A survey of numerical methods for stochastic differential equations     

P. E. Kloeden  E. Platen 《Stochastic Hydrology and Hydraulics》1989,3(3):155-178

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.  相似文献   

Dynamic faulting under rate-dependent friction   总被引：2，自引：0，他引：2  

Alain Cochard  Raúl Madariaga 《Pure and Applied Geophysics》1994,142(3-4):419-445

We discuss the effects of rate-dependent friction on the propagation of seismic rupture on active faults. Several physicists using Burridge and Knopoff's box and spring model of faulting have proposed that fault complexity may arise from the spontaneous development of a self-similar stress distribution on the fault plane. If this model proves to be correct, it has important consequences for the origin of the complexity of seismic sources. In order to test these ideas on a more realistic earthquake model, we developed a new boundary integral equation method for studying rupture propagation along an antiplane fault in the presence of nonlinear rate-dependent friction. We study rupture dynamics of models with single and twin asperities. In our models, asperities are places on the fault with a higher value of prestress. Othewise all fault parameters are homogeneous. We show that for models with such asperities, a slip velocity weakening friction leads to the propagation of supersonic healing phases and to the spontaneous arrest of fracture if the prestress outside the asperities is low enough. For models with asperities, we can also observe narrow slip velocity pulses, qualitatively similar to the so-called Heaton pulses observed in some earthquake accelerograms. We also observe a complex distribution of stress after the rupture that depends on details of the initial distribution of asperities and on the details of the friction law.  相似文献   

无结构网格上二维浅水流动的数值模拟   总被引：28，自引：13，他引：28       下载免费PDF全文

胡四一  谭维炎 《水科学进展》1995,6(1):1-9

提出在无结构网格上建立有限体积高性能格式族的统一框架,通过引入跨单元界面法向数值通量的逆风分解,将一维Osher、TVD两种通量分裂格式自然地推广至二维浅水方程组。给出了各种情况下浅水方程组有限体积法边界处理的计算公式。最后,利用该格式对穹包溢流、陆地动边界和河口潮流三个问题进行计算。结果表明,这类守恒格式具有高精度、无振荡性以及处理复杂流态过渡、自动捕俘间断和模拟陆地动边界的功能。  相似文献   

IMPLICIT NONLINEAR NORMAL MODE INITIALIZATION:A MULTIGRID APPROACH          下载免费PDF全文

D.R.C.Nair  B.Chakravarty  P.Niyogi 《Acta Meteorologica Sinica》1993,(1)

The implicit nonlinear normal mode initialization (INMI) is applied to a tropical limited area shallow water modelin spherical coordinates.The boundary condition for the INMI scheme is based on the boundary formulation of themodel.The INMI scheme is found to be very efficient in suppressing spurious gravity wave oscillation and providing awell balanced initial data set for the model.The INMI scheme involves solving a number of elliptic type equations withvarying complexity.and hence an efficient numerical technique is required for solving such equations.In order to makeINMI computationally more attractive,we are employing the multigrid method for solving all the elliptic type equationsin the INMI scheme.The numerical procedures for the development of such multigrid solvers are briefly described.  相似文献   

The SOMS model and its application to Lake Neuchâtel     

E. A. H. Zuur  D. E. Dietrich 《Aquatic Sciences - Research Across Boundaries》1990,52(2):115-129

A three-dimensional numerical circulation model (SOMS) based on primitive equations is described. The algorithm, by which Coriolis and vertical diffusion terms are treated implicitly while mass is still conserved exactly (algebraically), is discussed in detail. The model is applied to Lake Neuchâtel (Switzerland), to determine the general circulation under influence of the most prevailing wind.  相似文献   

Development of the instantaneous unit hydrograph using stochastic differential equations     

Sarino  S. E. Serrano 《Stochastic Environmental Research and Risk Assessment (SERRA)》1990,4(2):151-160

Recognizing that simple watershed conceptual models such as the Nash cascade ofn equal linear reservoirs continue to be reasonable means to approximate the Instantaneous Unit Hydrograph (IUH), it is natural to accept that random errors generated by climatological variability of data used in fitting an imprecise conceptual model will produce an IUH which is random itself. It is desirable to define the random properties of the IUH in a watershed in order to have a more realistic hydrologic application of this important function. Since in this case the IUH results from a series of differential equations where one or more of the uncertain parameters is treated in stochastic terms, then the statistical properties of the IUH are best described by the solution of the corresponding Stochastic Differential Equations (SDE's). This article attempts to present a methodology to derive the IUH in a small watershed by combining a classical conceptual model with the theory of SDE's. The procedure is illustrated with the application to the Middle Thames River, Ontario, Canada, and the model is verified by the comparison of the simulated statistical measures of the IUH with the corresponding observed ones with good agreement.  相似文献   

Conditioning of coefficient matrices of Ordinary Kriging   总被引：1，自引：0，他引：1  

R. J. O''Dowd 《Mathematical Geology》1991,23(5):721-739

The solution of a set of linear equations is central to Ordinary Kriging. Computers are commonly applied because of the amount of data and work involved. There has, until recently, been little attention devoted toward the conditioning of kriging matrices. This article considers implications of conditioning upon numerical stability, instead of on robustness which has been the main focus of past work. The effect of properties of the stationary covariance matrix on the conditioning of the kriging matrix is discussed. The relationship between the covariance and autocorrelation functions allows some conclusions about the conditioning of covariance matrices, based on past work in deconvolution. The conditioning of some coefficient matrices of stationary kriging, defined in terms of either the semivariogram or the covariance, is examined.  相似文献   

二维全球气候模式的发展——由对流层向平流层的扩展          下载免费PDF全文

莫文涛  李维亮 《应用气象学报》1994,5(2):158-167

采用Arakawa的σ-p混合坐标，将李维亮等人发展的一个二维全球原始方程模式由对流层扩展到平流层中层(10 hPa)。垂直分层采用等lnp方案。发展后的模式不仅在计算上具有很好的稳定性，而且能较好地模拟平均温度场、平均纬向风场和平均经向风场及其季节性变化。同时，在模式对流层之上加上平流层后改善了对流层上层环流的模拟。  相似文献   

有限元素法全倾角波动方程偏移   总被引：4，自引：1，他引：4       下载免费PDF全文

王尚旭  牟永光 《地球物理学报》1989,(3)

本文试图从两个方面提高波动方程偏移的效果:1.使用全方向波动方程进行偏移,使之适用于任意倾角界面的反射;2.使用有限元素法提高微分方程数值解法的精度。  相似文献   

计算最小走时和射线路径的界面网全局方法   总被引：27，自引：16，他引：27       下载免费PDF全文

刘洪  孟凡林 《地球物理学报》1995,38(6):823-832

用慢度分块均匀正方形模型将介质参数化，仅在正方形单元的边界上设置计算结点，这些结点构成界面网．根据Ｈｕｖｓｅｎｓ和Ｆｅｒｍａｔ原理，由不断扩张、收缩的波前点扫描代替波前面搜索，在波前点附近点的局部最小走时计算中对波前点之间的走时使用双曲线近似，通过比较确定最小走时和相应的次级源位置，记录在以界面网点位置为指针的３个一维数组中．借助这些数组通过向源搜索可计算任意点（包括界面网以外的点）上的全局最小走时和射线路径．这一方法不受介质慢度差异大小限制，占内存少，计算速度较快，适于走时反演和以Ｍａｓｌｏｖ射线理论为基础的波场计算．  相似文献