A parameter‐uniform scheme for the parabolic singularly perturbed problem with a delay in time

In this paper, a parameter‐uniform numerical scheme for the solution of singularly perturbed parabolic convection–diffusion problems with a delay in time defined on a rectangular domain is suggested. The presence of the small diffusion parameter ? leads to a parabolic right boundary layer. A collocation method consisting of cubic B ‐spline basis functions on an appropriate piecewise‐uniform mesh is used to discretize the system of ordinary differential equations obtained by using Rothe's method on an equidistant mesh in the temporal direction. The parameter‐uniform convergence of the method is shown by establishing the theoretical error bounds. The numerical results of the test problems validate the theoretical error bounds.     

Higher order numerical approximation for time dependent singularly perturbed differential‐difference convection‐diffusion equations

In this article, we develop a higher order numerical approximation for time dependent singularly perturbed differential‐difference convection‐diffusion equations. A priori bounds on the exact solution and its derivatives, which are useful for the error analysis of the numerical method are given. We approximate the retarded terms of the model problem using Taylor's series expansion and the resulting time‐dependent singularly perturbed problem is discretized by the implicit Euler scheme on uniform mesh in time direction and a special hybrid finite difference scheme on piecewise uniform Shishkin mesh in spatial direction. We first prove that the proposed numerical discretization is uniformly convergent of , where and denote the time step and number of mesh‐intervals in space, respectively. After that we design a Richardson extrapolation scheme to increase the order of convergence in time direction and then the new scheme is proved to be uniformly convergent of . Some numerical tests are performed to illustrate the high‐order accuracy and parameter uniform convergence obtained with the proposed numerical methods.     

A higher order uniformly convergent method for singularly perturbed parabolic turning point problems

In this article, we study numerical approximation for a class of singularly perturbed parabolic (SPP) convection-diffusion turning point problems. The considered SPP problem exhibits a parabolic boundary layer in the neighborhood of one of the sides of the domain. Some a priori bounds are given on the exact solution and its derivatives, which are necessary for the error analysis. A numerical scheme comprising of implicit finite difference method for time discretization on a uniform mesh and a hybrid scheme for spatial discretization on a generalized Shishkin mesh is proposed. Then Richardson extrapolation method is applied to increase the order of convergence in time direction. The resulting scheme has second-order convergence up to a logarithmic factor in space and second-order convergence in time. Numerical experiments are conducted to demonstrate the theoretical results and the comparative study is done with the existing schemes in literature to show better accuracy of the proposed schemes.     

An implicit scheme for singularly perturbed parabolic problem with retarded terms arising in computational neuroscience

A class of time‐dependent singularly perturbed convection‐diffusion problems with retarded terms arising in computational neuroscience is considered. In particular, a numerical scheme for the parabolic convection‐diffusion problem where the second‐order derivative with respect to the spatial direction is multiplied by a small perturbation parameter and the shifts are of is constructed. The Taylor series expansion is used to tackle the shift terms. The continuous problem is semidiscretized using the Crank‐Nicolson finite difference method in the temporal direction and the resulting set of ordinary differential equations is discretized using a midpoint upwind finite difference scheme on an appropriate piecewise uniform mesh, which is dense in the boundary layer region. It is shown that the proposed numerical scheme is second‐order accurate in time and almost first‐order accurate in space with respect to the perturbation parameter . To validate the computational results and efficiency of the method some numerical examples are encountered and the numerical results are compared with some existing results. It is observed that the numerical approximations are fairly good irrespective of the size of the delay and the advance till they are of . The effect of the shifts on the boundary layer has also been observed.     

A uniformly convergent B-spline collocation method on a nonuniform mesh for singularly perturbed one-dimensional time-dependent linear convection–diffusion problem

A numerical method is proposed for solving singularly perturbed one-dimensional parabolic convection–diffusion problems. The method comprises a standard implicit finite difference scheme to discretize in temporal direction on a uniform mesh by means of Rothe's method and B-spline collocation method in spatial direction on a piecewise uniform mesh of Shishkin type. The method is shown to be unconditionally stable and accurate of order O((Δx)²+Δt). An extensive amount of analysis has been carried out to prove the uniform convergence with respect to the singular perturbation parameter. Several numerical experiments have been carried out in support of the theoretical results. Comparisons of the numerical solutions are performed with an upwind finite difference scheme on a piecewise uniform mesh and exponentially fitted method on a uniform mesh to demonstrate the efficiency of the method.     

A higher-order hybrid spline difference method on adaptive mesh for solving singularly perturbed parabolic reaction–diffusion problems with robin-boundary conditions

We propose a hybrid numerical scheme to discretize a class of singularly perturbed parabolic reaction–diffusion problems with robin-boundary conditions on an equidistributed grid. The hybrid difference scheme is developed by using a modified backward difference scheme in time, a combination of the cubic spline and exponential spline difference scheme in space. The proposed scheme uses a cubic spline difference scheme for the discretization of robin-boundary conditions. For the time discretization of the problem, we use the standard uniform mesh while a layer adapted equidistributed grid is generated for the spatial discretization. By equidistributing a curvature-based monitor function, the spatial adaptive grid is able to capture the presence of parabolic boundary layers without using any prior information about the solution. Parameter uniform error estimates are derived to illustrate an optimal convergence of first-order in time and second-order in space for the proposed discretization. The accuracy of the proposed scheme is confirmed by the numerical experiments that underpin the theoretical analysis.     

A layer adaptive B‐spline collocation method for singularly perturbed one‐dimensional parabolic problem with a boundary turning point

In this article, we develop a parameter uniform numerical method for a class of singularly perturbed parabolic equations with a multiple boundary turning point on a rectangular domain. The coefficient of the first derivative with respect to x is given by the formula a₀(x, t)x^p, where a₀(x, t) ≥ α > 0 and the parameter p ∈ [1,∞) takes the arbitrary value. For small values of the parameter ε, the solution of this particular class of problem exhibits the parabolic boundary layer in a neighborhood of the boundary x = 0 of the domain. We use the implicit Euler method to discretize the temporal variable on uniform mesh and a B‐spline collocation method defined on piecewise uniform Shishkin mesh to discretize the spatial variable. Asymptotic bounds for the derivatives of the solution are established by decomposing the solution into smooth and singular component. These bounds are applied in the convergence analysis of the proposed scheme on Shishkin mesh. The resulting method is boundary layer resolving and has been shown almost second‐order accurate in space and first‐order accurate in time. It is also shown that the proposed method is uniformly convergent with respect to the singular perturbation parameter ε. Some numerical results are given to confirm the predicted theory and comparison of numerical results made with a scheme consisting of a standard upwind finite difference operator on a piecewise uniform Shishkin mesh. © 2010 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 27: 1143–1164, 2011     

High‐order numerical methods for one‐dimensional parabolic singularly perturbed problems with regular layers

In this work we construct and analyze some finite difference schemes used to solve a class of time‐dependent one‐dimensional convection‐diffusion problems, which present only regular layers in their solution. We use the implicit Euler or the Crank‐Nicolson method to discretize the time variable and a HODIE finite difference scheme, defined on a piecewise uniform Shishkin mesh, to discretize the spatial variable. In both cases we prove that the numerical method is uniformly convergent with respect to the diffusion parameter, having order near two in space and order one or 3/2, depending on the method used, in time. We show some numerical examples which illustrate the theoretical results, in the case of using the Euler implicit method, and give better numerical behaviour than that predicted theoretically, showing order two in time and order N^?2log²N in space, if the Crank‐Nicolson scheme is used to discretize the time variable. Finally, we construct a numerical algorithm by combining a third order A‐stable SDIRK with two stages and a third‐order HODIE difference scheme, showing its uniformly convergent behavior, reaching order three, up to a logarithmic factor. © 2004 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2005     

A singular perturbation approach to solve Burgers–Huxley equation via monotone finite difference scheme on layer-adaptive mesh

This paper deals with a numerical method for solving one-dimensional unsteady Burgers–Huxley equation with the viscosity coefficient ε. The parameter ε takes any values from the half open interval (0, 1]. At small values of the parameter ε, an outflow boundary layer is produced in the neighborhood of right part of the lateral surface of the domain and the problem can be considered as a non-linear singularly perturbed problem with a singular perturbation parameter ε. Using singular perturbation analysis, asymptotic bounds for the derivatives of the solution are established by decomposing the solution into smooth and singular components. We construct a numerical scheme that comprises of implicit-Euler method to discretize in temporal direction on uniform mesh and a monotone hybrid finite difference operator to discretize the spatial variable with piecewise uniform Shishkin mesh. To obtain better accuracy, we use central finite difference scheme in the boundary layer region. Shishkin meshes are refined in the boundary layer region, therefore stability constraint is satisfied by proposed scheme. Quasilinearization process is used to tackle the non-linearity and it is shown that quasilinearization process converges quadratically. The method has been shown to be first order uniformly accurate in the temporal variable, and in the spatial direction it is first order parameter uniform convergent in the outside region of boundary layer, and almost second order parameter uniform convergent in the boundary layer region. Accuracy and uniform convergence of the proposed method is demonstrated by numerical examples and comparison of numerical results made with the other existing methods.     

Technical note: A fourth‐order finite difference scheme for a system of a 2D nonlinear elliptic partial differential equations

In this article we present a fourth‐order finite difference scheme, for a system of two‐dimensional, second‐order, nonlinear elliptic partial differential equations with mixed spatial derivative terms, using 13‐point stencils with a uniform mesh size h on a square region R subject to Dirichlet boundary conditions. The scheme of order h⁴ is derived using the local solution of the system on a single stencil. The resulting system of algebraic equations can be solved by iterative methods. The difference scheme can be easily modified to obtain formulae for grid points near the boundary. Computational results are given to demonstrate the performance of the scheme on some problems including Navier‐Stokes equations. © 2001 John Wiley & Sons, Inc. Numer Methods Partial Differential Eq 17: 43–53, 2001     

An efficient hybrid numerical method based on an additive scheme for solving coupled systems of singularly perturbed linear parabolic problems

We construct an efficient hybrid numerical method for solving coupled systems of singularly perturbed linear parabolic problems of reaction-diffusion type. The discretization of the coupled system is based on the use of an additive or splitting scheme on a uniform mesh in time and a hybrid scheme on a layer-adapted mesh in space. It is proven that the developed numerical method is uniformly convergent of first order in time and third order in space. The purpose of the additive scheme is to decouple the components of the vector approximate solution at each time step and thus make the computation more efficient. The numerical results confirm the theoretical convergence result and illustrate the efficiency of the proposed strategy.     

An almost fourth order uniformly convergent domain decomposition method for a coupled system of singularly perturbed reaction-diffusion equations

We consider a system of M(≥2) singularly perturbed equations of reaction-diffusion type coupled through the reaction term. A high order Schwarz domain decomposition method is developed to solve the system numerically. The method splits the original domain into three overlapping subdomains. On two boundary layer subdomains we use a compact fourth order difference scheme on a uniform mesh while on the interior subdomain we use a hybrid scheme on a uniform mesh. We prove that the method is almost fourth order ε-uniformly convergent. Furthermore, we prove that when ε is small, one iteration is sufficient to get almost fourth order ε-uniform convergence. Numerical experiments are performed to support the theoretical results.     

A Finite Difference Scheme on a Priori Adapted Meshes for a Singularly Perturbed Parabolic Convection-Diffusion Equation

A boundary value problem is considered for a singularly perturbed parabolic convection-diffusion equation;we construct a finite difference scheme on a priori (se-quentially) adapted meshes and study its convergence.The scheme on a priori adapted meshes is constructed using a majorant function for the singular component of the discrete solution,which allows us to find a priori a subdomain where the computed solution requires a further improvement.This subdomain is defined by the perturbation parameterε,the step-size of a uniform mesh in x,and also by the required accuracy of the discrete solution and the prescribed number of refinement iterations K for im- proving the solution.To solve the discrete problems aimed at the improvement of the solution,we use uniform meshes on the subdomains.The error of the numerical so- lution depends weakly on the parameterε.The scheme converges almostε-uniformly, precisely,under the condition N~(-1)=o(ε~v),where N denotes the number of nodes in the spatial mesh,and the value v=v(K) can be chosen arbitrarily small for suitable K.     

A higher order difference method for singularly perturbed parabolic partial differential equations

This paper studies a higher order numerical method for the singularly perturbed parabolic convection-diffusion problems where the diffusion term is multiplied by a small perturbation parameter. In general, the solutions of these type of problems have a boundary layer. Here, we generate a spatial adaptive mesh based on the equidistribution of a positive monitor function. Implicit Euler method is used to discretize the time variable and an upwind scheme is considered in space direction. A higher order convergent solution with respect to space and time is obtained using the postprocessing based extrapolation approach. It is observed that the convergence is independent of perturbation parameter. This technique enhances the order of accuracy from first order uniform convergence to second order uniform convergence in space as well as in time. Comparative study with the existed meshes show the highly effective behavior of the present method.     

A parameter-uniform numerical method for time-dependent singularly perturbed differential-difference equations

A numerical study is made for solving a class of time-dependent singularly perturbed convection–diffusion problems with retarded terms which often arise in computational neuroscience. To approximate the retarded terms, a Taylor’s series expansion has been used and the resulting time-dependent singularly perturbed differential equation is approximated using parameter-uniform numerical methods comprised of a standard implicit finite difference scheme to discretize in the temporal direction on a uniform mesh by means of Rothe’s method and a B-spline collocation method in the spatial direction on a piecewise-uniform mesh of Shishkin type. The method is shown to be accurate of order O(M⁻¹ + N⁻² ln³N), where M and N are the number of mesh points used in the temporal direction and in the spatial direction respectively. An extensive amount of analysis has been carried out to prove the uniform convergence with respect to the singular perturbation parameter. Numerical results are given to illustrate the parameter-uniform convergence of the numerical approximations. Comparisons of the numerical solutions are performed with an upwind and midpoint upwind finite difference scheme on a piecewise-uniform mesh to demonstrate the efficiency of the method.     

Numerical experiments on a hybrid WENO5 filter for shock‐capturing

In the present paper, a hybrid filter is introduced for high accurate numerical simulation of shock‐containing flows. The fourth‐order compact finite difference scheme is used for the spatial discretization and the third‐order Runge–Kutta scheme is used for the time integration. After each time‐step, the hybrid filter is applied on the results. The filter is composed of a linear sixth‐order filter and the dissipative part of a fifth‐order weighted essentially nonoscillatory scheme (WENO5). The classic WENO5 scheme and the WENO5 scheme with adaptive order (WENO5‐AO) are used to form the hybrid filter. Using a shock‐detecting sensor, the hybrid filter reduces to the linear sixth‐order filter in smooth regions for damping high frequency waves and reduces to the WENO5 filter at shocks in order to eliminate unwanted oscillations produced by the nondissipative spatial discretization method. The filter performance and accuracy of the results are examined through several test cases including the advection, Euler and Navier–Stokes equations. The results are compared with that of a hybrid second‐order filter and also that of the WENO5 and WENO5‐AO schemes.     

A robust finite difference scheme for pricing American put options with Singularity-Separating method

In this paper we present a stable numerical method for the linear complementary problem arising from American put option pricing. The numerical method is based on a hybrid finite difference spatial discretization on a piecewise uniform mesh and an implicit time stepping technique. The scheme is stable for arbitrary volatility and arbitrary interest rate. We apply some tricks to derive the error estimates for the direct application of finite difference method to the linear complementary problem. We use the Singularity-Separating method to remove the singularity of the non-smooth payoff function. It is proved that the scheme is second-order convergent with respect to the spatial variable. Numerical results support the theoretical results.     

An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models

In this paper, an implicit‐explicit two‐step backward differentiation formula (IMEX‐BDF2) together with finite difference compact scheme is developed for the numerical pricing of European and American options whose asset price dynamics follow the regime‐switching jump‐diffusion process. It is shown that IMEX‐BDF2 method for solving this system of coupled partial integro‐differential equations is stable with the second‐order accuracy in time. On the basis of IMEX‐BDF2 time semi‐discrete method, we derive a fourth‐order compact (FOC) finite difference scheme for spatial discretization. Since the payoff function of the option at the strike price is not differentiable, the results show only second‐order accuracy in space. To remedy this, a local mesh refinement strategy is used near the strike price so that the accuracy achieves fourth order. Numerical results illustrate the effectiveness of the proposed method for European and American options under regime‐switching jump‐diffusion models.     

<Emphasis Type="Italic">ε</Emphasis>-Uniform error estimate of hybrid numerical scheme for singularly perturbed parabolic problems with nterior layers

This article is devoted to the study of a hybrid numerical scheme for a class of singularly perturbed parabolic convection-diffusion problems with discontinuous convection coefficients. In general, the solutions of this class of problems possess strong interior layers. To solve these problems, we discretize the time derivative by the backward-Euler method and the spatial derivatives by a hybrid finite difference scheme (a proper combination of the midpoint upwind scheme in the outer regions and the classical central difference scheme in the interior layer regions) on a layer resolving piecewise-uniform Shishkin mesh. It is proved that the method converges uniformly in the discrete supremum norm with almost second-order spatial accuracy. Moreover, an optimal order of convergence (up to a logarithmic factor) is obtained inside the layer regions. Extensive numerical experiments are conducted to support the theoretical results and also, to demonstrate the accuracy of this method.     

A robust finite difference scheme for strongly coupled systems of singularly perturbed convection‐diffusion equations

This paper is devoted to developing an Il'in‐Allen‐Southwell (IAS) parameter‐uniform difference scheme on uniform meshes for solving strongly coupled systems of singularly perturbed convection‐diffusion equations whose solutions may display boundary and/or interior layers, where strong coupling means that the solution components in the system are coupled together mainly through their first derivatives. By decomposing the coefficient matrix of convection term into the Jordan canonical form, we first construct an IAS scheme for 1D systems and then extend the scheme to 2D systems by employing an alternating direction technique. The robustness of the developed IAS scheme is illustrated through a series of numerical examples, including the magnetohydrodynamic duct flow problem with a high Hartmann number. Numerical evidence indicates that the IAS scheme appears to be formally second‐order accurate in the sense that it is second‐order convergent when the perturbation parameter ϵ is not too small and when ϵ is sufficiently small, the scheme is first‐order convergent in the discrete maximum norm uniformly in ϵ.