WIAS Preprint No. 1768, (2004)

On the modelling of semi-insulating GaAs including surface tension and bulk stresses



Authors

  • Dreyer, Wolfgang
  • Duderstadt, Frank

2010 Mathematics Subject Classification

  • 74N20 74A15 74N05 74B99

2008 Physics and Astronomy Classification Scheme

  • 82.60.-s 61.72.Bb 61.72.Qq 64.10.+h 64.30.-t 64.70.Dv

Keywords

  • thermodynamic, phase transition, phase diagrams, precipitates, surface stress, deviatoric stress, chemical potentials, elasticity, GaAs

DOI

10.20347/WIAS.PREPRINT.995

Abstract

Necessary heat treatment of single crystal semi-insulating Gallium Arsenide (GaAs), which is deployed in micro- and opto- electronic devices, generate undesirable liquid precipitates in the solid phase. The appearance of precipitates is influenced by surface tension at the liquid/solid interface and deviatoric stresses in the solid.

The central quantity for the description of the various aspects of phase transitions is the chemical potential, which can be additively decomposed into a chemical and a mechanical part. In particular the calculation of the mechanical part of the chemical potential is of crucial importance. We determine the chemical potential in the framework of the St. Venant--Kirchhoff law which gives an appropriate stress/strain relation for many solids in the small strain regime. We establish criteria, which allow the correct replacement of the St. Venant--Kirchhoff law by the simpler Hooke law.

The main objectives of this study are: (i) We develop a thermo-mechanical model that describes diffusion and interface motion, which both are strongly influenced by surface tension effects and deviatoric stresses. (ii) We give an overview and outlook on problems that can be posed and solved within the framework of the model. (iii) We calculate non-standard phase diagrams, i.e. those that take into account surface tension and non-deviatoric stresses, for GaAs above 786°C, and we compare the results with classical phase diagrams without these phenomena.

Appeared in

  • Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci., 464 (2008) pp. 2693-2720.

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WIAS Preprint No. 1768, (2004)

On the Becker/Döring theory of nucleation of liquid droplets in solids



Authors

  • Dreyer, Wolfgang
  • Duderstadt, Frank

2010 Mathematics Subject Classification

  • 74A25 74A15 80A30

2008 Physics and Astronomy Classification Scheme

  • 8.60.Nh 82.20.Db 82.20.-w 61.72.Bb 61.72.Qq 64.70.Dv

Keywords

  • nucleation, kinetic of phase transition, metastability, surface stress, GaAs, elasticity

DOI

10.20347/WIAS.PREPRINT.997

Abstract

Nucleation of liquid precipitates in semi-insulating GaAs is accompanied by deviatoric stresses resulting from the liquid/solid misfit. A competition of surface tension and stress deviators at the interface determines the nucleation barrier. The evolution of liquid precipitates in semi-insulating GaAs is due to diffusional processes in the vicinity of the droplet. The diffusion flux results from a competition of chemical and mechanical driving forces. The size distribution of the precipitates is determined by a Becker/Döring system. The study of its properties in the presence of deviatoric stresses is the subject of this study. The main tasks of this study are: (i) We propose a new Becker/Döring model that takes thermomechanical coupling into account. (ii) We compare the current model with already existing models from the literature. Irrespective of the incorporation of mechanical stresses, the various models differ by different environments where the evolution of precipitates takes place. (iii) We determine the structure of equilibrium solutions according to the Becker/Döring model, and we compare these solutions with those that result from equilibrium thermodynamics.

Appeared in

  • J. Statist. Phys., 123 (2006) pp. 55--87.

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WIAS Preprint No. 1768, (2004)

Diffusion in the vicinity of an evolving spherical arsenic droplet



Authors

  • Dreyer, Wolfgang
  • Duderstadt, Frank
  • Qamar, Shamsul

2010 Mathematics Subject Classification

  • 74N25 82B24 82C26

2008 Physics and Astronomy Classification Scheme

  • 82.20.Wt 61.72.Bb 61.72.Qq 64.70.Dv

Keywords

  • phase transition, diffusion, thermomecanical coupling, GaAs, precipitates

DOI

10.20347/WIAS.PREPRINT.996

Abstract

We study the diffusion problem of liquid droplets in single crystal semi-insulating Gallium Arsenide (GaAs). This problem is posed by an industrial application, where the droplets, also called precipitates, appear during a necessary heat treatment of GaAs wafer. The subsequent dissolution of the droplets is mandatory, in order to use the wafer after the heat treatment as a substrate material for micro- and opto- electronic devices.

In this study we consider a single droplet in a solid matrix, which is in contact with an arsenic gas, so that the arsenic can cross the solid/gas interface. The model equations have been derived by the authors. They consist of a nonlinear diffusion equation with diffusion controlled and kinetic boundary conditions, respectively, at the liquid/solid interface. Furthermore we study at the solid/gas interface alternatively zero flux and Dirichlet conditions.

Surface tension at the liquid/solid interface and deviatoric stresses in the solid are taken into account. The latter appear due to different densities of liquid and solid GaAs. There is a large influence of these effects on diffusion, interface motion and phase diagrams, which are used to identify regions, where coexistence of liquid and solid phases is possible.

In order to study the evolution of the droplet, and in particular possibilities to enforce its dissolution, we solve several initial and boundary value problems for the diffusion system.

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WIAS Preprint No. 1768, (2004)

Current coupling of drift-diffusion models and dissipative Schrödinger--Poisson systems: Dissipative hybrid models



Authors

  • Baro, Michael
  • Neidhardt, Hagen
  • Rehberg, Joachim

2010 Mathematics Subject Classification

  • 47B44 47E05 35J05

2008 Physics and Astronomy Classification Scheme

  • 73.23.-b, 73.23.Ad, 73.63.-b, 73.63.Nm

Keywords

  • semi-conductors, quantum-classical coupling, hybrid models, drift-diffusion models, dissipative Schrödinger systems, Poisson equation, current coupling

DOI

10.20347/WIAS.PREPRINT.946

Abstract

A 1D coupled drift-diffusion dissipative Schrödinger model (hybrid model), which is capable to describe the transport of electrons and holes in semi-conductor devices in a non-equilibrium situation, is mathematically analyzed. The device domain is split into a part where the transport is well-described by the drift-diffusion equations (classical zone) and a part where a quantum description via a dissipative Schrödinger system (quantum zone) is used. Both system are coupled such that the continuity of the current densities is guaranteed. The electrostatic potential is self-consistently determined by Poisson's equation on the whole device. We show that the hybrid model is well-posed, prove existence of solutions and show their uniform boundedness provided the distribution function satisfy a so-called balance condition. The current densities are different from zero in the non-equilibrium case and uniformly bounded.

Appeared in

  • SIAM J. Math. Anal., Vol. 37, No. 3, pp. 941-981, 2005

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WIAS Preprint No. 1768, (2004)

Conditional excursion representation for a class of interacting superprocesses



Authors

  • Li, Zenhu
  • Wang, Hao
  • Xiong, Jie

2010 Mathematics Subject Classification

  • 60J80 60G57 60J35

Keywords

  • superprocess, interaction, immigration, non-linear SPDE, conditional log-Laplace functional, excursion law

DOI

10.20347/WIAS.PREPRINT.935

Abstract

A class of interacting superprocesses, called superprocesses with dependent spatial motion (SDSMs), has been introduced and characterized in Wang citeWang98 and Dawson et al. citeDLW01. In this paper, we give a construction or an excursion representation of the non-degenerate SDSM with immigration by making use of a Poisson system associated with the conditional excursion laws of the SDSM. As pointed out in Wang citeWang98, the multiplicative property or summable property is lost for SDSMs and immigration SDSMs. However, summable property is the foundation of excursion representation. This raises a sequence of technical difficulties. The main tool we used is the conditional log-Laplace functional technique that gives the conditional summability, the conditional excursion law, and the Poisson point process for the construction of the immigration SDSMs.

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WIAS Preprint No. 1768, (2004)

Time step truncation in direct simulation Monte Carlo for semiconductors



Authors

  • Muscato, Orazio
  • Wagner, Wolfgang

2010 Mathematics Subject Classification

  • 82D37 65C05

Keywords

  • Boltzmann-Poisson equations, electronic devices, Monte Carlo simulations

DOI

10.20347/WIAS.PREPRINT.915

Abstract

A homogeneous (bulk) silicon semiconductor is studied by using the Direct Simulation Monte Carlo (DSMC). Two DSMC algorithms are considered, the self scattering technique (SST) and the constant time technique (CTT). First, the results obtained by CTT are shown to converge (with vanishing time step) to the results obtained by SST. The truncation error of CTT turns out to be of first order with respect to the time step. Second, the efficiency of both algorithms is compared. It is found that SST is more efficient if a high precision (relative error less then three percent) of the results is needed.

Appeared in

  • Math. Comput. Modelling, 42 (2005) pp. 683-700.

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WIAS Preprint No. 1768, (2004)

Discrete random walk on large spherical grids generated by spherical means for PDEs



Authors

  • Sabelfeld, Karl
  • Shalimova, Irina
  • Levykin, Alexander I.

2010 Mathematics Subject Classification

  • 65C05 76F99

DOI

10.20347/WIAS.PREPRINT.970

Abstract

A new general stochastic-deterministic approach for a numerical solution of boundary value problems of potential and elasticity theories is suggested. It is based on the use of the Poisson-like integral formulae for overlapping spheres. An equivalent system of integral equations is derived and then approximated by a system of linear algebraic equations. We develop two classes of special Monte Carlo iterative methods for solving these systems of equations which are a kind of stochastic versions of the Chebyshev iteration method and successive overrelaxation method (SOR). In the case of classical potential theory this approach accelerates the convergence of the well known Random Walk on Spheres method (RWS). What is however much more important, this approach suggests a first construction of a fast convergent finite-variance Monte Carlo method for the system of Lamé equations.

Appeared in

  • Monte Carlo Methods Appl., vol 10 (2004), no. 3-4, pp. 559-574

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WIAS Preprint No. 1768, (2004)

Conditional log-Laplace functionals of immigration superprocesses with dependent spatial motion



Authors

  • Li, Zenghu
  • Wang, Hao
  • Xiong, Jie

2010 Mathematics Subject Classification

  • 60J80 60G57 60J35

Keywords

  • branching particle system, superprocess, dependent spatial motion, immigration process, non-linear SPDE, conditional log-Laplace functional

DOI

10.20347/WIAS.PREPRINT.900

Abstract

A non-critical branching immigration superprocess with dependent spatial motion is constructed and characterized as the solution of a stochastic equation driven by a time-space white noise and an orthogonal martingale measure. A representation of its conditional log-Laplace functionals is established, which gives the uniqueness of the solution and hence its Markov property. Some properties of the superprocess including an ergodic theorem are also obtained.

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WIAS Preprint No. 1768, (2004)

On the unique solvability of a nonlocal phase separation problem for multicomponent systems



Authors

  • Griepentrog, Jens André

2010 Mathematics Subject Classification

  • 35K45 45K05 47J35 35D10

Keywords

  • Nonlocal phase separation models; Cahn--Hilliard equation; Initial boundary value problems; Nonlinear evolution equations;Regularity theory

DOI

10.20347/WIAS.PREPRINT.898

Abstract

A nonlocal model of phase separation in multicomponent systems is presented. It is derived from conservation principles and minimization of free energy containing a nonlocal part due to particle interaction. In contrast to the classical Cahn--Hilliard theory with higher order terms this leads to an evolution system of second order parabolic equations for the particle densities, coupled by nonlinear and nonlocal drift terms, and state equations which involve both chemical and interaction potential differences. Applying fixed-point arguments and comparison principles we prove the existence of variational solutions in standard Hilbert spaces for evolution systems. Moreover, using some regularity theory for parabolic boundary value problems in Hoelder spaces we get the unique solvability of our problem. We conclude our considerations with the presentation of simulation results for a ternary system.

Appeared in

  • Banach Center Publ., 66 (2004) pp. 153-164.

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WIAS Preprint No. 1768, (2004)

A descent method for the free energy of multicomponent systems



Authors

  • Gajewski, Herbert
  • Griepentrog, Jens André

2010 Mathematics Subject Classification

  • 90C26 82B26 94A08

Keywords

  • Nonconvex functionals, Cahn-Hilliard equation, Lyapunov function, asymptotic behaviour, phase separation, image segmentation

DOI

10.20347/WIAS.PREPRINT.980

Abstract

Equilibrium distributions of a multicomponent system minimize the free energy functional under the constraint of mass conservation of the components. However, since the free energy is not convex in general, one tries usually to characterize and to construct equilibrium distributions as steady states of an adequate evolution equation (for example, the nonlocal Cahn-Hilliard equation for binary alloys). In this work a direct descent method for nonconvex functionals is established and applied to phase separation problems in multicomponent systems and image segmentation.

Appeared in

  • Discrete Contin. Dyn. Syst., 15 (2006) pp. 505--528.

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WIAS Preprint No. 1768, (2004)

Simulation of microwave circuits and laser structures including PML by means of FIT



Authors

  • Hebermehl, Georg
  • Schefter, Jürgen
  • Schlundt, Rainer
    ORCID: 0000-0002-4424-4301
  • Tischler, Thorsten
  • Zscheile, Horst
  • Heinrich, Wolfgang

2010 Mathematics Subject Classification

  • 35Q60 65N22 65F15 65F10

Keywords

  • Microwave device, Semiconductor laser, Simulation, Maxwell's equations, Boundary value problem, PML boundarycondition, Eigenvalue problem, Linearalgebraic equations, Rectangular grids, Tetrahedral nets

DOI

10.20347/WIAS.PREPRINT.905

Abstract

Field-oriented methods which describe the physical properties of microwave circuits and optical structures are an indispensable tool to avoid costly and time-consuming redesign cycles. Commonly the electromagnetic characteristics of the structures are described by the scattering matrix which is extracted from the orthogonal decomposition of the electric field. The electric field is the solution of an eigenvalue and a boundary value problem for Maxwell's equations in the frequency domain. We discretize the equations with orthogonal grids using the Finite Integration Technique (FIT). Maxwellian grid equations are formulated for staggered nonequidistant rectangular grids and for tetrahedral nets with corresponding dual Voronoi cells. The interesting modes of smallest attenuation are found solving a sequence of eigenvalue problems of modified matrices. To reduce the execution time for high-dimensional problems a coarse and a fine grid is used. The calculations are carried out, using two levels of parallelization. The discretized boundary value problem, a large-scale system of linear algebraic equations with different right-hand sides, is solved by a block Krylov subspace method with various preconditioning techniques. Special attention is paid to the Perfectly Matched Layer boundary condition (PML) which causes non physical modes and a significantly increased number of iterations in the iterative methods.

Appeared in

  • Ädvances in Radio Science", vol. 2, pp. 107--112, (2004)

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WIAS Preprint No. 1768, (2004)

Asymptotic statistical equivalence for ergodic diffusions



Authors

  • Dalalyan, Arnak
  • Reiß, Markus

2010 Mathematics Subject Classification

  • 62B15 62C05 62G20 62M99

Keywords

  • Asymptotic equivalence, statistical experiment, Le Cam distance, ergodic diffusion, mixed Gaussian white noise

DOI

10.20347/WIAS.PREPRINT.916

Abstract

For scalar diffusion models with unknown drift function asymptotic equivalence in the sense of Le Cam's deficiency between statistical experiments is considered for long-time asymptotics. A local asymptotic equivalence result is established with an accompanying sequence of simple Gaussian shift experiments. Corresponding globally asymptotically equivalent experiments are obtained as compound experiments. The results are extended in several directions including time discretisation.

Appeared in

  • Probab. Theory Related Fields

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WIAS Preprint No. 1768, (2004)

Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power



Authors

  • Polzehl, Jörg
    ORCID: 0000-0001-7471-2658
  • Spokoiny, Vladimir
    ORCID: 0000-0002-2040-3427

2010 Mathematics Subject Classification

  • 91B84 62P05

Keywords

  • varying coefficient GARCH, adaptive weights

DOI

10.20347/WIAS.PREPRINT.977

Abstract

GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulation example that the GARCH approach may lead to a serious model misspecification if the assumption of stationarity is violated. In particular, the well known integrated GARCH effect can be explained by nonstationarity of the time series. We then introduce a more general class of GARCH models with time varying coefficients and present an adaptive procedure which can estimate the GARCH coefficients as a function of time. We also discuss a simpler semiparametric model in which the ( beta )-parameter is fixed. Finally we compare the performance of the parametric, time varying nonparametric and semiparametric GARCH(1,1) models and the locally constant model from Polzehl and Spokoiny (2002) by means of simulated and real data sets using different forecasting criteria. Our results indicate that the simple locally constant model outperforms the other models in almost all cases. The GARCH(1,1) model also demonstrates a relatively good forecasting performance as far as the short term forecasting horizon is considered. However, its application to long term forecasting seems questionable because of possible misspecification of the model parameters.

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WIAS Preprint No. 1768, (2004)

Monte Carlo evaluation of American options using consumption processes



Authors

  • Belomestny, Denis
  • Milstein, Grigori N.

2010 Mathematics Subject Classification

  • 60H30 65C05 91B28

Keywords

  • American and Bermudan options, Lower and Upper bounds, Monte Carlo simulation, Variance reduction

DOI

10.20347/WIAS.PREPRINT.930

Abstract

Here we develop a new approach for pricing both continuous-time and discrete-time American options which is based on the fact that an American option is equivalent to a European option with a consumption process involved. This approach admits construction of an upper bound (a lower bound) on the true price using a lower bound (an upper bound) by Monte Carlo simulation. A number of effective estimators of the upper and lower bounds with reduced variance are proposed. The results obtained are supported by numerical experiments which look promising.

Appeared in

  • Int. J. Theor. Appl. Finance, 9 (2006) pp. 455--481.

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WIAS Preprint No. 1768, (2004)

A stochastic evolution equation arising from the fluctuation of a class of interacting particle systems



Authors

  • Kurtz, Thomas G.
  • Xiong, Jie

2010 Mathematics Subject Classification

  • 60H15 60H35 60B12 60F17 60F25 60H10 93E11

Keywords

  • Stochastic partial differential equations, interacting infinite particle system, central limit theorem, Euler scheme

DOI

10.20347/WIAS.PREPRINT.933

Abstract

In an earlier paper, we studied the approximation of solutions $V(t)$ to a class of SPDEs by the empirical measure $V^n(t)$ of a system of $n$ interacting diffusions. In the present paper, we consider a central limit type problem, showing that $sqrt n(V^n-V)$ converges weakly, in the dual of a nuclear space, to the unique solution of a stochastic evolution equation. Analogous results in which the diffusions that determine $V^n$ are replaced by their Euler approximations are also discussed.

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WIAS Preprint No. 1768, (2004)

Efficient treatments of stationary free boundary problems



Authors

  • Eppler, Karsten
  • Harbrecht, Helmut

2010 Mathematics Subject Classification

  • 49Q10 49M15 65N38 49K20

Keywords

  • free boundary problem, shape calculus, Newton method, boundary integral equations, multiscale methods, sufficient second order conditions

DOI

10.20347/WIAS.PREPRINT.965

Abstract

In the present paper we consider the efficient treatment of free boundary problems by shape optimization. We reformulate the free boundary problem as shape optimization problem. A second order shape calculus enables us to realize a Newton scheme to solve this problem. In particular, all evaluations of the underlying state function are required only on the boundary of the domain. We compute these data by boundary integral equations which are numerically solved by a fast wavelet Galerkin scheme. Numerical results prove that we succeeded in finding a fast and robust algorithm for solving the considered class of problems. Furthermore, the stability of the solutions is investigated by treating the second order sufficient optimality conditions of the underlying shape problem.

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WIAS Preprint No. 1768, (2004)

Shape optimization for 3D electrical impedance tomography



Authors

  • Eppler, Karsten
  • Harbrecht, Helmut

2010 Mathematics Subject Classification

  • 49Q10 49M37 65N38 49K20

Keywords

  • Electrical impedance tomography, Newton method, regularization, shape calculus, boundary integral equations, wavelets

DOI

10.20347/WIAS.PREPRINT.963

Abstract

In the present paper we consider the identification of an obstacle or void of different conductivity included in a three-dimensional domain by measurements of voltage and currents at the boundary. We reformulate the given identification problem as a shape optimization problem. Since the Hessian is compact at the given hole we apply a regularized Newton scheme as developed by the authors (WIAS-Preprint No. 943). All information of the state equation required for the optimization algorithm can be derived by boundary integral equations which we solve numerically by a fast wavelet Galerkin scheme. Numerical results confirm that the proposed regularized Newton scheme yields a powerful algorithm to solve the considered class of problems.

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WIAS Preprint No. 1768, (2004)

Large deviation principle for the single point catalytic super-Brownian motion



Authors

  • Fleischmann, Klaus
  • Xiong, Jie

2010 Mathematics Subject Classification

  • 60K35 60J80

Keywords

  • Point catalyst, superprocess, large deviations, exponential moments, singular catalytic medium, log-Laplace equation, representation by excursion densities

DOI

10.20347/WIAS.PREPRINT.937

Abstract

In the single point catalytic super-Brownian motion "particles" branch only if they meet the position of the single point catalyst. If the branching rate tends to zero, the model degenerates to the heat flow. We are concerned with large deviation probabilities related to this law of large numbers. To this aim the well-known explicit representation of the model by excursion densities is heavily used. The rate function is described by the Fenchel-Legendre transform of log-exponential moments described by a log-Laplace equation.

Appeared in

  • Markov Process. Related Fields, 11 (2005), pp. 519-533.

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WIAS Preprint No. 1768, (2004)

A general asymptotic model for Lipschitzian curved rods



Authors

  • Tiba, Dan
  • Vodák, Rostislav

2010 Mathematics Subject Classification

  • 74K10 74B99

Keywords

  • curved rods, low geometrical regularity, 1D-asymptotic model

DOI

10.20347/WIAS.PREPRINT.942

Abstract

In this paper we show that the asymptotic methods provide an advantageous approach to obtain models of thin elastic bodies under minimal regularity assumptions on the geometry. Our investigation is devoted to clamped curved rods with a nonsmooth line of centroids and the obtained model is a generalization of results already available in the literature.

Appeared in

  • Adv. Math. Sci. Appl., vol. 15 (2005), no. 1, pp. 137-198.

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WIAS Preprint No. 1768, (2004)

A general asymptotic dynamic model for Lipschitzian curved rods



Authors

  • Vodák, Rostislav

2010 Mathematics Subject Classification

  • 74K10 35L15 74B99

Keywords

  • curved rods, low geometrical regularity, evolution equation, asymptotic analysis

DOI

10.20347/WIAS.PREPRINT.956

Abstract

In this paper we study the asymptotic behaviour of solutions to the linear evolution problem for clamped curved rods with the small thickness $epsilon $ under minimal regularity assumptions on the geometry. In addition, non-constant density of the curved rods is considered.

Appeared in

  • J. Appl. Math. 2005, no. 4, 425--451

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WIAS Preprint No. 1768, (2004)

Sharp asymptotics for Kawasaki dynamics on a finite box with open boundary



Authors

  • Bovier, Anton
  • den Hollander, F.
  • Nardi, F. R.

2010 Mathematics Subject Classification

  • 60K35 82B43 82C43 82C80

Keywords

  • Lattice gas, Kawasaki dynamics, metastability, critical droplet, discrete isoperimetric inequalities, potential theory, Dirichlet form, capacity

DOI

10.20347/WIAS.PREPRINT.920

Abstract

In this paper we study the metastable behavior of the lattice gas in two and three dimensions subject to Kawasaki dynamics in the limit of low temperature and low density. We consider the local version of the model, where particles live on a finite box and are created, respectively, annihilated at the boundary of the box in a way that reflects an infinite gas reservoir. We are interested in how the system nucleates, i.e., how it reaches a full box when it starts from an empty box. Our approach combines geometric and potential theoretic arguments. In two dimensions, we identify the full geometry of the set of critical droplets for the nucleation, compute the average nucleation time up to a multiplicative factor that tends to one in the limit of low temperature and low density, express the proportionality constant in terms of certain capacities associated with simple random walk, and compute the asymptotic behavior of this constant as the system size tends to infinity. In three dimensions, we obtain similar results but with less control over the geometry and the constant. A special feature of Kawasaki dynamics is that in the metastable regime particles move along the border of a droplet more rapidly than they arrive from the boundary of the box. The geometry of the critical droplet and the sharp asymptotics for the average nucleation time are highly sensitive to this motion.

Appeared in

  • Probab. Theory Related Fields, 135 (2006) pp. 265--310.

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WIAS Preprint No. 1768, (2004)

A finite volume scheme for nonlinear parabolic equations derived from one-dimensional local Dirichlet problems



Authors

  • Eymard, Robert
  • Fuhrmann, Jürgen
    ORCID: 0000-0003-4432-2434
  • Gärtner, Klaus

2010 Mathematics Subject Classification

  • 65M12

Keywords

  • Finite Volume Methods, Convergence, Nonlinear parabolic PDEs

DOI

10.20347/WIAS.PREPRINT.966

Abstract

In this paper, we propose a new method to compute the numerical flux of a finite volume scheme, used for the approximation of the solution of parabolic partial differential equation with nonlinear diffusion and convection terms a 1D, 2D or 3D domain. The nonlinear diffusion term be bounded away from zero except a finite number of values. The method is based on the solution, at each interface between two control volumes, of a nonlinear elliptic two point boundary value problem derived from the original equation with Dirichlet boundary conditions given by the values of the discrete approximation in both control volumes. We prove the existence of a solution to this two point boundary value problem. We show that the expression for the numerical flux can be yielded without referring to this solution. Furthermore, we prove that the so designed finite volume scheme has the expected stability properties and that its solution converges to the weak solution of the continuous problem. Numerical results show the increase of accuracy due to the use of this scheme, compared to some other schemes.

Appeared in

  • Numer. Math., 102 (2006) pp. 463--495.

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WIAS Preprint No. 1768, (2013)

On uniform decay of the entropy for reaction-diffusion systems



Authors

  • Mielke, Alexander
    ORCID: 0000-0002-4583-3888
  • Haskovec, Jan
  • Markowich, Peter A.

2010 Mathematics Subject Classification

  • 35K57 35B40 92E20

Keywords

  • Reaction-diffusion, mass-action law, log-Sobolev inequality, exponential decay of relative entropy

DOI

10.20347/WIAS.PREPRINT.1768

Abstract

In this work we derive entropy decay estimates for a class of nonlinear reaction-diffusion systems modeling reversible chemical reactions under the assumption of detailed balance. In particular, we provide explicit bounds for the exponential decay of the relative logarithmic entropy, being based essentially on the application of the log-Sobolev inequality and a convexification argument only, making it quite robust to model variations. An important feature of our analysis is the interaction of the two different dissipative mechanisms: pure diffusion, forcing the system asymptotically to the homogeneous state, and pure reaction, forcing the solution to the (possibly inhomogeneous) chemical equilibrium. Only the interaction of both mechanisms provides the convergence to the homogeneous equilibrium. Moreover, we introduce two generalizations of the main result: we allow for vanishing diffusion constants in some chemical components, and we consider different entropy functionals. We provide a few examples to highlight the usability of our approach and shortly discuss possible further applications and open questions.

Appeared in

  • J. Dynam. Differential Equations, 27 (2015) pp. 897--928.

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WIAS Preprint No. 1768, (2004)

The behaviour of aging functions in one-dimensional Bouchaud's trap model



Authors

  • Černý, Jiri

2010 Mathematics Subject Classification

  • 82D30 60K37 82C41

Keywords

  • Trap models, aging, Levy processes, singular diffusions

DOI

10.20347/WIAS.PREPRINT.961

Abstract

Let tau_x be a collection of i.i.d. positive random variables with distribution in the domain of attraction of alpha-stable law with alpha <1. The symmetric Bouchaud's trap model on Z is a Markov chain X(t) whose transition rates are given by w_xy=(2tau_x)^-1 if x, y are neighbours in Z. We study the behaviour of two correlation functions: P[X(t_w+t)=X(t_w)] and P[X(t')=X(t_w)forall t'in[t_w,t_w+t]]. It is well known that for any of these correlation functions a time-scale t=f(t_w) such that aging occurs can be found. We study these correlation functions on time-scales different from f(t_w), and we describe more precisely the behaviour of a singular diffusion obtained as the scaling limit of Bouchaud's trap model.

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WIAS Preprint No. 1768, (2004)

Polyhedral inclusion-exclusion



Authors

  • Bukszar, Jozsef
  • Henrion, René
  • Hujter, Mihaly
  • Szantai, Tamas

2010 Mathematics Subject Classification

  • 90C15

Keywords

  • Inclusion-Exclusion, polyhedron

DOI

10.20347/WIAS.PREPRINT.913

Abstract

Motivated by numerical computations to solve probabilistic constrained stochastic programming problems, we derive a new identity claiming that many terms are cancelled out in the inclusion--exclusion formula expressing the complement of a Euclidean polyhedron.

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WIAS Preprint No. 1768, (2004)

On estimation and detection of smooth high-dimensional function



Authors

  • Ingster, Yuri I.
  • Suslina, Irina

2010 Mathematics Subject Classification

  • 62G10 62G20

Keywords

  • high-dimensional estimation, high-dimensional signal detection, minimax hypothesis testing, separation rates, Sobolev norms, lattice problem

DOI

10.20347/WIAS.PREPRINT.960

Abstract

Observing an unknown $n$-variables function $f(t), tin [0,1]^n$ in the white Gaussian noise of a level $e>0$. We suppose that there exist $1$-periodical (in each variable) $sigma$-smooth extensions of functions $f(t)$ on $R^n$ and $f$ belongs to a Sobolev ball, i.e., $ f _sigma,2leq 1$, where $ cdot _sigma,2$ is a Sobolev norm (we consider two variants of one). We study two problem: estimation of $f$ and testing of the null hypothesis $H_0: f=0$ against alternatives $ f _2geq r_e$. We study the asymptotics (as $eto 0, ntoinfty$) of the minimax risk for square losses, for estimation problem, and of minimax error probabilities and of minimax separation rates in the detection problem. We show that of $ntoinfty$, then there exist ``sharp separation rates'' in the detection problem. The asymptotics of minimax risks of estimation and of separation rates of testing are of different type for $nll loge^-1$ and for $ngg loge^-1$. The problems under consideration are closely related with ``lattice problem'' in the numerical theory.

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WIAS Preprint No. 1768, (2004)

Spatially adaptive regression estimation: Propagation-separation approach



Authors

  • Polzehl, Jörg
    ORCID: 0000-0001-7471-2658
  • Spokoiny, Vladimir
    ORCID: 0000-0002-2040-3427

2010 Mathematics Subject Classification

  • 62G05

Keywords

  • adaptive weights; local structure, local polynomial regression, propagation, separation

DOI

10.20347/WIAS.PREPRINT.998

Abstract

Polzehl and Spokoiny (2000) introduced the adaptive weights smoothing (AWS) procedure in the context of image denoising. The procedure has some remarkable properties like preservation of edges and contrast, and (in some sense) optimal reduction of noise. The procedure is fully adaptive and dimension free. Simulations with artificial images show that AWS is superior to classical smoothing techniques especially when the underlying image function is discontinuous and can be well approximated by a piecewise constant function. However, the latter assumption can be rather restrictive for a number of potential applications. Here we present a new method based on the ideas of propagation and separation which extends the AWS procedure to the case of an arbitrary local linear parametric structure. We also establish some important results about properties of the new `propagation-separation' procedure including rate optimality in the pointwise and global sense. The performance of the procedure is illustrated by examples for local polynomial regression and by applications to artificial and real images.

Appeared in

  • Probab. Theory Related Fields, 135 (2006) pp. 335--362.

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WIAS Preprint No. 1768, (2004)

Flow solution properties in full-zone thermocapillary liquid bridges



Authors

  • Davis, Dominic
  • Smith, Frank

2010 Mathematics Subject Classification

  • 76D05 76E30 35B40 53A05 65M60

Keywords

  • liquid bridges, floating-zone, thermocapillarity, finite-element, Navier--Stokes equations, transient, three-dimensional, mode interaction, nonlinearity, midzone

DOI

10.20347/WIAS.PREPRINT.936

Abstract

Properties of low Prandtl number flows in slender cylindrical liquid bridges driven by interfacial thermocapillary forces are addressed here in a theoretical and computational light. Both `outward' (positive Marangoni number Ma) and `inward' (negative Ma) flow along the liquid-gas interface are considered. In previous investigations (Davis & Smith 2003), a solution curve for steady, axisymmetric flow was determined from asymptotic theory in the context of slender bridges. It indicated both the non-existence of solutions beyond a positive, cut-off value of the scaled Marangoni number and a double branch in the case of solvability (although with only one `attractor'). In the present study full numerical simulation (using a finite-element iterative solver, described herein) reveals the unsteady, three-dimensional nature of the flow solution beyond the cut-off value. Attention is paid to the case where the radius-to-height aspect ratio is 0.5, from which the (nonlinearly-coupled) azimuthal modes m=1 and m=2 are seen to dominate. The branch behaviour is then examined for Ma<0, and asymptotic analysis reveals that a critical value of the scaled Marangoni number exists, on approach to which the pressure gradient across the midzone becomes large and negative. Full computational solutions on the attractor branch for Ma<0 are subsequently presented, and these show encouraging agreement with asymptotic predictions (as well as slender-flow midzone computations) near the critical Marangoni number. The critical value moreover is shown to correspond to the onset of `lemonheads' (non-convex radial velocity profiles near the midzone), in precisely the same manner as the cut-off value for positive Ma.

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WIAS Preprint No. 1768, (2004)

Large scale localization of a spatial version of Neveu's branching process



Authors

  • Fleischmann, Klaus
  • Wachtel, Vitali

2010 Mathematics Subject Classification

  • 60J80 60G57

Keywords

  • Neveu's continuous-state branching, infinite mean branching superprocess, large scale concentration in one point, log-Laplace product formula, small epsilon asymptotics

DOI

10.20347/WIAS.PREPRINT.951

Abstract

Recently a spatial versions of Neveu's (1992) continuous-state branching process was constructed by Fleischmann and Sturm (2004). This superprocess with infinite mean branching behaves quite differently from usual supercritical spatial branching processes. In fact, at macroscopic scales, the mass renormalized to a (random) probability measure is concentrated in a single space point which randomly fluctuates according to the underlying symmetric stable motion process.

Appeared in

  • Electron. J. Probab., 11 (2006) pp. 723-767.

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WIAS Preprint No. 1768, (2004)

SIMEX and TLS: An equivalence result



Authors

  • Polzehl, Jörg
    ORCID: 0000-0001-7471-2658
  • Zwanzig, Silvelyn

2010 Mathematics Subject Classification

  • 62F12 62J05

Keywords

  • Errors-in-variables, SIMEX, Moment estimator, Total Least Squares

DOI

10.20347/WIAS.PREPRINT.999

Abstract

SIMEX was introduced by Cook and Stefanski (1994) as a simulation type estimator in errors-in-variables models. The idea of the SIMEX procedure is to compensate for the effect of the measurement errors while still using naive regression estimators. Polzehl and Zwanzig (2004) defined a symmetrized version of this estimator. In this paper we establish some results relating these two simulation-extrapolation-type estimators to well known consistent estimators like the total least squares estimator (TLS) and the moment estimator (MME) in the context of errors-in-variables models. We further introduce an adaptive SIMEX (ASIMEX), which is calculated like SIMEX, but based on an estimated variance. The main result of this paper is that SYMEX, ASIMEX are equivalent to TLS. Additionally we see that SIMEX is equivalent to the moment estimator.

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WIAS Preprint No. 1768, (2004)

A finite element method for surface diffusion: The parametric case



Authors

  • Bänsch, Eberhard
    ORCID: 0000-0003-2743-1612
  • Morin, Pedro
  • Nochetto, Ricardo H.

2010 Mathematics Subject Classification

  • 35K55 65M12 65M15 65M60 65Z05

Keywords

  • Surface diffusion, fourth-order parabolic problem, finite elements, Schur complement, smoothing effect, pinch-off

DOI

10.20347/WIAS.PREPRINT.910

Abstract

Surface diffusion is a (4th order highly nonlinear) geometric driven motion of a surface with normal velocity proportional to the surface Laplacian of mean curvature. We present a novel variational formulation for parametric surfaces with or without boundaries. The method is semi-implicit, requires no explicit parametrization, and yields a linear system of elliptic PDE to solve at each time step. We next develop a finite element method, propose a Schur complement approach to solve the resulting linear systems, and show several significant simulations, some with pinch-off in finite time. We introduce a mesh regularization algorithm, which helps prevent mesh distortion, and discuss the use of time and space adaptivity to increase accuracy while reducing complexity.

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WIAS Preprint No. 1768, (2004)

A dimension-reduced description of general Brownian motion by non-autonomous diffusion-like equations



Authors

  • Stephan, Holger

2010 Mathematics Subject Classification

  • 60J65 47G10 47G30 35S30 82C31 35C15

Keywords

  • Fokker-Planck equation, general Brownian motion, dimension-reduction, pseudodifferential operator

DOI

10.20347/WIAS.PREPRINT.994

Abstract

The Brownian motion of a classical particle can be described by a Fokker-Planck-like equation. Its solution is a probability density in phase space.By integrating this density w.r.t. the velocity, we get the spatial distribution or concentration. We reduce the 2n-dimensional problem to an n-dimensional diffusion-like equation in a rigorous way, i.e., without further assumptions in the case of general Brownian motion, when the particle is forced by linear friction and homogeneous random (non-Gaussian) noise. Using a representation with pseudodifferential operators, we derive a reduced diffusion-like equation, which turns out to be non-autonomous and can become elliptic for long times and hyperbolic for short times, although the original problem was time homogeneous. Moreover, we consider some examples: the classical Brownian motion (Gaussian noise), the Cauchy noise case (which leads to an autonomous diffusion-like equation), and the free particle case.

Appeared in

  • J. Mathematical Physics Analysis Geometry (MAG), 12 (2005) pp. 187-202.

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WIAS Preprint No. 1768, (2004)

Tortuosity and objective relative acceleration in the theory of porous materials



Authors

  • Wilmanski, Krzysztof

2010 Mathematics Subject Classification

  • 80A17 74A20 74F10 74J10

Keywords

  • Thermodynamics, Biot's model, poroelastic materials, acoustic waves

DOI

10.20347/WIAS.PREPRINT.922

Abstract

The aim of this work is twofold. We show the construction of an objective relative acceleration for a two-component mixture and prove that its incorporation in the momentum source requires additional terms in partial stresses and in the energy. This may be interpreted as an influence of tortuosity in the theory of saturated poroelastic materials and a connection of tortuosity with fluctuations of the kinetic energy on a mesoscopic level of observation. The linearization of such a model yields Biot's equations used in poroacoustics. We demonstrate as well that results for the propagation of acoustic waves in saturated poroelastic media are qualitatively similar for Biot's model and for the simple mixture model in which both the tortuosity and the Biot's coupling between partial stresses are neglected. It is also indicated that the coupling constant of Biot's model obtained by means of the Gassmann relation may be too large as it leads to very small differences in the speed of propagation of the P1-wave for small and large frequencies which contradicts the data for soils.

Appeared in

  • Proc. Roy. Soc. London Ser. A 461 (2005), pp. 1533--1561.

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WIAS Preprint No. 1768, (2004)

Numerical analysis of monochromatic surface waves in a poroelastic medium



Authors

  • Albers, Bettina
    ORCID: 0000-0003-4460-9152

2010 Mathematics Subject Classification

  • 74J15 76S05 74S99

Keywords

  • Surface waves, flows in porous media, numerical analysis of dispersion relation.

DOI

10.20347/WIAS.PREPRINT.949

Abstract

The dispersion relation for surface waves on the boundary between a fully saturated poroelastic medium and a vacuum is investigated numerically in the whole range of frequencies. A linear model of a two-component poroelastic medium similar to but simpler than the classical Biot's model is used. In the whole range of frequencies there exist two modes of surface waves corresponding to the classical Rayleigh and Stoneley waves. The numerical results for phase velocities, group velocities and attenuations of these waves are shown for different values of the bulk permeability coefficient.

Appeared in

  • Trends in Applications of Mathematics to Mechanics. Proceedings of the XIVth International Symposium on Trends in Applications of Mathematics to Mechanics (STAMM'2004), Seeheim, Germany, 22--28 August 2004, K. Hutter, Y. Wang, eds., Berichte aus der Mathematik, Shaker, Aachen, 2005, pp. 21--30.

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WIAS Preprint No. 1768, (2004)

A model for two phase flow with evaporation



Authors

  • Krahl, Rolf
  • Adamov, Miroslav
  • Lozano Aviles, Miriam
  • Bänsch, Eberhard
    ORCID: 0000-0003-2743-1612

2010 Mathematics Subject Classification

  • 80A20 76T10 76D05

Keywords

  • evaporation, two phase flow, free capillary surface, phase change, model

DOI

10.20347/WIAS.PREPRINT.899

Abstract

The dynamic behavior of a free gas--liquid phase boundary is often influenced by evaporation or condensation to an extend that may not be neglected. In this paper, we derive a general model for the dynamics of a two phase flow with evaporation, starting from the balance of mass, energy, and momentum. The model takes into account that the gas phase might consist of a mixture of vapor and inert gas. It is based on the incompressible Navier--Stokes equations in the bulk of the liquid and the gas phase, convection--diffusion equations for heat and vapor, and appropriate conditions for the transfer of mass, momentum, and energy through the phase boundary. As a simplification, the flow field in the liquid and gaseous phase can be decoupled, if the stress from the gas phase on the free surface is neglected. The special case of a gas phase containing only pure vapor is considered, which allows one to neglect the gas phase completely, leading to a single phase flow problem with a free boundary.

Appeared in

  • G. P. Celata, P. Di Marco, A. Mariani, and R. K. Shah, eds., Two-Phase Flow Modelling and Experimentation 2004. Edizioni ETS, Pisa, 2004.

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WIAS Preprint No. 1768, (2004)

Numerical investigation of the non-isothermal contact angle



Authors

  • Krahl, Rolf
  • Bänsch, Eberhard
    ORCID: 0000-0003-2743-1612

2010 Mathematics Subject Classification

  • 76T10 76D45 80A20

Keywords

  • two phase flow, free capillary surface, thermocapillarity, contact angle, Marangoni effect

DOI

10.20347/WIAS.PREPRINT.972

Abstract

The influence of thermocapillary stress on the shape of the gas-liquid phase boundary is investigated numerically. We consider the case of a cold liquid meniscus at a heated solid wall in the absence of gravity. An äpparent contact angle" is defined geometrically and the deviation of this apparent contact angle from the prescribed static contact angle due to thermocapillary convection is studied.

Appeared in

  • Microgravity - Science and Technology, 17(3), S. 39-44, 2005. Under new title: Impact of Marangoni effects on the apparent contact angle - a numerical investigation.

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WIAS Preprint No. 1768, (2004)

Elastic modelling of surface waves in single and multicomponent systems -- Lecture notes



Authors

  • Wilmanski, Krzysztof

2010 Mathematics Subject Classification

  • 74J10 74J15 74F10

Keywords

  • Surface waves, waves in porous media, monochromatic waves

DOI

10.20347/WIAS.PREPRINT.945

Abstract

The main aim of this article is to present a review of most important acoustic surface waves which are described by linear one- and two-component models. It has been written for the CISM-course: Surface waves in Geomechanics (Udine, September 6-10, 2004). Among the waves in one-component linear elastic media we present the classical Rayleigh waves on a plane boundary, Rayleigh waves on a cylindrical surface, Love waves, Stoneley waves (solid/solid and fluid/solid interface). In the second part of the article we discuss two two-component models of porous materials (Biot's model and a simple mixture model). We indicate basic differences of the models and demonstrate qualitative similarities. We introduce as well some fundamental notions yielding the description of surface waves in two-component systems (saturated porous materials) and review certain (porous materials with impermeable boundaries) asymptotic results for such waves. However, the full discussion of this subject including numerous results of computer calculations can be found in the article of B. Albers also included in this volume.

Appeared in

  • Surface Waves in Geomechanics: Direct and Inverse Modelling for Soils and Rocks, C. Lai, K. Wilmanski, eds., CISM Courses and Lectures, Springer, Wien [u.a.], 2005, pp. 203--276.

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WIAS Preprint No. 1768, (2004)

When did the 2001 recession really start?



Authors

  • Polzehl, Jörg
    ORCID: 0000-0001-7471-2658
  • Spokoiny, Vladimir
    ORCID: 0000-0002-2040-3427
  • Starica, Catalin

2010 Mathematics Subject Classification

  • 62M10

Keywords

  • business cycle, non-parametric smoothing, non-stationarity.

DOI

10.20347/WIAS.PREPRINT.934

Abstract

The paper develops a non-parametric, non-stationary framework for business-cycle dating based on an innovative statistical methodology known as Adaptive Weights Smoothing (AWS). The methodology is used both for the study of the individual macroeconomic time series relevant to the dating of the business cycle as well as for the estimation of their joint dynamic. Since the business cycle is defined as the common dynamic of some set of macroeconomic indicators, its estimation depends fundamentally on the group of series monitored. We apply our dating approach to two sets of US economic indicators including the monthly series of industrial production, nonfarm payroll employment, real income, wholesale-retail trade and gross domestic product (GDP). We find evidence of a change in the methodology of the NBER's Business-Cycle Dating Committee: an extended set of five monthly macroeconomic indicators replaced in the dating of the last recession the set of indicators emphasized by the NBER's Business-Cycle Dating Committee in recent decades. This change seems to seriously affect the continuity in the outcome of the dating of business cycle. Had the dating been done on the traditional set of indicators, the last recession would have lasted one year and a half longer. We find that, independent of the set of coincident indicators monitored, the last economic contraction began in November 2000, four months before the date of the NBER's Business-Cycle Dating Committee.

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WIAS Preprint No. 1768, (2004)

Calmness of constraint systems with applications



Authors

  • Henrion, René
  • Outrata, Jiří

2010 Mathematics Subject Classification

  • 90C30 49J53

Keywords

  • calmness, constraint sets, nonsmooth calculus, value-at-risk

DOI

10.20347/WIAS.PREPRINT.929

Abstract

The paper is devoted to the analysis of the calmness property for constraint set mappings. After some general characterizations, specific results are obtained for various types of constraints, e.g., one single nonsmooth inequality, differentiable constraints modeled by polyhedral sets, finitely and infinitely many differentiable inequalities. The obtained conditions enable to detect calmness in a number of situations, where the standard criteria (via polyhedrality or the Aubin property) do not work. Their application in the framework of generalized differential calculus is explained and illustrated by examples associated with optimization and stability issues in connection with nonlinear complementarity problems or continuity of the value-at-risk.

Appeared in

  • Math. Program., 104 (2005) pp. 437--464.

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WIAS Preprint No. 1768, (2004)

Uniqueness results for an inverse periodic transmission problem



Authors

  • Elschner, Johannes
  • Yamamoto, Masahiro

2010 Mathematics Subject Classification

  • 78A46 35R30

Keywords

  • Diffraction grating, periodic Helmholtz equation, inverse transmission problem

DOI

10.20347/WIAS.PREPRINT.932

Abstract

The paper is devoted to the inverse problem of recovering a 2D periodic structure from scattered waves measured above and below the structure. We show that measurements corresponding to a finite number of refractive indices above or below the grating profile, uniquely determine the periodic interface in the inverse TE transmission problem. If a priori information on the height of the diffraction grating is available, then we also obtain upper bounds of the required number of wavenumbers by using the Courant-Weyl min-max principle for a fourth-order elliptic problem. This extends uniqueness results by Hettlich and Kirsch [11] to the inverse transmission problem.

Appeared in

  • Inverse Problems, 20 (2004) pp. 1841--1852.

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WIAS Preprint No. 1768, (2004)

Thermodynamics of simple two-component thermo-poroelastic media



Authors

  • Wilmanski, Krzysztof

2010 Mathematics Subject Classification

  • 80A17 74A20 74F10

Keywords

  • Thermodynamics of multicomponent systems, thermo-poroelastic materials, simple mixtures

DOI

10.20347/WIAS.PREPRINT.901

Abstract

The paper is devoted to the thermodynamic construction of a two-component model of poroelastic media undergoing, in contrast to earlier works on this subject, nonisothermal processes. Under the constitutive dependence on partial mass densities, deformation gradient of skeleton, relative velocity, temperature, temperature gradient and porosity (simple poroelastic material) as well as the assumption of small deviations from the thermodynamic equilibrium we construct explicit relations for fluxes, prove the splitting of the free energy into partial contributions without mechanical couplings, construct a chemical potential for the fluid component important for the formulation of boundary conditions on permeable boundaries. We discuss as well a modification of the porosity balance equation in which we account for time changes of equilibrium porosity. This modification yields the behavior of the model characteristic for granular materials.

Appeared in

  • Trends and Applications of Mathematics to Mechanics. STAMM-2002, G. Romano, S. Rionero, eds., Springer, Wien [u.a.], 2005, pp. 293-306.

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WIAS Preprint No. 1768, (2004)

Local likelihood modelling via stagewise aggregation



Authors

  • Belomestny, Denis
  • Spokoiny, Vladimir
    ORCID: 0000-0002-2040-3427

2010 Mathematics Subject Classification

  • 62G05 62G07 62G08 62H30

Keywords

  • aggregation, local likelihood, exponential family, density estimation, classification, spatial adaptivity

DOI

10.20347/WIAS.PREPRINT.1000

Abstract

The paper presents a unified approach to local likelihood estimation for a broad class of nonparametric models, including e.g. the regression, density, Poisson and binary response model. Given a sequence of local likelihood estimates which we call "weak" estimates, the proposed method yields a new aggregated estimate whose pointwise risk does not exceed the smallest risk among all "weak" estimates multiplied by some logarithmic factor. We establish a number of important theoretical results concerning optimality of the aggregated estimate and show a good performance of the procedure in simulated examples.

Appeared in

  • Ann. Statist., 25 (2007) pp. 2287--2311.

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WIAS Preprint No. 1768, (2004)

A regularized Newton method in electrical impedance tomography using shape Hessian information



Authors

  • Eppler, Karsten
  • Harbrecht, Helmut

2010 Mathematics Subject Classification

  • 49Q10 49M37 65N38 49K20

Keywords

  • electrical impedance tomography, shape optimization, integral equation method, Newton type descent

DOI

10.20347/WIAS.PREPRINT.943

Abstract

The present paper is concerned with the identification of an obstacle or void of different conductivity included in a two-dimensional domain by measurements of voltage and currents at the boundary. We employ a reformulation of the given identification problem as a shape optimization problem as proposed by Sokolowski and Roche. It turns out that the shape Hessian degenerates at the given hole which gives a further hint on the ill-posedness of the problem. For numerical methods, we propose a preprocessing for detecting the barycenter and a crude approximation of the void or hole. Then, we resolve the shape of the hole by a regularized Newton method.

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WIAS Preprint No. 1768, (2004)

Detection of transient generalized and mutual phase synchronization by clustering and application by single brain signals



Authors

  • Hutt, Axel
  • Schrauf, Michael

2010 Mathematics Subject Classification

  • 62H11 62H30

Keywords

  • cluster analysis, multivariate time series, synchronization

DOI

10.20347/WIAS.PREPRINT.925

Abstract

The present work introduces an analysis framework for the detection of metastable signal segments in multivariate time series. It is shown that in case of linear data these segments represent transient generalized synchronization, while metastable segments in circular data reflect transient mutual phase synchronization. We propose a single segmentation approach for both types of data considering the space-time structure of the data. Applications to both event-related potentials and single evoked potentials obtained from an auditory oddball experiment reveal the lack of the component P300 in an experimental condition, indicates attention effects in component N100 and shows dramatic latency jitters in single trials. A comparison of the proposed method to a conventional index of mutual phase synchronization demonstrates the superiority of considering space-time data structures.

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WIAS Preprint No. 1768, (2004)

Simulation of microwave and semiconductor laser structures including PML: Computation of the eigenmode problem, the boundary value problem, and the scattering matrix



Authors

  • Hebermehl, Georg
  • Schefter, Jürgen
  • Schlundt, Rainer
    ORCID: 0000-0002-4424-4301
  • Tischler, Thorsten
  • Zscheile, Horst
  • Heinrich, Wolfgang

2010 Mathematics Subject Classification

  • 35Q60 65N22 65F15 65F10 78M25

Keywords

  • Microwave device, Semiconductor laser, Simulation, Maxwell's equations, Scattering matrix, Boundary value problem, PML boundary condition, Eigenvalue problem, Linear algebraic equations, Rectangular grids, Tetrahedral nets

DOI

10.20347/WIAS.PREPRINT.987

Abstract

The properties of microwave circuits and optical structures can be described in terms of their scattering matrix which is extracted from the orthogonal decomposition of the electric field. We discretize the Maxwell's equations with orthogonal grids using the Finite Integration Technique (FIT). Maxwellian grid equations are formulated for staggered nonequidistant rectangular grids and for tetrahedral nets with corresponding dual Voronoi cells. The surface of the computation domain is assumed to be an electric or a magnetic wall, open-region problems require uniaxial Perfectly Matched Layer (PML) absorbing boundary conditions. Calculating the excitations at the ports, one obtains eigenvalue problems and then systems of linear algebraic equations.

Appeared in

  • Proc. 5th International Workshop Scientific Computing in Electrical Engineering (SCEE), Capo D'Orlando, Italy, September 5--9, 2004, A. Anile, G. Ali, G. Mascali, eds., Scientific Computing in Electrical Engineering, Springer Verlag, 2006, pp. 203--214

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WIAS Preprint No. 1768, (2004)

Monte Carlo methods and numerical solutions



Authors

  • Wagner, Wolfgang

2010 Mathematics Subject Classification

  • 65C05 76P05 82C80

Keywords

  • Rarefied gas dynamics, Direct Simulation Monte Carlo, Boltzmann equation, stochastic models

DOI

10.20347/WIAS.PREPRINT.954

Abstract

The purpose of this paper is to illustrate that direct simulation Monte Carlo methods can often be considered as rigorous mathematical tools for solving nonlinear kinetic equations numerically. First a convergence result for Bird's DSMC method is recalled. Then some sketch of the history of stochastic models related to rarefied gas dynamics is given. The model introduced by Leontovich in 1935 provides the basis for a rigorous derivation of the Boltzmann equation from a stochastic particle system. The last part of the paper is concerned with some recent directions of study in the field of Monte Carlo methods for nonlinear kinetic equations. Models with general particle interactions and the corresponding limiting equations are discussed in some detail. In particular, these models cover rarefied granular gases (inelastic Boltzmann equation) and ideal quantum gases (Uehling-Uhlenbeck-Boltzmann equation). Problems related to the order of convergence, to the approximation of the steady state solution, and to variance reduction are briefly mentioned.

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WIAS Preprint No. 1768, (2004)

Poisson convergence in the restricted k-partioning problems



Authors

  • Bovier, Anton
  • Kurkova, Irina

2010 Mathematics Subject Classification

  • 90C27 60G70

Keywords

  • Number partioning, extreme values, Poisson process, Random Energy Model

DOI

10.20347/WIAS.PREPRINT.964

Abstract

The randomized $k$-number partitioning problem is the task to distribute $N$ i.i.d. random variables into $k$ groups in such a way that the sums of the variables in each group are as similar as possible. The restricted $k$-partitioning problem refers to the case where the number of elements in each group is fixed to $N/k$. In the case $k=2$ it has been shown that the properly rescaled differences of the two sums in the close to optimal partitions converge to a Poisson point process, as if they were independent random variables. We generalize this result to the case $k>2$ in the restricted problem and show that the vector of differences between the $k$ sums converges to a $k-1$-dimensional Poisson point process.

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WIAS Preprint No. 1768, (2004)

Linear sound waves in poroelastic materials: Simple mixture vs. Biot's model



Authors

  • Wilmanski, Krzysztof

2010 Mathematics Subject Classification

  • 74J10 76S05 74L05

Keywords

  • Bulk waves, porous media, geophysics.

DOI

10.20347/WIAS.PREPRINT.950

Abstract

The work contains the comparison of speeds and attenuations of P1-, S-, and P2-waves in poroelastic materials obtained within Biot's model and simple mixture model.

Appeared in

  • Trends in Applications of Mathematics to Mechanics. Proceedings of the XIVth International Symposium on Trends in Applications of Mathematics to Mechanics (STAMM'2004), Seeheim, Germany, 22--28 August 2004, K. Hutter, Y. Wang, eds., Berichte aus der Mathematik, Shaker, Aachen, 2005, pp. 21--30.

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WIAS Preprint No. 1768, (2004)

Effects of nonlocal feedback on traveling fronts in neural fields subject to transmission delay



Authors

  • Hutt, Axel

2010 Mathematics Subject Classification

  • 45J05 92C20

2008 Physics and Astronomy Classification Scheme

  • 02.50.Sk 05.45.Xt 05.10.-a

Keywords

  • nonlocal neural activity, traveling wave front, constant feedback delay

DOI

10.20347/WIAS.PREPRINT.953

Abstract

The work introduces a model for reciprocal connections in neural fields by a nonlocal feedback mechanism, while the neural field exhibits nonlocal interactions and intra-areal transmission delays. We study the speed of traveling fronts with respect to the transmission delay, the spatial feedback range and the feedback delay for general axonal and feedback connectivity kernels. In addition, we find a novel shape of traveling fronts due to the applied feedback and criteria for its occurence are derived.

Appeared in

  • Phys. Rev. E *70*, 052902 (2004)

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WIAS Preprint No. 1768, (2004)

Integral manifolds for slow-fast differential systems loosing their attractivity in time



Authors

  • Schneider, Klaus R.
  • Shchetinina, Ekaterina
  • Sobolev, Vladimir

2010 Mathematics Subject Classification

  • 34C45 34D15 34E15

Keywords

  • integral manifolds; slow-fast systems; change of attractivity

DOI

10.20347/WIAS.PREPRINT.948

Abstract

The work is devoted to the investigation of the integral manifolds of the nonautonomous slow-fast systems, which change their attractivity in time. The method used here is based on gluing attractive and repulsive integral manifolds by using an additional function.

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WIAS Preprint No. 1768, (2004)

Modelling of surface waves in poroelastic saturated materials by means of a two component continuum -- Lecture notes



Authors

  • Albers, Bettina
    ORCID: 0000-0003-4460-9152

2010 Mathematics Subject Classification

  • 74J15 76S05 74L05 74S99

Keywords

  • Surface waves, porous media, geophysics, numerical analysis of dispersion relation

DOI

10.20347/WIAS.PREPRINT.952

Abstract

These lecture notes are devoted to an overview of the modelling and the numerical analysis of surface waves in two-component saturated poroelastic media. This is an extension to the part of the lecture notes by K. Wilmanski (WIAS-Preprint No. 945) which is primarily concerned with the classical surface waves in single component media. We use the ''simple mixture model'' which is a simplification of the classical Biot's model for poroelastic media. Two interfaces are considered here: firstly the interface between a porous half space and a vacuum and secondly the interface between a porous halfspace and a fluid halfspace. For both problems we show how a solution can be constructed and a numerical solution of the dispersion relation can be found. We discuss the results for phase and group velocities and attenuations, and compare some of them to the high and low frequency approximations. For the interface porous medium/vacuum there exist in the whole range of frequencies two surface waves - a leaky Rayleigh wave and a true Stoneley wave. For the interface porous medium/fluid one more surface wave appears - a leaky Stoneley wave. For this boundary velocities and attenuations of the waves are shown in dependence on the surface permeability. The true Stoneley wave exists only in a limited range of this parameter. At the end we have a look on some results of other authors and a glance on a logical continuation of this work, namely the description of the structure and the acoustic behavior of partially saturated porous media.

Appeared in

  • Surface waves in Geomechanics: Direct and Inverse Modelling for Soils and Rocks, C. Lai, K. Wilmanski, eds., CISM Courses and Lectures, Springer, Wien [u.a.], 2005, pp. 277-323.

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WIAS Preprint No. 1768, (2004)

Self-pulsation and excitability of blue-violet InGaN lasers



Authors

  • Tronciu, Vasile Z.
  • Yamada, Minoru
  • Abram, Richard
  • Kawakami, Toshiyuki
  • Ito, Shigetoshi
  • Ohno, Tomoki
  • Taneya, Mototaka

2010 Mathematics Subject Classification

  • 78A60 34C60

Keywords

  • self-pulsation, excitability, blue lasers

DOI

10.20347/WIAS.PREPRINT.940

Abstract

This article gives a review of our latest results on the self-pulsation and excitability properties of blue-violet lasers. A number of investigations of the phenomena in InGaN lasers with different designs are described. The bifurcations, which are the origin of the phenomena, are identified and the effects of the lasers parameters on device dynamics are discussed. It is shown how different laser structures can be used to control device behaviour and the dependence of self-pulsation and excitability behaviour on laser geometry is discussed. Finally, agreement between the results of numerical calculations and experimental measurements on self-pulsation is demonstrated.

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WIAS Preprint No. 1768, (2004)

Thermodynamics-based modeling edge-emitting quantum well lasers



Authors

  • Bandelow, Uwe
    ORCID: 0000-0003-3677-2347
  • Gajewski, Herbert
  • Hünlich, Rolf

2010 Mathematics Subject Classification

  • 78A60 35G25 35Q60 80A20 76M10

Keywords

  • semiconductor lasers, continuity equations, Poisson equation, wave guide equations, photon rate equations, heat flow equation, entropy balance equation, discretization, iteration scheme

DOI

10.20347/WIAS.PREPRINT.971

Abstract

This paper describes the modeling and the simulation of edge-emitting quantum well lasers, based on the drift-diffusion equations and equations for the optical field. By applying fundamental thermodynamic principles as the maximum entropy principle and the principle of local thermal equilibrium we derive a self-consistent energy transport model which can be proven to meet the thermodynamic requirements. It's numerical solution is discussed explicitly, by starting from the discretization procedure and by ending up with the iteration scheme. As an example, we demonstrate the simulation of a long-wavelength ridge-waveguide multi-quantum well laser.

Appeared in

  • U. Bandelow, H. Gajewski, R. Hünlich, Chapter 3: Fabry--Perot Lasers: Thermodynamics-based Modeling, in: Optoelectronic Devices --- Advanced Simulation and Analysis, J. Piprek, ed., Springer, New York, 2005, pp. 63-85

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WIAS Preprint No. 1768, (2004)

Computational comparison between the Taylor--Hood and the conforming Crouzeix--Raviart element



Authors

  • Krahl, Rolf
  • Bänsch, Eberhard
    ORCID: 0000-0003-2743-1612

2010 Mathematics Subject Classification

  • 65N30 76M10

Keywords

  • Taylor-Hood element, Crouzeix-Raviart element, incompressible fluid flow, preconditioners for Quasi-Stokes

DOI

10.20347/WIAS.PREPRINT.989

Abstract

This paper is concerned with the computational performance of the P₂ P₁ Taylor-Hood element and the conforming P₂+ P-1 Crouzeix-Raviart element in the finite element discretization of the incompressible Navier-Stokes equations. To this end various kinds of discretization errors are computed as well as the behavior of two different preconditioners to solve the arising systems are studied.

Appeared in

  • A. Handlovičová, Z. Krivá, K. Mikula und D. Ševčovič, Hrsg., ALGORITMY 2005 - 17th Conference on Scientific Computing. Slovak University of Technology, Bratislava, 2005, S. 369-379.

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WIAS Preprint No. 1768, (2004)

Nonlinear evolution inclusions arising from phase change models



Authors

  • Colli, Pierluigi
  • Krejčí, Pavel
  • Rocca, Elisabetta
  • Sprekels, Jürgen

2010 Mathematics Subject Classification

  • 47J35 35G25 82B26 74H40

Keywords

  • nonlinear and nonlocal evolution equations, Cahn-Hilliard type dynamics, phase transitions models, existence, uniqueness, long-time behaviour

DOI

10.20347/WIAS.PREPRINT.974

Abstract

This paper is devoted to the analysis of an abstract evolution inclusion with a non-invertible operator, motivated by problems arising in nonlocal phase separation modeling. Existence, uniqueness, and long-time behaviour of the solution to the related Cauchy problem are discussed in detail.

Appeared in

  • Czechoslovak Math. J., 57 (2007) pp. 1067-1098.

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WIAS Preprint No. 1768, (2004)

On existence of a bounded solution in a problem with a control parameter



Authors

  • Shchetinina, Ekaterina

2010 Mathematics Subject Classification

  • 34A34 34C11

Keywords

  • bounded solutions, delayed loss of stability, gluing

DOI

10.20347/WIAS.PREPRINT.918

Abstract

This paper is devoted to the problem of existence of bounded solutions for non-autonomous differential equations in the case when the linear part has a pair of simple complex conjugate eigenvalues crossing the imaginary axis for increasing $t$. By introducing a control parameter into the system we derive conditions for the existence of a global uniformly bounded solution.

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WIAS Preprint No. 1768, (2004)

Estimation of time dependent volatility via local change point analysis



Authors

  • Mercurio, Danilo
  • Spokoiny, Vladimir
    ORCID: 0000-0002-2040-3427

2010 Mathematics Subject Classification

  • 62M10 62P20

Keywords

  • volatility model, adaptive estimation, local homogeneity, change point

DOI

10.20347/WIAS.PREPRINT.904

Abstract

This paper offers a new procedure for estimation and forecasting of the volatility of financial time series. The approach is based on the assumption of local homogeneity: for every time point there exists an interval of time homogeneity in which the volatility parameter can be well approximated by a constant. The procedure recovers this interval from the data using the local change point analysis. Afterwards the estimate of the volatility can be simply obtained by local averaging. We investigate the performance of the procedure both from the theoretical point of view and through Monte Carlo simulations. Then the new procedure is applied to some data sets and a comparison with the LAVE procedure from Mercurio and Spokoiny (2004) and with a standard GARCH model is also provided. Finally we apply the new method for the The numerical results demonstrate a very reasonable performance of the new method.

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WIAS Preprint No. 1768, (2004)

Experimental and mathematical study of the influence of growth factors and the kinetics of adult human articular chondrocytes



Authors

  • Barbero, Andrea
  • Palumberi, Viviana
  • Wagner, Barbara
  • Sader, Robert
  • Grote, Markus J.
  • Martin, Ivan

2010 Mathematics Subject Classification

  • 92D25 92C37

Keywords

  • chondrocytes, cell expansion, growth kinetics, delay model

DOI

10.20347/WIAS.PREPRINT.988

Abstract

This study aimed at determining how kinetic parameters of adult human articular chondrocytes (AHAC) growth are modulated by the growth factor combination underline TGF$beta$1, underline FGF-2, and underline PDGF BB (TFP), recently shown to stimulate AHAC proliferation. AHAC, isolated from cartilage biopsies of three individuals, were cultured in medium without (CTR) or with TFP. For growth curves, AHAC were seeded at 1000 cells/cm$^2$ and cultured for 12 days, with cell numbers measured fluorimetrically in the same wells every 12 hours. For microcolony tests, AHAC were seeded at 2.5 cells/cm$^2$ and cultured for 6 days, with cell numbers determined for each microcolony by phase contrast microscopy every 8 hours. A mathematical model combining delay and logistic equations was developed to capture the growth kinetic parameters and to enable the description of the complete growth process of the cell culture. As compared to CTR medium, the presence of TFP increased the number of cells/well starting from the fifth day of culture, and a 4-fold larger cell number was reached at confluency. For single microcolonies, TFP reduced the time for the first cell division by 26.6%, the time for subsequent cell divisions (generation time) by 16.8%, and the percentage of quiescent cells by 42.5%. The mathematical model fitted well the experimental data of the growth kinetic. Finally, using both microcolony tests and the mathematical model, we determined that prolonged cell expansion induces an enrichment of AHAC with shorter first division time, but not of those with shorter generation time.

Appeared in

  • J. Cellular Physiology, 204 (2005) pp. 830--838.

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WIAS Preprint No. 1768, (2004)

Stochastic Eulerian model for the flow simulation in porous media. Unconfined aquifers



Authors

  • Kolyukhin, Dmitry R.
  • Sabelfeld, Karl

2010 Mathematics Subject Classification

  • 65C05 76N20

Keywords

  • Hydraulic conductivity, Lognormal random field, small fluctuations, Darcy law, randomized spectral representation

DOI

10.20347/WIAS.PREPRINT.912

Abstract

This work deals with a stochastic unconfined aquifer flow simulation in statistically isotropic saturated porous media. This approach is a generalization of the 3D model we developed in citeks. In this paper we deal with a 2D model obtained via depth-averaging of the 3D model. The average hydraulic conductivity is assumed to be a random field with a lognormal distribution. Assuming the fluctuations in the hydraulic conductivity to be small we construct a stochastic Eulerian model for the flow as a Gaussian random field with a spectral tensor of a special structure derived from Darcy's law. A randomized spectral representation is then used to simulate this random field. A series of test calculations confirmed the high accuracy and computational efficiency of the method.

Appeared in

  • Monte Carlo Methods Appl. vol 10 (2004), no. 3-4, pp. 345-357

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WIAS Preprint No. 1768, (2004)

Analysis of nonlocal neural fields for both general and gamma-distributed connectivities



Authors

  • Hutt, Axel
  • Atay, Fatihcan M.

2010 Mathematics Subject Classification

  • 45J05 92C2

2008 Physics and Astronomy Classification Scheme

  • 02.50.Sk 05.45.Xt 05.10.-a

Keywords

  • Nonlocal neural activity, space-dependent delay, stability analysis

DOI

10.20347/WIAS.PREPRINT.969

Abstract

This work studies the stability of spatially extended neuronal ensembles. We first derive the model equation from statistical properties of the neuron population. The obtained integro-differential equation considers synaptic and space-dependent transmission delay for both general and gamma-distributed synaptic connectivities. The latter connectivity type reveals infinite, finite and vanishing self-connectivities. The work derives conditions for stationary and nonstationary instabilities for both kernel types. In addition, a nonlinear analysis for general kernels yields the order parameter equation of the Turing instability. To compare the results to findings for partial differential equations (PDEs), two typical PDE-types are derived from the examined model equation. In case of the gamma-distributed kernels, the stability conditions are formulated in terms of the mean excitatory and inhibitory interaction ranges. As a novel finding, we obtain Turing instabilities in fields with local inhibition-lateral excitation, while wave instabilities occur in fields with local excitation and lateral inhibition. Numerical simulations support the analytical results.

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WIAS Preprint No. 1768, (2004)

Numerical bifurcation analysis of traveling wave model of multisection semiconductor lasers



Authors

  • Radziunas, Mindaugas

2010 Mathematics Subject Classification

  • 37L65 35B32 78M25 65P30

2008 Physics and Astronomy Classification Scheme

  • 42.55.Px 05.45.-a

Keywords

  • Numerical bifurcation analysis, traveling wave model, mode approximations, quality of pulsations

DOI

10.20347/WIAS.PREPRINT.985

Abstract

Traveling wave equations are used to model the dynamics of multisection semiconductor lasers. To perform a bifurcation analysis of this system of 1-D partial differential equations its low dimensional approximations are constructed and considered. Along this paper this analysis is used for the extensive study of the pulsations in a three section distributed feedback laser. Namely, stability of pulsations, different bifurcation scenaria, tunability of the pulsation frequency and its locking by the frequency of electrical modulation are considered. All these pulsation qualities are highly important when applying lasers in optical communication systems.

Appeared in

  • Physica D, 213 (1), pp. 98-112, 2006.

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WIAS Preprint No. 1768, (2004)

Optimal superhedging under nonconvex constraints -- A BSDE approach



Authors

  • Bender, Christian
  • Kohlmann, Michael

2010 Mathematics Subject Classification

  • 91B28 91B24 93E20 60H10

Keywords

  • BSDE, Constraints, Penalization, Superhedging

DOI

10.20347/WIAS.PREPRINT.928

Abstract

We apply theoretical results of S. Peng on supersolutions for BSDEs to the problem of finding optimal superhedging strategies in a Black-Scholes market under constraints. Constraints may be imposed simultaneously on wealth process and portfolio. They may be nonconvex, time-dependent, and random. Constraints on the portfolio may e.g. be formulated in terms of the amount of money invested, the portfolio proportion, or the number of shares held.

Appeared in

  • Int. J. Theor. Appl. Finance, 11 pp. 363--380.

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WIAS Preprint No. 1768, (2004)

New slip regimes and the shape of dewetting thin liquid films



Authors

  • Konrad, Renate
  • Jacobs, Karin
  • Münch, Andreas
  • Wagner, Barbara
  • Witelski, Thomas

2010 Mathematics Subject Classification

  • 76A55 76E17 76E17

2008 Physics and Astronomy Classification Scheme

  • 68.15.+e, 47.20.Ma, 47.54.+r, 68.37.Ps

Keywords

  • slippage, lubrication approximation, interfacial instability

DOI

10.20347/WIAS.PREPRINT.993

Abstract

We compare the dewetting behavior of liquid polymer films on silicon/silicon oxide wafers that have been coated with either Octadecyltrichlorosilane (OTS) or Dodecyltrichlorosilane (DTS). Our experiments show that the dewetting rates for DTS are significantly larger than for OTS. We also compare the profile of the rim that forms as the film dewets and find that it develops a spatially decaying oscillatory structure on the side facing the undisturbed film if an OTS coated wafer is used, but is monotonically decaying for DTS. We argue that for this situation only the friction coefficient can be different, suggesting that slippage plays a role in this transition. For the first time, we show here that this transition is in fact captured by a lubrication model that can be derived from the Navier-Stokes equations with a Navier-slip boundary condition at the liquid/solid interface, and accounts for large slip lengths.

Appeared in

  • Phys.Rev. Lett., 95 (2005), pp. 127801/1--127801/4.

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WIAS Preprint No. 1768, (2004)

Optimal control of a semilinear PDE with nonlocal radiation interface conditions



Authors

  • Meyer, Christian
  • Philip, Peter
  • Tröltzsch, Fredi

2010 Mathematics Subject Classification

  • 49K20 35J65 49J20 80M50

Keywords

  • Optimal control, semilinear elliptic equations, nonlocal interface conditions, boundedness of solutions

DOI

10.20347/WIAS.PREPRINT.976

Abstract

We consider a control constrained optimal control problem governed by a semilinear elliptic equation with nonlocal interface conditions. These conditions occur during the modeling of diffuse-gray conductive-radiative heat transfer. The problem arises from the aim to optimize the temperature gradient within crystal growth by the physical vapor transport (PVT) method. Based on a minimum principle for the semilinear equation as well as L-infinity estimates for the weak solution, we establish the existence of an optimal solution as well as necessary optimality conditions. The theoretical results are illustrated by results of numerical computations.

Appeared in

  • SIAM Journal On Control and Optimization 45 (2006), pp.699-721.

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WIAS Preprint No. 1768, (2004)

Quasiperiodic regimes in multisection semiconductor lasers



Authors

  • Gonchenko, Sergey V.
  • Schneider, Klaus R.
  • Turaev, Dmitry

2010 Mathematics Subject Classification

  • 34C29 78A60 34C20 34C60

Keywords

  • multisection semiconductor laser, mode approximation, quasiperiodic regime, normal form, stability

DOI

10.20347/WIAS.PREPRINT.967

Abstract

We consider a mode approximation model for the longitudinal dynamics of a multisection semiconductor laser which represents a slow-fast system of ordinary differential equations for the electromagnetic field and the carrier densities. Under the condition that the number of active sections $q$ coincides with the number of critical eigenvalues we introduce a normal form which admits to establish the existence of invariant tori. The case $q=2$ is investigated in more detail where we also derive conditions for the stability of the quasiperiodic regime.

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WIAS Preprint No. 1768, (2004)

A 1D coupled Schrödinger drift-diffusion model including collisions



Authors

  • Baro, Michael
  • Ben Abdallah, Naoufel
  • Degond, Pierre
  • El Ayyadi, Asma

2010 Mathematics Subject Classification

  • 65Z05 82D37 78A35 82C70 34L40 34L30 34L25

Keywords

  • quantum-classical coupling, Schroedinger equation, scattering states, Pauli master equation, drift-diffusion, interface conditions

DOI

10.20347/WIAS.PREPRINT.923

Abstract

We consider a one-dimensional coupled stationary Schroedinger drift-diffusion model for quantum semiconductor device simulations. The device domain is decomposed into a part with large quantum effects (quantum zone) and a part where quantum effects are negligible (classical zone). We give boundary conditions at the classic-quantum interface which are current preserving. Collisions within the quantum zone are introduced via a Pauli master equation. To illustrate the validity we apply the model to three resonant tunneling diodes.

Appeared in

  • Journal of Computational Physics, 2005, Vol. 203, no. 1, pp. 129-153

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WIAS Preprint No. 1768, (2004)

Mott law as lower bound for a random walk in a random environment



Authors

  • Faggionato, Alessandra
    ORCID: 0000-0002-6168-3517
  • Schulz-Baldes, H.
  • Spehner, D.

2010 Mathematics Subject Classification

  • 60D05 60K3 88C44

Keywords

  • Disordered systems, Mott law, random walk in random environment, point processes, percolation

DOI

10.20347/WIAS.PREPRINT.955

Abstract

We consider a random walk on the support of a stationary simple point process on $RR^d$, $dgeq 2$ which satisfies a mixing condition w.r.t. the translations or has a strictly positive density uniformly on large enough cubes. Furthermore the point process is furnished with independent random bounded energy marks. The transition rates of the random walk decay exponentially in the jump distances and depend on the energies through a factor of the Boltzmann-type. This is an effective model for the phonon-induced hopping of electrons in disordered solids within the regime of strong Anderson localisation. We show that the rescaled random walk converges to a Brownian motion whose diffusion coefficient is bounded below by Mott's law for the variable range hopping conductivity at zero frequency. The proof of the lower bound involves estimates for the supercritical regime of an associated site percolation problem.

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WIAS Preprint No. 1768, (2004)

Asymptotic stability of continual sets of periodic solutions to systems with hysteresis



Authors

  • Brokate, Martin
    ORCID: 0000-0003-4660-9180
  • Pokrovskii, Alexei
  • Rachinskii, Dmitri

2010 Mathematics Subject Classification

  • 34C55 34D20 34D10

Keywords

  • Hysteresis perturbations of ODE, Preisach hysteresis nonlinearity, periodic solutions, stability

DOI

10.20347/WIAS.PREPRINT.902

Abstract

We consider hysteresis perturbations of the system of ODEs which has an asymptotically stable periodic solution $z_*$. It is proved that if the oscillation of the appropriate projection of $z_*$ is smaller than some threshold number defined by the hysteresis nonlinearity, then the perturbed system has a continuum of periodic solutions with a rather simple structure in a vicinity of $z_*$. The main result is the theorem on stability of this continuum.

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WIAS Preprint No. 1768, (2004)

Nonlinear estimation for linear inverse problems with error in the operator



Authors

  • Hoffmann, Marc
  • Reiß, Markus

2010 Mathematics Subject Classification

  • 65J20 62G07

Keywords

  • statistical inverse problem, Galerkin projection method, wavelet thresholding, minimax rate, degree of ill-posedness, matrix compression

DOI

10.20347/WIAS.PREPRINT.990

Abstract

We consider nonlinear estimation methods for statistical inverse problems in the case where the operator is not exactly known. For a canonical formulation a Gaussian operator white noise framework is developed. Two different nonlinear estimators are constructed, which correspond to the different order of the linear inversion and nonlinear smoothing step. We show that both estimators are rate-optimal over a wide range of Besov smoothness classes. The construction is based on the Galerkin projection method and wavelet thresholding schemes for the data and the operator.

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WIAS Preprint No. 1768, (2004)

Properties of stationary states of delay equations with large delay and applications to laser dynamics



Authors

  • Yanchuk, Serhiy

2010 Mathematics Subject Classification

  • 34K20 34K60 34K06

Keywords

  • delay equations, large delay, map, Lang-Kobayashi system, laser

DOI

10.20347/WIAS.PREPRINT.944

Abstract

We consider properties of periodic solutions of the differential-delay system, which models a laser with optical feedback. In particular, we describe a set of multipliers for these solutions in the limit of large delay. As a preliminary result, we obtain conditions for stability of an equilibrium of a generic differential-delay system with fixed large delay $tau$. We also show a connection between characteristic roots of the equilibrium and multipliers of the mapping obtained via the formal limit $tautoinfty$.

Appeared in

  • Math. Meth. Appl. Sci. (2005) 28:363-377.

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WIAS Preprint No. 1768, (2004)

Change of the type of contrast structures in parabolic Neumann problems



Authors

  • Nefedov, Nikolai N.
  • Radziunas, Mindaugas
  • Schneider, Klaus R.
  • Vasil'eva, Adelaida B.

2010 Mathematics Subject Classification

  • 35B25 35K50 35K57

Keywords

  • Singularly perturbed parabolic problems, contrast structures

DOI

10.20347/WIAS.PREPRINT.984

Abstract

We consider some class of singularly perturbed nonlinear parabolic problems in the case when a solution with an interior layer changes into a solution having only boundary layers. Analytical results on this phenomenon are compared with numerical studies of some examples.

Appeared in

  • Comp. Math. and Math. Physics *45(1)*, pp. 37-51, 2005

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WIAS Preprint No. 1768, (2004)

Solutions to muscle fiber equations and their long time behaviour



Authors

  • Krejč'ı, Pavel
  • Sante-Marie, Jacques
  • Sorine, Michel
  • Urquiza, Jose M.

2010 Mathematics Subject Classification

  • 35K60 74L15 35B35 35B40 92C10

Keywords

  • nonlinear initial boundary value problem, existence and uniqueness of solutions, asymptotic behaviour, muscle and cardiac mechanics

DOI

10.20347/WIAS.PREPRINT.973

Abstract

We consider the nonlinear initial-boundary value problem governing the dynamical displacements of a one dimensional solid body with specific stress-strain law. This constitutive law results from the modelization of the mechanisms that rules the electrically activated mechanical behaviour of cardiac muscle fibers at the microscopic level. We prove global existence and uniqueness of solutions and we study their asymptotic behaviour in time. In particular we show that under vanishing external forcing solutions asymptotically converge to an equilibrium.

Appeared in

  • Nonlinear Anal. Real World Appl., 7 (2006) pp. 535-558.

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WIAS Preprint No. 1768, (2004)

Minimax and Bayes estimation in deconvolution problem



Authors

  • Ermakov, Mikhail S.

2010 Mathematics Subject Classification

  • 62G05

Keywords

  • deconvolution, minimax estimation, Bayes estimation, Wiener filtration

DOI

10.20347/WIAS.PREPRINT.982

Abstract

We consider the problem of estimation of solution of convolution equation on observations blurred a random noise. The noise is a product of Gaussian stationary process and a weight function $epsilon h in L_2(R1)$ with constant $epsilon > 0$. The presence of weight function $h$ makes the power of noise finite on $R1$. This allows to suppose that the power of solution is also finite. For this model we find asymptotically minimax and Bayes estimators. The solution is supposed infinitely differentiable. The model with solutions having finite number of derivatives was studied in [5].

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WIAS Preprint No. 1768, (2004)

Recovering edges of an image from noisy tomographic data



Authors

  • Goldenshluger, Alexander
  • Spokoiny, Vladimir
    ORCID: 0000-0002-2040-3427

2010 Mathematics Subject Classification

  • 62G20 62C20 94A08

Keywords

  • Radon transform, optimal rates of convergence, support function, edge detection, minimax estimation

DOI

10.20347/WIAS.PREPRINT.909

Abstract

We consider the problem of recovering edges of an image from noisy tomographic data. The original image is assumed to have a discontinuity jump (edge) along the boundary of a compact convex set. The Radon transform of the image is observed with noise, and the problem is to estimate the edge. We develop an estimation procedure which is based on recovering support function of the edge. It is shown that the proposed estimator is nearly optimal in order in a minimax sense. Numerical examples illustrate reasonable practical behavior of the estimation procedure.

Appeared in

  • IEEE Trans. Inform. Theory, 4 (2006) pp. 1322--1334.

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WIAS Preprint No. 1768, (2004)

On some classes of limit cycles of planar dynamical systems



Authors

  • Grin, Alexander
  • Schneider, Klaus R.

2010 Mathematics Subject Classification

  • 34C07 34C05 37C27

Keywords

  • plane vector fields, maximal number of limit cycles, weakend Hilbert 16-th problem

DOI

10.20347/WIAS.PREPRINT.931

Abstract

We consider two-dimensional smooth vector fields $dx/dt = P(x,y), dy/dt = Q(x,y)$ and estimate the maximal number of limit cycles with special properties which are defined by means of generalized Dulac and Cherkas functions. In case that $P$ and $Q$ are polynomials we present results about the weakend 16-th problem of Hilbert.

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WIAS Preprint No. 1768, (2004)

Alpha-stable branching and beta-coalescents



Authors

  • Birkner, Matthias
  • Blath, Jochen
  • Capaldo, Marcella
  • Etheridge, Alison
  • Möhle, Martin
  • Schweinsberg, Jason
  • Wakolbinger, Anton

2010 Mathematics Subject Classification

  • 60J80 60J70 60J25 60G09 60G52 92D25

Keywords

  • Alpha-stable branching, coalescent, genealogy, lookdown construction

DOI

10.20347/WIAS.PREPRINT.979

Abstract

We determine that the continuous-state branching processes for which the genealogy, suitably time-changed, can be described by an autonomous Markov process are precisely those arising from $alpha$-stable branching mechanisms. The random ancestral partition is then a time-changed $Lambda$-coalescent, where $Lambda$ is the Beta-distribution with parameters $2-alpha$ and $alpha$, and the time change is given by $Z^1-alpha$, where $Z$ is the total population size. For $alpha = 2$ (Feller's branching diffusion) and $Lambda = delta_0$ (Kingman's coalescent), this is in the spirit of (a non-spatial version of) Perkins' Disintegration Theorem. For $alpha =1$ and $Lambda$ the uniform distribution on $[0,1]$, this is the duality discovered by Bertoin & Le Gall (2000) between the norming of Neveu's continuous state branching process and the Bolthausen-Sznitman coalescent. We present two approaches: one, exploiting the `modified lookdown construction', draws heavily on Donnelly & Kurtz (1999)

Appeared in

  • Electron. J. Probab., 10 (9), 303-325 (electronic)

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WIAS Preprint No. 1768, (2004)

Galerkin method for feedback controlled Rayleigh--Bénard convection



Authors

  • Wagner, Barbara
  • Münch, Andreas

2010 Mathematics Subject Classification

  • 74D10 74F05 74F10 77N25

Keywords

  • Galerkin approximation, Stability, Pattern Formation

DOI

10.20347/WIAS.PREPRINT.907

Abstract

We employ a Galerkin approximation for the system of equations governing Rayleigh-Bénard convection. This approximation reduces the dimension of the problem by one, while it captures the nonlinear behavior even when only a few basis functions are used. We prove convergence of the method and finally demonstrate the effectiveness of this method for the problems of feedback controlled Rayleigh-Bénard convection in three dimensions and the complex dynamics of spiral-defect chaos.

Appeared in

  • Nonlinearity, Volume 21 (2008) pp. 2625--2651.

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WIAS Preprint No. 1768, (2004)

On moderate deviation probabilities of empirical bootstrap measure



Authors

  • Ermakov, Mikhail S.

2010 Mathematics Subject Classification

  • 60F10

Keywords

  • large deviations, moderate deviations, bootstrap, empirical measure

DOI

10.20347/WIAS.PREPRINT.983

Abstract

We establish the moderate deviation principle for the common distribution of empirical measure and empirical bootstrap measure (empirical measure obtaining by the bootstrap procedure). For the most widespread statistical functionals depending on empirical measure (in particular differentiable and homogeneous functionals) we compare their asymptotic of moderate deviation probabilities with the asymptotic given by the bootstrap procedure.

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WIAS Preprint No. 1768, (2004)

Nonparametric volatility estimation on the real line from low-frequency data



Authors

  • Reiß, Markus

2010 Mathematics Subject Classification

  • 62M05 60H10

Keywords

  • diffusion process, nonparametric inference, wavelet, spectral approximation, low-frequency observations

DOI

10.20347/WIAS.PREPRINT.911

Abstract

We estimate the volatility function of a diffusion process on the real line on the basis of low frequency observations. The estimator is based on spectral properties of the estimated Markov transition operator of the embedded Markov chain. Asymptotic risk estimates for a growing number of observations are provided without assuming the observation distance to become small.

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WIAS Preprint No. 1768, (2004)

A simple method to study the transitional dynamics in endogenous growth models



Authors

  • Bethmann, Dirk
  • Reiß, Markus

2010 Mathematics Subject Classification

  • 91B62 49L20 91B66

Keywords

  • transitional dynamics, dynamic programming, Uzawa-Lucas model, human capital allocation, dimension reduction

DOI

10.20347/WIAS.PREPRINT.917

Abstract

We introduce a simple method of analyzing the transitional dynamics of the Uzawa-Lucas endogenous growth model with human capital externalities. We use the value function approach to solve both the social planner's optimization problem in the centralized economy and the representative agent's optimization problem in the decentralized economy. The complexity of the Hamilton-Jacobi-Bellman equations is significantly reduced to an initial value problem for one ordinary differential equation. This approach allows us to find the optimal controls for the non-concave Hamiltonian in the centralized case and to identify the symmetric Nash equilibrium of the agents' optimal strategies in the decentralized case. For a wide range of the degree of the human capital externality we calculate the global transitional dynamics towards the balanced growth path. The U-shaped course of output growth rates is explained in detail. JEL Classifications: C61, O41, C72

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WIAS Preprint No. 1768, (2004)

Degree of ill-posedness of statistical inverse problems



Authors

  • Mathé, Peter
    ORCID: 0000-0002-1208-1421

2010 Mathematics Subject Classification

  • 65J20 62G20

Keywords

  • Degree of ill--posedness, statistical inverse problem, variable Hilbert scale

DOI

10.20347/WIAS.PREPRINT.959

Abstract

We introduce the notion of the degree of ill--posedness of linear operators in operator equations between Hilbert spaces. For specific assumptions on the noise this quantity can be computed explicitely. Next it is shown that the degree of ill--posedness as introduced explains the loss of accuracy when solving inverse problems in Hilbert spaces for a variety of instances.

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WIAS Preprint No. 1768, (2004)

A thermoelastic contact problem with a phase transition



Authors

  • Hömberg, Dietmar
  • Khludnev, Alexander

2010 Mathematics Subject Classification

  • 35K85 74N25 74F05 74M15

Keywords

  • Thermoelasticity, phase transition, contact problem

DOI

10.20347/WIAS.PREPRINT.914

Abstract

We investigate a thermomechanical contact problem with phase transitions. The system of equations consists of a quasistatic momentum balance and a semilinear energy balance. The phase transition is described by an ordinary differential equation. Different mechanical properties of the respective phases are taken care of by a mixture ansatz. We prove the existence of a weak solution and a uniqueness result, the latter only being valid in one space dimension.

Appeared in

  • IMA J. Appl. Math., 71 (2006) pp. 479--495.

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WIAS Preprint No. 1768, (2004)

Dewetting rates of thin liquid films



Authors

  • Münch, Andreas

2010 Mathematics Subject Classification

  • 76A20 76D27

2008 Physics and Astronomy Classification Scheme

  • 68.15.+e 47.15.Gf 68.03.Kn 68.03.Cd

Keywords

  • Lubrication approximation, slippage

DOI

10.20347/WIAS.PREPRINT.992

Abstract

We investigate the dewetting rates of thin liquid films using a lubrication model that describes the dewetting process of polymer melts on hydrophobized substrates. We study the effect of different boundary conditions at the liquid/solid interface, in particular, of the no-slip and the Navier slip boundary condition, and compare our numerical solutions for the no-slip and the slip dominated cases to available results that originate from scaling arguments, simplified flow assumptions and energy balances. We furthermore consider these issues for an extended lubrication model that includes nonlinear curvature.

Appeared in

  • J. Phys.: Condensed Matter, 17 (2005), pp. S309--S318

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WIAS Preprint No. 1768, (2004)

Contact-line instability of dewetting thin films



Authors

  • Münch, Andreas
  • Wagner, Barbara

2010 Mathematics Subject Classification

  • 76A20 76D27

2008 Physics and Astronomy Classification Scheme

  • 97.10.Gz, 97.30.Qt, 97.80.Gm

Keywords

  • Lubrication approximation, stability, slippage

DOI

10.20347/WIAS.PREPRINT.924

Abstract

We investigate the linear stability of dewetting thin polymer films on hydrophobised substrates driven by Van-der-Waals forces, using a lubrication model. We focus on the role of slippage in the emerging instability at the three-phase contact-line and compare our results to the corresponding no-slip case. Our analysis shows that generically, small perturbations of the receding front are amplified, but in the slippage case by orders of magnitude larger than in the no-slip case. Moreover, while the perturbations become symmetrical in the no-slip case, they are asymmetrical in the slippage case. We furthermore extend our lubrication model to include effects of nonlinear curvature.

Appeared in

  • Phys. D. 209 (2005), pp.178-190.

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WIAS Preprint No. 1768, (2004)

Universality of residence-time distributions in non-adiabatic stochastic resonance



Authors

  • Berglund, Nils
  • Gentz, Barbara

2008 Physics and Astronomy Classification Scheme

  • 02.50.Ey 05.10.Gg 05.40.-a

Keywords

  • Stochastic resonance, residence-time distribution, noise-induced exit, oscillating barrier, periodic driving, activated escape, metastability, cycling.

DOI

10.20347/WIAS.PREPRINT.957

Abstract

We present a mathematically rigorous expression for the residence-time distribution of a periodically forced Brownian particle in a bistable potential. For a broad range of forcing frequencies and amplitudes, the distribution is close to a periodically modulated exponential one. Remarkably, the periodic modulation is governed by a universal function, depending on a single parameter related to the forcing period. The behaviour of the distribution and its moments is analysed, in particular in the low- and high-frequency limits.

Appeared in

  • Europhys. Lett. 70 (1), pp. 1-7, (2005) under new title: Universality of first-passage- and residence-time distributions in non-adiabatic stochastic resonance

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WIAS Preprint No. 1768, (2004)

An iterative algorithm for multiple stopping: Convergence and stability



Authors

  • Bender, Christian
  • Schoenmakers, John G. M.
    ORCID: 0000-0002-4389-8266

2010 Mathematics Subject Classification

  • 60G40 62L15 91B28

Keywords

  • optimal stopping, policy improvement, multiple callable financial derivatives

DOI

10.20347/WIAS.PREPRINT.991

Abstract

We present a new iterative procedure for solving the discrete multiple stopping problem and discuss the stability of the algorithm. The algorithm produces monotonically increasing approximations of the Snell envelope, which coincide with the Snell envelope after finitely many steps. Contrary to backward dynamic programming, the algorithm allows to calculate approximative solutions with only a few nestings of conditionals expectations and is, therefore, tailor-made for a plain Monte-Carlo implementation.

Appeared in

  • Advances in Applied Probability, Volume 38, Number 3 (2006) pp. 729--749.

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WIAS Preprint No. 1768, (2004)

Iterative construction of the optimal Bermudan stopping time



Authors

  • Kolodko, Anastasia
  • Schoenmakers, John G. M.
    ORCID: 0000-0002-4389-8266

2010 Mathematics Subject Classification

  • 62L15 65C05 91B228

Keywords

  • Bermudan options, optimal stopping, Monte Carlo simulation, LIBOR market model

DOI

10.20347/WIAS.PREPRINT.926

Abstract

We present an iterative procedure for computing the optimal Bermudan stopping time. We prove convergence and, as a consequence, the method allows for approximation of the Snell envelope from below. By using duality, we then deduce a convergent procedure for approximating the Snell envelope from above as well. We provide numerical examples for Bermudan swaptions in the context of a LIBOR market model.

Appeared in

  • Finance and Stochastics, Volume 10, Number 1 (Jan. 2006), pp. 27 - 49

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WIAS Preprint No. 1768, (2004)

The opinion game: Stock price evolution from microscopic market modelling



Authors

  • Bovier, Anton
  • Černý, Jiri
  • Hryniv, Ostap

2010 Mathematics Subject Classification

  • 91B26 60K35 60J20

Keywords

  • Stock prices, financial markets, statistical mechanics, stochastic dynamics

DOI

10.20347/WIAS.PREPRINT.903

Abstract

We propose a class of Markovian agent based models for the time evolution of a share price in an interactive market. The models rely on a microscopic description of a market of buyers and sellers who change their opinion about the stock value in a stochastic way. The actual price is determined in realistic way by matching (clearing) offers until no further transactions can be performed. Some analytic results for a non-interacting model are presented. We also propose basic interaction mechanisms and show in simulations that these already reproduce certain particular features of prices in real stock markets.

Appeared in

  • Int. J. Theor. Appl. Finance, 9, (2006) pp. 91--111.

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WIAS Preprint No. 1768, (2004)

Passive mode-locking with slow saturable absorber: A delay differential model



Authors

  • Vladimirov, Andrei
  • Turaev, Dmitry

2010 Mathematics Subject Classification

  • 78A60 34C23

2008 Physics and Astronomy Classification Scheme

  • 42.60.Fc,42.55.Px,42.60.Mi,42.65.Pc,42.60.Gd

Keywords

  • semiconductor laser, mode-locking, delay differential equations, bifurcations

DOI

10.20347/WIAS.PREPRINT.947

Abstract

We propose and study a new model describing passive mode-locking in a semiconductor laser - a set of differential equations with time delay. Analytical analysis of this model is performed under the slow saturable absorber approximation. Bifurcations responsible for the appearance and break-up of mode-locking regime are studied numerically.

Appeared in

  • Phys. Rev. A, 72 (2005) pp. 033808/1-033808/13.

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WIAS Preprint No. 1768, (2004)

Much ado about Derrida's GREM



Authors

  • Bovier, Anton
  • Kurkova, Irina

2010 Mathematics Subject Classification

  • 82B44

Keywords

  • Gaussian processes, spin-glasses, Generalised random energy model, Poisson point processes, branching processes, coalescence

DOI

10.20347/WIAS.PREPRINT.981

Abstract

We provide a detailed analysis of Derrida's Generalised Random Energy Model (GREM). In particular, we describe its limiting Gibbs measure in terms Ruelle's Poisson cascades. Next we introduce and analyse a more general class of Continuous Random Energy Models (CREMs) which differs from the well-known class of Sherrington-Kirkpatrick models only in the choice of distance on the space of spin configurations : the Hamming distance defines the later class while the ultrametric distance corresponds to the former one. We express explicitly the geometry of its limiting Gibbs measure in terms of genealogies of Neveu's Continuous State branching Process via an appropriate time change. We also identify the distances between replicas under the limiting CREM's Gibbs measure with those between integers of Bolthausen-Sznitman coalescent under the same time change.

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WIAS Preprint No. 1768, (2004)

Spectral characterisation of ageing: The REM-like trap model



Authors

  • Bovier, Anton
  • Faggionato, Alessandra
    ORCID: 0000-0002-6168-3517

2010 Mathematics Subject Classification

  • 60K35 82C4

Keywords

  • disordered systems, random dynamics, trap models, ageing, spectral properties

DOI

10.20347/WIAS.PREPRINT.927

Abstract

We review the ageing phenomenon in the context of simplest trap model, Bouchaud's REM-like trap model from a spectral theoretic point of view. We show that the generator of the dynamics of this model can be diagonalised exactly. Using this result, we derive closed expressions for correlation functions in terms of complex contour integrals that permit an easy investigation into their large time asymptotics in the thermodynamic limit. We also give a 'grand canonical' representation of the model in terms of the Markov process on a Poisson point process . In this context we analyse the dynamics on various time scales.

Appeared in

  • Ann. Appl. Probab. , 15, (2005) pp. 1997-2037

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WIAS Preprint No. 1768, (2004)

Marangoni-driven liquid films rising out of a meniscus onto a nearly horizontal substrate



Authors

  • Münch, Andreas
  • Evans, P. L.

2010 Mathematics Subject Classification

  • 76D08 37N10 76D45 76B45 76A20 34E10 34B60 76D27

2008 Physics and Astronomy Classification Scheme

  • 68.15.+e 47.20.Ky 47.15.Gf 68.03.Kn 68.03.Cd

Keywords

  • Lubrication theory, Gravity and surface tension driven liquid flows, undercompressive waves, Landau-Levich drag-out problem, coating flows

DOI

10.20347/WIAS.PREPRINT.941

Abstract

We revisit here the situation of a thin liquid film driven up an inclined substrate by a thermally induced Marangoni shear stress against the counter-acting parallel component of gravity. In contrast to previous studies, we focus here on the meniscus region, in the case where the substrate is nearly horizontal, so there is a significant contribution from the normal component of gravity. Our numerical simulations show that the time-dependent lubrication model for the film profile can reach a steady state in the meniscus region that is unlike the monotonic solutions found in [Münch, SIAM J. Appl. Math., 62(6):2045-2063, 2002]. A systematic investigation of the steady states of the lubrication model is carried out by studying the phase space of the corresponding third order ODE system. We find a rich structure of the phase space including multiple non-monotonic solutions with the same far-field film thickness.

Appeared in

  • Phys. D, 209 (2005), pp. 164--177.

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WIAS Preprint No. 1768, (2004)

Lyapunov functions for positive linear evolution problems



Authors

  • Stephan, Holger

2010 Mathematics Subject Classification

  • 47D07 47A63 35B40 35B50 37A35 46E10 82C31

Keywords

  • Markov operator, Lyapunov function, Fokker-Planck equation, positive continuous semigroup, positive minimum principle, Radon measures

DOI

10.20347/WIAS.PREPRINT.978

Abstract

We rigorously investigate the time monotonicity of Lyapunov functions for general positive linear evolution problems, including degenerate problems. This can be done by considering the problem in the convex set of probability measures and finding a general inequality for such Radon measures and Markov operators. For linear evolution problems (with discrete or continuous time), the existence of time monotone Lyapunov functions is not a consequence of any physical properties, but of the positivity and norm conservation of the equation. In some special cases the structure of such equations is given. Moreover, we describe completely the case of time constant Lyapunov functions - a property of deterministic dynamical systems.

Appeared in

  • ZAMM Z. Angew. Math. Mech., 85 (2005) pp. 766-777

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WIAS Preprint No. 1768, (2004)

Homoclinic tangencies of arbitrarily high orders in conservative and dissipative two-dimensional maps



Authors

  • Gonchenko, Sergey V.
  • Shilnikov, Leonid
  • Turaev, Dmitry

2010 Mathematics Subject Classification

  • 37J45 37J25 37C29

Keywords

  • non-hyperbolic dynamics, global bifurcations, Hamiltonian chaos, elliptic islands

DOI

10.20347/WIAS.PREPRINT.968

Abstract

We show that maps with infinitely many homoclinic tangencies of arbitrarily high orders are dense among real-analytic area-preserving diffeomorphisms in the Newhouse regions.

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WIAS Preprint No. 1768, (2004)

Longitudinal modes of multisection semiconductor lasers and their dynamics



Authors

  • Radziunas, Mindaugas
  • Wünsche, Hans-Jürgen

2010 Mathematics Subject Classification

  • 65Z05 65N25 78A60 34L16 35P10

Keywords

  • semiconductor laser, modes, spectral expansion, bifurcations, dynamics, self-pulsations

DOI

10.20347/WIAS.PREPRINT.939

Abstract

We simulate and analyse a 1D-PDE model describing the dynamics of multisection semiconductor lasers. We demonstrate how a semi-analytical computation of the spectrum and the corresponding eigenfunction expansion of the computed solutions provides a useful information allowing to achieve a better understanding of the laser dynamics. Basic algorithms implemented into a corresponding software tool are described.

Appeared in

  • Optoelectronic Devices - Advanced Simulation and Analysis/, pp. 121-150, ed. J. Piprek, Springer Verlag, New York, 2005. ISBN: 0-387-22659-1 .

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WIAS Preprint No. 1768, (2004)

Existence and uniqueness results for reaction-diffusion processes of electrically charged species



Authors

  • Gajewski, Herbert
  • Skrypnik, Igor V.

2010 Mathematics Subject Classification

  • 35B45 35K15 35K20 35K65

Keywords

  • Nonlinear elliptic-parabolic systems, nonlocal drift, global bounded solutions, uniqueness, nonstandard assumptions, degenerate typ

DOI

10.20347/WIAS.PREPRINT.938

Abstract

We study initial-- boundary value problems for elliptic--parabolic systems of nonlinear partial differential equations describing drift--diffusion processes of electrically charged species in N--dimensional bounded Lipschitzian domains. We include Fermi--Dirac statistics and admit nonsmooth material coefficients. We prove existence and uniqueness of bounded global solutions.

Appeared in

  • Nonlinear elliptic and parabolic problems, 151--188, Prog. Nonlinear Differential Equations Appl., 64, Birkhäuser, Basel, 2005

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WIAS Preprint No. 1768, (2004)

Instabilities of stationary states in lasers with long-delay optical feedback



Authors

  • Yanchuk, Serhiy
  • Wolfrum, Matthias

2010 Mathematics Subject Classification

  • 34K60 34K20 34K26

Keywords

  • Lang-Kobayashi system, laser with feedback, external cavity mode, singularly perturbed delay-differential equation, stability

DOI

10.20347/WIAS.PREPRINT.962

Abstract

We study the Lang-Kobayashi model in the long-delay limit, focussing our attention on the stability properties of external cavity modes (ECMs) of this system. We show that ECMs can display different types of instabilities: strong instabilities and weak modulational-type instability. We explain the origin of these instabilities and show how they affect the complicated dynamics of the Lang-Kobayashi model.

Appeared in

  • SIAM J. Appl. Dyn. Syst. Vol. 9, No. 2 (2010), 519-535.

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WIAS Preprint No. 1768, (2004)

Long-term behavior for superprocesses over a stochastic flow



Authors

  • Xiong, Jie

2010 Mathematics Subject Classification

  • 60G57 60H15 60J80

Keywords

  • Superprocess, stochastic flow, log-Laplace equation, long-term behavior

DOI

10.20347/WIAS.PREPRINT.906

Abstract

We study the limit of a superprocess controlled by a stochastic flow as $ttoinfty$. It is proved that when $dle 2$, this process suffers long-time local extinction, when $dge 3$, it has a limit which is persistent. The stochastic log-Laplace equation conjectured by Skoulakis and Adler [7] and studied by this author [12] plays a key role in the proofs like the one played by the log-Laplace equation in deriving long-term behavior for usual super-Brownian motion.

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WIAS Preprint No. 1768, (2004)

A reduction approximation method for curved rods



Authors

  • Arnautu, Viorel
  • Sprekels, Jürgen
  • Tiba, Dan

2010 Mathematics Subject Classification

  • 65L20 74K10

Keywords

  • Finite element approximation, locking problem, uniform convergence

DOI

10.20347/WIAS.PREPRINT.958

Abstract

We study the numerical approximation of a general linear model for three-dimensional clamped curved rods. We introduce a modified system and we show that the convergence of the numerical discretization is independent of the small parameters entering the coefficients of the differential equations.

Appeared in

  • Numer. Funct. Anal. Optim., Volume 26 (2005), pp. 139-155

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WIAS Preprint No. 1768, (2004)

Optimal investment strategy under saving/borrowing rates spread with partial information



Authors

  • Xiong, Jie
  • Yang, Zhaojun

2010 Mathematics Subject Classification

  • 90A09

Keywords

  • Investment, stochastic optimal control, nonlinear filtering, optimal strategy, utility function, explicit solution

DOI

10.20347/WIAS.PREPRINT.908

Abstract

We study the optimal investment strategy for maximizing the expected utility of the terminal wealth with partial information. Under the assumption that the borrowing rate is higher than the saving rate and the utility function is $U(x)=log x$, we develop a new method to solve such problem and derive the explicit solutions that are easy to implement.

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WIAS Preprint No. 1768, (2004)

Some limit theorems for a particle system of single point catalytic branching random walks



Authors

  • Vatutin, Vladimir
  • Xiong, Jie

2010 Mathematics Subject Classification

  • 60J80 60K25

Keywords

  • Renewal equation, branching particle system, scaling limit

DOI

10.20347/WIAS.PREPRINT.919

Abstract

We study the scaling limit for a catalytic branching particle system whose particles performs random walks on $ZZ$ and can branch at 0 only. Varying the initial (finite) number of particles we get for this system different limiting distributions. To be more specific, suppose that initially there are $n^be$ particles and consider the scaled process $Z^n_t(bullet)=Z_nt(sqrtn, bullet)$ where $Z_t$ is the measure-valued process representing the original particle system. We prove that $Z^n_t$ converges to 0 when $befrac12$ then $n^-beZ^n_t$ converges to a deterministic limit. Note that according to Kaj and Sagitov citeKS $n^-frac12Z^n_t$ converges to a random limit if $be=frac12.$

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WIAS Preprint No. 1768, (2004)

Q-switching instability in a mode-locked semiconductor laser



Authors

  • Rachinskii, Dmitri
  • Vladimirov, Andrei

2010 Mathematics Subject Classification

  • 78A60 34C23

2008 Physics and Astronomy Classification Scheme

  • 42.60.Fc 42.55.Px 42.60.Mi 42.65.Pc 42.60.Gd

Keywords

  • Semiconductor laser, mode-locking, Q-switching, delay differential equations, Neimark-Sacker bifurcation

DOI

10.20347/WIAS.PREPRINT.975

Abstract

We suggest analytic estimates for the Q-switching instability boundary of the continuous-wave mode-locking regime domain for a ring cavity semiconductor laser. We use a differential delay laser model that allows to assume large gain and loss in the cavity, which is a typical situation for this laser class. The slow saturable absorber approximation is applied to derive a map that describes the transformation of the pulse parameters after a round trip in the cavity. The Q-switching instability boundary is then obtained as a Neimark-Sacker bifurcation curve of this map. We study the dependence of this boundary on laser parameters and compare it with the boundaries obtained by the New stability criterion and by direct numerical analysis of the original differential model. Further modification of our approach, based on the hyperbolic secant ansatz for the pulse shape, is used to estimate the width and repetition rate of the mode locking pulses.

Appeared in

  • J. Opt. Soc. Amer. B Opt. Phys., 23 (2006) pp. 663-670.

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WIAS Preprint No. 1768, (2004)

Asymptotic analysis of elastic curved rods



Authors

  • Vodák, Rostislav

2010 Mathematics Subject Classification

  • 74K10 35J25 74B99

Keywords

  • curved rods, low geometrical regularity, 1-D asymptotic model, asymptotic analysis

DOI

10.20347/WIAS.PREPRINT.986

Abstract

We suppose a convergent sequence of curved rods made from an isotropic elastic material and clamped on the lower basis or on both bases, and the linearized elasticity system posed on the sequence of the curved rods. We study the asymptotic behaviour of the stress tensor and the solution to this system, when the radius of the domains tends to zero. The curved rods with a nonsmooth line of centroids are covered by the used asymptotic method as well.

Appeared in

  • Math. Methods Appl. Sci., 30 (2007), pp. 43-75

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WIAS Preprint No. 1768, (2004)

Hopf bifurcations and simple structures of periodic solution sets in systems with the Preisach nonlinearity



Authors

  • Brokate, Martin
    ORCID: 0000-0003-4660-9180
  • Rachinskii, Dmitri

2010 Mathematics Subject Classification

  • 34C55 34D20 34D10

Keywords

  • Hysteresis, forced periodic oscillations, cycles, one-parameter continuum of periodic regimes, Hopf bifurcation, Preisach nonlinearity

DOI

10.20347/WIAS.PREPRINT.921

Abstract

We survey a number of recent results and suggest some new ones on periodic solutions of systems with hysteresis. The main focus of this work is the situation when simple one-parameter structures of periodic regimes appear. We consider forced oscillations, cycles of autonomous systems and Hopf bifurcations from the equilibrium and from infinity.

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