Computing multi-valued physical observables for the high frequency limit of symmetric hyperbolic systems

We develop a level set method for the computation of multi-valued physical observables (density, velocity, energy, etc.) for the high frequency limit of symmetric hyperbolic systems in any number of space dimensions. We take two approaches to derive the method.The first one starts with a weakly coupled system of an eikonal equation for phase S and a transport equation for density ρ:

The main idea is to evolve the density near the n-dimensional bi-characteristic manifold of the eikonal (Hamiltonian–Jacobi) equation, which is identified as the common zeros of n level set functions in phase space . These level set functions are generated from solving the Liouville equation with initial data chosen to embed the phase gradient. Simultaneously, we track a new quantity f = ρ(t,x,k)|det(_k)| by solving again the Liouville equation near the obtained zero level set = 0 but with initial density as initial data. The multi-valued density and higher moments are thus resolved by integrating f along the bi-characteristic manifold in the phase directions.The second one uses the high frequency limit of symmetric hyperbolic systems derived by the Wigner transform. This gives rise to Liouville equations in the phase space with measure-valued solution in its initial data. Due to the linearity of the Liouville equation we can decompose the density distribution into products of function, each of which solves the Liouville equation with L^∞ initial data on any bounded domain. It yields higher order moments such as energy and energy flux.The main advantages of these new approaches, in contrast to the standard kinetic equation approach using the Liouville equation with a Dirac measure initial data, include: (1) the Liouville equations are solved with L^∞ initial data, and a singular integral involving the Dirac-δ function is evaluated only in the post-processing step, thus avoiding oscillations and excessive numerical smearing; (2) a local level set method can be utilized to significantly reduce the computation in the phase space. These methods can be used to compute all physical observables for multi-dimensional problems.Our method applies to the wave fields corresponding to simple eigenvalues of the dispersion matrix. One such example is the wave equation, which will be studied numerically in this paper.     

Investigation of microstructure evolution during self-annealing in thin Cu films by combining mesoscale level set and ab initio modeling

Microstructure evolution in thin Cu films during room temperature self-annealing is investigated by means of a mesoscale level set model. The model is formulated such that the relative, or collective, influence of anisotropic grain boundary energy, mobility and heterogeneously distributed stored energy can be investigated. Density functional theory (DFT) calculations are performed in the present work to provide the variation of grain boundary energy for different grain boundary configurations. The stability of the predominant (111) fiber texture in the as-deposited state is studied as well as the stability of some special low-Σ grain boundaries. Further, the numerical model allows tracing of the grain size distribution and occurrence of abnormal grain growth during self-annealing. It is found that abnormal grain growth depends mainly on the presence of stored energy variations, whereas anisotropic grain boundary energy or mobility is insufficient to trigger any abnormal growth in the model. However, texture dependent grain boundary properties, mobility in particular, contribute to an increased content of low-Σ boundaries in the annealed microstructure. The increased presence of such boundaries is also promoted by stored energy variations. In addition, if the stored energy variations are sufficient the coexisting (111) and (001) texture components in the as-deposited state will evolve into a (001) dominated texture during annealing. Further, it is found that whereas stored energy variations promote the stability of the (001) texture component, anisotropic grain boundary energy and mobility tend to work the other way and stabilize the (111) component at the expense of (001) grains.     

Magnetic coupling properties of Mn-doped AlN nanowires: First-principles calculations

Based on first-principles within the framework of the density functional theory, we have studied the magnetic coupling properties of Mn-doped AlN nanowires. By analyzing the results of different Mn-doped AlN nanowires, we found that for the passivated nanowire, ferromagnetic state is more stable, while for the unpassivated nanowire, the favorable state transits into anti-ferromagnetic state, which can be well explained by the band coupling model. The results indicate that the degree of surface passivation of dangling bonds is an important factor in the magnetic properties of doped nanowires.     

Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints

In this paper we consider a general optimal consumption-portfolio selection problem of an infinitely-lived agent whose consumption rate process is subject to subsistence constraints before retirement. That is, her consumption rate should be greater than or equal to some positive constant before retirement. We integrate three optimal decisions which are the optimal consumption, the optimal investment choice and the optimal stopping problem in which the agent chooses her retirement time in one model. We obtain the explicit forms of optimal policies using a martingale method and a variational inequality arising from the dual function of the optimal stopping problem. We treat the optimal retirement time as the first hitting time when her wealth exceeds a certain wealth level which will be determined by a free boundary value problem and duality approaches. We also derive closed forms of the optimal wealth processes before and after retirement. Some numerical examples are presented for the case of constant relative risk aversion (CRRA) utility class.     

A state-of-the-art review of the X-FEM for computational fracture mechanics

This paper presents a review of the extended finite element method X-FEM for computational fracture mechanics. The work is dedicated to discussing the basic ideas and formulation for the newly developed X-FEM method. The advantage of the method is that the element topology need not conform to the surfaces of the cracks. Moreover, X-FEM coupled with LSM makes possible the accurate solution of engineering problems in complex domains, which may be practically impossible to solve using the standard finite element method.     

An extension of the mountain pass lemma

We present a more general form of the mountain pass lemma. It asserts that a C¹ functional which satisfies the Palais–Smale condition admits a critical value when the connectedness of certain level sets changes. We also give an improved form of a theorem given in [A. Bahri, H. Berestycki, A perturbation method in critical point theory and applications, Trans. Amer. Math. Soc. 267 (1) (1981) 1–32], which characterizes the existence of the critical value by means of contractibility properties of the level sets.     

Consumption and portfolio rules for time-inconsistent investors

This paper extends the classical consumption and portfolio rules model in continuous time [Merton, R.C., 1969. Lifetime portfolio selection under uncertainty: The continuous time case. Review of Economics and Statistics 51, 247–257, Merton, R.C., 1971. Optimum consumption and portfolio rules in a continuous time model. Journal of Economic Theory 3, 373–413] to the framework of decision-makers with time-inconsistent preferences. The model is solved for different utility functions for both, naive and sophisticated agents, and the results are compared. In order to solve the problem for sophisticated agents, we derive a modified HJB (Hamilton–Jacobi–Bellman) equation. It is illustrated how for CRRA functions within the family of HARA functions (logarithmic and power utilities) the optimal portfolio rule does not depend on the discount rate, but this is not the case for a general utility function, such as the exponential (CARA) utility function.     

A meshless numerical approach based on Integrated Radial Basis Functions and level set method for interfacial flows

This paper reports a new meshless Integrated Radial Basis Function Network (IRBFN) approach to the numerical simulation of interfacial flows in which the two-way interaction between a moving interface and the ambient viscous flow is fully investigated. When an interface between two immiscible fluids moves, not only its position and shape but also the flow variables (i.e. velocity field and pressure) change due to the presence of surface tension along the moving interface. The velocity field of the ambient flow, on the other hand, causes the interface to move and deform as a result of momentum transport between the two immiscible fluids on both sides of the interface. Numerical investigations of such a two-way interaction is reported in this paper where the level set method is used in combination with high-order projection schemes in the meshless framework of the IRBFN method. Numerical investigations on the meshless projection schemes are performed with typical benchmark incompressible viscous flow problems for verification purposes. The approach is then demonstrated with the numerical simulation of two bubbles moving, stretching and merging in an incompressible ambient fluid under the action of buoyancy force.     

On multivariate extensions of Conditional-Tail-Expectation

In this paper, we introduce two alternative extensions of the classical univariate Conditional-Tail-Expectation (CTE) in a multivariate setting. The two proposed multivariate CTEs are vector-valued measures with the same dimension as the underlying risk portfolio. As for the multivariate Value-at-Risk measures introduced by Cousin and Di Bernardino (2013), the lower-orthant CTE (resp. the upper-orthant CTE) is constructed from level sets of multivariate distribution functions (resp. of multivariate survival distribution functions). Contrary to allocation measures or systemic risk measures, these measures are also suitable for multivariate risk problems where risks are heterogeneous in nature and cannot be aggregated together. Several properties have been derived. In particular, we show that the proposed multivariate CTE-s satisfy natural extensions of the positive homogeneity property, the translation invariance property and the comonotonic additivity property. Comparison between univariate risk measures and components of multivariate CTE is provided. We also analyze how these measures are impacted by a change in marginal distributions, by a change in dependence structure and by a change in risk level. Sub-additivity of the proposed multivariate CTE-s is provided under the assumption that all components of the random vectors are independent. Illustrations are given in the class of Archimedean copulas.