Random Fields and Stochastic Lagrangian Models


Book Description

The book presents advanced stochastic models and simulation methods for random flows and transport of particles by turbulent velocity fields and flows in porous media. Two main classes of models are constructed: (1) turbulent flows are modeled as synthetic random fields which have certain statistics and features mimicing those of turbulent fluid in the regime of interest, and (2) the models are constructed in the form of stochastic differential equations for stochastic Lagrangian trajectories of particles carried by turbulent flows. The book is written for mathematicians, physicists, and engineers studying processes associated with probabilistic interpretation, researchers in applied and computational mathematics, in environmental and engineering sciences dealing with turbulent transport and flows in porous media, as well as nucleation, coagulation, and chemical reaction analysis under fluctuation conditions. It can be of interest for students and post-graduates studying numerical methods for solving stochastic boundary value problems of mathematical physics and dispersion of particles by turbulent flows and flows in porous media.




Seminar on Stochastic Analysis, Random Fields and Applications VII


Book Description

This volume contains refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verità) in Ascona , Switzerland, in May 2011. The seminar focused mainly on: - stochastic (partial) differential equations, especially with jump processes, construction of solutions and approximations - Malliavin calculus and Stein methods, and other techniques in stochastic analysis, especially chaos representations and convergence, and applications to models of interacting particle systems - stochastic methods in financial models, especially models for power markets or for risk analysis, empirical estimation and approximation, stochastic control and optimal pricing. The book will be a valuable resource for researchers in stochastic analysis and for professionals interested in stochastic methods in finance.​




Modeling Approaches and Computational Methods for Particle-laden Turbulent Flows


Book Description

Modelling Approaches and Computational Methods for Particle-laden Turbulent Flows introduces the principal phenomena observed in applications where turbulence in particle-laden flow is encountered while also analyzing the main methods for analyzing numerically. The book takes a practical approach, providing advice on how to select and apply the correct model or tool by drawing on the latest research. Sections provide scales of particle-laden turbulence and the principal analytical frameworks and computational approaches used to simulate particles in turbulent flow. Each chapter opens with a section on fundamental concepts and theory before describing the applications of the modelling approach or numerical method. Featuring explanations of key concepts, definitions, and fundamental physics and equations, as well as recent research advances and detailed simulation methods, this book is the ideal starting point for students new to this subject, as well as an essential reference for experienced researchers. - Provides a comprehensive introduction to the phenomena of particle laden turbulent flow - Explains a wide range of numerical methods, including Eulerian-Eulerian, Eulerian-Lagrange, and volume-filtered computation - Describes a wide range of innovative applications of these models




Stochastic Methods for Boundary Value Problems


Book Description

This monograph is devoted to random walk based stochastic algorithms for solving high-dimensional boundary value problems of mathematical physics and chemistry. It includes Monte Carlo methods where the random walks live not only on the boundary, but also inside the domain. A variety of examples from capacitance calculations to electron dynamics in semiconductors are discussed to illustrate the viability of the approach. The book is written for mathematicians who work in the field of partial differential and integral equations, physicists and engineers dealing with computational methods and applied probability, for students and postgraduates studying mathematical physics and numerical mathematics. Contents: Introduction Random walk algorithms for solving integral equations Random walk-on-boundary algorithms for the Laplace equation Walk-on-boundary algorithms for the heat equation Spatial problems of elasticity Variants of the random walk on boundary for solving stationary potential problems Splitting and survival probabilities in random walk methods and applications A random WOS-based KMC method for electron–hole recombinations Monte Carlo methods for computing macromolecules properties and solving related problems Bibliography




Spherical and Plane Integral Operators for PDEs


Book Description

The book presents integral formulations for partial differential equations, with the focus on spherical and plane integral operators. The integral relations are obtained for different elliptic and parabolic equations, and both direct and inverse mean value relations are studied. The derived integral equations are used to construct new numerical methods for solving relevant boundary value problems, both deterministic and stochastic based on probabilistic interpretation of the spherical and plane integral operators.




Diffusion in Random Fields


Book Description

This book presents, in an accessible and self-consistent way, the theory of diffusion in random velocity fields, together with robust numerical simulation approaches. The focus is on transport processes in natural porous media, with applications to contaminant transport in groundwater. Starting from basic information on stochastic processes, more challenging issues are subsequently addressed, such as the correlation structure of the diffusion process in random fields, the relation between memory effects and ergodic properties, derivation and parameterizations of evolution equations for probability densities, and the relation between measurements and spatio-temporal upscaling. Written for readers with a background in applied mathematics, engineering, physics or geophysics, the book offers an essential basis for further research in the stochastic modeling of groundwater systems.




Mathematical Control Theory for Stochastic Partial Differential Equations


Book Description

This is the first book to systematically present control theory for stochastic distributed parameter systems, a comparatively new branch of mathematical control theory. The new phenomena and difficulties arising in the study of controllability and optimal control problems for this type of system are explained in detail. Interestingly enough, one has to develop new mathematical tools to solve some problems in this field, such as the global Carleman estimate for stochastic partial differential equations and the stochastic transposition method for backward stochastic evolution equations. In a certain sense, the stochastic distributed parameter control system is the most general control system in the context of classical physics. Accordingly, studying this field may also yield valuable insights into quantum control systems. A basic grasp of functional analysis, partial differential equations, and control theory for deterministic systems is the only prerequisite for reading this book.




Transport Barriers and Coherent Structures in Flow Data


Book Description

Transport barriers are observed inhibitors of the spread of substances in flows. The collection of such barriers offers a powerful geometric template that frames the main pathways, or lack thereof, in any transport process. This book surveys effective and mathematically grounded methods for defining, locating and leveraging transport barriers in numerical simulations, laboratory experiments, technological processes and nature. It provides a unified treatment of material developed over the past two decades, focusing on the methods that have a solid foundation and broad applicability to data sets beyond simple model flows. The intended audience ranges from advanced undergraduates to researchers in the areas of turbulence, geophysical flows, aerodynamics, chemical engineering, environmental engineering, flow visualization, computational mathematics and dynamical systems. Detailed open-source implementations of the numerical methods are provided in an accompanying collection of Jupyter notebooks linked from the electronic version of the book.




Stochastic Models in Geosystems


Book Description

This IMA Volume in Mathematics and its Applications STOCHASTIC MODELS IN GEOSYSTEMS is based on the proceedings of a workshop with the same title and was an integral part of the 1993-94 IMA program on "Emerging Applications of Probability." We would like to thank Stanislav A. Molchanov and Wojbor A. Woyczynski for their hard work in organizing this meeting and in edit ing the proceedings. We also take this opportunity to thank the National Science Foundation, the Office of N aval Research, the Army Research Of fice, and the National Security Agency, whose financial support made this workshop possible. A vner Friedman Willard Miller, Jr. v PREFACE A workshop on Stochastic Models in Geosystems was held during the week of May 16, 1994 at the Institute for Mathematics and Its Applica tions at the University of Minnesota. It was part of the Special Year on Emerging Applications of Prob ability program put together by an organiz ing committee chaired by J. Michael Steele. The invited speakers represented a broad interdisciplinary spectrum including mathematics, statistics, physics, geophysics, astrophysics, atmo spheric physics, fluid mechanics, seismology, and oceanography. The com mon underlying theme was stochastic modeling of geophysical phenomena and papers appearing in this volume reflect a number of research directions that are currently pursued in these areas.




Spatiotemporal Random Fields


Book Description

Spatiotemporal Random Fields: Theory and Applications, Second Edition, provides readers with a new and updated edition of the text that explores the application of spatiotemporal random field models to problems in ocean, earth, and atmospheric sciences, spatiotemporal statistics, and geostatistics, among others. The new edition features considerable detail of spatiotemporal random field theory, including ordinary and generalized models, as well as space-time homostationary, isostationary and hetrogeneous approaches. Presenting new theoretical and applied results, with particular emphasis on space-time determination and interpretation, spatiotemporal analysis and modeling, random field geometry, random functionals, probability law, and covariance construction techniques, this book highlights the key role of space-time metrics, the physical interpretation of stochastic differential equations, higher-order space-time variability functions, the validity of major theoretical assumptions in real-world practice (covariance positive-definiteness, metric-adequacy etc.), and the emergence of interdisciplinary phenomena in conditions of multi-sourced real-world uncertainty. - Contains applications in the form of examples and case studies, providing readers with first-hand experiences - Presents an easy to follow narrative which progresses from simple concepts to more challenging ideas - Includes significant updates from the previous edition, including a focus on new theoretical and applied results