Search results for "Diffusion"
showing 10 items of 1615 documents
Monotonic solution of flow and transport problems in heterogeneous media using Delaunay unstructured triangular meshes
2013
Transport problems occurring in porous media and including convection, diffusion and chemical reactions, can be well represented by systems of Partial Differential Equations. In this paper, a numerical procedure is proposed for the fast and robust solution of flow and transport problems in 2D heterogeneous saturated media. The governing equations are spatially discretized with unstructured triangular meshes that must satisfy the Delaunay condition. The solution of the flow problem is split from the solution of the transport problem and it is obtained with an approach similar to the Mixed Hybrid Finite Elements method, that always guarantees the M-property of the resulting linear system. The…
An Iterative Method for Pricing American Options Under Jump-Diffusion Models
2011
We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration to solve the LCPs efficiently and prove its convergence. Numerical examples with Kou's and Merton's jump-diffusion models show that the resulting iteration converges rapidly.
Analytic solutions of the diffusion-deposition equation for fluids heavir than atmospheric air
2008
A steady-state bi-dimensional turbulent diffusion equation was studied to find the concentration distribution of a pollutant near the ground. We have considered the air pollutant emitted from an elevated point source in the lower atmosphere in adiabatic conditions. The wind velocity and diffusion coefficient are given by power laws. We have found analytical solutions using or the Lie Group Analysis or the Method of Separation of Variables. The classical diffusion equation has been modified introducing the falling term with non-zero deposition velocity. Analytical solutions are essential to test numerical models for the great difficulty in validating with experiments.
Numerical solution of a multi-class model for batch settling in water resource recovery facilities
2017
In Torfs et al. (2017) a new unified framework to model settling tanks in water resource recovery facilities was proposed providing a set of partial differential equations (PDEs) modelling different settling unit processes in wastewater treatment such as primary and secondary settling tanks (PSTs and SSTs). The extension to a multi-class framework to deal with the distributed properties of the settling particles leads to a system of non-linear hyperbolic-parabolic PDEs whose solutions may contain very sharp transitions. This necessitates the use of a consistent and robust numerical method to obtain well-resolved and reliable approximations to the PDE solutions. The use of implicit–explicit …
Robust and Efficient IMEX Schemes for Option Pricing under Jump-Diffusion Models
2013
We propose families of IMEX time discretization schemes for the partial integro-differential equation derived for the pricing of options under a jump diffusion process. The schemes include the families of IMEX-midpoint, IMEXCNAB and IMEX-BDF2 schemes. Each family is defined by a convex parameter c ∈ [0, 1], which divides the zeroth-order term due to the jumps between the implicit and explicit part in the time discretization. These IMEX schemes lead to tridiagonal systems, which can be solved extremely efficiently. The schemes are studied through Fourier stability analysis and numerical experiments. It is found that, under suitable assumptions and time step restrictions, the IMEX-midpoint fa…
An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
2014
Partial integro-differential equation (PIDE) formulations are often preferable for pricing options under models with stochastic volatility and jumps, especially for American-style option contracts. We consider the pricing of options under such models, namely the Bates model and the so-called stochastic volatility with contemporaneous jumps (SVCJ) model. The nonlocality of the jump terms in these models leads to matrices with full matrix blocks. Standard discretization methods are not viable directly since they would require the inversion of such a matrix. Instead, we adopt a two-step implicit-explicit (IMEX) time discretization scheme, the IMEX-CNAB scheme, where the jump term is treated ex…
Fokker–Planck equation with respect to heat measures on loop groups
2011
Abstract The Dirichlet form on the loop group L e ( G ) with respect to the heat measure defines a Laplacian Δ DM on L e ( G ) . In this note, we will use Wasserstein distance variational method to solve the associated heat equation for a given data of finite entropy.
Validation of matrix diffusion modeling
2010
Abstract Crystalline rock has been chosen as the host medium for repository of highly radioactive spent nuclear fuel in Finland. Radionuclide transport takes place along water-carrying fractures, and matrix diffusion has been indicated as an important retarding mechanism that affects the transport of mobile fission and activation products. The model introduced here for matrix diffusion contains a flow channel facing a porous matrix with stagnant water into which tracer molecules advected in the channel can diffuse. In addition, the possibility of a finite depth of the matrix and an initial tracer distribution (‘contamination’) in the matrix are included in the model. In order to validate th…
Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
2004
A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. The proof is based on a careful study of the discretization matrices and on an abstract convergence result due to Barles and Souganides.
Effect of relative humidity on carvacrol release and permeation properties of chitosan based films and coating
2014
International audience; The influence of water vapour conditions on mass transport and barrier properties of chitosan based films and coatings were studied in relation to surface and structural properties. Water contact angles, material swelling, polymer degradation temperature, barrier properties (PO2, PCO2, WVP) and aroma diffusion coefficients were determined. The solvent nature and the presence of carvacrol influenced the surface and structural properties and then the barrier performance of activated chitosan films. Increasing RH from 0% to 100% led to a significant increase in material swelling. The plasticization effect of water was more pronounced at high humid environment, while at …