Our solution allows one to avoid numerical integration problems as well as problems related to the numerical solution of the nonlinear equations.     

Large-strain numerical solution for coupled self-weight consolidation and contaminant transport considering nonlinear compressibility and permeability

Based on the one-dimensional (1D) consolidation equation and advection-dispersion transport equation, this paper presents a large-strain numerical solution for coupled self-weight consolidation and contaminant transport in saturated deforming porous media considering nonlinear compressibility and permeability relationships. The finite difference method is used to solve the governing equations for consolidation and transport. The proposed numerical solution for consolidation accounts for vertical strain, soil self-weight, and nonlinearly changing compressibility and hydraulic conductivity during consolidation. The solution for solute transport accounts for advection, diffusion, mechanical dispersion, linear and nonlinear equilibrium sorption, and porosity-dependent effective diffusion coefficient. The proposed numerical solution is verified against a self-weight consolidation field tank test, an analytical solution in the literature, and the CST1 numerical model. Using the verified solution, a series of parametric study is conducted to investigate the effect of several important parameters on the contaminant transport process for confined disposal of dredged contaminated sediments. The results indicate that the consolidation process and contaminant transport process induced by soil self-weight- can be very different from those induced by the more traditional external surcharge loading. Treating the self-weight loading as traditional external surcharge loading can underestimate the rate of contaminant outflow, especially in the early times. The compressibility and permeability relationships of sediment and the type of loading (i.e., self-weight loading versus external surcharge loading) can all significantly affect the contaminant transport process for confined disposal of dredged contaminated sediment.     

One-step Taylor–Galerkin methods for convection–diffusion problems

Third and fourth order Taylor–Galerkin schemes have shown to be efficient finite element schemes for the numerical simulation of time-dependent convective transport problems. By contrast, the application of higher-order Taylor–Galerkin schemes to mixed problems describing transient transport by both convection and diffusion appears to be much more difficult. In this paper we develop two new Taylor–Galerkin schemes maintaining the accuracy properties and improving the stability restrictions in convection–diffusion. We also present an efficient algorithm for solving the resulting system of the finite element method. Finally we present two numerical simulations that confirm the properties of the methods.     

Convergence of an operator splitting method on a bounded domain for a convection-diffusion-reaction system

We solve a convection-diffusion-sorption (reaction) system on a bounded domain with dominant convection using an operator splitting method. The model arises in contaminant transport in groundwater induced by a dual-well, or in controlled laboratory experiments. The operator splitting transforms the original problem to three subproblems: nonlinear convection, nonlinear diffusion, and a reaction problem, each with its own boundary conditions. The transport equation is solved by a Riemann solver, the diffusion one by a finite volume method, and the reaction equation by an approximation of an integral equation. This approach has proved to be very successful in solving the problem, but the convergence properties where not fully known. We show how the boundary conditions must be taken into account, and prove convergence in L1,loc of the fully discrete splitting procedure to the very weak solution of the original system based on compactness arguments via total variation estimates. Generally, this is the best convergence obtained for this type of approximation. The derivation indicates limitations of the approach, being able to consider only some types of boundary conditions. A sample numerical experiment of a problem with an analytical solution is given, showing the stated efficiency of the method.     

Approximate analytical solution of two-dimensional space-time fractional diffusion equation

This work presents an iterative scheme for the numerical solution of the space-time fractional two-dimensional advection–reaction–diffusion equation applying homotopy perturbation with Laplace transform using Caputo fractional-order derivatives. The solution obtained is beneficial and significant to analyze the modeling of superdiffusive systems and subdiffusive system, anomalous diffusion, transport process in porous media. This iterative technique presents the combination of homotopy perturbation technique, and Laplace transforms with He's polynomials, which can further be applied to numerous linear/nonlinear two-dimensional fractional models to computes the approximate analytical solution. In the present method, the nonlinearity can be tackle by He's polynomials. The salient features of the present scientific work are the pictorial presentations of the approximate numerical solution of the two-dimensional fractional advection–reaction–diffusion equation for different particular cases of fractional order and showcasing of the damping effect of reaction terms on the nature of probability density function of the considered two-dimensional nonlinear mathematical models for various situations.     

Numerical simulations of water–gas flow in heterogeneous porous media with discontinuous capillary pressures by the concept of global pressure

We present an approach and numerical results for a new formulation modeling immiscible compressible two-phase flow in heterogeneous porous media with discontinuous capillary pressures. The main feature of this model is the introduction of a new global pressure, and it is fully equivalent to the original equations. The resulting equations are written in a fractional flow formulation and lead to a coupled degenerate system which consists of a nonlinear parabolic (the global pressure) equation and a nonlinear diffusion–convection one (the saturation equation) with nonlinear transmission conditions at the interfaces that separate different media. The resulting system is discretized using a vertex-centred finite volume method combined with pressure and flux interface conditions for the treatment of heterogeneities. An implicit Euler approach is used for time discretization. A Godunov-type method is used to treat the convection terms, and the diffusion terms are discretized by piecewise linear conforming finite elements. We present numerical simulations for three one-dimensional benchmark tests to demonstrate the ability of the method to approximate solutions of water–gas equations efficiently and accurately in nuclear underground waste disposal situations.     

Approximate analytical solution for the Zakharov–Kuznetsov equations with fully nonlinear dispersion

In this paper, variational iteration method (VIM) is used to obtain numerical and analytical solutions for the Zakharov–Kuznetsov equations with fully nonlinear dispersion. Comparisons with exact solution show that the VIM is a powerful method for the solution of nonlinear equations.     

Numerical approximation of Turing patterns in electrodeposition by ADI methods

In this paper we study the numerical approximation of Turing patterns corresponding to steady state solutions of a PDE system of reaction–diffusion equations modeling an electrodeposition process. We apply the Method of Lines (MOL) and describe the semi-discretization by high order finite differences in space given by the Extended Central Difference Formulas (ECDFs) that approximate Neumann boundary conditions (BCs) with the same accuracy. We introduce a test equation to describe the interplay between the diffusion and the reaction time scales. We present a stability analysis of a selection of time-integrators (IMEX 2-SBDF method, Crank–Nicolson (CN), Alternating Direction Implicit (ADI) method) for the test equation as well as for the Schnakenberg model, prototype of nonlinear reaction–diffusion systems with Turing patterns. Eventually, we apply the ADI-ECDF schemes to solve the electrodeposition model until the stationary patterns (spots & worms and only spots) are reached. We validate the model by comparison with experiments on Cu film growth by electrodeposition.     

A Variational Analysis for the Moving Finite Element Method for Gradient Flows

By using the Onsager principle as an approximation tool, we give a novel derivation for the moving finite element method for gradient flow equations. We show that the discretized problem has the same energy dissipation structure as the continuous one. This enables us to do numerical analysis for the stationary solution of a nonlinear reaction diffusion equation using the approximation theory of free-knot piecewise polynomials. We show that under certain conditions the solution obtained by the moving finite element method converges to a local minimizer of the total energy when time goes to infinity. The global minimizer, once it is detected by the discrete scheme, approximates the continuous stationary solution in optimal order. Numerical examples for a linear diffusion equation and a nonlinear Allen-Cahn equation are given to verify the analytical results.     

A numerical method for an inhomogeneous nonlinear diffusion problem

A numerical method for the solution of an inhomogeneous nonlinear diffusion problem that arises in a variety of applications is presented. The diffusion coefficient in the underlying diffusion process is concentration- as well as distance- dependent. We wish to determine the concentration of the diffusing substance in a semi-infinite domain at any time, starting with a given initial concentration. The method of solution begins by first mapping the semi-infinite physical domain to a finite computational domain. An implicit finite-difference marching procedure is then used to advance the solution in time. Numerical results are presented for several physical problems. We observe that the present numerical solutions are in good agreement with the analytical solutions obtained previously by other researchers.     

Improved solution for inventory model with defective goods

This paper is a consequence for a paper of Lin et al. [S.W. Lin, Y.W. Wou, P. Julian, Note on minimax distribution free procedure for integrated inventory model with defective goods and stochastic lead time demand, Appl. Math. Model. 35 (2011) 2087–2093]. We simplified their complicated solution procedure and then presented a revision to patch their negligence for the boundary minimums. Numerical examples are provided to demonstrate our findings.     

High-order approximation of Pearson diffusion processes

This paper focuses on Pearson diffusions and the spectral high-order approximation of their related Fokker–Planck equations. The Pearson diffusions is a class of diffusions defined by linear drift and quadratic squared diffusion coefficient. They are widely used in the physical and chemical sciences, engineering, rheology, environmental sciences and financial mathematics. In recent years diffusion models have been studied analytically and numerically primarily through the solution of stochastic differential equations. Analytical solutions have been derived for some of the Pearson diffusions, including the Ornstein–Uhlenbeck, Cox–Ingersoll–Ross and Jacobi processes. However, analytical investigations and computations for diffusions with so-called heavy-tailed ergodic distributions are more difficult to perform. The novelty of this research is the development of an accurate and efficient numerical method to solve the Fokker–Planck equations associated with Pearson diffusions with different boundary conditions. Comparisons between the numerical predictions and available time-dependent and equilibrium analytical solutions are made. The solution of the Fokker–Planck equation is approximated using a reduced basis spectral method. The advantage of this approach is that many models for pricing options in financial mathematics cannot be expressed in terms of a stochastic partial differential equation and therefore one has to resort to solving Fokker–Planck type equations.     

Implicit formulation for advection–diffusion simulation based on particle distribution moments

This paper introduces an implicit method for advection–diffusion equations called Implicit DisPar, based on particle displacement moments applied to uniform grids. The present method tries to solve constraints associated with explicit methods also based on particle displacement methods, in which diffusivity-dominated situations can only be handled by considerably increasing the associated computational costs. In fact, a higher particle destination nodes number allows the use of higher diffusion coefficients for the transport simulation without instabilities. The average was evaluated by an analogy between the Fokker–Planck and the transport equations. The variance is considered to be Fickian. The particle displacement distribution is used to predict deterministic mass transfers between domain nodes. Mass conservation was guaranteed by the distribution concept. In the truncation error analysis, it was shown that the linear Implicit DisPar formulation does not have numerical error up to v − 1 order, if the first v particle moments are forced by the Gaussian moments. It was shown by theoretical tests for linear conditions that the model accuracy level is proportional to the number of particle destination nodes.     

A staggered-grid numerical algorithm for the extended Boussinesq equations

A second-order accurate numerical scheme is developed to solve Nwogu’s extended Boussinesq equations. A staggered-grid system is introduced with the first-order spatial derivatives being discretized by the fourth-order accurate finite-difference scheme. For the time derivatives, the fourth-order accurate Adams predictor–corrector method is used. The numerical method is validated against available analytical solutions, other numerical results of Navier–Stokes equations, and experimental data for both 1D and 2D nonlinear wave transformation problems. It is shown that the new algorithm has very good conservative characteristics for mass calculation. As a result, the model can provide accurate and stable results for long-term simulation. The model has proven to be a useful modeling tool for a wide range of water wave problems.     

On the uniqueness of semi-wavefronts for non-local delayed reaction–diffusion equations

We establish the uniqueness of semi-wavefront solution for a non-local delayed reaction–diffusion equation. This result is obtained by using a generalization of the Diekmann–Kaper theory for a nonlinear convolution equation. Several applications to the systems of non-local reaction–diffusion equations with distributed time delay are also considered.     

Passage to diffusion chaos in a model of an ecological system

We carry out analytical and numerical analysis of a model of an ecological system described by a system of nonlinear partial differential equations of reaction-diffusion type. We find conditions for the bifurcation of periodic spatially homogeneous and inhomogeneous solutions from the thermodynamic branch of the system. We show that the passage to diffusion chaos in the model occurs, in complete agreement with the universal Feigenbaum-Sharkovskii-Magnitskii bifurcation theory, via a subharmonic cascade of bifurcations of stable limit cycles.     

Convergence properties of a class of boundary element approximations to linear diffusion problems with localized nonlinear reactions

We consider a boundary element (BE) Algorithm for solving linear diffusion desorption problems with localized nonlinear reactions. The proposed BE algorithm provides an elegant representation of the effect of localized nonlinear reactions, which enables the effects of arbitrarily oriented defect structures to be incorporated into BE models without having to perform severe mesh deformations. We propose a one-step recursion procedure to advance the BE solution of linear diffusion localized nonlinear reaction problems and investigate its convergence properties. The separation of the linear and nonlinear effects by the boundary integral formulation enables us to consider the convergence properties of approximations to the linear terms and nonlinear terms of the boundary integral equation separately. For the linear terms we investigate how the degree of piecewise polynomial collocation in space and the size of the spatial mesh relative to the time step affects the accumulation of errors in the one-step recursion scheme. We develop a novel convergence analysis that combines asymptotic methods with Lax's Equivalence Theorem. We identify a dimensionless meshing parameter θ whose magnitudé governs the performance of the one-step BE schemes. In particular, we show that piecewise constant (PWC) and piecewise linear (PWL) BE schemes are conditionally convergent, have lower asymptotic bounds placed on the size of time steps, and which display excess numerical diffusion when small time steps are used. There is no asymptotic bound on how large the tie steps can be–this allows the solution to be advanced in fewer, larger time steps. The piecewise quadratic (PWQ) BE scheme is shown to be unconditionally convergent; there is no asymptotic restriction on the relative sizes of the time and spatial meshing and no numerical diffusion. We verify the theoretical convergence properties in numerical examples. This analysis provides useful information about the appropriate degree of spatial piecewise polynomial and the meshing strategy for a given problem. For the nonlinear terms we investigate the convergence of an explicit algorithm to advance the solution at an active site forward in time by means of Caratheodory iteration combined with piecewise linear interpolation. We consider a model problem comprising a singular nonlinear Volterra equation that represents the effect of the term in the BE formulation that is due to a single defect. We prove the convergence of the piecewise linear Caratheodory iteration algorithm to a solution of the model problem for as long as such a solution can be shown to exist. This analysis provides a theoretical justification for the use of piecewise linear Caratheodory iterates for advancing the effects of localized reactions.     

Mixed-finite element and finite volume discretization for heavy brine simulations in groundwater

Recently, a new theory of high-concentration brine transport in groundwater has been developed. This approach is based on two nonlinear mass conservation equations, one for the fluid (flow equation) and one for the salt (transport equation), both having nonlinear diffusion terms. In this paper, we present and analyze a numerical technique for the solution of such a model. The approach is based on the mixed hybrid finite element method for the discretization of the diffusion terms in both the flow and transport equations, and a high-resolution TVD finite volume scheme for the convective term. This latter technique is coupled to the discretized diffusive flux by means of a time-splitting approach. A commonly used benchmark test (Elder problem) is used to verify the robustness and nonoscillatory behavior of the proposed scheme and to test the validity of two different formulations, one based on using pressure head ψ and concentration c as dependent variables, and one using pressure p and mass fraction ω as dependent variables. It is found that the latter formulation gives more accurate and reliable results, in particular, at large times. The numerical model is then compared against a semi-analytical solution and the results of a laboratory test. These tests are used to verify numerically the performance and robustness of the proposed numerical scheme when high-concentration gradients (i.e., the double nonlinearity) are present.     

Stability and convergence for a complete model of mass diffusion

We propose a fully discrete scheme for approximating a three-dimensional, strongly nonlinear model of mass diffusion, also called the complete Kazhikhov–Smagulov model. The scheme uses a C⁰ finite-element approximation for all unknowns (density, velocity and pressure), even though the density limit, solution of the continuous problem, belongs to H². A first-order time discretization is used such that, at each time step, one only needs to solve two decoupled linear problems for the discrete density and the velocity–pressure, separately.We extend to the complete model, some stability and convergence results already obtained by the last two authors for a simplified model where λ²-terms are not considered, λ being the mass diffusion coefficient. Now, different arguments must be introduced, based mainly on an induction process with respect to the time step, obtaining at the same time the three main properties of the scheme: an approximate discrete maximum principle for the density, weak estimates for the velocity and strong ones for the density. Furthermore, the convergence towards a weak solution of the density-dependent Navier–Stokes problem is also obtained as λ→0 (jointly with the space and time parameters).Finally, some numerical computations prove the practical usefulness of the scheme.