On a prey-predator reaction-diffusion system with Holling type III functional response

In this paper we study a prey-predator model defined by an initial-boundary value problem whose dynamics is described by a Holling type III functional response. We establish global existence and uniqueness of the strong solution. We prove that if the initial data are positive and satisfy a certain regularity condition, the solution of the problem is positive and bounded on the domain and then we deduce the continuous dependence on the initial data. A numerical approximation of the system is carried out with a spectral method coupled with the fourth-order Runge-Kutta time solver. The biological relevance of the comparative numerical results is also presented.     

Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management

We consider theoretical and approximation aspects of the stochastic optimal control of ultradiffusion processes in the context of a prototype model for the selling price of a European call option. Within a continuous-time framework, the dynamic management of a portfolio of assets is effected through continuous or point control, activation costs, and phase delay. The performance index is derived from the unique weak variational solution to the ultraparabolic Hamilton–Jacobi equation; the value function is the optimal realization of the performance index relative to all feasible portfolios. An approximation procedure based upon a temporal box scheme/finite element method is analyzed; numerical examples are presented in order to demonstrate the viability of the approach.     

Existence and uniqueness for a nonlinear parabolic/Hamilton–Jacobi coupled system describing the dynamics of dislocation densities

We study a mathematical model describing the dynamics of dislocation densities in crystals. This model is expressed as a 1D system of a parabolic equation and a first order Hamilton–Jacobi equation that are coupled together. We examine an associated Dirichlet boundary value problem. We prove the existence and uniqueness of a viscosity solution among those assuming a lower-bound on their gradient for all time including the initial time. Moreover, we show the existence of a viscosity solution when we have no such restriction on the initial data. We also state a result of existence and uniqueness of entropy solution for the initial value problem of the system obtained by spatial derivation. The uniqueness of this entropy solution holds in the class of bounded-from-below solutions. In order to prove our results on the bounded domain, we use an “extension and restriction” method, and we exploit a relation between scalar conservation laws and Hamilton–Jacobi equations, mainly to get our gradient estimates.     

The global attractor of a competitor–competitor–mutualist reaction–diffusion system with time delays

The aim of this paper is to investigate the asymptotic behavior of time-dependent solutions of a three-species reaction–diffusion system in a bounded domain under a Neumann boundary condition. The system governs the population densities of a competitor, a competitor–mutualist and a mutualist, and time delays may appear in the reaction mechanism. It is shown, under a very simple condition on the reaction rates, that the reaction–diffusion system has a unique constant positive steady-state solution, and for any nontrivial nonnegative initial function the corresponding time-dependent solution converges to the positive steady-state solution. An immediate consequence of this global attraction property is that the trivial solution and all forms of semitrivial solutions are unstable. Moreover, the state–state problem has no nonuniform positive solution despite possible spatial dependence of the reaction and diffusion. All the conclusions for the time-delayed system are directly applicable to the system without time delays and to the corresponding ordinary differential system with or without time delays.     

Renormalization group second‐order approximation for singularly perturbed nonlinear ordinary differential equations

We consider a 2 time scale nonlinear system of ordinary differential equations. The small parameter of the system is the ratio ϵ of the time scales. We search for an approximation involving only the slow time unknowns and valid uniformly for all times at order O(ϵ²). A classical approach to study these problems is Tikhonov's singular perturbation theorem. We develop an approach leading to a higher order approximation using the renormalization group (RG) method. We apply it in 2 steps. In the first step, we show that the RG method allows for approximation of the fast time variables by their RG expansion taken at the slow time unknowns. Next, we study the slow time equations, where the fast time unknowns are replaced by their RG expansion. This allows to rigorously show the second order uniform error estimate. Our result is a higher order extension of Hoppensteadt's work on the Tikhonov singular perturbation theorem for infinite times. The proposed procedure is suitable for problems from applications, and it is computationally less demanding than the classical Vasil'eva‐O'Malley expansion. We apply the developed method to a mathematical model of stem cell dynamics.     

Convergence to equilibrium for the Cahn–Hilliard equation with a logarithmic free energy

In this paper we investigate the asymptotic behavior of the nonlinear Cahn–Hilliard equation with a logarithmic free energy and similar singular free energies. We prove an existence and uniqueness result with the help of monotone operator methods, which differs from the known proofs based on approximation by smooth potentials. Moreover, we apply the Lojasiewicz–Simon inequality to show that each solution converges to a steady state as time tends to infinity.     

Strong convergence rate in averaging principle for stochastic FitzHugh–Nagumo system with two time-scales

This article deals with averaging principle for stochastic FitzHugh–Nagumo system with different time-scales. Under suitable conditions, the existence of an averaging equation eliminating the fast variable for this coupled system is proved, and as a consequence, the system can be reduced to a single stochastic ordinary equation with a modified coefficient. Moreover, the rate of convergence for the slow component towards the solution of the averaging equation is of order 1/2.     

Slow foliation of a slow–fast stochastic evolutionary system

This work is concerned with the dynamics of a slow–fast stochastic evolutionary system quantified with a scale parameter. An invariant foliation decomposes the state space into geometric regions of different dynamical regimes, and thus helps understand dynamics. A slow invariant foliation is established for this system. It is shown that the slow foliation converges to a critical foliation (i.e., the scale parameter is zero) in probability distribution, as the scale parameter tends to zero. The approximation of slow foliation is also constructed with error estimate in distribution. Furthermore, the geometric structure of the slow foliation is investigated: every fiber of the slow foliation parallels each other, with the slow manifold as a special fiber. In fact, when an arbitrarily chosen point of a fiber falls in the slow manifold, the fiber must be the slow manifold itself.     

Computation and analysis for a constrained entropy optimization problem in finance

In [T. Coleman, C. He, Y. Li, Calibrating volatility function bounds for an uncertain volatility model, Journal of Computational Finance (2006) (submitted for publication)], an entropy minimization formulation has been proposed to calibrate an uncertain volatility option pricing model (UVM) from market bid and ask prices. To avoid potential infeasibility due to numerical error, a quadratic penalty function approach is applied. In this paper, we show that the solution to the quadratic penalty problem can be obtained by minimizing an objective function which can be evaluated via solving a Hamilton–Jacobian–Bellman (HJB) equation. We prove that the implicit finite difference solution of this HJB equation converges to its viscosity solution. In addition, we provide computational examples illustrating accuracy of calibration.     

Numerical solution of the 3D time dependent Schrödinger equation in spherical coordinates: Spectral basis and effects of split-operator technique

We study a numerical solution of the multi-dimensional time dependent Schrödinger equation using a split-operator technique for time stepping and a spectral approximation in the spatial coordinates. We are particularly interested in systems with near spherical symmetries. One expects these problems to be most efficiently computed in spherical coordinates as a coarse grain discretization should be sufficient in the angular directions. However, in this coordinate system the standard Fourier basis does not provide a good basis set in the radial direction. Here, we suggest an alternative basis set based on Chebyshev polynomials and a variable transformation.     

A deterministic particle method for the Vlasov–Fokker–Planck equation in one dimension

The Vlasov–Fokker–Planck equation is a model for a collisional, electrostatic plasma. The approximation of this equation in one spatial dimension is studied. The equation under consideration is linear in that the electric field is given as a known function that is not internally consistent with the phase space distribution function. The approximation method applied is the deterministic particle method described in Wollman and Ozizmir [Numerical approximation of the Vlasov–Poisson–Fokker–Planck system in one dimension, J. Comput. Phys. 202 (2005) 602–644]. For the present linear problem an analysis of the stability and convergence of the numerical method is carried out. In addition, computations are done that verify the convergence of the numerical solution. It is also shown that the long term asymptotics of the computed solution is in agreement with the steady state solution derived in Bouchut and Dolbeault [On long time asymptotics of the Vlasov–Fokker–Planck equation and of the Vlasov–Poisson–Fokker–Planck system with coulombic and Newtonian potentials, Differential Integral Equations 8(3) (1995) 487–514].     

Mathematical Analysis of Geophysical Balance Models

An analysis of an approximation to the rotating shallow-water equations is presented. The approximation removes the fast waves without introducing secular terms and is valid for physical boundaries and prepared initial data. In particular, the shallow-water equations are decomposed into two equations describing the slow and fast dynamics. The basic idea is one of enslaving in which the fast part of the solution is expressed as a function of the slow part yielding an approximation to the slow dynamics. Existence and convergence theorems are given.     

A spatial domain decomposition method for parabolic optimal control problems

We present a non-overlapping spatial domain decomposition method for the solution of linear–quadratic parabolic optimal control problems. The spatial domain is decomposed into non-overlapping subdomains. The original parabolic optimal control problem is decomposed into smaller problems posed on space–time cylinder subdomains with auxiliary state and adjoint variables imposed as Dirichlet boundary conditions on the space–time interface boundary. The subdomain problems are coupled through Robin transmission conditions. This leads to a Schur complement equation in which the unknowns are the auxiliary state adjoint variables on the space-time interface boundary. The Schur complement operator is the sum of space–time subdomain Schur complement operators. The application of these subdomain Schur complement operators is equivalent to the solution of an subdomain parabolic optimal control problem. The subdomain Schur complement operators are shown to be invertible and the application of their inverses is equivalent to the solution of a related subdomain parabolic optimal control problem. We introduce a new family of Neumann–Neumann type preconditioners for the Schur complement system including several different coarse grid corrections. We compare the numerical performance of our preconditioners with an alternative approach recently introduced by Benamou.     

Parabolic approximations of diffusive–dispersive equations

We consider a lower-order approximation for a third-order diffusive–dispersive conservation law with nonlinear flux. It consists of a system of two second-order parabolic equations; a coupling parameter is also added. If the flux has an inflection point it is well-known, on the one hand, that the diffusive–dispersive law admits traveling-wave solutions whose end states are also connected by undercompressive shock waves of the underlying hyperbolic conservation law. On the other hand, if the diffusive–dispersive regularization vanishes, the solutions of the corresponding initial-value problem converge to a weak solution of the hyperbolic conservation law. We show that both of these properties also hold for the lower-order approximation. Furthermore, when the coupling parameter tends to infinity, we prove that solutions of initial value problems for the approximation converge to a weak solution of the diffusive–dispersive law. The proofs rely on new a priori energy estimates for higher-order derivatives and the technique of compensated compactness.     

Existence and uniqueness of global weak solutions to a Cahn–Hilliard–Stokes–Darcy system for two phase incompressible flows in karstic geometry

We study the well-posedness of a coupled Cahn–Hilliard–Stokes–Darcy system which is a diffuse-interface model for essentially immiscible two phase incompressible flows with matched density in a karstic geometry. Existence of finite energy weak solution that is global in time is established in both 2D and 3D. Weak–strong uniqueness property of the weak solutions is provided as well.     

On the wave front solution of a competition–diffusion system in population dynamics

In this paper, we consider a competition–diffusion system of two equations [Zhou and Pao, Asymptotic behavior of a competition–diffusion system in population dynamics, Nonlinear Anal. 6 (11) (1982) 1163–1184]. The diffusion coefficients of the system are not equal. We prove existence of a wave front solution which connects two nonzero restpoints of the system. In the proof, we rely essentially on the results of Kolmogorov et al. [A study of diffusion with increase in the quantity of matter, and its application to a biological problem, Bull. Moscow State Univ. 17 (1937) 1–72]. We also estimate the wave speed.     

Curve shortening–straightening flow for non-closed planar curves with infinite length

We consider a motion of non-closed planar curves with infinite length. The motion is governed by a steepest descent flow for the geometric functional which consists of the sum of the length functional and the total squared curvature. We call the flow shortening–straightening flow. In this paper, first we prove a long time existence result for the shortening–straightening flow for non-closed planar curves with infinite length. Then we show that the solution converges to a stationary solution as time goes to infinity. Moreover we give a classification of the stationary solution.     

Averaging on slow and fast cycles of a three time scale system

Pontryagin–Rodygin?s Theorem for slow and fast systems describes the slow drift during the rolling up of the trajectories around the cycles of the fast dynamics. This drift is approximated by the averaging on the cycles. The calculation of this average is generally a difficult task since it requires the knowledge of the closed orbits and their periods. We present two paradigms of three time scale systems where we can overcome this limitation. It is the case of systems the fast dynamics of which have cycles with relaxation presenting or not a canard phenomenon. We can not apply Pontryagin–Rodygin?s Theorem to these systems because their fast equation is itself singularly perturbed. We also investigate the extension of the results to unbounded time intervals. The results are stated classically and proved within the framework of nonstandard analysis.     

Wavelet-based Methods for Multirate PDAEs

We present an adaptive envelope method for the transient simulation of problems with widely separated time scales. Typical applications are circuits where a periodic carrier signal is modulated by a slower signal. The presented method is specifically designed to work even in the case of steep gradients due to digital-like signal structures. Using different independent variables for the slow and the fast time scales the original system is transformed to a hyperbolic multi-rate differential-algebraic system, from which the solution of the original system can be reconstructed. After discretising the slow time scale a periodic boundary value problems in the fast time scale has to be solved for each slow time step. These are solved by wavelet collocation using piecewise linear ansatz-functions. To adapt the grid the solution is represented in terms of a hierarchical set of biorthogonal wavelets to detect the areas with rapidly changing solutions and to coarse or refine the grid. The performance of the method is illustrated by a circuit example. (© 2010 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Global existence and blowup of a localized problem with free boundary

This paper is concerned with a double fronts free boundary problem for the heat equation with a localized nonlinear reaction term. The local existence and uniqueness of the solution are given by applying the contraction mapping theorem. Then we present some conditions so that the solution blows up in finite time. Finally, the long-time behavior of the global solution is discussed. We show that the solution is global and fast if the initial data is small and that a global slow solution is possible when the initial data is suitably large.