Conservative finite difference scheme for a singularly perturbed elliptic reaction-diffusion equation: Approximation of solutions and derivatives

A boundary value problem for a singularly perturbed elliptic reaction-diffusion equation in a vertical strip is considered. The derivatives are written in divergent form. The derivatives in the differential equation are multiplied by a perturbation parameter ɛ², where ɛ takes arbitrary values in the interval (0, 1]. As ɛ → 0, a boundary layer appears in the solution of this problem. Using the integrointerpolational method and the condensing grid technique, conservative finite difference schemes on flux grids are constructed that converge ɛ-uniformly at a rate of O(N ₁⁻²ln² N ₁ + N ₂⁻²), where N ₁ + 1 and N ₂ + 1 are the number of mesh points on the x ₁-axis and the minimal number of mesh points on a unit interval of the x ₂-axis respectively. The normalized difference derivatives ɛ ^k (∂ ^k /∂x ₁ ^k )u(x) (k = 1, 2), which are ɛ-uniformly bounded and approximate the normalized derivatives in the direction across the boundary layer, and the derivatives along the boundary layer (∂ ^k /∂ x ₂ ^k )u(x) (k = 1, 2) converge ɛ-uniformly at the same rate.     

Improved approximations of the solution and derivatives to a singularly perturbed reaction-diffusion equation based on the solution decomposition method

In the case of the Dirichlet problem for a singularly perturbed ordinary differential reaction-diffusion equation, a new approach is used to the construction of finite difference schemes such that their solutions and their normalized first- and second-order derivatives converge in the maximum norm uniformly with respect to a perturbation parameter ɛ ∈(0, 1]; the normalized derivatives are ɛ-uniformly bounded. The key idea of this approach to the construction of ɛ-uniformly convergent finite difference schemes is the use of uniform grids for solving grid subproblems for the regular and singular components of the grid solution. Based on the asymptotic construction technique, a scheme of the solution decomposition method is constructed such that its solution and its normalized first- and second-order derivatives converge ɛ-uniformly at the rate of O(N ⁻²ln² N), where N + 1 is the number of points in the uniform grids. Using the Richardson technique, an improved scheme of the solution decomposition method is constructed such that its solution and its normalized first and second derivatives converge ɛ-uniformly in the maximum norm at the same rate of O(N ⁻⁴ln⁴ N).     

A Richardson scheme of the decomposition method for solving singularly perturbed parabolic reaction-diffusion equation

For the one-dimensional singularly perturbed parabolic reaction-diffusion equation with a perturbation parameter ɛ, where ɛ ∈ (0, 1], the grid approximation of the Dirichlet problem on a rectangular domain in the (x, t)-plane is examined. For small ɛ, a parabolic boundary layer emerges in a neighborhood of the lateral part of the boundary of this domain. A new approach to the construction of ɛ-uniformly converging difference schemes of higher accuracy is developed for initial boundary value problems. The asymptotic construction technique is used to design the base decomposition scheme within which the regular and singular components of the grid solution are solutions to grid subproblems defined on uniform grids. The base scheme converges ɛ-uniformly in the maximum norm at the rate of O(N ⁻²ln² N + N ₀⁻¹), where N + 1 and N ₀ + 1 are the numbers of nodes in the space and time meshes, respectively. An application of the Richardson extrapolation technique to the base scheme yields a higher order scheme called the Richardson decomposition scheme. This higher order scheme convergesɛ-uniformly at the rate of O(N ⁻⁴ln⁴ N + N ₀⁻²). For fixed values of the parameter, the convergence rate is O(N ⁻⁴ + N ₀⁻²).     

A higher order richardson scheme for a singularly perturbed semilinear elliptic convection-diffusion equation

The Dirichlet problem on a vertical strip is examined for a singularly perturbed semilinear elliptic convection-diffusion equation. For this problem, the basic nonlinear difference scheme based on the classical approximations on piecewise uniform grids condensing in the vicinity of boundary layers converges ɛ-uniformly with an order at most almost one. The Richardson technique is used to construct a nonlinear scheme that converges ɛ-uniformly with an improved order, namely, at the rate O(N ₁⁻²ln² N ₁ + N ₂⁻²), where N ₁ + 1 and N ₂ + 1 are the number of grid nodes along the x ₁-axis and per unit interval of the x ₂-axis, respectively. This nonlinear basic scheme underlies the linearized iterative scheme, in which the nonlinear term is calculated using the values of the sought function found at the preceding iteration step. The latter scheme is used to construct a linearized iterative Richardson scheme converging ɛ-uniformly with an improved order. Both the basic and improved iterative schemes converge ɛ-uniformly at the rate of a geometric progression as the number of iteration steps grows. The upper and lower solutions to the iterative Richardson schemes are used as indicators, which makes it possible to determine the iteration step at which the same ɛ-uniform accuracy is attained as that of the non-iterative nonlinear Richardson scheme. It is shown that no Richardson schemes exist for the convection-diffusion boundary value problem converging ɛ-uniformly with an order greater than two. Principles are discussed on which the construction of schemes of order greater than two can be based.     

Uniqueness and stability in an inverse problem for a Poisson’s equation

Consider the Poisson's equation ψ" (x) ＝ -ev-ψ eψ-v-N(x) with the Dirichlet boundary data, and we mainly investigate the inverse problem of determining the unknown function N(x) from a parameter function family. Some uniqueness and stability results in the inverse problem are obtained.     

On the Duality Mapping Sets in Orlicz Sequence Spaces

The criteria for the weak compactness of duality mapping sets J(x) = {f∈X* : <f, x> = ∥f∥² = ∥x∥²} in Orlicz sequence spaces endowed either with the Luxemburg norm or with the Orlicz norm are obtained. Supported by the National Natural Science Foundation of China, Grants 19901007 and 19871020     

A finite difference scheme of improved accuracy on a priori adapted grids for a singularly perturbed parabolic convection-diffusion equation

In the case of the Dirichlet problem for a singularly perturbed parabolic convection-diffusion equation with a small parameter ɛ multiplying the higher order derivative, a finite difference scheme of improved order of accuracy that converges almost ɛ-uniformly (that is, the convergence rate of this scheme weakly depends on ɛ) is constructed. When ɛ is not very small, this scheme converges with an order of accuracy close to two. For the construction of the scheme, we use the classical monotone (of the first order of accuracy) approximations of the differential equation on a priori adapted locally uniform grids that are uniform in the domains where the solution is improved. The boundaries of such domains are determined using a majorant of the singular component of the grid solution. The accuracy of the scheme is improved using the Richardson technique based on two embedded grids. The resulting scheme converges at the rate of O((ɛ⁻¹ N ^−K ln² N)² + N ⁻²ln⁴ N + N ₀⁻²) as N, N ₀ → ∞, where N and N ₀ determine the number of points in the meshes in x and in t, respectively, and K is a prescribed number of iteration steps used to improve the grid solution. Outside the σ-neighborhood of the lateral boundary near which the boundary layer arises, the scheme converges with the second order in t and with the second order up to a logarithmic factor in x; here, σ = O(N ^{−(K − 1)}ln² N). The almost ɛ-uniformly convergent finite difference scheme converges with the defect of ɛ-uniform convergence ν, namely, under the condition N ⁻¹ ≪ ɛ^ν, where ν determining the required number of iteration steps K (K = K(ν)) can be chosen sufficiently small in the interval (0, 1]. When ɛ⁻¹ = O(N ^{K − 1}), the scheme converges at the rate of O(N ⁻²ln⁴ N + N ₀⁻²).     

Approximation of the solution and its derivative for the singularly perturbed Black-Scholes equation with nonsmooth initial data

A problem for the black-Scholes equation that arises in financial mathematics is reduced, by a transformation of variables, to the Cauchy problem for a singularly perturbed parabolic equation with the variables x, t and a perturbation parameter ɛ, ɛ ∈ (0, 1]. This problem has several singularities such as the unbounded domain, the piecewise smooth initial function (its first-order derivative in x has a discontinuity of the first kind at the point x = 0), an interior (moving in time) layer generated by the piecewise smooth initial function for small values of the parameter ɛ, etc. In this paper, a grid approximation of the solution and its first-order derivative is studied in a finite domain including the interior layer. On a uniform mesh, using the method of additive splitting of a singularity of the interior layer type, a special difference scheme is constructed that allows us to ɛ-uniformly approximate both the solution to the boundary value problem and its first-order derivative in x with convergence orders close to 1 and 0.5, respectively. The efficiency of the constructed scheme is illustrated by numerical experiments. The text was submitted by the authors in English.     

Conditional ɛ-uniform convergence of adaptive algorithms in the finite element method as applied to singularly perturbed problems

The boundary value problem for the ordinary differential equation of reaction-diffusion on the interval [−1, 1] is examined. The highest derivative in this equation appears with a small parameter ɛ² (ɛ ∈ (0, 1]). As the small parameter approaches zero, boundary layers arise in the neighborhood of the interval endpoints. An algorithm for the construction of a posteriori adaptive piecewise uniform grids is proposed. In the adaptation process, the edges of the boundary layers are located more accurately and the grid on the boundary layers is repeatedly refined. To find an approximate solution, the finite element method is used. The sequence of grids constructed by the algorithm is shown to converge “conditionally ɛ-uniformly” to some limit partition for which the error estimate O(N ⁻²ln³ N) is proved. The main results are obtained under the assumption that ɛ ≪ N ⁻¹, where N is number of grid nodes; thus, conditional ɛ-uniform convergence is dealt with. The proofs use the Galerkin projector and its property to be quasi-optimal.     

Homogenization of the parabolic cauchy problem in the Sobolev class H<Superscript>1</Superscript>(R<Superscript>d</Superscript>)

Homogenization in the small period limit for the solution ue of the Cauchy problem for a parabolic equation in R^d is studied. The coefficients are assumed to be periodic in R^d with respect to the lattice ɛG. As ɛ → 0, the solution u ɛ converges in L2(R^d) to the solution u0 of the effective problem with constant coefficients. The solution u ɛis approximated in the norm of the Sobolev space H ¹(R^d) with error O( ɛ); this approximation is uniform with respect to the L2-norm of the initial data and contains a corrector term of order ɛ. The dependence of the constant in the error estimate on time t is given. Also, an approximation in H ¹(R^d) for the solution of the Cauchy problem for a nonhomogeneous parabolic equation is obtained.     

L P boundedness of area function associated with operators on product spaces

Let L be the infinitesimal generator of an analytic semigroup on L2 (Rn) with suitable upper bounds on its heat kernels. Assume that L has a bounded holomorphic functional calculus on L2(Rn). In this paper,we define the Littlewood- Paley g function associated with L on Rn × Rn, denoted by GL(f)(x1, x2), and decomposition, we prove that ‖SL(f)‖p ≈‖GL(f)‖p ≈‖f‖p for 1 ＜ p ＜∞.     

Superstability of the generalized orthogonality equation on restricted domains

Chmielinski has proved in the paper [4] the superstability of the generalized orthogonality equation |〈f(x), f(y)〉| = |〈x,y〉|. In this paper, we will extend the result of Chmielinski by proving a theorem: LetD _n be a suitable subset of ℝⁿ. If a function f:D _n → ℝⁿ satisfies the inequality ∥〈f(x), f(y)〉| |〈x,y〉∥ ≤ φ(x,y) for an appropriate control function φ(x, y) and for allx, y ∈ D _n, thenf satisfies the generalized orthogonality equation for anyx, y ∈ D _n.     

The Richardson scheme for the singularly perturbed parabolic reaction-diffusion equation in the case of a discontinuous initial condition

The Dirichlet problem for a singularly perturbed parabolic reaction-diffusion equation with a piecewise continuous initial condition in a rectangular domain is considered. The higher order derivative in the equation is multiplied by a parameter ?², where ? ∈ (0, 1]. When ? is small, a boundary and an interior layer (with the characteristic width ?) appear, respectively, in a neighborhood of the lateral part of the boundary and in a neighborhood of the characteristic of the reduced equation passing through the discontinuity point of the initial function; for fixed ?, these layers have limited smoothness. Using the method of additive splitting of singularities (induced by the discontinuities of the initial function and its low-order derivatives) and the condensing grid method (piecewise uniform grids that condense in a neighborhood of the boundary layers), a finite difference scheme is constructed that converges ?-uniformly at a rate of O(N ^?2ln² N + n ₀ ^?1 ), where N + 1 and N ₀ + 1 are the numbers of the mesh points in x and t, respectively. Based on the Richardson technique, a scheme that converges ?-uniformly at a rate of O(N ^?3 + N ₀ ^?2 ) is constructed. It is proved that the Richardson technique cannot construct a scheme that converges in ?-uniformly in x with an order greater than three.     

Perturbed boundary eigenvalue problem for the Schrödinger operator on an interval

A perturbed two-parameter boundary value problem is considered for a second-order differential operator on an interval with Dirichlet conditions. The perturbation is described by the potential μ⁻¹ V((x − x ₀)ɛ⁻¹), where 0 < ɛ ≪ 1 and μ is an arbitrary parameter such that there exists δ > 0 for which ɛ/μ = o(ɛ^δ). It is shown that the eigenvalues of this operator converge, as ɛ → 0, to the eigenvalues of the operator with no potential. Complete asymptotic expansions of the eigenvalues and eigenfunctions of the perturbed operator are constructed.     

The Generalized Dirichlet to Neumann Map for the KdV Equation on the Half-Line

For the two versions of the KdV equation on the positive half-line an initial-boundary value problem is well posed if one prescribes an initial condition plus either one boundary condition if q _t and q _xxx have the same sign (KdVI) or two boundary conditions if q _t and q _xxx have opposite sign (KdVII). Constructing the generalized Dirichlet to Neumann map for the above problems means characterizing the unknown boundary values in terms of the given initial and boundary conditions. For example, if {q(x,0),q(0,t)} and {q(x,0),q(0,t),q _x (0,t)} are given for the KdVI and KdVII equations, respectively, then one must construct the unknown boundary values {q _x (0,t),q _xx (0,t)} and {q _xx (0,t)}, respectively. We show that this can be achieved without solving for q(x,t) by analysing a certain “global relation” which couples the given initial and boundary conditions with the unknown boundary values, as well as with the function Φ ^(t)(t,k), where Φ ^(t) satisfies the t-part of the associated Lax pair evaluated at x=0. The analysis of the global relation requires the construction of the so-called Gelfand–Levitan–Marchenko triangular representation for Φ ^(t). In spite of the efforts of several investigators, this problem has remained open. In this paper, we construct the representation for Φ ^(t) for the first time and then, by employing this representation, we solve explicitly the global relation for the unknown boundary values in terms of the given initial and boundary conditions and the function Φ ^(t). This yields the unknown boundary values in terms of a nonlinear Volterra integral equation. We also discuss the implications of this result for the analysis of the long t-asymptotics, as well as for the numerical integration of the KdV equation.     

Scale limit of a variational inequality modeling diffusive flux in a domain with small holes and strong adsorption in case of a critical scaling

In this paper we study the asymptotic behavior of solutions u _ɛ of the elliptic variational inequality for the Laplace operator in domains periodically perforated by balls with radius of size C ₀ɛ_α, C ₀ > 0, α = n/n−2, and distributed with period ɛ. On the boundary of balls, we have the following nonlinear restrictions u _ɛ ≥ 0, ∂_ν u _ɛ ≥ −ɛ^−ασ(x, u _ɛ), u _ɛ(∂_ν u _ɛ + ɛ^−ασ(x, u _ɛ)) = 0. The weak convergence of the solutions u _ɛ to the solution of an effective variational equality is proved. In this case, the effective equation contains a nonlinear term which has to be determined as solution of a functional equation. Furthermore, a corrector result with respect to the energy norm is given.     

Grid approximation of singularly perturbed parabolic equations with piecewise continuous initial-boundary conditions

The Dirichlet problem is considered for a singularly perturbed parabolic reaction-diffusion equation with piecewise continuous initial-boundary conditions in a rectangular domain. The highest derivative in the equation is multiplied by a parameter ? ², ? ε (0, 1]. For small values of the parameter ?, in a neighborhood of the lateral part of the boundary and in a neighborhood of the characteristic of the limit equation passing through the point of discontinuity of the initial function, there arise a boundary layer and an interior layer (of characteristic width ?), respectively, which have bounded smoothness for fixed values of the parameter ?. Using the method of additive splitting of singularities (generated by discontinuities of the boundary function and its low-order derivatives), as well as the method of condensing grids (piecewise uniform grids condensing in a neighborhood of boundary layers), we construct and investigate special difference schemes that converge ?-uniformly with the second order of accuracy in x and the first order of accuracy in t, up to logarithmic factors.     

Lp-decay rates to nonlinear diffusion waves for p-system with nonlinear damping

In this paper, we study the L ^p (2 ⩽ p ⩽ +∞) convergence rates of the solutions to the Cauchy problem of the so-called p-system with nonlinear damping. Precisely, we show that the corresponding Cauchy problem admits a unique global solution (v(x,t), u(x,t)) and such a solution tends time-asymptotically to the corresponding nonlinear diffusion wave (ῡ(x,t), ū(x,t)) governed by the classical Darcys’s law provided that the corresponding prescribed initial error function (w ₀(x), z ₀(x)) lies in (H ³ × H ²) (ℝ) and |v ₊ − v ₋| + ∥w ₀∥₃ + ∥z ₀∥₂ is sufficiently small. Furthermore, the L ^p (2 ⩽ p ⩽ +∞) convergence rates of the solutions are also obtained.     

On the covergence of solutions of parabolic equations with rapidly oscillating coefficients in perforated domains

The behavior of the solution of a boundary value problem for a parabolic equation with rapidly oscillating coefficientsɛ ⁻¹ x,ɛ ^−2k t), (k⋝0) in a perforated domain for ε→0 is studied. Some estimates of the deviation of the solution and energy for the original boundary value problem from the solution and energy of the corresponding homogenized problem are found. In this investigation methods developed by Oleinik, Zhikov, Kozlov, Bensoussan, Lions, Papanikolaou, Cioranescu, and Paulin are used. Bibliography: 15 titles. Translated from Trudy Seminara imeni I. G. Petrovskogo, No. 17, pp. 27–50, 1994.     

Diffusion approximation for the convection-diffusion equation with random drift

We consider the asymptotic behavior of the solutions ofscaled convection-diffusion equations ∂ _t u _ɛ (t, x) = κΔ _x (t, x) + 1/ɛV(t/ɛ²,xɛ) ·∇ _x u _ɛ (t, x) with the initial condition u _ɛ(0,x) = u ₀(x) as the parameter ɛ↓ 0. Under the assumptions that κ > 0 and V(t, x), (t, x) ∈R ^d is a d-dimensional,stationary, zero mean, incompressible, Gaussian random field, Markovian and mixing in t we show that the laws of u _ɛ(t,·), t≥ 0 in an appropriate functional space converge weakly, as ɛ↓ 0, to a δ-type measureconcentrated on a solution of a certain constant coefficient heat equation. Received: 23 March 2000 / Revised version: 5 March 2001 / Published online: 9 October 2001