Search results for: Brownian

Authors: Changhong Guo, Shaomei Fang, Yong He

Abstract:

In this paper, fractional Black-Scholes models for the European option pricing were established based on the fractional G-Brownian motion (fGBm), which generalizes the concepts of the classical Brownian motion, fractional Brownian motion and the G-Brownian motion, and that can be used to be a tool for considering the long range dependence and uncertain volatility for the financial markets simultaneously. A generalized fractional Black-Scholes equation (FBSE) was derived by using the Taylor’s series of fractional order and the theory of absence of arbitrage. Finally, some explicit option pricing formulas for the European call option and put option under the FBSE were also solved, which extended the classical option pricing formulas given by F. Black and M. Scholes.

Keywords: European option pricing, fractional Black-Scholes equations, fractional G-Brownian motion, Taylor’s series of fractional order, uncertain volatility.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 861

Authors: M. Izadi, S. Hossainpour, D. Jalali-Vahid

Abstract:

Nanofluids are novel fluids that are going to have an important role in future industrial thermal device designs. Studies are being predominantly conducted on the mechanism of these heat transfers. The key to this attraction is in the increase in thermal conductivity brought about by the Nanofluids compared with the base fluid. Different models have been proposed for calculation of effective thermal conduction that has been gradually modified. In this investigation effect of nanolayer structure and Brownian motion of particles are studied and a new modified thermal conductivity model is proposed. Temperature, concentration, nanolayer thickness and particle size are taken as variables and their effect are studied simultaneously on the thermal conductivity of the fluids, showing the concentration of the nanoparticles to affect the nanolayer thickness which also affects the Brownian motion.

Keywords: Relative thermal conductivity, Brownian motion, Nanolayer structure.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1630

Authors: N. Bachok, N. L. Aleng, N. M. Arifin, A. Ishak, N. Senu

Abstract:

The problem of laminar fluid flow which results from the shrinking of a permeable surface in a nanofluid has been investigated numerically. The model used for the nanofluid incorporates the effects of Brownian motion and thermophoresis. A similarity solution is presented which depends on the mass suction parameter S, Prandtl number Pr, Lewis number Le, Brownian motion number Nb and thermophoresis number Nt. It was found that the reduced Nusselt number is decreasing function of each dimensionless number.

Keywords: Boundary layer, Nanofluid, Shrinking sheet, Brownian motion, Thermophoresis, Similarity solution.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2807

Authors: E. Mat Tokit, Yusoff M. Z, Mohammed H.

Abstract:

Numerical investigation on the generality of nanoparticle velocity equation had been done on the previous published work. The three dimensional governing equations (continuity, momentum and energy) were solved using finite volume method (FVM). Parametric study of thermal performance between pure water-cooled and nanofluid-cooled are evaluated for volume fraction in the range of 1% to 4%, and nanofluid type of gamma-Al₂O₃ at Reynolds number range of 67.41 to 286.77. The nanofluid is modeled using single and two phase approach. Three different existing Brownian motion velocities are applied in comparing the generality of the equation for a wide parametric condition. Deviation in between the Brownian motion velocity is identified to be due to the different means of mean free path and constant value used in diffusion equation.

Keywords: Brownian nanoparticle velocity, heat transfer enhancement, nanofluid, two phase model.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2513

Authors: Long Jye Sheu

Abstract:

This paper presents a linear stability analysis of natural convection in a horizontal layer of a viscoelastic nanofluid. The Oldroyd B model was utilized to describe the rheological behavior of a viscoelastic nanofluid. The model used for the nanofluid incorporated the effects of Brownian motion and thermophoresis. The onset criterion for stationary and oscillatory convection was derived analytically. The effects of the Deborah number, retardation parameters, concentration Rayleigh number, Prandtl number, and Lewis number on the stability of the system were investigated. Results indicated that there was competition among the processes of thermophoresis, Brownian diffusion, and viscoelasticity which caused oscillatory rather than stationary convection to occur. Oscillatory instability is possible with both bottom- and top-heavy nanoparticle distributions. Regimes of stationary and oscillatory convection for various parameters were derived and are discussed in detail.

Keywords: instability, viscoelastic, nanofluids, oscillatory, Brownian, thermophoresis

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2803

Authors: Sujoy Das, M. M. Ghosh

Abstract:

The thermal conductivity of a fluid can be significantly enhanced by dispersing nano-sized particles in it, and the resultant fluid is termed as "nanofluid". A theoretical model for estimating the thermal conductivity of a nanofluid has been proposed here. It is based on the mechanism that evenly dispersed nanoparticles within a nanofluid undergo Brownian motion in course of which the nanoparticles repeatedly collide with the heat source. During each collision a rapid heat transfer occurs owing to the solidsolid contact. Molecular dynamics (MD) simulation of the collision of nanoparticles with the heat source has shown that there is a pulselike pick up of heat by the nanoparticles within 20-100 ps, the extent of which depends not only on thermal conductivity of the nanoparticles, but also on the elastic and other physical properties of the nanoparticle. After the collision the nanoparticles undergo Brownian motion in the base fluid and release the excess heat to the surrounding base fluid within 2-10 ms. The Brownian motion and associated temperature variation of the nanoparticles have been modeled by stochastic analysis. Repeated occurrence of these events by the suspended nanoparticles significantly contributes to the characteristic thermal conductivity of the nanofluids, which has been estimated by the present model for a ethylene glycol based nanofluid containing Cu-nanoparticles of size ranging from 8 to 20 nm, with Gaussian size distribution. The prediction of the present model has shown a reasonable agreement with the experimental data available in literature.

Keywords: Brownian dynamics, Molecular dynamics, Nanofluid, Thermal conductivity.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2265

Authors: Edikan E. Akpanibah, Ogunmodimu Dupe Catherine

Abstract:

The relevance of geometric Brownian motion (GBM) in modelling the behaviour of stock market prices (SMP) cannot be over emphasized taking into consideration the volatility of the SMP. Consequently, there is need to investigate how GBM models are being estimated and used in financial market to predict SMP. To achieve this, the GBM estimation and its application to the SMP of some selected companies are studied. The normal and log-normal distributions were used to determine the expected value, variance and co-variance. Furthermore, the GBM model was used to predict the SMP of some selected companies over a period of time and the mean absolute percentage error (MAPE) were calculated and used to determine the accuracy of the GBM model in predicting the SMP of the four companies under consideration. It was observed that for all the four companies, their MAPE values were within the region of acceptance. Also, the MAPE values of our data were compared to an existing literature to test the accuracy of our prediction with respect to time of investment. Finally, some numerical simulations of the graphs of the SMP, expectations and variance of the four companies over a period of time were presented using MATLAB programming software.

Keywords: Stock Market, Geometric Brownian Motion, normal and log-normal distribution, mean absolute percentage error.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 270

Authors: Rangoli Goyal, Rama Bhargava

Abstract:

The triple diffusive boundary layer flow of nanofluid under the action of constant magnetic field over a non-linear stretching sheet has been investigated numerically. The model includes the effect of Brownian motion, thermophoresis, and cross-diffusion; slip mechanisms which are primarily responsible for the enhancement of the convective features of nanofluid. The governing partial differential equations are transformed into a system of ordinary differential equations (by using group theory transformations) and solved numerically by using variational finite element method. The effects of various controlling parameters, such as the magnetic influence number, thermophoresis parameter, Brownian motion parameter, modified Dufour parameter, and Dufour solutal Lewis number, on the fluid flow as well as on heat and mass transfer coefficients (both of solute and nanofluid) are presented graphically and discussed quantitatively. The present study has industrial applications in aerodynamic extrusion of plastic sheets, coating and suspensions, melt spinning, hot rolling, wire drawing, glass-fibre production, and manufacture of polymer and rubber sheets, where the quality of the desired product depends on the stretching rate as well as external field including magnetic effects.

Keywords: FEM, Thermophoresis, Diffusiophoresis, Brownian motion.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1451

Authors: G. Sarojamma, K. Vendabai

Abstract:

An analysis is carried out to investigate the effect of magnetic field and heat source on the steady boundary layer flow and heat transfer of a Casson nanofluid over a vertical cylinder stretching exponentially along its radial direction. Using a similarity transformation, the governing mathematical equations, with the boundary conditions are reduced to a system of coupled, non –linear ordinary differential equations. The resulting system is solved numerically by the fourth order Runge – Kutta scheme with shooting technique. The influence of various physical parameters such as Reynolds number, Prandtl number, magnetic field, Brownian motion parameter, thermophoresis parameter, Lewis number and the natural convection parameter are presented graphically and discussed for non – dimensional velocity, temperature and nanoparticle volume fraction. Numerical data for the skin – friction coefficient, local Nusselt number and the local Sherwood number have been tabulated for various parametric conditions. It is found that the local Nusselt number is a decreasing function of Brownian motion parameter Nb and the thermophoresis parameter Nt.

Keywords: Casson nanofluid, Boundary layer flow, Internal heat generation/absorption, Exponentially stretching cylinder, Heat transfer, Brownian motion, Thermophoresis.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2822

Authors: Madhu Aneja, Sapna Sharma

Abstract:

The water-based bioconvection of a nanofluid containing motile gyrotactic micro-organisms over nonlinear inclined stretching sheet has been investigated. The governing nonlinear boundary layer equations of the model are reduced to a system of ordinary differential equations via Oberbeck-Boussinesq approximation and similarity transformations. Further, the modified set of equations with associated boundary conditions are solved using Finite Element Method. The impact of various pertinent parameters on the velocity, temperature, nanoparticles concentration, density of motile micro-organisms profiles are obtained and analyzed in details. The results show that with the increase in angle of inclination δ, velocity decreases while temperature, nanoparticles concentration, a density of motile micro-organisms increases. Additionally, the skin friction coefficient, Nusselt number, Sherwood number, density number are computed for various thermophysical parameters. It is noticed that increasing Brownian motion and thermophoresis parameter leads to an increase in temperature of fluid which results in a reduction in Nusselt number. On the contrary, Sherwood number rises with an increase in Brownian motion and thermophoresis parameter. The findings have been validated by comparing the results of special cases with existing studies.

Keywords: Bioconvection, inclined stretching sheet, Gyrotactic micro-organisms, Brownian motion, thermophoresis, finite element method.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 722

Authors: Chatchai Pesee

Abstract:

This paper examines long-range dependence or longmemory of financial time series on the exchange rate data by the fractional Brownian motion (fBm). The principle of spectral density function in Section 2 is used to find the range of Hurst parameter (H) of the fBm. If 0< H <1/2, then it has a short-range dependence (SRD). It simulates long-memory or long-range dependence (LRD) if 1/2< H <1. The curve of exchange rate data is fBm because of the specific appearance of the Hurst parameter (H). Furthermore, some of the definitions of the fBm, long-range dependence and selfsimilarity are reviewed in Section II as well. Our results indicate that there exists a long-memory or a long-range dependence (LRD) for the exchange rate data in section III. Long-range dependence of the exchange rate data and estimation of the Hurst parameter (H) are discussed in Section IV, while a conclusion is discussed in Section V.

Keywords: Fractional Brownian motion, long-rangedependence, memory, short-range dependence.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1884

Authors: George Yungchih Wang

Abstract:

This paper argues that increased uncertainty, in certain situations, may actually encourage investment. Since earlier studies mostly base their arguments on the assumption of geometric Brownian motion, the study extends the assumption to alternative stochastic processes, such as mixed diffusion-jump, mean-reverting process, and jump amplitude process. A general approach of Monte Carlo simulation is developed to derive optimal investment trigger for the situation that the closed-form solution could not be readily obtained under the assumption of alternative process. The main finding is that the overall effect of uncertainty on investment is interpreted by the probability of investing, and the relationship appears to be an invested U-shaped curve between uncertainty and investment. The implication is that uncertainty does not always discourage investment even under several sources of uncertainty. Furthermore, high-risk projects are not always dominated by low-risk projects because the high-risk projects may have a positive realization effect on encouraging investment.

Keywords: real options, geometric Brownian motion, mixeddiffusion-jump process, mean- reverting process, jump amplitudeprocess

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1547

Authors: J.C. Umavathi

Abstract:

The linear stability of nanofluid convection in a horizontal porous layer is examined theoretically when the walls of the porous layer are subjected to time-periodic temperature modulation. The model used for the nanofluid incorporates the effects of Brownian motion and thermopherosis, while the Darcy model is used for the porous medium. The analysis revels that for a typical nanofluid (with large Lewis number) the prime effect of the nanofluids is via a buoyancy effect coupled with the conservation of nanoparticles. The contribution of nanoparticles to the thermal energy equation being a second-order effect. It is found that the critical thermal Rayleigh number can be found reduced or decreased by a substantial amount, depending on whether the basic nanoparticle distribution is top-heavy or bottom-heavy. Oscillatory instability is possible in the case of a bottom-heavy nanoparticle distribution, phase angle and frequency of modulation.

Keywords: Brownian motion and thermophoresis, Porous medium, Nanofluid, Natural convection, Thermal modulation.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2171

Authors: Elysia Barker, Jian Guo Zhou, Ling Qian, Steve Decent

Abstract:

A method of modelling topography used in the simulation of riverbeds is proposed in this paper which removes the need for datapoints and measurements of a physical terrain. While complex scans of the contours of a surface can be achieved with other methods, this requires specialised tools which the proposed method overcomes by using fractional Brownian motion (FBM) as a basis to estimate the real surface within a 15% margin of error while attempting to optimise algorithmic efficiency. This removes the need for complex, expensive equipment and reduces resources spent modelling bed topography. This method also accounts for the change in topography over time due to erosion, sediment transport, and other external factors which could affect the topography of the ground by updating its parameters and generating a new bed. The lattice Boltzmann method (LBM) is used to simulate both stationary and steady flow cases in a side-by-side comparison over the generated bed topography using the proposed method, and a test case taken from an external source. The method, if successful, will be incorporated into the current LBM program used in the testing phase, which will allow an automatic generation of topography for the given situation in future research, removing the need for bed data to be specified.

Keywords: Bed topography, FBM, LBM, shallow water, simulations.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 308

Authors: M. A. Talha, M. Osman Gani, M. Ferdows

Abstract:

This paper focuses on the study of two dimensional magnetohydrodynamic (MHD) steady incompressible viscous Williamson nanofluid with exponential internal heat generation containing gyrotactic microorganism over a stretching sheet. The governing equations and auxiliary conditions are reduced to a set of non-linear coupled differential equations with the appropriate boundary conditions using similarity transformation. The transformed equations are solved numerically through spectral relaxation method. The influences of various parameters such as Williamson parameter γ, power constant λ, Prandtl number P_r, magnetic field parameter M, Peclet number P_e, Lewis number Le, Bioconvection Lewis number Lb, Brownian motion parameter Nb, thermophoresis parameter Nt, and bioconvection constant σ are studied to obtain the momentum, heat, mass and microorganism distributions. Moment, heat, mass and gyrotactic microorganism profiles are explored through graphs and tables. We computed the heat transfer rate, mass flux rate and the density number of the motile microorganism near the surface. Our numerical results are in better agreement in comparison with existing calculations. The Residual error of our obtained solutions is determined in order to see the convergence rate against iteration. Faster convergence is achieved when internal heat generation is absent. The effect of magnetic parameter M decreases the momentum boundary layer thickness but increases the thermal boundary layer thickness. It is apparent that bioconvection Lewis number and bioconvection parameter has a pronounced effect on microorganism boundary. Increasing brownian motion parameter and Lewis number decreases the thermal boundary layer. Furthermore, magnetic field parameter and thermophoresis parameter has an induced effect on concentration profiles.

Keywords: Convection flow, internal heat generation, similarity, spectral method, numerical analysis, Williamson nanofluid.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 971

Authors: Xia Zhou, Shouming Zhong

Abstract:

The problem of delay-range-dependent exponential synchronization is investigated for Lur-e master-slave systems with delay feedback control and Markovian switching. Using Lyapunov- Krasovskii functional and nonsingular M-matrix method, novel delayrange- dependent exponential synchronization in mean square criterions are established. The systems discussed in this paper is advanced system, and takes all the features of interval systems, Itˆo equations, Markovian switching, time-varying delay, as well as the environmental noise, into account. Finally, an example is given to show the validity of the main result.

Keywords: Synchronization, delay-range-dependent, Markov chain, generalized Itō's formula, brownian motion, M-matrix.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1568

Authors: S. Etaig, R. Hasan, N. Perera

Abstract:

This paper analyses the heat transfer performance and fluid flow using different nanofluids in a square enclosure. The energy equation and Navier-Stokes equation are solved numerically using finite volume scheme. The effect of volume fraction concentration on the enhancement of heat transfer has been studied icorporating the Brownian motion; the influence of effective thermal conductivity on the enhancement was also investigated for a range of volume fraction concentration. The velocity profile for different Rayleigh number. Water-Cu, water AL2O3 and water-TiO2 were tested.

Keywords: Computational fluid Dynamics, Natural convection, Nanofluid and Thermal conductivity.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1839

Authors: K. Abbaspoursani, M. Allahyari, M. Rahmani

Abstract:

Thermal conductivity is an important characteristic of a nanofluid in laminar flow heat transfer. This paper presents an improved model for the prediction of the effective thermal conductivity of nanofluids based on dimensionless groups. The model expresses the thermal conductivity of a nanofluid as a function of the thermal conductivity of the solid and liquid, their volume fractions and particle size. The proposed model includes a parameter which accounts for the interfacial shell, brownian motion, and aggregation of particle. The validation of the model is verified by applying the results obtained by the experiments of Tio2-water and Al2o3-water nanofluids.

Keywords: Critical particle size, nanofluid, model, and thermal conductivity.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2049

Authors: Andrew Cummings, Rhianne Boag, Sarah Bryson, Gordon Turner

Abstract:

Packages designed for transport of radioactive material must satisfy rigorous safety regulations specified by the International Atomic Energy Agency (IAEA). Higher Activity Waste (HAW) transport packages have to maintain containment of their contents during normal and accident conditions of transport (NCT and ACT). To ensure containment criteria is satisfied these packages are required to be leak-tight in all transport conditions to meet allowable activity release rates. Package design safety reports are the safety cases that provide the claims, evidence and arguments to demonstrate that packages meet the regulations and once approved by the competent authority (in the UK this is the Office for Nuclear Regulation) a licence to transport radioactive material is issued for the package(s). The standard approach to demonstrating containment in the RWM transport safety case is set out in BS EN ISO 12807. In this document a method for measuring a leak rate from the package is explained by way of a small interspace test volume situated between two O-ring seals on the underside of the package lid. The interspace volume is pressurised and a pressure drop measured. A small interspace test volume makes the method more sensitive enabling the measurement of smaller leak rates. By ascertaining the activity of the contents, identifying a releasable fraction of material and by treating that fraction of material as a gas, allowable leak rates for NCT and ACT are calculated. The adherence to basic safety principles in ISO12807 is very pessimistic and current practice in the demonstration of transport safety, which is accepted by the UK regulator. It is UK government policy that management of HAW will be through geological disposal. It is proposed that the intermediate level waste be transported to the geological disposal facility (GDF) in large cuboid packages. This poses a challenge for containment demonstration because such packages will have long seals and therefore large interspace test volumes. There is also uncertainty on the releasable fraction of material within the package ullage space. This is because the waste may be in many different forms which makes it difficult to define the fraction of material released by the waste package. Additionally because of the large interspace test volume, measuring the calculated leak rates may not be achievable. For this reason a justification for a lower releasable fraction of material is sought. This paper considers the use of aerosol processes to reduce the releasable fraction for both NCT and ACT. It reviews the basic coagulation and removal processes and applies the dynamic aerosol balance equation. The proposed solution includes only the most well understood physical processes namely; Brownian coagulation and gravitational settling. Other processes have been eliminated either on the basis that they would serve to reduce the release to the environment further (pessimistically in keeping with the essence of nuclear transport safety cases) or that they are not credible in the conditions of transport considered.

Keywords: Aerosol processes, Brownian coagulation, gravitational settling, transport regulations.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 654

Authors: Peter Benneth, Tsaroh N. Theophilus, Prince Benjamin

Abstract:

This research work aims at studying the application of Legendre Transformation Method (LTM) to Hamilton Jacobi Bellman (HJB) equation which is an example of optimal control problem. We discuss the steps involved in modelling the HJB equation as it relates to mathematical finance by applying the Ito’s lemma and maximum principle theorem. By applying the LTM and dual theory, the resultant HJB equation is transformed to a linear Partial Differential Equation (PDE). Also, the Optimal Investment Strategy (OIS) and the optimal value function were obtained under the exponential utility function. Furthermore, some numerical results were also presented with observations that the OIS under exponential utility is directly proportional to the appreciation rate of the risky asset and inversely proportional to the instantaneous volatility, predetermined interest rate, risk averse coefficient. Finally, it was observed that the optimal fund size is an increasing function of the risk free interest rate. This result is consistent with some existing results.

Keywords: Legendre transformation method, Optimal investment strategy, Ito’s lemma, Hamilton Jacobi Bellman equation, Geometric Brownian motion, financial market.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 69

Authors: Rama Bhargava, Mania Goyal

Abstract:

The problem of magnetohydrodynamics boundary layer flow and heat transfer on a permeable stretching surface in a second grade nanofluid under the effect of heat generation and partial slip is studied theoretically. The Brownian motion and thermophoresis effects are also considered. The boundary layer equations governed by the PDE’s are transformed into a set of ODE’s with the help of local similarity transformations. The differential equations are solved by variational finite element method. The effects of different controlling parameters on the flow field and heat transfer characteristics are examined. The numerical results for the dimensionless velocity, temperature and nanoparticle volume fraction as well as the reduced Nusselt and Sherwood number have been presented graphically. The comparison confirmed excellent agreement. The present study is of great interest in coating and suspensions, cooling of metallic plate, oils and grease, paper production, coal water or coal-oil slurries, heat exchangers technology, materials processing exploiting.

Keywords: Viscoelastic nanofluid, partial slip, stretching sheet, heat generation/absorption, MHD flow, FEM.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3275

Authors: Khalil Ur Rehman, M. Y. Malik, Usman Ali

Abstract:

In this paper, the problem proposed by Von Karman is treated in the attendance of additional flow field effects when the liquid is spaced above the rotating rigid disk. To be more specific, a purely viscous fluid flow yield by rotating rigid disk with Navier’s condition is considered in both magnetohydrodynamic and hydrodynamic frames. The rotating flow regime is manifested with heat source/sink and chemically reactive species. Moreover, the features of thermophoresis and Brownian motion are reported by considering nanofluid model. The flow field formulation is obtained mathematically in terms of high order differential equations. The reduced system of equations is solved numerically through self-coded computational algorithm. The pertinent outcomes are discussed systematically and provided through graphical and tabular practices. A simultaneous way of study makes this attempt attractive in this sense that the article contains dual framework and validation of results with existing work confirms the execution of self-coded algorithm for fluid flow regime over a rotating rigid disk.

Keywords: Nanoparticles, Newtonian fluid model, chemical reaction, heat source/sink.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 988

Authors: George Yungchih Wang

Abstract:

For decades financial economists have been attempted to determine the optimal investment policy by recognizing the option value embedded in irreversible investment whose project value evolves as a geometric Brownian motion (GBM). This paper aims to examine the effects of the optimal investment trigger and of the misspecification of stochastic processes on investment in real options applications. Specifically, the former explores the consequence of adopting optimal investment rules on the distributions of corporate value under the correct assumption of stochastic process while the latter analyzes the influence on the distributions of corporate value as a result of the misspecification of stochastic processes, i.e., mistaking an alternative process as a GBM. It is found that adopting the correct optimal investment policy may increase corporate value by shifting the value distribution rightward, and the misspecification effect may decrease corporate value by shifting the value distribution leftward. The adoption of the optimal investment trigger has a major impact on investment to such an extent that the downside risk of investment is truncated at the project value of zero, thereby moving the value distributions rightward. The analytical framework is also extended to situations where collection lags are in place, and the result indicates that collection lags reduce the effects of investment trigger and misspecification on investment in an opposite way.

Keywords: GBM, real options, investment trigger, misspecification, collection lags

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1513

Authors: Ziya Uddin

Abstract:

This paper deals with the theoretical and numerical investigation of magneto hydrodynamic boundary layer flow of a nanofluid past a wedge shaped wick in heat pipe used for the cooling of electronic components and different type of machines. To incorporate the effect of nanoparticle diameter, concentration of nanoparticles in the pure fluid, nanothermal layer formed around the nanoparticle and Brownian motion of nanoparticles etc., appropriate models are used for the effective thermal and physical properties of nanofluids. To model the rotation of nanoparticles inside the base fluid, microfluidics theory is used. In this investigation ethylene glycol (EG) based nanofluids, are taken into account. The non-linear equations governing the flow and heat transfer are solved by using a very effective particle swarm optimization technique along with Runge-Kutta method. The values of heat transfer coefficient are found for different parameters involved in the formulation viz. nanoparticle concentration, nanoparticle size, magnetic field and wedge angle etc. It is found that, the wedge angle, presence of magnetic field, nanoparticle size and nanoparticle concentration etc. have prominent effects on fluid flow and heat transfer characteristics for the considered configuration.

Keywords: Heat transfer, Heat pipe, numerical modeling, nanofluid applications, particle swarm optimization, wedge shaped wick.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2310

Authors: George Yungchih Wang

Abstract:

Real options theory suggests that managerial flexibility embedded within irreversible investments can account for a significant value in project valuation. Although the argument has become the dominant focus of capital investment theory over decades, yet recent survey literature in capital budgeting indicates that corporate practitioners still do not explicitly apply real options in investment decisions. In this paper, we explore how real options decision criteria can be transformed into equivalent capital budgeting criteria under the consideration of uncertainty, assuming that underlying stochastic process follows a geometric Brownian motion (GBM), a mixed diffusion-jump (MX), or a mean-reverting process (MR). These equivalent valuation techniques can be readily decomposed into conventional investment rules and “option impacts", the latter of which describe the impacts on optimal investment rules with the option value considered. Based on numerical analysis and Monte Carlo simulation, three major findings are derived. First, it is shown that real options could be successfully integrated into the mindset of conventional capital budgeting. Second, the inclusion of option impacts tends to delay investment. It is indicated that the delay effect is the most significant under a GBM process and the least significant under a MR process. Third, it is optimal to adopt the new capital budgeting criteria in investment decision-making and adopting a suboptimal investment rule without considering real options could lead to a substantial loss in value.

Keywords: real options, capital budgeting, geometric Brownianmotion, mixed diffusion-jump, mean-reverting process

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2770

Authors: Zeeshan Ahmed, Ajinkya Sarode, Pratik Basarkar, Atul Bhargav, Debjyoti Banerjee

Abstract:

The use of CO₂ in oil recovery and in CO₂ capture and storage is gaining traction in recent years. These applications involve heat transfer between CO₂ and the base fluid, and hence, there arises a need to improve the thermal conductivity of CO₂ to increase the process efficiency and reduce cost. One way to improve the thermal conductivity is through nanoparticle addition in the base fluid. The nanofluid model in this study consisted of copper (Cu) nanoparticles in varying concentrations with CO₂ as a base fluid. No experimental data are available on thermal conductivity of CO₂ based nanofluid. Molecular dynamics (MD) simulations are an increasingly adopted tool to perform preliminary assessments of nanoparticle (NP) fluid interactions. In this study, the effect of the formation of a nanolayer (or molecular layering) at the gas-solid interface on thermal conductivity is investigated using equilibrium MD simulations by varying NP diameter and keeping the volume fraction (1.413%) of nanofluid constant to check the diameter effect of NP on the nanolayer and thermal conductivity. A dense semi-solid fluid layer was seen to be formed at the NP-gas interface, and the thickness increases with increase in particle diameter, which also moves with the NP Brownian motion. Density distribution has been done to see the effect of nanolayer, and its thickness around the NP. These findings are extremely beneficial, especially to industries employed in oil recovery as increased thermal conductivity of CO₂ will lead to enhanced oil recovery and thermal energy storage.

Keywords: Copper-CO2 nanofluid, molecular interfacial layer, thermal conductivity, molecular dynamic simulation.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1112

Authors: Promise A. Azor, Avievie Igodo, Esabai M. Ase

Abstract:

The paper merged the return of premium clause and voluntary contributions to investigate retirees’ investment plan in a defined contributory (DC) pension scheme with a portfolio comprising of a risk-free asset and a risky asset whose price process is described by geometric Brownian motion (GBM). The paper considers additional voluntary contributions paid by members, charge on balance by pension fund administrators and the mortality risk of members of the scheme during the accumulation period by introducing return of premium clause. To achieve this, the Weilbull mortality force function is used to establish the mortality rate of members during accumulation phase. Furthermore, an optimization problem from the Hamilton Jacobi Bellman (HJB) equation is obtained using dynamic programming approach. Also, the Legendre transformation method is used to transform the HJB equation which is a nonlinear partial differential equation to a linear partial differential equation and solves the resultant equation for the value function and the optimal distribution plan under logarithm utility function. Finally, numerical simulations of the impact of some important parameters on the optimal distribution plan were obtained and it was observed that the optimal distribution plan is inversely proportional to the initial fund size, predetermined interest rate, additional voluntary contributions, charge on balance and instantaneous volatility.

Keywords: Legendre transform, logarithm utility, optimal distribution plan, return clause of premium, charge on balance, Weibull mortality function.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 211

Authors: Abdulhassan Abd. K, Sattar Al-Jabair, Khalid Sultan

Abstract:

We have measured the pressure drop and convective heat transfer coefficient of water – based AL(25nm),AL2O3(30nm) and CuO(50nm) Nanofluids flowing through a uniform heated circular tube in the fully developed laminar flow regime. The experimental results show that the data for Nanofluids friction factor show a good agreement with analytical prediction from the Darcy's equation for single-phase flow. After reducing the experimental results to the form of Reynolds, Rayleigh and Nusselt numbers. The results show the local Nusselt number and temperature have distribution with the non-dimensional axial distance from the tube entry. Study decided that thenNanofluid as Newtonian fluids through the design of the linear relationship between shear stress and the rate of stress has been the study of three chains of the Nanofluid with different concentrations and where the AL, AL2O3 and CuO – water ranging from (0.25 - 2.5 vol %). In addition to measuring the four properties of the Nanofluid in practice so as to ensure the validity of equations of properties developed by the researchers in this area and these properties is viscosity, specific heat, and density and found that the difference does not exceed 3.5% for the experimental equations between them and the practical. The study also demonstrated that the amount of the increase in heat transfer coefficient for three types of Nano fluid is AL, AL2O3, and CuO – Water and these ratios are respectively (45%, 32%, 25%) with insulation and without insulation (36%, 23%, 19%), and the statement of any of the cases the best increase in heat transfer has been proven that using insulation is better than not using it. I have been using three types of Nano particles and one metallic Nanoparticle and two oxide Nanoparticle and a statement, whichever gives the best increase in heat transfer.

Keywords: Newtonian, NUR factor, Brownian motion

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1860

Authors: Francis William S, Imtiaz Ahmed Choudhury, Ananda Kumar Eriki, A. John Rajan

Abstract:

Diesel Engines emit complex mixtures of inorganic and organic compounds in the form of both solid and vapour phase particles. Most of the particulates released are ultrafine nanoparticles which are detrimental to human health and can easily enter the body by respiration. The emissions standards on particulate matter release from diesel engines are constantly upgraded within the European Union and with future regulations based on the particles numbers released instead of merely mass, the need for effective aftertreatment devices will increase. Standard particulate filters in the form of wall flow filters can have problems with high soot accumulation, producing a large exhaust backpressure. A potential solution would be to combine the standard filter with a flow through filter to reduce the load on the wall flow filter. In this paper soot particle trapping has been simulated in different continuous flow filters of monolithic structure including the use of promoters, at laminar flow conditions. An Euler Lagrange model, the discrete phase model in Ansys used with user defined functions for forces acting on particles. A method to quickly screen trapping of 5 nm and 10 nm particles in different catalysts designs with tracers was also developed. Simulations of square duct monoliths with promoters show that the strength of the vortices produced are not enough to give a high amount of particle deposition on the catalyst walls. The smallest particles in the simulations, 5 and 10 nm particles were trapped to a higher extent, than larger particles up to 1000 nm, in all studied geometries with the predominant deposition mechanism being Brownian diffusion. The comparison of the different filters designed with a wall flow filter does show that the options for altering a design of a flow through filter, without imposing a too large pressure drop penalty are good.

Keywords: Diesel Engine trap, thermophoresis, Exhaust pipe, PM-Simulation modeling.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2003