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- Andersson, Patrik, 1981-
(författare)
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Four applications of stochastic processes : Contagious disease, credit risk, gambling and bond portfolios
- 2011
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of four papers on applications of stochastic processes. In Paper I we study an open population SIS (Susceptible - Infective - Susceptible) stochastic epidemic model from the time of introduction of the disease, through a possible outbreak and to extinction. The analysis uses coupling arguments and diffusion approximations. In Paper II we propose a model describing an economy where companies may default due to contagion. The features of the model are analyzed using diffusion approximations. We show that the model can reproduce oscillations in the default rates similar to what has been observed empirically. In Paper III we consider the problem of finding an optimal betting strategy for a house-banked casino card game that is played for several coups before reshuffling. A limit result for the return process is found and the optimal card counting strategy is derived. This continuous time strategy is shown to be a natural generalization of the discrete time strategy where the so called effects of removals are replaced by the infinitesimal generator of the card process. In Paper IV we study interest rate models where the term structure is given by an affine relation and in particular where the driving stochastic processes are so-called generalised Ornstein-Uhlenbeck processes. We show that the return and variance of a portfolio of bonds which are continuously rolled over, also called rolling horizon bonds, can be expressed using the cumulant generating functions of the background driving Lévy processes associated with the OU processes. We also show that if the short rate, in a risk-neutral setting, is given by a linear combination of generalised OU processes, the implied term structure can be expressed in terms of the cumulant generating functions.
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| 2. |
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| 3. |
- Tang, Zheng, et al.
(författare)
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Interlayer for Modified Cathode in Highly Efficient Inverted ITO-Free Organic Solar Cells
- 2012
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Ingår i: Advanced Materials. - : Wiley. - 0935-9648 .- 1521-4095. ; 24:4, s. 554-
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Tidskriftsartikel (refereegranskat)abstract
- Inverted polymer solar cells with a bottom metal cathode modified by a conjugated polymer interlayer show considerable improvement of photocurrent and fill factor, which is due to hole blocking at the interlayer, and a modified surface energy which affects the nanostructure in the TQ1/[70]PCBM blend.
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| 4. |
- Abel, I, et al.
(författare)
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Overview of the JET results with the ITER-like wall
- 2013
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Ingår i: Nuclear Fusion. - : IOP Publishing. - 1741-4326 .- 0029-5515. ; 53:10, s. 104002-
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Tidskriftsartikel (refereegranskat)abstract
- Following the completion in May 2011 of the shutdown for the installation of the beryllium wall and the tungsten divertor, the first set of JET campaigns have addressed the investigation of the retention properties and the development of operational scenarios with the new plasma-facing materials. The large reduction in the carbon content (more than a factor ten) led to a much lower Z(eff) (1.2-1.4) during L- and H-mode plasmas, and radiation during the burn-through phase of the plasma initiation with the consequence that breakdown failures are almost absent. Gas balance experiments have shown that the fuel retention rate with the new wall is substantially reduced with respect to the C wall. The re-establishment of the baseline H-mode and hybrid scenarios compatible with the new wall has required an optimization of the control of metallic impurity sources and heat loads. Stable type-I ELMy H-mode regimes with H-98,H-y2 close to 1 and beta(N) similar to 1.6 have been achieved using gas injection. ELM frequency is a key factor for the control of the metallic impurity accumulation. Pedestal temperatures tend to be lower with the new wall, leading to reduced confinement, but nitrogen seeding restores high pedestal temperatures and confinement. Compared with the carbon wall, major disruptions with the new wall show a lower radiated power and a slower current quench. The higher heat loads on Be wall plasma-facing components due to lower radiation made the routine use of massive gas injection for disruption mitigation essential.
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| 5. |
- Andersson, Anders G., et al.
(författare)
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A numerical study of the location and function of the entrance of a fishway in a regulated river
- 2010
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Ingår i: 8th International Symposium on ECOHYDRAULICS. ; , s. 277-284
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Konferensbidrag (refereegranskat)abstract
- Simulation driven design with Computational Fluid Dynamics has been used to evaluate the flow downstream a hydropower plant with regards to upstream migrating fish. Field measurements with an Acoustic Doppler Current Profiler were performed and the measurements were used to validate the simulations. The measurements indicate a more unstable flow than the simulations and the tailrace jet from the turbines is stronger in the simulations. The simulations are however considered to capture the important features of the flow in a way that makes them viable for attraction water simulations. A fishway entrance was included in the simulations and the subsequent attraction water was evaluated for two positions and two angles of the entrance at different turbine discharges. Results show that both positions are viable and that a position where the flow from the fishway does not have to compete with the flow from the power plant will generate superior attraction water. Simulations were also performed further downstream where the flow from the turbines meets the old river bed which is the current fish passage for upstream migrating fish. A modification of the old river bed was made in the model as one scenario to generate better attraction water. This considerably increases the attraction water although it cannot compete with the flow from the tailrace tunnel.
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| 6. |
- Andersson, Anders G., et al.
(författare)
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A study of the location of the entrance of a fishway in a regulated river with CFD and ADCP
- 2012
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Ingår i: Modelling and Simulation in Engineering. - : Hindawi Limited. - 1687-5591 .- 1687-5605. ; 2012
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Tidskriftsartikel (refereegranskat)abstract
- Simulation-driven design with computational fluid dynamics has been used to evaluate the flow downstream of a hydropower plant with regards to upstream migrating fish. Field measurements with an Acoustic Doppler Current Profiler were performed, and the measurements were used to validate the simulations. The measurements indicate a more unstable flow than the simulations, and the tailrace jet from the turbines is stronger in the simulations. A fishway entrance was included in the simulations, and the subsequent attraction water was evaluated for two positions and two angles of the entrance at different turbine discharges. Results show that both positions are viable and that a position where the flow from the fishway does not have to compete with the flow from the power plant will generate superior attraction water. Simulations were also performed for further downstream where the flow from the turbines meets the old river bed which is the current fish passage for upstream migrating fish. A modification of the old river bed was made in the model as one scenario to generate better attraction water. This considerably increases the attraction water although it cannot compete with the flow from the tailrace tunnel.
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| 7. |
- Andersson, Anders G., et al.
(författare)
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CFD-modelling and validation of free surface flow during spilling of reservoir in down-scale model
- 2013
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Ingår i: Engineering Applications of Computational Fluid Mechanics. - : Informa UK Limited. - 1994-2060 .- 1997-003X. ; 7:1, s. 159-167
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Tidskriftsartikel (refereegranskat)abstract
- Fully three dimensional modelling of the spilling from a reservoir with relatively complex geometry were performed and compared to experimental results from a physical scale model with the aim to advance the science of numerical modelling of free surface flow of real reservoirs. In the set-up in focus the water was spilled from the reservoir through three gates that could be manoeuvred separately. In the first case two of the gates were closed and the third gate was partly opened. In this experimental set-up the water surface in the reservoir was close to horizontal. Therefore it was here meaningful to compare a rigid lid modelling approximation to the more computational heavy method of Volume of Fluids. In the second case, all three gates were open, resulting in a nonhorizontal varied flow surface profile in the reservoir upstream critical sections at the spillway crests. This case was simulated with Volume of Fluids and the position of the air-water interface was derived for two turbulence models, the standard k-ε and SSG. Water levels, velocities and the shape of the water surface were compared to experiments. The simulation results capture qualitative features such as a vortex near the outlet and show good quantitative agreement with the experiments regardless of method used to simulate the free surface. In general, simulations with the standard k-ε and the more advanced SSG turbulence models give the same results with respect to the averaged quantities measured.
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| 8. |
- Andersson, Anders G., et al.
(författare)
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Effect of spatial resolution of rough surfaces on numerically computed flow fields with application to hydraulic engineering
- 2014
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Ingår i: Engineering Applications of Computational Fluid Mechanics. - : Informa UK Limited. - 1994-2060 .- 1997-003X. ; 8:3, s. 373-381
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Tidskriftsartikel (refereegranskat)abstract
- In numerical simulations of flow over rough surfaces, the roughness is often not resolved but represented by a numerical model. The validity of such an assumption is investigated in this paper by Reynolds-Averaged Navier-Stokes simulations of flow over a surface with a large roughness. The surface was created from a high-resolution laser scanning of a real rock blasted tunnel. By reducing the geometrical resolution of the roughness in two steps, the importance of an appropriate surface description could be examined. The flow fields obtained were compared to a set-up with a geometrical flat surface where the roughness was represented by a modified form of the Launder and Spalding wall-function. The flow field over the surface with the lowest resolution was substantially different from those of the two finer resolutions and rather close to the results from the set-up with the wall-function. The results also yield that the finer the resolution is the more vorticity is formed close to the rough surface and more turbulence is generated.
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