A survey of numerical methods for stochastic differential equations

The development of numerical methods for stochastic differential equations has intensified over the past decade. The earliest methods were usually heuristic adaptations of deterministic methods, but were found to have limited accuracy regardless of the order of the original scheme. A stochastic counterpart of the Taylor formula now provides a framework for the systematic investigation of numerical methods for stochastic differential equations. It suggests numerical schemes, which involve multiple stochastic integrals, of higher order of convergence. We shall survey the literature on these and on the earlier schemes in this paper. Our discussion will focus on diffusion processes, but we shall also indicate the extensions needed to handle processes with jump components. In particular, we shall classify the schemes according to strong or weak convergence criteria, depending on whether the approximation of the sample paths or of the probability distribution is of main interest.     

Stochastic analysis of estuarine hydraulics

A new methodology is presented for the solution of the stochastic hydraulic equations characterizing steady, one-dimensional estuarine flow. The methodology is predicated on quasi-linearization, perturbation methods, and the finite difference approximation of the stochastic differential operators. Assuming Manning's roughness coefficient is the principal source of uncertainty in the model, stochastic equations are presented for the water depths and flow rates in the estuarine system. Moment equations are developed for the mean and variance of the water depths. The moment equations are compared with the results of Monte Carlo simulation experiments. The results confirm that for any spatial location in the estuary that (1) as the uncertainty in the channel roughness increases, the uncertainty in mean depth increases, and (2) the predicted mean depth will decrease with increasing uncertainty in Manning'sn. The quasi-analytical approach requires significantly less computer time than Monte Carlo simulations and provides explicit     

Analytical techniques for the estimation of mine water inflow

Summary This paper outlines various analytical techniques for mine water inflow estimation incorporating several refinements such as finite boundary conditions, linear, fracture and turbulent flow conditions to pumping wells and underground excavations. These modifications enable practical mining to be simulated and therefore, permit more accurate predictions of mine inflow quantities. Application of these techniques are given together with the scope of the application.     

Semigroup solutions to stochastic unsteady groundwater flow subject to random parameters

Two methods for the solution of partial differential equations (PDE) for the general case of random in time physical parameters are presented and their application to the solution of unsteady regional groundwater flow equations are illustrated. The first method is the semigroup approach which directly offers a solution without resorting to closure approximations (hierarchy techniques), perturbation techniques, or Montecarlo simulation techniques. The semigroup approach can also handle the general stochastic problem when randomness also appears as initial conditions, boundary conditions or forcing terms. The second method is an approximation scheme to obtain the semigroup solution in complex cases and permits the solution of equations with more than one random coefficient.     

THM Coupled Modeling in Near Field of an Assumed HLW Deep Geological Disposal Repository

One of the most suitable ways under study for the disposal of high-level radioactive waste (HLW) is isolation in deep geological repositories. It is very important to research the thermo-hydromechanical (THM) coupled processes associated with an HLW disposal repository. Non-linear coupled equations, which are used to describe the THM coupled process and are suited to saturated-unsaturated porous media, are presented in this paper. A numerical method to solve these equations is put forward, and a finite element code is developed. This code is suited to the plane strain or axis-symmetry problem. Then this code is used to simulate the THM coupled process in the near field of an ideal disposal repository. The temperature vs. time, hydraulic head vs. time and stress vs. time results show that, in this assumed condition, the impact of temperature is very long (over 10 000 a) and the impact of the water head is short (about 90 d). Since the stress is induced by temperature and hydraulic head in this condition, the impact time of stress is the same as that of temperature. The results show that THM coupled processes are very important in the safety analysis of an HLW deep geological disposal repository.     

异轨遥感立体像对外方位元素的求解算法

在对异轨遥感立体像对外方位元素求解的基本模型进行系统阐述的基础上 ,讨论了基于共面条件的后方交会模型改化方法及其和基于共线方程的后方交会模型的融合。给出了外方位元素初值求解的实用算法 ,并利用实测立体像对数据进行了联合平差计算 ,取得了较好的结果     

RATIONAL BASIS FOR SUSPENDED SEDIMENT MODELING

This paper presents a rational basis to model the transport of suspended sediment. The loose-boundary condition for 3D models and the adjustment coefficients for both the depth-integrated 2D and laterally integrated 1D models are treated comprehensively. A combination of Dirichlet and Neumann conditions is proposed as the loose-boundary condition. The adjustment coefficient for 2D models is obtained on the basis of the proposed boundary condition and analytical solutions developed for some simple cases of non-equilibrium transport of sediment in uniform flows. The adjustment coefficient for 1D models for natural rivers is further obtained from lateral integration. Comparisons with analytical solutions and a considerable amount of laboratory and prototype data show that mathematical models developed along the proposed line of attack would well simulate the transport of suspended sediment in practical problems.     

Unsplit Variables Perfectly Matched Layers for the Shallow Water Equations with Coriolis Forces

The paper presents an analytical and numerical study of two perfectly matched layer (PML) formulations for the shallow water equations in terms of the unsplit physical variables. A perturbation method followed by a change of dependent variable allows us to extend the methods to include the Coriolis forces. The PML equations, usually given in terms of the primitive variables, are also presented here in terms of the conservative variables, which facilitates their use in flows containing discontinuities. The performance of the two methods on a set of test cases is investigated. This revised version was published online in July 2006 with corrections to the Cover Date.     

关于两相介质动力学问题建模的注记

本以清楚的物理概念、依据经典力学原理建立了两相介质完整的动力学非线性方程组。然后，阐明了将此方程组线性化的条件：孔隙率、密度随空间的变化远小于它们在该处随时间的变化；孔隙率、密度的变化所引起的位移和孔压等量的变化可以忽略不计。在此条件下，位移、孔压等变量与孔隙率和密度变量解耦，可独立地进行求解，澄清了Biot等模型中隐含的矛盾，即孔隙率和密度不变与孔隙流体可压缩和骨架可变形之间的矛盾。最后，通过比较几种常用的模型，指出它们之间的主要匹配在于本构关系和连续性方程，且土力学模型是Biot模型和Zienkiewicz模型的特例。     

小波分析在单频GPS快速精密定位中的应用研究

单频GPS快速定位方程是严重病态的,应用最小二乘原理得到的模糊度浮点解大大偏离其准确值,应用LAMBDA方法难以正确地固定模糊度。本文将GPS载波相位双差观测量在不同的小波空间和尺度空间进行分解和重构,去除高频测量噪声,可减小测量噪声对GPS快速定位中病态方程解的影响,提高模糊度浮点解的精度,缩小模糊度搜索空间。实验表明,对于GPS短基线,仅利用1min左右的单频载波观测数据,经过基于haar、db4、coif4和sym4小波的5尺度小波变换后,可获得较准确的模糊度浮点解,应用LAMBDA法可正确地固定模糊度,达到厘米级定位精度。