The numerical entropy production (NEP) for shallow water equations (SWE) is discussed and implemented as a smoothness indicator. We consider SWE in three different dimensions, namely, one-dimensional, one-and-a-half-dimensional, and two-dimensional SWE. An existing numerical entropy scheme is reviewed and an alternative scheme is provided. We prove the properties of these two numerical entropy schemes relating to the entropy steady state and consistency with the entropy equality on smooth regions. Simulation results show that both schemes produce NEP with the same behaviour for detecting discontinuities of solutions and perform similarly as smoothness indicators. An implementation of the NEP for an adaptive numerical method is also demonstrated.

Options with extendable features have many applications in finance and these provide the motivation for this study. The pricing of extendable options when the underlying asset follows a geometric Brownian motion with constant volatility has appeared in the literature. In this paper, we consider holder-extendable call options when the underlying asset follows a mean-reverting stochastic volatility. The option price is expressed in integral forms which have known closed-form characteristic functions. We price these options using a fast Fourier transform, a finite difference method and Monte Carlo simulation, and we determine the efficiency and accuracy of the Fourier method in pricing holder-extendable call options for Heston parameters calibrated from the subprime crisis. We show that the fast Fourier transform reduces the computational time required to produce a range of holder-extendable call option prices by at least an order of magnitude. Numerical results also demonstrate that when the Heston correlation is negative, the Black–Scholes model under-prices in-the-money and over-prices out-of-the-money holder-extendable call options compared with the Heston model, which is analogous to the behaviour for vanilla calls.

In this paper, we revisit our previous work in which we derive an effective macroscale description suitable to describe the growth of biological tissue within a porous tissue-engineering scaffold. The underlying tissue dynamics is described as a multiphase mixture, thereby naturally accommodating features such as interstitial growth and active cell motion. Via a linearization of the underlying multiphase model (whose nonlinearity poses a significant challenge for such analyses), we obtain, by means of multiple-scale homogenization, a simplified macroscale model that nevertheless retains explicit dependence on both the microscale scaffold structure and the tissue dynamics, via so-called unit-cell problems that provide permeability tensors to parameterize the macroscale description. In our previous work, the cell problems retain macroscale dependence, posing significant challenges for computational implementation of the eventual macroscopic model; here, we obtain a decoupled system whereby the quasi-steady cell problems may be solved separately from the macroscale description. Moreover, we indicate how the formulation is influenced by a set of alternative microscale boundary conditions.

This paper is concerned with the problem of existence and uniqueness of weak and classical solutions for a fourth-order semilinear boundary value problem. The existence and uniqueness for weak solutions follows from standard variational methods, while similar uniqueness results for classical solutions are derived using maximum principles.

We consider a theoretical model for the flow of Newtonian fluid through a long flexible-walled channel which is formed from four compliant and rigid compartments arranged alternately in series. We drive the flow using a fixed upstream flux and derive a spatially one-dimensional model using a flow profile assumption. The compliant compartments of the channel are assumed subject to a large external pressure, so the system admits a highly collapsed steady state. Using both a global (linear) stability eigensolver and fully nonlinear simulations, we show that these highly collapsed steady states admit a primary global oscillatory instability similar to observations in a single channel. We also show that in some regions of the parameter space the system admits a secondary mode of instability which can interact with the primary mode and lead to significant changes in the structure of the neutral stability curves. Finally, we apply the predictions of this model to the flow of blood through the central retinal vein and examine the conditions required for the onset of self-excited oscillation. We show that the neutral stability curve of the primary mode of instability discussed above agrees well with canine experimental measurements of the onset of retinal venous pulsation, although there is a large discrepancy in the oscillation frequency.

The withdrawal of water with a free surface through a line sink from a two-dimensional, vertical sand column is considered using the hodograph method and a novel spectral method. Hodograph solutions are presented for slow flow and for critical, limiting steady flows, and these are compared with spectral solutions to the steady problem. The spectral method is then extended to obtain unsteady solutions and hence the evolution of the phreatic surface to the steady solutions when they exist. It is found that for each height of the interface there is a unique critical coning value of flow rate, but also that the value obtained is dependent on the flow history.

The Kuramoto–Sivashinsky equation is a prototypical chaotic nonlinear partial differential equation (PDE) in which the size of the spatial domain plays the role of a bifurcation parameter. We investigate the changing dynamics of the Kuramoto–Sivashinsky PDE by calculating the Lyapunov spectra over a large range of domain sizes. Our comprehensive computation and analysis of the Lyapunov exponents and the associated Kaplan–Yorke dimension provides new insights into the chaotic dynamics of the Kuramoto–Sivashinsky PDE, and the transition to its one-dimensional turbulence.

Rayleigh–Taylor instability occurs when a heavier fluid overlies a lighter fluid, and the two seek to exchange positions under the effect of gravity. We present a linearized theory for arbitrary three-dimensional (3D) initial disturbances that grow in time, and calculate the evolution of the interface for early times. A new spectral method is introduced for the fully 3D nonlinear problem in a Boussinesq fluid, where the interface between the light and heavy fluids is approximated with a smooth but rapid density change in the fluid. The results of large-scale numerical calculation are presented in fully 3D geometry, and compared and contrasted with the early-time linearized theory.

We consider fluid in a channel of finite height. There is a circular hole in the channel bottom, through which fluid of a lower density is injected and rises to form a plume. Viscous boundary layers close to the top and bottom of the channel are assumed to be so thin that the viscous fluid effectively slips along each of these boundaries. The problem is solved using a novel spectral method, in which Hankel transforms are first used to create a steady-state axisymmetric (inviscid) background flow that exactly satisfies the boundary conditions. A viscous correction is then added, so as to satisfy the time-dependent Boussinesq Navier–Stokes equations within the fluid, leaving the boundary conditions intact. Results are presented for the “lazy” plume, in which the fluid rises due only to its own buoyancy, and we study in detail its evolution with time to form an overturning structure. Some results for momentum-driven plumes are also presented, and the effect of the upper wall of the channel on the evolution of the axisymmetric plume is discussed.

A system of two coupled nonlinear spectral transport equations is derived for two obliquely interacting narrowband Gaussian random surface wavetrains, slowly varying in space and time. Using these two equations, stability analysis is performed for two initially homogeneous wave spectra, subject to unidirectional perturbations. We observe that the effect of randomness produces a decrease in the growth rate of instability, but it is higher than the growth for a single wavetrain. The growth rate of instability is observed to decrease with the increase in spectral width.