Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows

In this article, we shall explore the state of art of stochastic flows to derive an exponential affine form of the bond price when the short rate process is governed by a Markovian regime-switching jump-diffusion version of the Vasicek model. We provide the flexibility that the market parameters, including the mean-reversion level, the volatility rate and the intensity of the jump component switch over time according to a continuous-time, finite-state Markov chain. The states of the chain may be interpreted as different states of an economy or different stages of a business cycle. We shall provide a representation for the exponential affine form of the bond price in terms of fundamental matrix solutions of linear matrix differential equations.     

A microscopic pedestrian-simulation model and its application to intersecting flows

We develop a microscopic pedestrian-simulation model in which pedestrian positions are updated at discrete time steps. At each time step, each pedestrian probabilistically selects a direction of movement from a predetermined set according to a logit-type function that considers the dynamics of other pedestrians around, and then selects a step size that satisfies a certain distribution. We perform a number of field experiments on real intersecting pedestrian flows with four different angles. We then validate and calibrate the model using sample data on the deviation angles, step velocities, and velocity–density relations obtained from the experiments.     

Averaged Reynolds Equation for Flows between Rough Surfaces in Sliding Motion

The flow between rough surfaces in sliding motion with contacts between these surfaces, is analyzed through the volume averaging method. Assuming a Reynolds (lubrication) approximation at the roughness scale, an average flow model is obtained combining spatial and time average. Time average, which is often omitted in previous works, is specially discussed. It is shown that the effective transport coefficients, traditionally termed flow factors in the lubrication literature, that appear in the average equations can be obtained from the solution to two closure problems. This allows for the numerical determination of flow factors on firmer bases and sheds light on some arguments to the literature. Moreover, fluid flows through fractures form an important subset of problems embodied in the present analysis, for which macroscopisation is given.     

Hamilton's Principle and Rankine–Hugoniot Conditions for General Motions of Mixtures

In previous papers [1, 2], we presented hyperbolic governing equations and jump conditions for barotropic fluid mixtures. Now we extend our results to the most general case of twocomponent media. We obtain governing equations for each component. This is not a system of conservation laws. Nevertheless, using Hamilton's principle we are able to obtain a complete set of Rankine–Hugoniot conditions. For the twofluid case, the jump relations do not involve the conservation of the total momentum and the total energy.Sommario. In precedenti lavori [1, 2] sono state dedotte equazioni di governo iperboliche e condizioni di salto per miscele fluide barotropiche. I risultati sono estesi al caso più generale di mezzi a due componenti, ottenendo le equazioni di governo per ciascun componente. Questo sistema non è derivabile dalle leggi di conservazione. Nondimeno, usando il principio di Hamilton è possibile ottenere un insieme completo di condizioni di Rankine–Hugoniot. Nel caso dei due fluidi, le condizioni di salto non coinvolgono la conservazione del momento e dell'energia totali.     

The numerical solution of the thin film flow surrounding a horizontal cylinder resulting from a vertical cylindrical jet

The numerical solution of the thin film flow surrounding a horizontal cylinder resulting from a single vertical cylindrical jet is obtained. This is effected by transforming the domain of the flow, which contains a free surface, onto a rectangular parallelepiped and using a marching strategy to solve the ensuing parabolic equations. The flow terminates at a finite distance along the cylinder, its position depending on the velocity and mass flux of the jet. A comparison with the usual two-dimensional model in which the jet is replaced by a vertical sheet shows that such a representation is valid provided the overall width of the flow is not too large. In particular, the differences in heat transfer characteristics amount to a few per cent, thus validating the use of the two-dimensional model when applied to heat exchanger tubes. A comparison with the more usual multicolumn case is also considered.     

A pair of stream functions for three-dimensional vortex flows

Introducing a vector potential, that is based on a pair of stream functions, and a velocity potential, antisymmetric equations for the stream functions are derived with the help of a variational principle. It is found that the equations are in a suitable form to investigate flows with helical symmetry, and, for example, to connect upstream axisymmetric flows with downstream helical flows. The special case of a transition from an upstream solid-body vortex to a downstream helical flow is investigated in detail. Furthermore, the stream-function equations are particularly useful to investigate general small-amplitude inertia waves on vortex flows. Time-dependent helical flows that are time-independent in a suitably rotating frame of reference can also be discussed with the proposed method.     

Transport and sedimentation of solid particles in Bénard hexagonal cells

The motion of particles moving under gravity in the velocity field of a liquid in a Bénard hexagonal cell is studied experimentally and numerically for Stokes flow conditions. We then explain the settlement of particles in the centers of cells to form a regular quincunx. It is found that sedimentation also occurs preferentially along the lines connecting the centers of adjacent cells to form a triangle deposition tessellation. Finally, it is explained why particles occupy the central part of each convective cell while the peripheral part of the cell quickly becomes limpid. Numerical results are in agreement with the experimental observations of Bénard and those of the present study.     

Development of an optical trap for microparticle clouds in dilute gases

Long-duration experiments with clouds of microparticles are planned for the ICAPS facility on board the International Space Station ISS. The scientific objectives of such experiments are widespread and are ranging from the simulation of aerosol behaviour in Earths atmosphere to the formation of planets in the early solar system. It is, however, even under microgravity conditions, impossible to sustain a cloud of free-floating, microscopic particles for an extended period of time, due to thermal diffusion and due to unavoidable external accelerations. Therefore, a trap for dust clouds is required which prevents the diffusion of the particles, which provides a source of relative velocities between the dust grains and which can also concentrate the dust to higher number densities that are otherwise not achievable. We are planning to use the photophoretic effect for such a particle trap. First short-duration microgravity experiments on the photophoretic motion of microscopic particles show that such an optical particle-cloud trap is feasible. First tests of a two-dimensional trap were performed in the Bremen drop tower.     

Network synthesis under survivability constraints

Telecommunication networks are subject to link and equipment failures. Since failures cannot be entirely avoided, networks have to be designed so as to survive failure situations. In this paper, we are interested in designing low cost survivable networks. Given point-to-point traffic demands and a cost/capacity function for each link, we aim at finding the minimum cost capacities satisfying the given demands and survivability requirements. A survivability model that reroutes interrupted traffic using all the available capacities on the network is presented and studied. In the proposed model, capacity and flow assignments for each network operating state are jointly optimized. We prove the -hardness of the optimisation problem defined by dual constraints. Then, we propose a polynomial relaxation along with a fast heuristic to compute a feasible solution of the problem from its relaxed optimal solution. Our solution approaches are tested on a set of problem instances.Received: September 2002, Revised: July 2003, AMS classification: 90C05