Similarity solutions of first-passage problems for two-dimensional Wiener processes

1996 ◽  
Vol 29 (2) ◽  
pp. 185-189 ◽  
Author(s):  
Mario Lefebvre
1969 ◽  
Vol 91 (3) ◽  
pp. 353-358 ◽  
Author(s):  
W. A. Gustafson ◽  
I. Pelech

The two-dimensional, incompressible laminar boundary layer on a strongly curved wall in a converging channel is investigated for the special case of potential velocity inversely proportional to the distance along the wall. Similarity solutions of the momentum equation are obtained by two different methods and the differences between the methods are discussed. The numerical results show that displacement and momentum thickness increase linearly with curvature while skin friction decreases linearly.


1975 ◽  
Vol 69 (3) ◽  
pp. 417-443 ◽  
Author(s):  
Peter B. Rhines

Two-dimensional eddies in a homogeneous fluid at large Reynolds number, if closely packed, are known to evolve towards larger scales. In the presence of a restoring force, the geophysical beta-effect, this cascade produces a field of waves without loss of energy, and the turbulent migration of the dominant scale nearly ceases at a wavenumber kβ = (β/2U)½ independent of the initial conditions other than U, the r.m.s. particle speed, and β, the northward gradient of the Coriolis frequency.The conversion of turbulence into waves yields, in addition, more narrowly peaked wavenumber spectra and less fine-structure in the spatial maps, while smoothly distributing the energy about physical space.The theory is discussed, using known integral constraints and similarity solutions, model equations, weak-interaction wave theory (which provides the terminus for the cascade) and other linearized instability theory. Computer experiments with both finite-difference and spectral codes are reported. The central quantity is the cascade rate, defined as \[ T = 2\int_0^{\infty} kF(k)dk/U^3\langle k\rangle , \] where F is the nonlinear transfer spectrum and 〈k〉 the mean wavenumber of the energy spectrum. (In unforced inviscid flow T is simply U−1d〈k〉−1/dt, or the rate at which the dominant scale expands in time t.) T is shown to have a mean value of 3·0 × 10−2 for pure two-dimensional turbulence, but this decreases by a factor of five at the transition to wave motion. We infer from weak-interaction theory even smaller values for k [Lt ] kβ.After passing through a state of propagating waves, the homogeneous cascade tends towards a flow of alternating zonal jets which, we suggest, are almost perfectly steady. When the energy is intermittent in space, however, model equations show that the cascade is halted simply by the spreading of energy about space, and then the end state of a zonal flow is probably not achieved.The geophysical application is that the cascade of pure turbulence to large scales is defeated by wave propagation, helping to explain why the energy-containing eddies in the ocean and atmosphere, though significantly nonlinear, fail to reach the size of their respective domains, and are much smaller. For typical ocean flows, $k_{\beta}^{-1} = 70\,{\rm km} $, while for the atmosphere, $k_{\beta}^{-1} = 1000\,{\rm km}$. In addition the cascade generates, by itself, zonal flow (or more generally, flow along geostrophic contours).


2006 ◽  
Vol Volume 5, Special Issue TAM... ◽  
Author(s):  
Mario Lefebvre

International audience A two-dimensional controlled stochastic process defined by a set of stochastic differential equations is considered. Contrary to the most frequent formulation, the control variables appear only in the infinitesimal variances of the process, rather than in the infinitesimal means. The differential game ends the first time the two controlled processes are equal or their difference is equal to a given constant. Explicit solutions to particular problems are obtained by making use of the method of similarity solutions to solve the appropriate partial differential equation. On considère un processus stochastique commandé bidimensionnel défini par un ensemble d'équations différentielles stochastiques. Contrairement à la formulation la plus fréquente, les variables de commande apparaissent dans les variances infinitésimales du processus, plutôt que dans les moyennes infinitésimales. Le jeu différentiel prend fin lorsque les deux processus sont égaux ou que leur différence est égale à une constante donnée. Des solutions explicites à des problèmes particuliers sont obtenues en utilisant la méthode des similitudes pour résoudre l'équation aux dérivées partielles appropriée.


2016 ◽  
Vol 48 (4) ◽  
pp. 1045-1060 ◽  
Author(s):  
Steven Kou ◽  
Haowen Zhong

AbstractFirst-passage times (FPTs) of two-dimensional Brownian motion have many applications in quantitative finance. However, despite various attempts since the 1960s, there are few analytical solutions available. By solving a nonhomogeneous modified Helmholtz equation in an infinite wedge, we find analytical solutions for the Laplace transforms of FPTs; these Laplace transforms can be inverted numerically. The FPT problems lead to a class of bivariate exponential distributions which are absolute continuous but do not have the memoryless property. We also prove that the density of the absolute difference of FPTs tends to ∞ if and only if the correlation between the two Brownian motions is positive.


AIAA Journal ◽  
1975 ◽  
Vol 13 (1) ◽  
pp. 110-112 ◽  
Author(s):  
J. E. DANBERG ◽  
K. S. FANSLER

1992 ◽  
Vol 6 (4) ◽  
pp. 561-580
Author(s):  
C. H. Hesse

This paper deals with the two-dimensional stochastic process (X(t), V(t)) where dX(t) = V(t)dt, V(t) = W(t) + ν for some constant ν and W(t) is a one-dimensional Wiener process with zero mean and variance parameter σ2= 1. We are interested in the first-passage time of (X(t), V(t)) to the plane X = 0 for a process starting from (X(0) = −x, V(0) = ν) with x > 0. The partial differential equation for the Laplace transform of the first-passage time density is transformed into a Schrödinger-type equation and, using methods of global analysis, such as the method of dominant balance, an approximation to the first-passage density is obtained. In a series of simulations, the quality of this approximation is checked. Over a wide range of x and ν it is found to perform well, globally in t. Some applications are mentioned.


2011 ◽  
Vol 2011 ◽  
pp. 1-13
Author(s):  
Mario Lefebvre

Two-dimensional diffusion processes are considered between concentric circles and in angular sectors. The aim of the paper is to compute the probability that the process will hit a given part of the boundary of the stopping region first. The appropriate partial differential equations are solved explicitly by using the method of similarity solutions and the method of separation of variables. Some solutions are expressed as generalized Fourier series.


1975 ◽  
Vol 69 (3) ◽  
pp. 615-624 ◽  
Author(s):  
D. Gordon ◽  
U. R. Klement ◽  
T. N. Stevenson

A viscous incompressible stably stratified fluid with a buoyancy frequency which varies slowly with altitude is considered. A simple harmonic localized disturbance generates an internal wave in which the energy propagates along curved paths. Small amplitude similarity solutions are obtained for two-dimensional and axisymmetric waves. It is found that under certain conditions the wave amplitude can increase with height. The two-dimensional theory compares quite well with experimental measurements.


1976 ◽  
Vol 13 (01) ◽  
pp. 27-38 ◽  
Author(s):  
L. A. Shepp ◽  
D. Slepian

We find the first-passage probability that X(t) remains above a level a throughout a time interval of length T given X(0) = x 0 for the particular stationary Gaussian process X with mean zero and (sawtooth) covariance P(τ) = 1 – α | τ |, | τ | ≦ 1, with ρ(τ + 2) = ρ(τ), – ∞ < τ < ∞. The desired probability is explicitly found as an infinite series of integrals of a two-dimensional Gaussian density over sectors. Simpler expressions are found for the case a = 0 and also for the unconditioned probability that X(t) be non-negative throughout [0, T]. Results of some numerical calculations are given.


Sign in / Sign up

Export Citation Format

Share Document