Showing papers on "Partial differential equation published in 2010"

The Fokker-Planck Equation

Abstract: In 1984, H. Risken authored a book (H. Risken, The Fokker-Planck Equation: Methods of Solution, Applications, Springer-Verlag, Berlin, New York) discussing the Fokker-Planck equation for one variable, several variables, methods of solution and its applications, especially dealing with laser statistics. There has been a considerable progress on the topic as well as the topic has received greater clarity. For these reasons, it seems worthwhile again to summarize previous as well as recent developments, spread in literature, on the topic. The Fokker-Planck equation describes the evolution of conditional probability density for given initial states for a Markov process, which satisfies the Ito stochastic differential equation. The structure of the Fokker-Planck equation for the vector case is

Nonlinear Model Reduction via Discrete Empirical Interpolation

Abstract: A dimension reduction method called discrete empirical interpolation is proposed and shown to dramatically reduce the computational complexity of the popular proper orthogonal decomposition (POD) method for constructing reduced-order models for time dependent and/or parametrized nonlinear partial differential equations (PDEs). In the presence of a general nonlinearity, the standard POD-Galerkin technique reduces dimension in the sense that far fewer variables are present, but the complexity of evaluating the nonlinear term remains that of the original problem. The original empirical interpolation method (EIM) is a modification of POD that reduces the complexity of evaluating the nonlinear term of the reduced model to a cost proportional to the number of reduced variables obtained by POD. We propose a discrete empirical interpolation method (DEIM), a variant that is suitable for reducing the dimension of systems of ordinary differential equations (ODEs) of a certain type. As presented here, it is applicable to ODEs arising from finite difference discretization of time dependent PDEs and/or parametrically dependent steady state problems. However, the approach extends to arbitrary systems of nonlinear ODEs with minor modification. Our contribution is a greatly simplified description of the EIM in a finite-dimensional setting that possesses an error bound on the quality of approximation. An application of DEIM to a finite difference discretization of the one-dimensional FitzHugh-Nagumo equations is shown to reduce the dimension from 1024 to order 5 variables with negligible error over a long-time integration that fully captures nonlinear limit cycle behavior. We also demonstrate applicability in higher spatial dimensions with similar state space dimension reduction and accuracy results.

Optimal Control of Partial Differential Equations: Theory, Methods and Applications

Abstract: Optimal control theory is concerned with finding control functions that minimize cost functions for systems described by differential equations. The methods have found widespread applications in aeronautics, mechanical engineering, the life sciences, and many other disciplines. This book focuses on optimal control problems where the state equation is an elliptic or parabolic partial differential equation. Included are topics such as the existence of optimal solutions, necessary optimality conditions and adjoint equations, second-order sufficient conditions, and main principles of selected numerical techniques. It also contains a survey on the Karush-Kuhn-Tucker theory of nonlinear programming in Banach spaces. The exposition begins with control problems with linear equation, quadratic cost function and control constraints. To make the book self-contained, basic facts on weak solutions of elliptic and parabolic equations are introduced. Principles of functional analysis are introduced and explained as they are needed. Many simple examples illustrate the theory and its hidden difficulties. This start to the book makes it fairly self-contained and suitable for advanced undergraduates or beginning graduate students. Advanced control problems for nonlinear partial differential equations are also discussed. As prerequisites, results on boundedness and continuity of solutions to semilinear elliptic and parabolic equations are addressed. These topics are not yet readily available in books on PDEs, making the exposition also interesting for researchers. Alongside the main theme of the analysis of problems of optimal control, Troltzsch also discusses numerical techniques. The exposition is confined to brief introductions into the basic ideas in order to give the reader an impression of how the theory can be realized numerically. After reading this book, the reader will be familiar with the main principles of the numerical analysis of PDE-constrained optimization.

Solving Differential Equations in R: Package deSolve

Abstract: In this paper we present the R package deSolve to solve initial value problems (IVP) written as ordinary differential equations (ODE), differential algebraic equations (DAE) of index 0 or 1 and partial differential equations (PDE), the latter solved using the method of lines approach. The differential equations can be represented in R code or as compiled code. In the latter case, R is used as a tool to trigger the integration and post-process the results, which facilitates model development and application, whilst the compiled code significantly increases simulation speed. The methods implemented are efficient, robust, and well documented public-domain Fortran routines. They include four integrators from the ODEPACK package (LSODE, LSODES, LSODA, LSODAR), DVODE and DASPK2.0. In addition, a suite of Runge-Kutta integrators and special-purpose solvers to efficiently integrate 1-, 2- and 3-dimensional partial differential equations are available. The routines solve both stiff and non-stiff systems, and include many options, e.g., to deal in an efficient way with the sparsity of the Jacobian matrix, or finding the root of equations. In this article, our objectives are threefold: (1) to demonstrate the potential of using R for dynamic modeling, (2) to highlight typical uses of the different methods implemented and (3) to compare the performance of models specified in R code and in compiled code for a number of test cases. These comparisons demonstrate that, if the use of loops is avoided, R code can efficiently integrate problems comprising several thousands of state variables. Nevertheless, the same problem may be solved from 2 to more than 50 times faster by using compiled code compared to an implementation using only R code. Still, amongst the benefits of R are a more flexible and interactive implementation, better readability of the code, and access to R’s high-level procedures. deSolve is the successor of package odesolve which will be deprecated in the future; it is free software and distributed under the GNU General Public License, as part of the R software project.

Partial Differential Equations and Solitary Waves Theory

Abstract: Partial Differential Equations- Basic Concepts- First-order Partial Differential Equations- One Dimensional Heat Flow- Higher Dimensional Heat Flow- One Dimensional Wave Equation- Higher Dimensional Wave Equation- Laplace's Equation- Nonlinear Partial Differential Equations- Linear and Nonlinear Physical Models- Numerical Applications and Pade Approximants- Solitons and Compactons- Solitray Waves Theory- Solitary Waves Theory- The Family of the KdV Equations- KdV and mKdV Equations of Higher-orders- Family of KdV-type Equations- Boussinesq, Klein-Gordon and Liouville Equations- Burgers, Fisher and Related Equations- Families of Camassa-Holm and Schrodinger Equations

A Survey on Existence Results for Boundary Value Problems of Nonlinear Fractional Differential Equations and Inclusions

Abstract: In this survey paper, we shall establish sufficient conditions for the existence and uniqueness of solutions for various classes of initial and boundary value problem for fractional differential equations and inclusions involving the Caputo fractional derivative. The both cases of convex and nonconvex valued right hand side are considered. The topological structure of the set of solutions is also considered.

A multiple exp-function method for nonlinear differential equations and its application

Abstract: A multiple exp-function method to exact multiple wave solutions of nonlinear partial differential equations is proposed. The method is oriented towards ease of use and capability of computer algebra systems, and provides a direct and systematical solution procedure which generalizes Hirota's perturbation scheme. With help of Maple, an application of the approach to the $3+1$ dimensional potential-Yu-Toda-Sasa-Fukuyama equation yields exact explicit 1-wave and 2-wave and 3-wave solutions, which include 1-soliton, 2-soliton and 3-soliton type solutions. Two cases with specific values of the involved parameters are plotted for each of 2-wave and 3-wave solutions.

A multiple exp-function method for nonlinear differential equations and its application

Abstract: A multiple exp-function method for exact multiple wave solutions of nonlinear partial differential equations is proposed. The method is oriented towards the ease of use and capability of computer algebra systems and provides a direct and systematic solution procedure that generalizes Hirota's perturbation scheme. With the help of Maple, applying the approach to the (3+1)-dimensional potential-Yu–Toda–Sasa–Fukuyama equation yields exact explicit one-wave, two-wave and three-wave solutions, which include one-soliton, two-soliton and three-soliton type solutions. Two cases with specific values of the involved parameters are plotted for each of the two-wave and three-wave solutions.

Nonlocal Diffusion Problems

Abstract: Nonlocal diffusion problems arise in a wide variety of applications, including biology, image processing, particle systems, coagulation models, and mathematical finance. These types of problems are also of great interest for their purely mathematical content. This book presents recent results on nonlocal evolution equations with different boundary conditions, starting with the linear theory and moving to nonlinear cases, including two nonlocal models for the evolution of sandpiles. Both existence and uniqueness of solutions are considered, as well as their asymptotic behaviour. Moreover, the authors present results concerning limits of solutions of the nonlocal equations as a rescaling parameter tends to zero. With these limit procedures the most frequently used diffusion models are recovered: the heat equation, the $p$-Laplacian evolution equation, the porous media equation, the total variation flow, a convection-diffusion equation and the local models for the evolution of sandpiles due to Aronsson-Evans-Wu and Prigozhin. Readers are assumed to be familiar with the basic concepts and techniques of functional analysis and partial differential equations. The text is otherwise self-contained, with the exposition emphasizing an intuitive understanding and results given with full proofs. It is suitable for graduate students or researchers. The authors cover a subject that has received a great deal of attention in recent years. The book is intended as a reference tool for a general audience in analysis and PDEs, including mathematicians, engineers, physicists, biologists, and others interested in nonlocal diffusion problems.

Uniqueness of solutions of stochastic differential equations

Abstract: It follows from a theorem of Veretennikov [4] that (1) has a unique strong solution, i.e. there is a unique process x(t), adapted to the filtration of the Brownian motion, satisfying (1). Veretennikov in fact proved this for a more general equation. Here we consider a different question, posed by N. V. Krylov [2]: we choose a Brownian path W and ask whether (1) has a unique solution for that particular path. The main result of this paper is the following affirmative answer:

Energy variational analysis of ions in water and channels: Field theory for primitive models of complex ionic fluids

Abstract: Ionic solutions are mixtures of interacting anions and cations. They hardly resemble dilute gases of uncharged noninteracting point particles described in elementary textbooks. Biological and electrochemical solutions have many components that interact strongly as they flow in concentrated environments near electrodes, ion channels, or active sites of enzymes. Interactions in concentrated environments help determine the characteristic properties of electrodes, enzymes, and ion channels. Flows are driven by a combination of electrical and chemical potentials that depend on the charges, concentrations, and sizes of all ions, not just the same type of ion. We use a variational method EnVarA (energy variational analysis) that combines Hamilton’s least action and Rayleigh’s dissipation principles to create a variational field theory that includes flow, friction, and complex structure with physical boundary conditions. EnVarA optimizes both the action integral functional of classical mechanics and the dissipation functional. These functionals can include entropy and dissipation as well as potential energy. The stationary point of the action is determined with respect to the trajectory of particles. The stationary point of the dissipation is determined with respect to rate functions (such as velocity). Both variations are written in one Eulerian (laboratory) framework. In variational analysis, an “extra layer” of mathematics is used to derive partial differential equations. Energies and dissipations of different components are combined in EnVarA and Euler–Lagrange equations are then derived. These partial differential equations are the unique consequence of the contributions of individual components. The form and parameters of the partial differential equations are determined by algebra without additional physical content or assumptions. The partial differential equations of mixtures automatically combine physical properties of individual (unmixed) components. If a new component is added to the energy or dissipation, the Euler–Lagrange equations change form and interaction terms appear without additional adjustable parameters. EnVarA has previously been used to compute properties of liquid crystals, polymer fluids, and electrorheological fluids containing solid balls and charged oil droplets that fission and fuse. Here we apply EnVarA to the primitive model of electrolytes in which ions are spheres in a frictional dielectric. The resulting Euler–Lagrange equations include electrostatics and diffusion and friction. They are a time dependent generalization of the Poisson–Nernst–Planck equations of semiconductors, electrochemistry, and molecular biophysics. They include the finite diameter of ions. The EnVarA treatment is applied to ions next to a charged wall, where layering is observed. Applied to an ion channel, EnVarA calculates a quick transient pile-up of electric charge, transient and steady flow through the channel, stationary “binding” in the channel, and the eventual accumulation of salts in “unstirred layers” near channels. EnVarA treats electrolytes in a unified way as complex rather than simple fluids. Ad hoc descriptions of interactions and flow have been used in many areas of science to deal with the nonideal properties of electrolytes. It seems likely that the variational treatment can simplify, unify, and perhaps derive and improve those descriptions.

Introduction to Numerical Geodynamic Modelling

Abstract: Acknowledgements Introduction 1. The continuity equation 2. Density and gravity 3. Numerical solutions of partial differential equations 4. Stress and strain 5. The momentum equation 6. Viscous rheology of rocks 7. Numerical solutions of the momentum and continuity equations 8. The advection equation and marker-in-cell method 9. The heat conservation equation 10. Numerical solution of the heat conservation equation 11. 2-D thermomechanical code structure 12. Elasticity and plasticity 13. 2-D implementation of visco-elastic-plastic rheology 14. The multi-grid method 15. Programming of 3-D problems 16. Numerical benchmarks 17. Design of 2-D numerical geodynamic models Epilogue: outlook Appendix: MATLAB program examples References Index.

ADI finite difference schemes for option pricing in the Heston model with correlation

Abstract: This paper deals with the numerical solution of the Heston partial differential equation (PDE) that plays an important role in financial option pricing theory, Heston (1993). A feature of this time-dependent, twodimensional convection-diffusion-reaction equation is the presence of a mixed spatial-derivative term, which stems from the correlation between the two underlying stochastic processes for the asset price and its variance. Semi-discretization of the Heston PDE, using finite difference schemes on non-uniform grids, gives rise to large systems of stiff ordinary differential equations. For the effective numerical solution of these systems, standard implicit time-stepping methods are often not suitable anymore, and tailored timediscretization methods are required. In the present paper, we investigate four splitting schemes of the Alternating Direction Implicit (ADI) type: the Douglas scheme, the Craig–Sneyd scheme, the Modified Craig–Sneyd scheme, and the Hundsdorfer–Verwer scheme, each of which contains a free parameter. ADI schemes were not originally developed to deal with mixed spatialderivative terms. Accordingly, we first discuss the adaptation of the above four ADI schemes to the Heston PDE. Subsequently, we present various numerical examples with realistic data sets from the literature, where we consider European call options as well as down-and-out barrier options. Combined with ample theoretical stability results for ADI schemes that have recently been obtained in In ’t Hout & Welfert (2007, 2009) we arrive at three ADI schemes that all prove to be very effective in the numerical solution of the Heston PDE with a mixed derivative term. It is expected that these schemes will be useful also for general two-dimensional convection-diffusion-reaction equations with mixed derivative terms.

A new multiscale finite element method for high-contrast elliptic interface problems

Abstract: We introduce a new multiscale finite element method which is able to accurately capture solutions of elliptic interface problems with high contrast coefficients by using only coarse quasiuniform meshes, and without resolving the interfaces. A typical application would be the modelling of flow in a porous medium containing a number of inclusions of low (or high) permeability embedded in a matrix of high (respectively low) permeability. Our method is H^1- conforming, with degrees of freedom at the nodes of a triangular mesh and requiring the solution of subgrid problems for the basis functions on elements which straddle the coefficient interface but which use standard linear approximation otherwise. A key point is the introduction of novel coefficientdependent boundary conditions for the subgrid problems. Under moderate assumptions, we prove that our methods have (optimal) convergence rate of O(h) in the energy norm and O(h^2) in the L_2 norm where h is the (coarse) mesh diameter and the hidden constants in these estimates are independent of the “contrast” (i.e. ratio of largest to smallest value) of the PDE coefficient. For standard elements the best estimate in the energy norm would be O(h^(1/2−e)) with a hidden constant which in general depends on the contrast. The new interior boundary conditions depend not only on the contrast of the coefficients, but also on the angles of intersection of the interface with the element edges.

A new error analysis for discontinuous finite element methods for linear elliptic problems

Abstract: The standard a priori error analysis of discontinuous Galerkin methods requires additional regularity on the solution of the elliptic boundary value problem in order to justify the Galerkin orthogonality and to handle the normal derivative on element interfaces that appear in the discrete energy norm. In this paper, a new error analysis of discontinuous Galerkin methods is developed using only the H k weak formulation of a boundary value problem of order 2k. This is accomplished by replacing the Galerkin orthogonality with estimates borrowed from a posteriori error analysis and by using a discrete energy norm that is well defined for functions in H k .

Analytic regularity and polynomial approximation of parametric and stochastic elliptic PDEs

Abstract: Parametric partial dierential equations are commonly used to model physical systems. They also arise when Wiener chaos expansions are used as an alternative to Monte Carlo when solving stochastic elliptic problems. This paper considers a model class of second order, linear, parametric, elliptic PDEs in a bounded domain D with coecients depending on possibly countably many parameters. It shows that the dependence of the solution on the parameters in the diusion coecient is analytically smooth. This analyticity is then exploited to prove that under very weak assumptions on the diusion coecients, the entire family of solutions to such equations can be simultaneously approximated by multivariate polynomials (in the parameters) with coecients taking values in the Hilbert space V = H 1 0(D) of weak solutions of the elliptic problem with a controlled number of terms N. The convergence rate in terms of N does not depend on the number of parameters in V which may be countable, therefore breaking the curse of dimensionality. The discretization of the coecients from a family of continuous, piecewise linear Finite Element functions in D is shown to yield finite dimensional approximations whose convergence rate in terms of the overall number Ndof of degrees of freedom is the minimum of the convergence rates aorded by the best N-term sequence approximations in the parameter space and the rate of Finite Element approximations in D for a single instance of the parametric problem.

A backward problem for the time-fractional diffusion equation

Abstract: We consider a backward problem in time for a time-fractional partial differential equation in one-dimensional case, which describes the diffusion process in porous media related with the continuous time random walk problem. Such a backward problem is of practically great importance because we often do not know the initial density of substance, but we can observe the density at a positive moment. The backward problem is ill-posed and we propose a regularizing scheme by the quasi-reversibility with fully theoretical analysis and test its numerical performance. With the help of the memory effect of the fractional derivative, it is found that the property of the initial status of the medium can be recovered in an efficient way. Since our solution is established on the eigenfunction expansion of elliptic operator, the method proposed in this article can be used to higher dimensional case with variable coefficients.

Symmetry constraints on generalizations of Bjorken flow

Abstract: I explain a generalization of Bjorken flow where the medium has finite transverse size and expands both radially and along the beam axis. If one assumes that the equations of viscous hydrodynamics can be used, with p={epsilon}/3 and zero bulk viscosity, then the flow I describe can be developed into an exact solution of the relativistic Navier-Stokes equations. The local four-velocity in the flow is entirely determined by the assumption of symmetry under a subgroup of the conformal group.

Dissipative relativistic fluid dynamics: a new way to derive the equations of motion from kinetic theory.

Abstract: We rederive the equations of motion of dissipative relativistic fluid dynamics from kinetic theory. In contrast with the derivation of Israel and Stewart, which considered the second moment of the Boltzmann equation to obtain equations of motion for the dissipative currents, we directly use the latter's definition. Although the equations of motion obtained via the two approaches are formally identical, the coefficients are different. We show that, for the one-dimensional scaling expansion, our method is in better agreement with the solution obtained from the Boltzmann equation.

A Priori Estimates for Solutions of Boundary Value Problems for Fractional-Order Equations

Abstract: We consider boundary value problems of the first and third kind for the diffusionwave equation. By using the method of energy inequalities, we find a priori estimates for the solutions of these boundary value problems.