Ray methods for Free Boundary Problems

We discuss the use of the WKB ansatz in a variety of parabolic problems involving a small parameter. We analyse the Stefan problem for small latent heat, the Black--Scholes problem for an American put option, and some nonlinear diffusion equations, in each case constructing an asymptotic solution by the use of ray methods

Nonclassical shallow water flows

This paper deals with violent discontinuities in shallow water flows with large Froude number $F$. On a horizontal base, the paradigm problem is that of the impact of two fluid layers in situations where the flow can be modelled as two smooth regions joined by a singularity in the flow field. Within the framework of shallow water theory we show that, over a certain timescale, this discontinuity may be described by a delta-shock, which is a weak solution of the underlying conservation laws in which the depth and mass and momentum fluxes have both delta function and step functioncomponents. We also make some conjectures about how this model evolves from the traditional model for jet impacts in which a spout is emitted. For flows on a sloping base, we show that for flow with an aspect ratio of \emph{O}($F^{-2}$) on a base with an \emph{O(1)} or larger slope, the governing equations admit a new type of discontinuous solution that is also modelled as a delta-shock. The physical manifestation of this discontinuity is a small `tube' of fluid bounding the flow. The delta-shock conditions for this flow are derived and solved for a point source on an inclined plane. This latter delta-shock framework also sheds light on the evolution of the layer impact on a horizontal base

A note on oblique water entry

An apparently minor error in Howison, Ockendon & Oliver (J. Eng. Math. 48:321–337, 2004) obscured the fact that the points at which the free surface turns over in the solution of the Wagner model for the oblique impact of a two-dimensional body are directly related to the turnover points in the equivalent normal impact problem. This note corrects some results given in Howison, Ockendon & Oliver (2004) and discusses the implications for the applicability of the Wagner\ud model

Multidimensional Pattern Formation Has an Infinite Number of Constants of Motion

Extending our previous work on 2D growth for the Laplace equation we study here {\it multidimensional} growth for {\it arbitrary elliptic} equations, describing inhomogeneous and anisotropic pattern formations processes. We find that these nonlinear processes are governed by an infinite number of conservation laws. Moreover, in many cases {\it all dynamics of the interface can be reduced to the linear time--dependence of only one ``moment" $M_0$} which corresponds to the changing volume while {\it all higher moments, $M_l$, are constant in time. These moments have a purely geometrical nature}, and thus carry information about the moving shape. These conserved quantities (eqs.~(7) and (8) of this article) are interpreted as coefficients of the multipole expansion of the Newtonian potential created by the mass uniformly occupying the domain enclosing the moving interface. Thus the question of how to recover the moving shape using these conserved quantities is reduced to the classical inverse potential problem of reconstructing the shape of a body from its exterior gravitational potential. Our results also suggest the possibility of controlling a moving interface by appropriate varying the location and strength of sources and sinks.Comment: CYCLER Paper 93feb00

Interface dynamics in Hele-Shaw flows with centrifugal forces. Preventing cusp singularities with rotation

A class of exact solutions of Hele-Shaw flows without surface tension in a rotating cell is reported. We show that the interplay between injection and rotation modifies drastically the scenario of formation of finite-time cusp singularities. For a subclass of solutions, we show that, for any given initial condition, there exists a critical rotation rate above which cusp formation is prevented. We also find an exact sufficient condition to avoid cusps simultaneously for all initial conditions. This condition admits a simple interpretation related to the linear stability problem.Comment: 4 pages, 2 figure

Back to basics: historical option pricing revisited

We reconsider the problem of option pricing using historical probability distributions. We first discuss how the risk-minimisation scheme proposed recently is an adequate starting point under the realistic assumption that price increments are uncorrelated (but not necessarily independent) and of arbitrary probability density. We discuss in particular how, in the Gaussian limit, the Black-Scholes results are recovered, including the fact that the average return of the underlying stock disappears from the price (and the hedging strategy). We compare this theory to real option prices and find these reflect in a surprisingly accurate way the subtle statistical features of the underlying asset fluctuations.Comment: 14 pages, 2 .ps figures. Proceedings, to appear in Proc. Roy. So

Tip-splitting evolution in the idealized Saffman-Taylor problem

We derive a formula describing the evolution of tip-splittings of Saffman-Taylor fingers in a Hele-Shaw cell, at zero surface tension

A framework for the construction of generative models for mesoscale structure in multilayer networks

Multilayer networks allow one to represent diverse and coupled connectivity patterns—such as time-dependence, multiple subsystems, or both—that arise in many applications and which are difficult or awkward to incorporate into standard network representations. In the study of multilayer networks, it is important to investigate mesoscale (i.e., intermediate-scale) structures, such as dense sets of nodes known as communities, to discover network features that are not apparent at the microscale or the macroscale. The ill-defined nature of mesoscale structure and its ubiquity in empirical networks make it crucial to develop generative models that can produce the features that one encounters in empirical networks. Key purposes of such models include generating synthetic networks with empirical properties of interest, benchmarking mesoscale-detection methods and algorithms, and inferring structure in empirical multilayer networks. In this paper, we introduce a framework for the construction of generative models for mesoscale structures in multilayer networks. Our framework provides a standardized set of generative models, together with an associated set of principles from which they are derived, for studies of mesoscale structures in multilayer networks. It unifies and generalizes many existing models for mesoscale structures in fully ordered (e.g., temporal) and unordered (e.g., multiplex) multilayer networks. One can also use it to construct generative models for mesoscale structures in partially ordered multilayer networks (e.g., networks that are both temporal and multiplex). Our framework has the ability to produce many features of empirical multilayer networks, and it explicitly incorporates a user-specified dependency structure between layers. We discuss the parameters and properties of our framework, and we illustrate examples of its use with benchmark models for community-detection methods and algorithms in multilayer networks

A moving boundary model motivated by electric breakdown: II. Initial value problem

An interfacial approximation of the streamer stage in the evolution of sparks and lightning can be formulated as a Laplacian growth model regularized by a 'kinetic undercooling' boundary condition. Using this model we study both the linearized and the full nonlinear evolution of small perturbations of a uniformly translating circle. Within the linear approximation analytical and numerical results show that perturbations are advected to the back of the circle, where they decay. An initially analytic interface stays analytic for all finite times, but singularities from outside the physical region approach the interface for $t\to\infty$, which results in some anomalous relaxation at the back of the circle. For the nonlinear evolution numerical results indicate that the circle is the asymptotic attractor for small perturbations, but larger perturbations may lead to branching. We also present results for more general initial shapes, which demonstrate that regularization by kinetic undercooling cannot guarantee smooth interfaces globally in time.Comment: 44 pages, 18 figures, paper submitted to Physica

Large droplet impact on water layers

The impact of large droplets onto an otherwise undisturbed layer of water is considered. The work, which is motivated primarily with regard to aircraft icing, is to try and help understand the role of splashing on the formation of ice on a wing, in particular for large droplets where splash appears, to have a significant effect. Analytical and numerical approaches are used to investigate a single droplet impact onto a water layer. The flow for small times after impact is determined analytically, for both direct and oblique impacts. The impact is also examined numerically using the volume of fluid (VOF) method. At small times there are promising comparisons between the numerical results, the analytical solution and experimental work capturing the ejector sheet. At larger times there is qualitative agreement with experiments and related simulations. Various cases are considered, varying the droplet size to layer depth ratio, including surface roughness, droplet distortion and air effects. The amount of fluid splashed by such an impact is examined and is found to increase with droplet size and to be significantly influenced by surface roughness. The makeup of the splash is also considered, tracking the incoming fluid, and the splash is found to consist mostly of fluid originating in the layer