This work entails studying unfitted finite element discretizations for convection-diffusion equations in domains that evolve in time. In particular, these partial differential equations model the evolution of the concentration of soluble surfactants in bulk-interface domains. The work in this thesis docuses on developing numerical methods which conserve the modeled physical quantities. In this work, we propose cut finite element discretizations based on the Discontinuous Galerkin framework which are both locally and globally conservative. Local conservation is achieved on so-called macro elements, and we investigate macro element partitioning of the mesh for both stationary and time-dependent domains. Additionally, we develop globally conservative methods for time-dependent problems. We analyze the proposed methods by studying the convergence of the L2-error with respect to mesh size, condition numbers of the associated linear system matrices, and the conservation error. In numerical experiments for time-dependent problems, we show that the proposed methods have optimal convergence and that the developed macro element stabilization for time-dependent problems leads to increased accuracy while retaining stable condition numbers. Moreover, the measured conservation errors verify the global conservation of the proposed methods. / Detta arbete undersöker diskretiseringar av partiella differentialekvationer i tidsberoende domäner där beräkningsnätet inte behöver anpassas till domänens rörelse. I synnerhet betraktar vi partiella differentalekvationer som modellerar koncentrationen av lösliga ytaktiva ämnen, och skurna finita elementmetoder baserade på den Diskontinuerliga Galerkinmetoden som bevarar de modellerade fysikaliska storheterna. I detta arbete föreslås diskretiseringar som är både lokalt och globalt konservativa. Lokal konservering uppnås i så kallade makroelement, och vi undersöker makroelementpartitionering för både stationära och tidsberoende domäner. Även globalt konservativa metoder utvecklas för tidsberoende problem. De föreslagna metoderna analyseras med hjälp av numeriska exempel. Vi studerar konvergensen av L2-felet med avseende på nätstorlek, konditionstalen för de linjära systemmatriserna samt konserveringsfelet. Metoderna uppvisar optimal konvergens och makroelementstabilisering som utvecklas för tidsberoende problem leder till ökad noggrannhet, samtidigt som konditionstalen förblir stabila. Dessutom veritifierar de uppmättta konserveringsfelen den globala konserveringen hos de föreslagna metoderna.

Complex spatial structures in biology arise from random interactions of molecules. These molecular interactions can be studied using spatial stochastic models, such as Reaction Diffusion Master Equation (RDME), a mesoscopic model that subdivides the spatial domain into smaller, well mixed grid cells, in which the macroscopic diffusion-controlled reactions take place. While RDME has been widely used to study how fluctuations in number of molecules affect spatial patterns, simulations are computationally expensive and it requires a lower bound for grid cell size to avoid an apparent unphysical loss of bimolecular reactions. In this thesis, we propose Gaussian Reaction Diffusion Master Equation (GRDME), a novel model in the RDME framework, based on the discretization of the Laplace operator with Particle Strength Exchange (PSE) method with a Gaussian kernel. We show that GRDME is a computationally efficient model compared to RDME. We further resolve the controversy regarding the loss of bimolecular reactions and argue that GRDME can flexibly bridge the diffusion-controlled and ballistic regimes in mesoscopic simulations involving multiple species. To efficiently simulate GRDME, we develop Gaussian Next Subvolume Method (GNSM). GRDME simulated with GNSM up to six-times lower computational cost for a three-dimensional simulation, providing a significant computational advantage for modeling three-dimensional systems. The computational cost can be further lowered by increasing the so-called smoothing length of the Gassian jumps. We develop a guideline to estimate the grid resolution below which RDME and GRDME exhibit loss of bimolecular reactions. This loss of reactions has been considered unphysical by others. Here we show that this loss of bimolecular reactions is consistent with the well-established theory on diffusion-controlled reaction rates by Collins and Kimball, provided that the rate of bimolecular propensity is interpreted as the rate of the ballistic step, rather than the macroscopic reaction rate. We show that the reaction radius is set by the grid resolution. Unlike RDME, GRDME enables us to explicitly model various sizes of the molecules. Using this insight, we explore the diffusion-limited regime of reaction dynamics and discover that diffusion-controlled systems resemble small, discrete systems. Others have shown that a reaction system can have discreteness-induced state inversion, a phenomenon where the order of the concentrations differs when the system size is small. We show that the same reaction system also has diffusion-controlled state inversion, where the order of concentrations changes, when the diffusion is slow. In summary, we show that GRDME is a computationally efficient model, which enables us to include the information of the molecular sizes into the model.:1 Modeling Mesoscopic Biology 1.1 RDME Models Mesoscopic Stochastic Spatial Phenomena 1.2 A New Diffusion Model Presents an Opportunity For A More Efficient RDME 1.3 Can A New Diffusion Model Provide Insights Into The Loss Of Reactions? 1.4 Overview 2 Preliminaries 2.1 Reaction Diffusion Master Equation 2.1.1 Chemical Master Equation 2.1.2 Diffusion-controlled Bimolecular Reaction Rate 2.1.3 RDME is an Extention of CME to Spatial Problems 2.2 Next Subvolume Method 2.2.1 First Reaction Method 2.2.2 NSM is an Efficient Spatial Stochastic Algorithm for RDME 2.3 Discretization of the Laplace Operator Using Particle Strength Exchange 2.4 Summary 3 Gaussian Reaction Diffusion Master Equation 3.1 Design Constraints for the Diffusion Model in the RDME Framework 3.2 Gaussian-jump-based Model for RDME 3.3 Summary 4 Gaussian Next Subvolume Method 4.1 Constructing the neighborhood N 4.2 Finding the Diffusion Event 4.3 Comparing GNSM to NSM 4.4 Summary 5 Limits of Validity for (G)RDME with Macroscopic Bimolecular Propensity Rate 5.1 Previous Works 5.2 hmin Based on the Kuramoto length of a Grid Cell 5.3 hmin of the Two Limiting Regimes 5.4 hmin of Bimolecular Reactions for the Three Cases of Dimensionality 5.5 hmin of GRDME in Comparison to hmin of RDME 5.6 Summary 6 Numerical Experiments To Verify Accuracy, Efficiency and Validity of GRDME 6.1 Accuracy of the Diffusion Model 6.2 Computational Cost 6.3 hmin and Reaction Loss for (G)RDME With Macroscopic Bimolecular Propensity Rate kCK 6.3.1 Homobiomlecular Reaction With kCK at the Ballistic Limit 6.3.2 Homobiomlecular Reaction With kCK at the Diffusional Limit 6.3.3 Heterobiomlecular Reaction With kCK at the Ballistic Limit 6.4 Summary 7 (G)RDME as a Spatial Model of Collins-Kimball Diffusion-controlled Reaction Dynamics 7.1 Loss of Reactions in Diffusion-controlled Reaction Systems 7.2 The Loss of Reactions in (G)RDME Can Be Explained by Collins Kimball Theory 7.3 Cell Width h Sets the Reaction Radius σ∗ 7.4 Smoothing Length ε′ Sets the Size of the Molecules in the System 7.5 Heterobimolecular Reactions Can Only Be Modeled With GRDME 7.6 Zeroth Order Reactions Impose a Lower Limit on Diffusivity Dmin 7.6.1 Consistency of (G)RDME Could Be Improved by Redesigning Zeroth Order Reactions 7.7 Summary 8 Difussion-Controlled State Inversion 8.1 Diffusion-controlled Systems Resemble Small Systems 8.2 Slow Diffusion Leads to an Inversion of Steady States 8.3 Summary 9 Conclusion and Outlook 9.1 Two Physical Interpretations of (G)RDME 9.2 Advantages of GRDME 9.3 Towards Numerically Consistent (G)RDME 9.4 Exploring Mesoscopic Biology With GRDME Bibliography

Esta tesis está centrada en el modelado de la acústica de salas en espacios cerrados mediante el uso de una ecuación de transferencia radiativa y una ecuación de difusión En este trabajo se investiga cómo a través de estos modelos teóricos se pueden simular el campo sonoro en espacios complejos. Recientemente, el modelo de la ecuación de fusión ha sido prppuesto para ser utilizado en el modelado de la acústica de salas con superficies que reflejan el sonido de forma totalmente difusa. Este enfoque del uso de la ecuación de la disusión de sido intensamente investigado en los últimos años, ya que proporciona una alta eficiencia y flexibilidad para simular las distribuciones del campo sonoro en diferentes tipos de salas; sin embargo, sólo se han realizado unas pocas investigaciones con el objetivo de indagar sobre la precisión y las limitaciones de este método alternativo. Por lo tanto, en primer lugar se presenta un modelo basado en la ecuación de transferencia por radiación siendo meta principal el unificar una amplia gama de métodos geométricos de modelado de acústica de salas. Además, esta tesis está especialmente dedicada a establecer las bases y suposiciones que permitan obtener un modelo de difusión acústica como particularización del modelo de transferencia radiativa con el objetivo de conseguir una descripción clara y adecuada de sus ventajas y limitaciones desde el punto de vista teórico. Este trabajo permite enlazar directamente al modelo de la ecuación de difusión con el grupo de métodos de la acústica geométrica reforzando sus características y permitiendo una adecuada comparación con estos métodos ampliamente reconocidos. Una vez realizado este análisis teórico, esta tesis también se dedica a cuestiones relativas a la implementación numérica del modelo acústico de la ecuación de difusión . En este trabajo, se modela el campo sonoro a través de esquemas en diferencias finitas. Los resultados de este estudio proporcionan soluciones simples y practicas que muestran unos requerimientos computacionales bajos tanto de consumo de memoria como de tiempo. / Navarro Ruiz, JM. (2012). Discrete-time modelling of diffusion processes for room acoustics simulation and analysis [Tesis doctoral]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/14861

Histological slides are an important tool in the diagnosis of tumors as well as of other diseases that affect cell shapes and distributions. Until now, the research concerning an optimal staining time has been mainly done empirically. In experimental investigations, it is often not possible to stain an already-stained slide with another stain to receive further information. To overcome these challenges, in the present paper a continuum-based model was developed for conducting a virtual (re-)staining of a scanned histological slide. This model is capable of simulating the staining of cell nuclei with the dye hematoxylin (C.I. 75,290). The transport and binding of the dye are modeled (i) along with the resulting RGB intensities (ii). For (i), a coupled diffusion–reaction equation is used and for (ii) Beer–Lambert’s law. For the spatial discretization an approach based on the finite element method (FEM) is used and for the time discretization a finite difference method (FDM). For the validation of the proposed model, frozen sections from human liver biopsies stained with hemalum were used. The staining times were varied so that the development of the staining intensity could be observed over time. The results show that the model is capable of predicting the staining process. The model can therefore be used to perform a virtual (re-)staining of a histological sample. This allows a change of the staining parameters without the need of acquiring an additional sample. The virtual standardization of the staining is the first step towards universal cross-site comparability of histological slides.

In this dissertation, we consider the Hull-White term structure problem with the boundary value condition given as the payoff of a European bond option. We restrict ourselves to the case where the parameters of the Hull-White model are strictly positive constants and from the risk neutral valuation formula, we first derive simple closed–form expression for pricing European bond option in the Hull-White extended Vasicek model framework. As the European option can be exercised only on the maturity date, we then examine the case of early exercise opportunity commonly called American option. With the analytic representation of American bond option being very hard to handle, we are forced to resort to numerical experiments. To do it excellently, we transform the Hull-White term structure equation into the diffusion equation and we first solve it through implicit, explicit and Crank-Nicolson (CN) difference methods. As these standard finite difference methods (FDMs) require truncation of the domain from infinite to finite one, which may deteriorate the computational efficiency for American bond option, we try to build a CN method over an unbounded domain. We introduce an exact artificial boundary condition in the pricing boundary value problem to reduce the original to an initial boundary problem. Then, the CN method is used to solve the reduced problem. We compare our performance with standard FDMs and the results through illustration show that our method is more efficient and accurate than standard FDMs when we price American bond option. / Mathematical Sciences / (M.Sc. (Mathematics))

Ce travail présente un développement et une analyse des approches numériques déterministes et probabilistes efficaces pour les équations aux dérivées partielles avec des coefficients et données aléatoires. On s'intéresse au problème d'écoulement stationnaire avec des données aléatoires. Une méthode de projection dans le cas unidimensionnel est présentée, permettant de calculer efficacement la moyenne de la solution. Nous utilisons la méthode de collocation anisotrope des grilles clairsemées. D'abord, un indicateur de l'erreur satisfaisant une borne supérieure de l'erreur est introduit, il permet de calculer les poids d'anisotropie de la méthode. Ensuite, nous démontrons une amélioration de l'erreur a priori de la méthode. Elle confirme l'efficacité de la méthode en comparaison avec Monte-Carlo et elle sera utilisée pour accélérer la méthode par l'extrapolation de Richardson. Nous présentons aussi une analyse numérique d'une méthode probabiliste pour quantifier la migration d'un contaminant dans un milieu aléatoire. Nous considérons le problème d'écoulement couplé avec l'équation d'advection-diffusion, où on s'intéresse à la moyenne de l'extension et de la dispersion du soluté. Le modèle d'écoulement est discrétisée par une méthode des éléments finis mixtes, la concentration du soluté est une densité d'une solution d'une équation différentielle stochastique, qui sera discrétisée par un schéma d'Euler. Enfin, on présente une formule explicite de la dispersion et des estimations de l'erreur a priori optimales. / This work presents a development and an analysis of an effective deterministic and probabilistic approaches for partial differential equation with random coefficients and data. We are interesting in the steady flow equation with stochastic input data. A projection method in the one-dimensional case is presented to compute efficiently the average of the solution. An anisotropic sparse grid collocation method is also used to solve the flow problem. First, we introduce an indicator of the error satisfying an upper bound of the error, it allows us to compute the anisotropy weights of the method. We demonstrate an improvement of the error estimation of the method which confirms the efficiency of the method compared with Monte Carlo and will be used to accelerate the method using the Richardson extrapolation technique. We also present a numerical analysis of one probabilistic method to quantify the migration of a contaminant in random media. We consider the previous flow problem coupled with the advection-diffusion equation, where we are interested in the computation of the mean extension and the mean dispersion of the solute. The flow model is discretized by a mixed finite elements method and the concentration of the solute is a density of a solution of the stochastic differential equation, this latter will be discretized by an Euler scheme. We also present an explicit formula of the dispersion and an optimal a priori error estimates.

Les travaux de cette thèse portent sur des méthodes de volumes finis sur maillages quelconque pour la discrétisation de problèmes d'évolution non linéaires modélisant le transport de contaminants en milieu poreux et les écoulements diphasiques.Au Chapitre 1, nous étudions une famille de schémas numériques pour la discrétisation d'une équation parabolique dégénérée de convection-reaction-diffusion modélisant le transport de contaminants dans un milieu poreux qui peut être hétérogène et anisotrope. La discrétisation du terme de diffusion est basée sur une famille de méthodes qui regroupe les schémas de volumes finis hybrides, de différences finies mimétiques et de volumes finis mixtes. Le terme de convection est traité à l'aide d'une famille de méthodes qui s'appuient sur les inconnues hybrides associées aux interfaces du maillage. Cette famille contient à la fois les schémas centré et amont. Les schémas que nous étudions permettent une discrétisation localement conservative des termes d'ordre un et d'ordre deux sur des maillages arbitraires en dimensions d'espace deux et trois. Nous démontrons qu'il existe une solution unique du problème discret qui converge vers la solution du problème continu et nous présentons des résultats numériques en dimensions d'espace deux et trois, en nous appuyant sur des maillages adaptatifs.Au Chapitre 2, nous proposons un schéma de volumes finis hybrides pour la discrétisation d'un problème d'écoulement diphasique incompressible et immiscible en milieu poreux. On suppose que ce problème a la forme d'une équation parabolique dégénérée de convection-diffusion en saturation couplée à une équation uniformément elliptique en pression. On considère un schéma implicite en temps, où les flux diffusifs sont discrétisés par la méthode des volumes finis hybride, ce qui permet de pouvoir traiter le cas d'un tenseur de perméabilité anisotrope et hétérogène sur un maillage très général, et l'on s'appuie sur un schéma de Godunov pour la discrétisation des flux convectifs, qui peuvent être non monotones et discontinus par rapport aux variables spatiales. On démontre l'existence d'une solution discrète, dont une sous-suite converge vers une solution faible du problème continu. On présente finalement des cas test bidimensionnels.Le Chapitre 3 porte sur un problème d'écoulement diphasique, dans lequel la courbe de pression capillaire admet des discontinuité spatiales. Plus précisément on suppose que l'écoulement prend place dans deux régions du sol aux propriétés très différentes, et l'on suppose que la loi de pression capillaire est discontinue en espace à la frontière entre les deux régions, si bien que la saturation de l'huile et la pression globale sont discontinues à travers cette frontière avec des conditions de raccord non linéaires à l'interface. On discrétise le problème à l'aide d'un schéma, qui coïncide avec un schéma de volumes finis standard dans chacune des deux régions, et on démontre la convergence d'une solution approchée vers une solution faible du problème continu. Les test numériques présentés à la fin du chapitre montrent que le schéma permet de reproduire le phénomène de piégeage de la phase huile. / In Chapter 1 we study a family of finite volume schemes for the numerical solution of degenerate parabolic convection-reaction-diffusion equations modeling contaminant transport in porous media. The discretization of possibly anisotropic and heterogeneous diffusion terms is based upon a family of numerical schemes, which include the hybrid finite volume scheme, the mimetic finite difference scheme and the mixed finite volume scheme. One discretizes the convection term by means of a family of schemes which makes use of the discrete unknowns associated to the mesh interfaces, and contains as special cases an upwind scheme and a centered scheme. The numerical schemes which we study are locally conservative and allow computations on general multi-dimensional meshes. We prove that the unique discrete solution converges to the unique weak solution of the continuous problem. We also investigate the solvability of the linearized problem obtained during Newton iterations. Finally we present a number of numerical results in space dimensions two and three using nonconforming adaptive meshes and show experimental orders of convergence for upwind and centered discretizations of the convection term.In Chapter 2 we propose a finite volume method on general meshes for the numerical simulation of an incompressible and immiscible two-phase flow in porous media. We consider the case that it can be written as a coupled system involving a degenerate parabolic convection-diffusion equation for the saturation together with a uniformly elliptic equation for the global pressure. The numerical scheme, which is implicit in time, allows computations in the case of a heterogeneous and anisotropic permeability tensor. The convective fluxes, which are non monotone with respect to the unknown saturation and discontinuous with respect to the space variables, are discretized by means of a special Godunov scheme. We prove the existence of a discrete solution which converges, along a subsequence, to a solution of the continuous problem. We present a number of numerical results in space dimension two, which confirm the efficiency of the numerical method.Chapter 3 is devoted to the study of a two-phase flow problem in the case that the capillary pressure curve is discontinuous with respect to the space variable. More precisely we assume that the porous medium is composed of two different rocks, so that the capillary pressure is discontinuous across the interface between the rocks. As a consequence the oil saturation and the global pressure are discontinuous across the interface with nonlinear transmission conditions. We discretize the problem by means of a numerical scheme which reduces to a standard finite volume scheme in each sub-domain and prove the convergence of a sequence of approximate solutions towards a weak solution of the continuous problem. The numerical tests show that the scheme can reproduce the oil trapping phenomenon.

Wird der Äquator-Pol-Energietransfer als Wärmediffusion berücksichtigt, so gehen Energiebilanzmodelle in Reaktions-Diffusionsgleichungen über, deren Modellfall die (deterministische) Chafee-Infante-Gleichung darstellt. Ihre Lösung besitzt zwei stabile Zustände und mehrere instabile auf der separierenden Mannigfaltigkeit (Separatrix) der stabilen Anziehungsgebiete. Es wird bewiesen, dass die Lösung auf geeignet verkleinerten Anziehungsgebieten mit Minimalabstand zur Separatrix innerhalb von Zeitskalen relaxiert, die höchstens logarithmisch darin anwachsen. Motiviert durch statistische Belege aus grönländischen Zeitreihen wird diese partielle Differentialgleichung unter Störung mit unendlichdimensionalem, Hilbertraum-wertigen, regulär variierenden Lévy''schen reinen Sprungrauschen mit index alpha und Intensität epsilon untersucht. Ein kanonisches Beispiel dieses Rauschens ist alpha-stabiles Rauschen im Hilbertraum. Durch Erweiterung einer Methode von Imkeller und Pavlyukevich auf stochastische partielle Differentialgleichungen wird unter milden Bedingungen bewiesen, dass im Gegensatz zu Gauß''schem Rauschen die erwarteten Austritts- und übertrittszeiten zwischen Anziehungsgebieten polynomiell mit Ordnung in der inversen Intensität für kleine Rauschintensität anwachsen. In Kapitel 6 wird eine zusätzliche natürliche “Separatrixhypothese” über das Sprungmaß, eingeführt, die eine obere Schranke für die Austrittszeiten aus einer Umgebung der Separatrix impliziert. Dies ermöglicht den Nachweis einer oberen Schranke für die Austrittszeiten, welche gleichmäßig für Anfangsbedingungen in dem ganzen Anziehungsgebiet gilt. Es folgen zwei Lokalisierungsergebnisse. Schließlich wird gezeigt, dass die Lösung metastabiles Verhalten aufweist. Unter der “Separatrixhypothese” wird dies auf ein Ergebnis erweitert, welches gleichmäßig im Raum gilt. / If equator-to-pole energy transfer by heat diffusion is taken into account, Energy Balance Models turn into reaction-diffusion equations, whose prototype is the (deterministic) Chafee-Infante equation. Its solution has two stable states and several unstable ones on the separating manifold (separatrix) of the stable domains of attraction. We show, that on appropriately reduced domains of attraction of a minimal distance to the separatrix the solution relaxes in time scales increasing only logarithmically in it. Motivated by the statistical evidence from Greenland ice core time series, we consider this partial differential equation perturbed by an infinite-dimensional Hilbert space-valued regularly varying (pure jump) Lévy noise of index alpha and intensity epsilon. A proto-type of this noise is alpha-stable noise in the Hilbert space. Extending a method developed by Imkeller and Pavlyukevich to the SPDE setting we prove under mild conditions that in contrast to Gaussian perturbations the expected exit and transition times between the domains of attraction increase polynomially in the inverse intensity. In Chapter 6 we introduce an additional natural separatrix hypothesis on the jump measure that implies an upper bound on the exit time of a neighborhood of the separatrix. This allows to obtain an upper bound for the asymptotic exit time uniform for the initial positions inside the entire domain of attraction. It is followed by two localization results. Finally we prove that the solution exhibits metastable behavior. Under the separatrix hypothesis we can extend this to a result that holds uniformly in space.

科学研究費補助金 研究種目:基盤研究(B)(2) 課題番号:08458144 研究代表者:飯田 孝夫 研究期間:1996-1997年度

In this dissertation, we consider the Hull-White term structure problem with the boundary value condition given as the payoff of a European bond option. We restrict ourselves to the case where the parameters of the Hull-White model are strictly positive constants and from the risk neutral valuation formula, we first derive simple closed–form expression for pricing European bond option in the Hull-White extended Vasicek model framework. As the European option can be exercised only on the maturity date, we then examine the case of early exercise opportunity commonly called American option. With the analytic representation of American bond option being very hard to handle, we are forced to resort to numerical experiments. To do it excellently, we transform the Hull-White term structure equation into the diffusion equation and we first solve it through implicit, explicit and Crank-Nicolson (CN) difference methods. As these standard finite difference methods (FDMs) require truncation of the domain from infinite to finite one, which may deteriorate the computational efficiency for American bond option, we try to build a CN method over an unbounded domain. We introduce an exact artificial boundary condition in the pricing boundary value problem to reduce the original to an initial boundary problem. Then, the CN method is used to solve the reduced problem. We compare our performance with standard FDMs and the results through illustration show that our method is more efficient and accurate than standard FDMs when we price American bond option. / Mathematical Sciences / (M.Sc. (Mathematics))