On the localization of discontinuities of the first kind for a function of bounded variation

Methods of the localization (detection of positions) of discontinuities of the first kind for a univariate function of bounded variation are constructed and investigated. Instead of an exact function, its approximation in L ₂(?∞,+∞) and the error level are known. We divide the discontinuities into two sets, one of which contains discontinuities with the absolute value of the jump greater than some positive Δ^min; the other set contains discontinuities satisfying a smallness condition for the value of the jump. It is required to find the number of discontinuities in the former set and localize them using the approximately given function and the error level. Since the problem is ill-posed, regularizing algorithms should be used for its solution. Under additional conditions on the exact function, we construct regular methods for the localization of discontinuities and obtain estimates for the accuracy of localization and for the separability threshold, which is another important characteristic of the method. The (order) optimality of the constructed methods on the classes of functions with singularities is established.     

Detecting derivative discontinuity locations in piecewise continuous functions from Fourier spectral data

We present a method that uses Fourier spectral data to locate jump discontinuities in the first derivatives of functions that are continuous with piecewise smooth derivatives. Since Fourier spectral methods yield strong oscillations near jump discontinuities, it is often difficult to distinguish true discontinuities from artificial oscillations. In this paper we show that by incorporating a local difference method into the global derivative jump function approximation, we can reduce oscillations near the derivative jump discontinuities without losing the ability to locate them. We also present an algorithm that successfully locates both simple and derivative jump discontinuities. This work was partially supported by NSF grants CNS 0324957 and DMS 0510813, and NIH grant EB 02553301 (AG).     

Discontinuous enrichment in finite elements with a partition of unity method

A technique is presented to model arbitrary discontinuities in the finite element framework by locally enriching a displacement-based approximation through a partition of unity method. This technique allows discontinuities to be represented independently of element boundaries. The method is applied to fracture mechanics, in which crack discontinuities are represented using both a jump function and the asymptotic near-tip fields. As specific examples, we consider cracks and crack growth in two-dimensional elasticity and Mindlin–Reissner plates. A domain form of the J-integral is also derived to extract the moment intensity factors. The accuracy and utility of the method is also discussed.     

ON NEW STRATEGIES TO CONTROL THE ACCURACY OF WENO ALGORITHM CLOSE TO DISCONTINUITIES Ⅱ:CELL AVERAGES AND MULTIRESOLUTION

This paper is the second part of the article and is devoted to the construction and analysis of new non-linear optimal weights for WENO interpolation capable of rising the order of accuracy close to discontinuities for data discretized in the cell averages. Thus, now we are interested in analyzing the capabilities of the new algorithm when working with functions belonging to the subspace $L^1\cap L^2$ and that, consequently, are piecewise smooth and can present jump discontinuities. The new non-linear optimal weights are redesigned in a way that leads to optimal theoretical accuracy close to the discontinuities and at smooth zones. We will present the new algorithm for the approximation case and we will analyze its accuracy. Then we will explain how to use the new algorithm in multiresolution applications for univariate and bivariate functions. The numerical results confirm the theoretical proofs presented.     

Distributional analysis for discontinuous fields

The jump conditions that hold across singular surfaces for the fields having step function discontinuities do not, in general, apply if these surfaces themselves carry concentrated fields. In this note, the general situation when the surfaces of discontinuity carry multilayers and deform as they propagate is discussed. Formulas are presented for the first and second derivatives for these multilayers.     

A Note on Nonbreaking Waves in Hyperelastic Materials

This note treats the evolution of waves on hyperelastic materials, due to initial jump discontinuities in the gradient of strain. In general, these discontinuities become unbounded in finite time, leading to discontinuous strain. There are, however, certain cases in which the gradient jump remains finite for all times. We show here that the class of materials admitting such exceptional waves is fairly large, including Hadamard materials and generalized Hooke materials. An earlier example of Jeffrey and Teymur [6] is also discussed and reset in a more general framework.     

Detecting and approximating fault lines from randomly scattered data

Discretely defined surfaces that exhibit vertical displacements across unknown fault lines can be difficult to approximate accurately unless a representation of the faults is known. Accurate representations of these faults enable the construction of constrained approximation models that can successfully overcome common problems such as over-smoothing. In this paper we review an existing method for detecting fault lines and present a new detection approach based on data triangulations and discrete Gaussian curvature (DGC). Furthermore, we show that if the fault line can be described non-parametrically, then accurate support vector machine (SVM) models can be constructed that are independent of the type of triangulation used in the detection algorithms. We shall also see that SVM models are particularly effective when the data produced by the detection algorithms are noisy. We compare the performances of the various new and established models.     

Locally Adaptive Wavelet Empirical Bayes Estimation of a Location Parameter

The traditional empirical Bayes (EB) model is considered with the parameter being a location parameter, in the situation when the Bayes estimator has a finite degree of smoothness and, possibly, jump discontinuities at several points. A nonlinear wavelet EB estimator based on wavelets with bounded supports is constructed, and it is shown that a finite number of jump discontinuities in the Bayes estimator do not affect the rate of convergence of the prior risk of the EB estimator to zero. It is also demonstrated that the estimator adjusts to the degree of smoothness of the Bayes estimator, locally, so that outside the neighborhoods of the points of discontinuities, the posterior risk has a high rate of convergence to zero. Hence, the technique suggested in the paper provides estimators which are significantly superior in several respects to those constructed earlier.     

Local edge detectors using a sigmoidal transformation for piecewise smooth data

For piecewise smooth data, edges can be recognized by jump discontinuities in the data. Successful edge detection is essential in digital signal processing as the most relevant information is often observed near the edges in each segmented region. In this paper, using the concentration property of existing local edge detectors and the clustering property of sigmoidal transformations, we provide enhanced edge detectors which diminish the oscillations of the local detector near jump discontinuities as well as highly improve rate of convergence away from the discontinuities. Numerical results of some examples illustrate efficiency of the presented method.     

On some oblique derivative problems arising in the fluid flow in porous media. A theoretical and numerical approach

In this paper we consider some free boundary problems related to the fluid flow in a porous medium. By applying a method due to Baiocchi [1] these problems are reduced to nonlinear problems on a fixed domain. The main difficulty here lies in the fact that such problems are not variational because of jump discontinuities in the direction of the oblique derivative in the boundary condition. We give a uniqueness result and by a constructive method we establish at the same time an existence result and a new algorithm for the numerical solution of the original free boundary problem. Some numerical results are given.     

Stopping of functionals with discontinuity at the boundary of an open set

We explore properties of the value function and existence of optimal stopping times for functionals with discontinuities related to the boundary of an open (possibly unbounded) set O. The stopping horizon is either random, equal to the first exit from the set O, or fixed (finite or infinite). The payoff function is continuous with a possible jump at the boundary of O. Using a generalization of the penalty method, we derive a numerical algorithm for approximation of the value function for general Feller-Markov processes and show existence of optimal or ε-optimal stopping times.     

Skorohod–Loynes Characterizations of Queueing,Fluid, and Inventory Processes

We consider queueing, fluid and inventory processes whose dynamics are determined by general point processes or random measures that represent inputs and outputs. The state of such a process (the queue length or inventory level) is regulated to stay in a finite or infinite interval – inputs or outputs are disregarded when they would lead to a state outside the interval. The sample paths of the process satisfy an integral equation; the paths have finite local variation and may have discontinuities. We establish the existence and uniqueness of the process based on a Skorohod equation. This leads to an explicit expression for the process on the doubly-infinite time axis. The expression is especially tractable when the process is stationary with stationary input–output measures. This representation is an extension of the classical Loynes representation of stationary waiting times in single-server queues with stationary inputs and services. We also describe several properties of stationary processes: Palm probabilities of the processes at jump times, Little laws for waiting times in the system, finiteness of moments and extensions to tandem and treelike networks.     

A discontinuous solution for an evolution compressible stokes system in a bounded domain

An evolution compressible Stokes system is studied in a bounded cylindrical region . The initial datum of pressure is assumed to have a jump at a specified curve C₀ in Ω. As predicted by the Rankine-Hugoniot conditions, the pressure and velocity derivatives have jump discontinuities along the characteristic plane of the curve C₀ directed by an ambient velocity vector. An explicit formula for the jump discontinuity is presented. The jump decays exponentially in time, more rapidly for smaller viscosities. Under suitable conditions of the data, a regularity of the solution is established in a compact subregion of Q away from the jump plane.     

Regular Approximations of Singular Sturm-Liouville Problems with Limit-Circle Endpoints

For any self-adjoint realization S of a singular Sturm-Liouville equation on an interval (a,b) with limit-circle endpoints, we construct a family of self-adjoint realizations S _r ,r ∈ (0,∞), of this equation on subintervals (a _r ,b _r ) of (a,b) such that every eigenvalue of S is the limit of a continuous eigenvalue branch of this family. Of particular interest are the cases when at least one endpoint is oscillatory or the leading coefficient function changes sign. In these cases, we show that the index determining each continuous eigenvalue branch has an infinite number of jump discontinuities and give an explicit characterization of these discontinuities.     

Approximation of surfaces with fault(s) and/or rapidly varying data, using a segmentation process, D m -splines and the finite element method

In many problems of geophysical interest, one has to deal with data that exhibit complex fault structures. This occurs, for instance, when describing the topography of seafloor surfaces, mountain ranges, volcanoes, islands, or the shape of geological entities, as well as when dealing with reservoir characterization and modelling. In all these circumstances, due to the presence of large and rapid variations in the data, attempting a fitting using conventional approximation methods necessarily leads to instability phenomena or undesirable oscillations which can locally and even globally hinder the approximation. As will be shown in this paper, the right approach to get a good approximant consists, in effect, in applying first a segmentation process to precisely define the locations of large variations and faults, and exploiting then a discrete approximation technique. To perform the segmentation step, we propose a quasi-automatic algorithm that uses a level set method to obtain from the given (gridded or scattered) Lagrange data several patches delimited by large gradients (or faults). Then, with the knowledge of the location of the discontinuities of the surface, we generate a triangular mesh (which takes into account the identified set of discontinuities) on which a D ^m -spline approximant is constructed. To show the efficiency of this technique, we will present the results obtained by its application to synthetic datasets as well as real gridded datasets in Oceanography and Geosciences.     

The spaces of meromorphic Prym differentials on a finite Riemann surface

In the previous articles the second author started constructing a general theory of multiplicative functions and Prym differentials on a compact Riemann surface for arbitrary characters. Function theory on compact Riemann surfaces differs substantially from that on finite Riemann surfaces. In this article we start constructing a general function theory on variable finite Riemann surfaces for multiplicative meromorphic functions and differentials. We construct the forms of all elementary Prym differentials for arbitrary characters and find the dimensions of, and also construct explicit bases for, two important quotient spaces of Prym differentials. This yields the dimension of and a basis for the first holomorphic de Rham cohomology group of Prym differentials for arbitrary characters.     

A Tree Algorithm for Isotropic Finite Elements on the Sphere

The earth's surface is an almost perfect sphere. Deviations from its spherical shape are less than 0.4% of its radius and essentially arise from its rotation. All equipotential surfaces are nearly spherical, too. In consequence, multiscale modeling of geoscientifically relevant data on the sphere plays an important role. In this paper, we deal with isotropic kernel functions showing a local support (briefly called isotropic finite elements) for reconstructing square-integrable functions on the sphere. An essential tool is the concept of multiresolution analysis by virtue of the spherical up function. Because the up function is built by an infinite convolution product, we do not know an explicit representation of it. However, the tree algorithm for the multiresolution analysis based on the up functions can be formulated by convolutions of isotropic kernels of low-order polynomial structure. For these kernels, we are able to find an explicit representation, so that the tree algorithm can be implemented efficiently.     

Formation and Dynamics of Shock Waves in the Degasperis-Procesi Equation

Solutions of the Degasperis-Procesi nonlinear wave equation may develop discontinuities in finite time. As shown by Coclite and Karlsen, there is a uniquely determined entropy weak solution which provides a natural continuation of the solution past such a point. Here we study this phenomenon in detail for solutions involving interacting peakons and antipeakons. We show that a jump discontinuity forms when a peakon collides with an antipeakon, and that the entropy weak solution in this case is described by a "shockpeakon" ansatz reducing the PDE to a system of ODEs for positions, momenta, and shock strengths.     

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.     

Viscosity solutions with shocks

A solution of single nonlinear first order equations may develop jump discontinuities even if initial data is smooth. Typical examples include a crude model equation describing some bunching phenomena observed in epitaxial growth of crystals as well as conservation laws where jump discontinuities are called shocks. Conventional theory of viscosity solutions does not apply. We introduce a notion of proper (viscosity) solutions to track whole evolutions for such equations in multi‐dimensional spaces. We establish several versions of comparison principles. We also study the vanishing viscosity method to construct a unique global proper solution at least when the evolution is monotone in time or the initial data is monotone in some sense under additional technical assumptions. In fact, we prove that the graph of approximate solutions converges to that of a proper solution in the Hausdorff distance topology. Such a convergence is also established for conservation laws with monotone data. In particular, local uniform convergence outside shocks is proved. © 2001 John Wiley & Sons, Inc.