Miracle-dz/UniFAR-FTUs huggingface dataset:
Approximating the Optimal Exercise Boundary for American Options via Least-Squares Monte Carlo

The least-squares Monte Carlo method of Longstaff-Schwartz is utilized to construct the optimal exercise boundary (OXB) of an American put option when the underlying follows a geometric Brownian motion (GBM). The optimal exercise price at each time step is obtained by solving numerically the equation of the exercising boundary condition. The set of such exercise prices, along with their “standard deviations,” is then fitted to a smooth, monotonic model of a sum of three exponential functions to approximate the OXB, which turns out to be very close to the exact solution of the boundary. The approach can be efficiently implemented and readily computed in practice, and should be applicable to cases when the underlying price process is not GBM.
Flexural vibration band gaps in a double-side phononic crystal plate

Using the finite element method, we theoretically study the vibration properties of a phononic crystal plate composed of a square array of composite cylindrical pillars on both sides of a thin homogeneous plate. The dispersion relations, the displacement fields of the eigenmodes, and the power transmission spectra are given to estimate the starting and cutoff frequency of the flexural vibration band gaps. We investigate the evolution of the flexural vibration band gaps in the double-side phononic crystal plate, with the height and diameter of the pillars on both sides arranged from a symmetrical distribution to an asymmetrical distribution. Numerical results show that the enlargement of the bandwidth of flexural vibration band gaps in both symmetrical and asymmetrical double-side phononic crystal plates depends strongly on the rise of the cutoff frequency of the gaps. The two pillars with an asymmetrical heights or diameters divide the first flexural vibration band gap into two gaps. These propagation properties of flexural vibration in the double-side plate can be utilized to design low-frequency vibration insulation and band-pass filters.
The Numerical Evaluation of Particular Solutions for Poisson's Equation

On decrit trois methodes numeriques pour l'evaluation de solutions particulieres de l'equation de Poisson. La premiere utilise le potentiel de Newton; la seconde une serie de Fourier en sinus pour evaluer une solution particuliere; la troisieme suppose que le terme inhomogene est approche par un polynome
A computational fluid dynamics investigation of turbulent swirling burners

This thesis presents detailed numerical calculations of the Unsteady, Reynolds- Averaged Navier-Stokes (URANS) equations to simulate isothermal, single-phase flow in the geometries of realistic swirl burners at large Reynolds numbers. Simulations are run with two different turbulence closures, viz., the standard k-epsilon and Reynolds stresses (RSM) models. The numerical method is validated concerning convergence, grid density and far-field influence. Results describe a flow that is in any case periodic or pseudo-periodic, and exhibits quite convincing time-dependent features: bubble- and spiral-type vortex breakdowns and vortex core precession. Some simulations are validated by comparison with corresponding experiments. Good agreement with the experiments has been obtained for mean flow, and frequency peaks of the power spectral density of pressure fluctuations. In order to asses the reliability of URANS methods within this context, calculated time-averaged flow and coherent structures are documented via 2D graphs, spectral analysis, 3D isosurfaces and advanced, vortex-related visualization methods and 2D snapshot proper orthogonal decomposition (S-POD). Differences arising from the nature of the turbulence model (k-epsilon vs. RSM) are very relevant indeed, given the cost factor involved and the apparent verisimilitude of the predicted flow; they are thoroughly analyzed.
A comparison of two methods for developing the linearization of a shallow‐water model

We develop the linearization of a semi‐implicit semi‐Lagrangian model of the one‐dimensional shallow‐water equations using two different methods. The usual tangent linear model, formed by linearizing the discrete nonlinear model, is compared with a model formed by first linearizing the continuous nonlinear equations and then discretizing. Both models are shown to perform equally well for finite perturbations. However, the asymptotic behaviour of the two models differs as the perturbation size is reduced. This leads to difficulties in showing that the models are correctly coded using the standard tests. To overcome this difficulty we propose a new method for testing linear models, which we demonstrate both theoretically and numerically. © Crown copyright, 2003. Royal Meteorological Society
Dynamic Transverse Deflection of a Free Mild-Steel Plate

The problem analytically investigated is that a thin free plate of mild-steel struck at normal incidence by a flat ended rigid rod moving at high velocity. As in quasi-static deformation by extended slip, the strain-rate tensor is solenoidal and under dynamic loading conditions the Tresca yield criterion is modified so that the solenoidal property replaces the hypothesis of a viscoplastic overstress. Overstress then arises from inertial body forces and the high magnitudes found, in the following, for these forces are due to the influence of the propagating boundary. Two new theorems are proven. These theorems show that the deflection in the plate is entirely transverse, even in the case of indefinitely large punch deflections, and that the lines of equal transverse deflection in the plate are also principal lines of stress and strain-rate, as are the lines of steepest descent. A formula is obtained giving the inertial force opposing the punch as a function of the time and the theoretical deflection profile on a plate deformed by a flat-ended punch of circular section is presented. The stresses in the plate are then analyzed and it is shown that the stress inside the boundary in the direction of propagation, equals ρc2where ρ is the mass density of the plate material and the boundary wave propagates at speed c which, it is shown, is equal to one-half of the velocity of elastic waves of rotation in the solid concerned.
On Supersingular Abelian Varieties of Dimension Two over Finite Fields

In this paper we study the characteristic polynomials and the rational point group structure of supersingular varieties of dimension two over finite fields. Meanwhile, we also list allL-functions of supersingular curves of genus two over F2and determine the group structure of their divisor class groups over all finite algebraic extension of F2.
Specific Features of Mechanism for Dust Production from Tungsten Armor under Action of ELMs

Abstract Analysis of comprehensive investigations of divertor armor erosion under action of edge-localized modes (ELMs) using the PEGASUS-3D code has been performed. Different erosion mechanisms for tungsten (W) and carbon fiber composite (CFC) armor materials have been revealed. This difference explains almost 3 orders of magnitude difference in the erosion rates of CFC and W. Investigation of the crack pattern evolution under repetitive ELM-like surface heat load has been done. Special treatment for tungsten armor tiles has been proposed for reduction of dust production rate in ITER operation regime.
A nonlocal convective flux limiter for upwind‐biased finite volume simulations

Finite volume methods on structured and unstructured meshes commonly use second‐order, upwind‐biased linear reconstruction schemes to approximate the convective terms. Limiters are employed to reduce the inherent variable overshoot and undershoot of these schemes in discontinuous regions; however, they also can significantly increase the numerical dissipation of a solution in smooth regions. This paper presents a novel nonlocal, nonmonotonic (NLNM) limiter developed by enforcing cell minima and maxima on dependent variable values projected to cell faces. The minimum and maximum values for a cell are determined primarily through recursive reference to the minimum and maximum values of its upwind neighbors. The new limiter has been implemented into an existing flow solver. Various test cases are presented, which highlight the ability of the NLNM limiter to eliminate nonphysical oscillations while maintaining negligible levels of limiter‐induced dissipation into the solution. Results from the new limiter are compared with those from other limited and unlimited second‐order upwind and first‐order upwind schemes. For the cases examined in the study, the NLNM limiter was found to improve accuracy without significantly decreasing overall simulation efficiency and robustness.Copyright © 2011 John Wiley & Sons, Ltd.
Modification of Rayleigh–Plesset Theory for Reproducing Dynamics of Cavitation Bubbles in Liquid-Phase Laser Ablation

The solution of the conventional Rayleigh–Plesset equation did not agree with the experimental results on the temporal variations of the sizes of cavitation bubbles produced by laser ablation in water. In this work, we modified the conventional Rayleigh–Plesset theory in the following two points to reproduce the experimental observation theoretically. One was to introduce the effect of the contact angle among the water, the cavitation bubble, and the ablation target. The other was to treat the surface tension and the kinematic viscosity coefficient of water as additional adjusting parameters to fit the theoretical result with the experimental observation. The latter modification was effective especially for laser ablation in the pressurized water. Better agreement between the theoretical and the experimental results was realized with the help of these modifications, but anomalous thermodynamic parameters were necessary to obtain the best fitting. We evaluated the pressures and the temperatures inside the cavitation bubbles.
Energetic ion beams at the edge of the plasma sheet: ISEE 1 observations plus a simple explanatory model

The ISEE 1 satellite experienced numerous encounters with the plasma sheet on May 3, 1978, during the period 0400–2000 hours UT. ISEE 1 was in the dusk-midnight quadrant of the tail and ranged in geocentric distance from 22 to 16 RE. We have examined the energetic ion (≥24 keV) three-dimensional distributions during this period and find a multitude of energetic ion beams, generally observed within two gyroradii of the plasma sheet edge. Beam characteristics include E−γ spectra, single-peaked energy spectra with peak energies dependent on time and pitch angle and ranging upwards of 100 keV, double-peaked energy spectra having peaks at tens and hundreds of keV, streaming directions parallel and antiparallel to B, and streaming directions at arbitrary angles to B. The time evolution of these energetic ion energy and angular distributions indicates that the plasma sheet edge is dynamic and not an equilibrium situation. From a close study of the data we conclude that all the observed energetic ion beam characteristics are explained by single-particle motion along B under conservation of the first adiabatic invariant µ =E⊥/B. Thus, for example, tailward streaming beams are simply the result of mirror point reflection of an earthward moving ion population. Round-trip distances of 35–40 RE are observed, implying unimpeded travel to low-altitude mirror points and back. Energetic ion beams at arbitrary angles to B are simply azimuthal asymmetries around B due to the sharp energetic ion density gradient at the plasma sheet edge. A sporadic source of the general form of a Maxwellian plus an E−γ high-energy tail is required on the ISEE 1 flux tube. The variable nature of the source can be due to either an intrinsic source property or intermittent contact of the satellite flux tube with the source. The observations and analysis indicate that the existence of energetic beams propagating at apparently arbitrary directions through lower-energy plasmas is a natural result of single-particle dynamics. Large, positive phase space density velocity gradients, ∂f/∂υ ≫0, naturally develop at all energies and pitch angles, dependent on spatial location with respect to the source. These results can unify a variety of previous energetic ion streaming observations in the tail and relate them to a common source.
Simple XRD algorithm for direct determination of cotton crystallinity

Traditionally, XRD had been used to study the crystalline structure of cotton celluloses. Despite considerable efforts in developing the curve-fitting protocol to evaluate the crystallinity index (CI), in its present state, XRD measurement can only provide a qualitative or semi-quantitative assessment of the amounts of crystalline and amorphous cellulosic components in a sample. The greatest barrier to establish quantitative XRD is the lack of appropriate cellulose standards needed to calibrate the measurements. In practical, samples with known CIs are very difficult to be prepared or determined. As an approach, we might assign the samples with reported CIs from FT-IR procedure, in which the threeband ratios were first calculated and then were converted into CIs within a large and diversified pool of cotton fibers. This study reports the development of simple XRD algorithm, over time-consuming and subjective curve-fitting process, for direct determination of cotton cellulose CI by correlating XRD with the FT-IR CI references.
Parameterization of Macroscale Transient Heat Transport for Use in a Mean-Motion Model of the General Circulation

Abstract Recent work on mean-motion models of the general circulation has led to renewed interest in the parameterization (i.e., expression in terms of model-generated average variables) of the horizontal flux of heat in the atmosphere by transient eddies on the scale of cyclones. A brief review is made of previous work on this subject and some new computations are presented, leading to confirmation of the usual assumption that the cross-isotherm flux of heat can be expressed using the well-known “Austausch coefficient” method. This empirical finding appears to agree with what is expected from the theory of cyclone development. When considering heat flow over the globe it is necessary to account for the transient flux component parallel, as well as perpendicular, to the mean isotherms. Apparently, no empirical work has yet been done on this subject. The geographical fields of the parallel component for different seasons of several years were examined in the light of a theoretical study of Welander, which .
The virtual waiting-time and related processes

The virtual waiting-time process of Takács is one of the simplest examples of a stochastic process with a continuous state space in continuous time in which jump transitions interrupt periods of deterministic decay. Properties of the process are reviewed, and the transient behaviour examined in detail. Several generalizations of the process are studied. These include two-sided jumps, periodically varying ‘arrival’ rate and the presence of a state-dependent decay rate; the last case is motivated by the properties of soil moisture in hydrology. Throughout, the emphasis is on the derivation of simple interpretable results.
Color-superconductivity from a Dyson-Schwinger perspective

Color-superconducting phases of quantum chromodynamics at vanishing temperatures and high densities are investigated. The central object is the one-particle Green's function of the fermions, the so-called quark propagator. It is determined by its equation of motion, the Dyson-Schwinger equation. To handle Dyson-Schwinger equations a successfully applied truncation scheme in the vacuum is extended to finite densities and gradually improved. It is thereby guaranteed that analytical results at asymptotically large densities are reproduced. This way an approach that is capable to describe known results in the vacuum as well as at high densities is applied to densities of astrophysical relevance for the first time. In the first part of the thesis the framework of the investigations with focus on the extension to finite densities is outlined. Physical observables are introduced which can be extracted from the propagator. In the following a minimal truncation scheme is presented. To point out the complexity of our approach in comparison to phenomenological models of quantum chromodynamics the chirally unbroken phase is discussed first. Subsequently color-superconducting phases for massless quarks are investigated. Furthermore the role of finite quark masses and neutrality constraints at moderate densities is studied. In contrast to phenomenological models the so-called CFL phase is found to be the ground state for all relevant densities. In the following part the applicability of the maximum entropy method for the extraction of spectral functions from numerical results in Euclidean space-time is demonstrated. As an example the spectral functions of quarks in the chirally unbroken and color-superconducting phases are determined. Hereby the results of our approach are presented in a new light. For instance the finite width of the quasiparticles in the color-superconducting phase becomes apparent. In the final chapter of this work extensions of our truncation scheme in particular the back-reaction of so-called Goldstone bosons are elaborated. As those extensions in our framework have not been carried out for the vacuum either, the modification of the quark propagator in the chirally broken vacuum is initially discussed. Hereafter this approach is enlarged to the CFL phase for the case of vanishing quark masses. Simultaneously low-energy properties of Goldstone bosons are studied. Finally a self-consistent truncation for the modification of the interaction is worked out, which implements the Meissner effect.
Analysis of numerically simulated true strain on high stampability sheets

The sheet metal forming is a manufacturing process widely used industrially. The quality and efficiency of the process is dependent on the correct choice of the process parameters and the correct understanding of the sheet metal behavior. The identification of the regions where stretching and/or deep drawing occurred during the forming process can aid the process through the tools design optimization. This work consisted of evaluating three punch models with varied geometries. The purpose of this work was to simulate different punch geometries using the ANSYS/LS_DYNA program and to compare the results with those reported in the literature. An evaluation was also made of the chosen program's response quality (validation). The material model chosen was the Barlat's model. The friction coefficient influence was also investigated. A comparison of the major true strain (e1) obtained by simulation compared with the experimental results indicated that this material model is able to satisfactorily reproduce the major true strain found in practice for the DC 06 steel.
The asymptotic joint distribution of the efficient scores test for the proportional hazards model calculated over time

The log rank test derived by Mantel (1966) and Peto (1972) is a special case of the efficient scores test for the proportional hazards model. It is used frequently in the analysis of survival duration in clinical trials where patients entering the study are assigned at random to different treatments and are followed until they either fail or the study is terminated. Most survival studies are designed so that the log rank test is calculated at the termination of the study; however it is not unusual for the investigator to monitor the experiment periodically. It would be very useful to know the joint distribution of the test statistic at different points in time in order to adjust for the effect of repeated significance testing. Although the joint distribution has not been derived previously, sequential procedures for the analysis of survival data in clinical trials have been given by several authors including Armitage (1975, pp. 140-6), Jones & Whitehead (1979) and Nagelkerke & Hart (1980). In this paper, we establish the asymptotic joint distribution of the more general efficient scores test for the proportional hazards model calculated at different points in time, and indicate how this can be used for repeated significance testing.
A Unified Approach to Controlled Switching of Power Equipment

The aim of controlled switching of power equipment is to reduce, if not eliminate, the voltage and current transients that result from energizing or de-energizing the equipment by way of a circuit breaker operation. This paper reviews what can be achieved with a modern controlled switching device in terms of improving power quality, protecting both the power equipment and the circuit breaker, and improving protective relay reliability.
A measurement based analysis of the spatial distribution, temporal variation and chemical composition of particulate matter in Munich and Augsburg

The objective of the studies presented in this paper is to present an analysis of spatial distribution and temporal variation of particulate matter in Munich and Augsburg, Germany, and to identify and discuss the factors determining the aerosol pollution in both areas. Surface-based in-situ and remote sensing measurements of particle mass and particle size distribution have been performed in, around, and above the two cities. Two measurement campaigns were conducted in Munich, one in late spring and one in winter 2003. Another campaign has been on-going in Augsburg since 2004. Spatial and temporal variations are analyzed from this data (PM 10 , PM 2.5 and PM 1 ). There are higher particle mass concentrations at the urban site than at the surrounding rural sites, especially in winter. No significant difference in the major ionic composition of the particles between the urban and the rural site was detected. This is considered to be related to the spatial distribution of secondary inorganic aerosol that is more homogeneous than aerosol resulting from other sources like traffic or urban releases in general. During the measurement campaigns mixing layer heights were determined continuously by remote sensing (SODAR, ceilometer, RASS). Significant dependence of particle size distribution and particle mass concentration on mixing layer height was found. This finding paves the way to new applications of satellite remote sensing products.