Origin of the Landau-Lifshitz hydrodynamic fluctuations in nonequilibrium systems and a new method for reducing the Boltzmann equation

The Landau-Lifshitz fluctuating fluxes in fluctuating hydrodynamics are derived from the deterministic Boltzmann equation with the aid of a reduction method developed by Fujisaka and Mori. Thus it is shown that the hydrodynamic fluctuations innonequilibrium systems are generated by the reduction of variables from the-space distribution function to its five momentum moments, i.e., the hydrodynamic variables. This differs from the Bixon-Zwanzig and Fox-Uhlenbeck theories, in which the Landau-Lifshitz fluctuating fluxes are derived from the molecular fluctuating force in thestochastic Boltzmann-Langevin equation, which is, however, negligible in nonequilibrium systems. Thus the present method improves the Chapman-Enskog reduction method so as to include the hydrodynamic fluctuations generated by the reduction of variables.Supported in part by the Scientific Research Fund of the Ministry of Education.     

A review ofL=λW and extensions

A fundamental principle of queueing theory isL=W (Little's law), which states that the time-average or expected time-stationary number of customers in a system is equal to the product of the arrival rate and the customer-average or expected customer-stationary time each customer spends in the system. This principle is now well known and frequently applied. However, in recent years there have been extensions, such as H=G and the continuous, distributional, ordinal and central-limit-theorem versions, which show that theL=W relation, when viewed properly, has much more power than was previously realized. Moreover, connections have been established between H=G and other fundamental relations, such as the rate conservation law and PASTA (Poisson arrivals see time averages), which show that there is a much greater unity in the overall theory than was previously realized. This paper provides a review.This paper is dedicated to the memory of our colleague Professor Peter Franken (1937–1989), who contributed greatly to the subject of this paper and to queueing theory more generally.     

A dissipation‐free numerical method to solve one‐dimensional hyperbolic flow equations

In this paper, a numerical method to capture the shock wave propagation in 1‐dimensional fluid flow problems with 0 numerical dissipation is presented. Instead of using a traditional discrete grid, the new numerical method is built on a range‐discrete grid, which is obtained by a direct subdivision of values around the shock area. The range discrete grid consists of 2 types: continuous points and shock points. Numerical solution is achieved by tracking characteristics and shocks for the movements of continuous and shock points, respectively. Shocks can be generated or eliminated when triggering entropy conditions in a marking step. The method is conservative and total variation diminishing. We apply this new method to several examples, including solving Burgers equation for aerodynamics, Buckley‐Leverett equation for fractional flow in porous media, and the classical traffic flow. The solutions were verified against analytical solutions under simple conditions. Comparisons with several other traditional methods showed that the new method achieves a higher accuracy in capturing the shock while using much less grid number. The new method can serve as a fast tool to assess the shock wave propagation in various flow problems with good accuracy.     

SBV REGULARITY OF GENUINELY NONLINEAR HYPERBOLIC SYSTEMS OF CONSERVATION LAWS IN ONE SPACE DIMENSION

The problem of the presence of Cantor part in the derivative of a solution to a hyperbolic system of conservation laws is considered.An overview of the techniques involved in the proof is given,and a c...     

Pathwise superhedging for time-dependent barrier options on càdlàg paths—Finite or infinite tradeable European,One-Touch,lookback or forward starting options

We establish pathwise duality using simple predictable trading strategies for the robust hedging problem associated with a barrier option whose payoff depends on the terminal level and the infimum of a càdlàg strictly positive stock price process, given tradeable European options at all strikes at a single maturity. The result allows for a significant dimension reduction in the computation of the superhedging cost, via an alternate lower-dimensional formulation of the primal problem as a convex optimization problem, which is qualitatively similar to the duality which was formally sketched using linear programming arguments in Duembgen and Rogers [10] for the case where we only consider continuous sample paths. The proof exploits a simplification of a classical result by Rogers (1993) which characterizes the attainable joint laws for the supremum and the drawdown of a uniformly integrable martingale (not necessarily continuous), combined with classical convex duality results from Rockefellar (1974) using paired spaces with compatible locally convex topologies and the Hahn–Banach theorem. We later adapt this result to include additional tradeable One-Touch options using the Kertz and Rösler (1990) condition. We also compute the superhedging cost when in the more realistic situation where there is only finite tradeable European options; for this case we obtain the full duality in the sense of quantile hedging as in Soner (2015), where the superhedge works with probability $1?\epsilon$ where $\epsilon$ can be arbitrarily small), and we obtain an upper bound for the true pathwise superhedging cost. In Section 5, we extend our analysis to include time-dependent barrier options using martingale coupling arguments, where we now have tradeable European options at both maturities at all strikes and tradeable forward starting options at all strikes. This set up is designed to approximate the more realistic situation where we have a finite number of tradeable Europeans at both maturities plus a finite number of tradeable forward starting options.¹     

A coupled immersed boundary‐lattice Boltzmann method with smoothed point interpolation method for fluid‐structure interaction problems

The immersed boundary‐lattice Boltzmann method has been verified to be an effective tool for fluid‐structure interaction simulation associated with thin and flexible bodies. The newly developed smoothed point interpolation method (S‐PIM) can handle the largely deformable solids owing to its softened model stiffness and insensitivity to mesh distortion. In this work, a novel coupled method has been proposed by combining the immersed boundary‐lattice Boltzmann method with the S‐PIM for fluid‐structure interaction problems with large‐displacement solids. The proposed method preserves the simplicity of the lattice Boltzmann method for fluid solvers, utilizes the S‐PIM to establish the realistic constitutive laws for nonlinear solids, and avoids mesh regeneration based on the frame of the immersed boundary method. Both two‐ and three‐dimensional numerical examples have been carried out to validate the accuracy, convergence, and stability of the proposed method in consideration of comparative results with referenced solutions.     

NONUNIQUENESS AND SINGULAR RADIAL SOLUTIONS OF SYSTEMS OF CONSERVATION LAWS Dedicated to Professor Constantine M. Dafcrmos on the occasion of his 70th birthday

The case of a radial initial state for a family of hyperbolic systems of conservation laws with several spatial dimensions is considered.It will be shown that the singularity at the origin introduces multiple solutions outside of the traditional admissible classes.     

Third‐order WENO scheme with a new smoothness indicator

In this article, we have devised a new reference smoothness indicator for third‐order weighted essentially non‐oscillatory (WENO) scheme to achieve desired order of convergence at critical points. In the context of the weighted essentially non‐oscillatory scheme, reference smoothness indicator is constructed in such a way that it satisfies the sufficient condition on the weights for the third‐order convergence. The goal is to construct a reference smoothness indicator such that the resulted scheme have to achieve the required order of accuracy even if the first two derivatives vanish but not the third derivative. The construction of such reference smoothness indicator is not possible through a linear combination of local smoothness indicators only. We have proposed a reference smoothness indicator to be of the fourth order of accuracy on three‐point stencil that contains the linear combination of the first derivative information of the local and global stencils. The performance enhancement of the WENO scheme through this reference smoothness indicator is verified through the standard numerical experiments. Numerical results indicate that the new scheme provides better results in comparison with the earlier third‐order WENO schemes like WENO‐JS and WENO‐Z. Copyright © 2017 John Wiley & Sons, Ltd.     

The derivation of the conservation law for defocusing nonlinear Schrödinger equations with non-vanishing initial data at infinity

For nonlinear Schrödinger equations in less than or equal to four dimension, with non-vanishing initial data at infinity, a new approach to derive the conservation law is obtained. Since this approach does not contain approximating procedure, the argument is simplified and some of technical assumption of the nonlinearity to derive the conservation law and time global solutions, is removed.     

Uniform limit laws of the logarithm for nonparametric estimators of the regression function in presence of censored data

In this paper, we establish uniform-in-bandwidth limit laws of the logarithm for nonparametric Inverse Probability of Censoring Weighted (I.P.C.W.) estimators of the multivariate regression function under random censorship. A similar result is deduced for estimators of the conditional distribution function. The uniform-in-bandwidth consistency for estimators of the conditional density and the conditional hazard rate functions are also derived from our main result. Moreover, the logarithm laws we establish are shown to yield almost sure simultaneous asymptotic confidence bands for the functions we consider. Examples of confidence bands obtained from simulated data are displayed.