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 asymptotic preserving scheme with the maximum principle for the M1 model on distorded meshes

In this Note, we show that a recent scheme introduced by Buet et al. (2011) [5] for the nonlinear two moments $M_1$ model of linear transport and which captures correctly the diffusion limit on distorded meshes (AP scheme) also possesses the maximum principle. The main idea of the design of this scheme is to rewrite the model as a gas dynamics model and to use an Eulerian scheme, derived from a Lagrange + remap scheme. To obtain the AP property we use the multidimensional extension, developed by Buet et al. (2012) [6], of the Jin and Levermore (1996) procedure [9] for the hyperbolic heat equation. We will show that this scheme is entropic which ensures the maximum principle of the $M_1$ model. More we present some numerical results, on distorted quadrangular and triangular meshes which show that the scheme is second order in the diffusive regime.     

A second-order positivity preserving central-upwind scheme for chemotaxis and haptotaxis models

The paper is concerned with development of a new finite-volume method for a class of chemotaxis models and for a closely related haptotaxis model. In its simplest form, the chemotaxis model is described by a system of nonlinear PDEs: a convection-diffusion equation for the cell density coupled with a reaction-diffusion equation for the chemoattractant concentration. The first step in the derivation of the new method is made by adding an equation for the chemoattractant concentration gradient to the original system. We then show that the convective part of the resulting system is typically of a mixed hyperbolic-elliptic type and therefore straightforward numerical methods for the studied system may be unstable. The proposed method is based on the application of the second-order central-upwind scheme, originally developed for hyperbolic systems of conservation laws in Kurganov et al. (SIAM J Sci Comput 21:707–740, 2001), to the extended system of PDEs. We show that the proposed second-order scheme is positivity preserving, which is a very important stability property of the method. The scheme is applied to a number of two-dimensional problems including the most commonly used Keller–Segel chemotaxis model and its modern extensions as well as to a haptotaxis system modeling tumor invasion into surrounding healthy tissue. Our numerical results demonstrate high accuracy, stability, and robustness of the proposed scheme.     

On eigenvalue calculations for radiative transfer models that include polarization effects

Several representations of the dispersion matrix (z) basic to analytical solutions for a theory of radiative transfer that includes the effects of polarization are reported, and a method for computing the zeros of det (z) is discussed. Numerical results are given for several specific models.

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Zusammenfassung Verschiedene Darstellungen der Dispersionsmatrix (z), welche grundlegende Bedeutung für die analytischen Lösungen der Theorie der Strahlungsübertragung mit Polarisation hat, werden angegeben. Eine Methode zur Berechnung der Nullstellen von det (z) wird diskutiert. Es werden numerische Ergebnisse für verschiedene Modelle angegeben.

     

Asymptotic analysis and asymptotic domain decomposition for an integral equation of the radiative transfer type

We consider an integral equation of the radiative transfer type stated in the interval [0,τ₀] with the length τ₀1. We construct an asymptotic solution of the problem and we give a method transforming this problem to some similar problems set in the interval with the length dτ₀. Error estimates are proved.     

A linear energy and entropy-production-rate preserving scheme for thermodynamically consistent crystal growth models

We present a linear, second order, energy and entropy-production-rate preserving scheme for a thermodynamically consistent phase field model for dentritic crystal growth, combining an energy quadratization strategy with the finite element method. The scheme can be decomposed into a series of Poisson equations for efficient numerical implementations. Numerical tests are carried out to verify the accuracy of the scheme and simulations are conducted to demonstrate the effectiveness of the scheme on benchmark examples.     

An asymptotic stability result for scalar delayed population models

We give sufficient conditions for the global asymptotic stability of the scalar delay differential equation , without assuming that zero is a solution. A result of Yorke (1970) is revisited.

     

An asymptotic approximation scheme for the concave cost bin packing problem

We consider a generalized one-dimensional bin packing model in which the cost of a bin is a nondecreasing concave function of the utilization of the bin. We show that for any given positive constant ?, there exists a polynomial-time approximation algorithm with an asymptotic worst-case performance ratio of no more than 1 + ?.     

An efficient sampling scheme for dynamic generalized models

A multimove sampling scheme for the state parameters of non-Gaussian and nonlinear dynamic models for univariate time series is proposed. This procedure follows the Bayesian framework, within a Gibbs sampling algorithm with steps of the Metropolis–Hastings algorithm. This sampling scheme combines the conjugate updating approach for generalized dynamic linear models, with the backward sampling of the state parameters used in normal dynamic linear models. A quite extensive Monte Carlo study is conducted in order to compare the results obtained using our proposed method, conjugate updating backward sampling (CUBS), with those obtained using some algorithms previously proposed in the Bayesian literature. We compare the performance of CUBS with other sampling schemes using two real datasets. Then we apply our algorithm in a stochastic volatility model. CUBS significantly reduces the computing time needed to attain convergence of the chains, and is relatively simple to implement.     

Self-averaging radiative transfer for parabolic waves

A systematic derivations of self-averaging scaling limits of parabolic waves in terms of the Wigner distribution function is presented. The convergence of the Wigner distribution to one of the six deterministic radiative transfer equations is established. One of the main contributions of this Note is a unified framework for space–time scaling limits that lead to radiative transfer. To cite this article: A.C. Fannjiang, C. R. Acad. Sci. Paris, Ser. I 342 (2006).     

An iterative method for radiative transfer is a slab with specularly reflecting boundary

The purpose of this paper is to present an iterative scheme for solving the radiative-transfer equation in a scattering, absorbing and emitting slab with specularly reflecting boundary. The medium under consideration is anisotropic, nonhomogeneous and azimuthally unsymmetric, and the boundary surface can be either transparent or reflecting. A novelty of this scheme is that it leads to an explicit recursion formula for the determination of the solution as well as an error estimate for the iterations. The recursion formula involves straightforward integrations of a well-behaved function and can be used to calculate numerical results by using a computer. It is shown that the sequence of iterations from the recursion formula converges uniformly to a unique positive solution of the problem, so that this method also gives an existence and uniqueness theorem.     

Convexity preserving jump-diffusion models for option pricing

We investigate which jump-diffusion models are convexity preserving. The study of convexity preserving models is motivated by monotonicity results for such models in the volatility and in the jump parameters. We give a necessary condition for convexity to be preserved in several-dimensional jump-diffusion models. This necessary condition is then used to show that, within a large class of possible models, the only convexity preserving models are the ones with linear coefficients.     

Convergence result for the constraint preserving mid-point scheme for micromagnetism

An important progress was recently done in numerical approximation of weak solutions to a micromagnetic model equation. The problem with the nonconvex side-constraint of preserving the length of the magnetization was tackled by using reduced integration. Several schemes were proposed and their convergence to weak solutions was proved. All schemes were derived from the Landau–Lifshitz–Gilbert form of the micromagnetic equation. However, when the precessional term in the original Landau–Lifshitz (LL) form of the micromagnetic equation tends to zero, the above schemes become unusable.     

Numerical models of mosaic homogeneous isotropic random fields and problems of radiative transfer

New algorithms for statistical modeling of radiation transfer through various types of stochastic homogeneous isotropic media are created. For this, a special geometric implementation of a “maximum cross-section method” is developed, which takes into account radiation absorption by an exponential weight factor. Some functionals of the solution to the radiative transfer equation, such as mean passage probability, as functions of the correlation length and field type are studied both theoretically and numerically. A theorem of convergence of these functionals to corresponding functionals for an average field as the correlation length decreases to zero is proved.     

Explicit-implicit difference scheme for the joint solution of the radiative transfer and energy equations by the splitting method

High-order accurate explicit and implicit conservative predictor-corrector schemes are presented for the radiative transfer and energy equations in the multigroup kinetic approximation solved together by applying the splitting method with respect to physical processes and spatial variables. The original system of integrodifferential equations is split into two subsystems: one of partial differential equations without sources and one of ordinary differential equations (ODE) with sources. The general solution of the ODE system and the energy equation is written in quadratures based on total energy conservation in a cell. A feature of the schemes is that a new approximation is used for the numerical fluxes through the cell interfaces. The fluxes are found along characteristics with the interaction between radiation and matter taken into account. For smooth solutions, the schemes approximating the transfer equations on spatially uniform grids are second-order accurate in time and space. As an example, numerical results for Fleck’s test problems are presented that confirm the increased accuracy and efficiency of the method.     

On asymptotic theory for multivariate GARCH models

The paper investigates the asymptotic theory for a multivariate GARCH model in its general vector specification proposed by Bollerslev, Engle and Wooldridge (1988) [4], known as the VEC model. This model includes as important special cases the so-called BEKK model and many versions of factor GARCH models, which are often used in practice. We provide sufficient conditions for strict stationarity and geometric ergodicity. The strong consistency of the quasi-maximum likelihood estimator (QMLE) is proved under mild regularity conditions which allow the process to be integrated. In order to obtain asymptotic normality, the existence of sixth-order moments of the process is assumed.     

Localized asymptotic solutions of the linearized system of magnetic hydrodynamics

We describe the asymptotic solutions of the Cauchy problem for the linearized system of equations of magnetic hydrodynamics with initial conditions localized near one point. It is shown that the structure of such solutions depends on whether the external magnetic field vanishes or not at this point. We discuss whether it is possible for the asymptotic solution to increase with time.