The backward group preserving scheme for 1D backward in time advection‐dispersion equation

In this article, we propose a backward group preserving scheme (BGPS) on the advection‐dispersion equation (ADE) for tackling of the contamination problems. The BGPS has been successfully applied on the backward heat conduction problems as well as the backward in time Burgers equation, but it has never been applied to solve the ADE. The BGPS is able to recover the spatial distribution of groundwater contaminant concentration in this work. Several numerical examples are worked out, and we show, based on those numerical examples, that the BGPS is applicable to the ADE and the method can also handle the ADE with piecewise constant dispersion coefficients. When a steep gradient is appeared in the solution, several steps of the BGPS can be used to retrieve the desired initial data and its result is better than the marching‐jury backward beam equation (MJBBE) method as far as our examples are concerned. © 2008 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2010     

Notes on a new approximate solution of 2-D heat equation backward in time

In this paper, we consider a backward heat problem that appears in many applications. This problem is ill-posed. The solution of the problem as the solution exhibits unstable dependence on the given data functions. Using a new regularization method, we regularize the problem and get some new error estimates. Some numerical tests illustrate that the proposed method is feasible and effective. This work is a generalization of many recent papers, including the earlier paper [A new regularized method for two dimensional nonhomogeneous backward heat problem, Appl. Math. Comput. 215(3) (2009) 873–880] and some other authors such as Chu-Li Fu et al. ,  and , Campbell et al. [4].     

Two stable methods with numerical experiments for solving the backward heat equation

This paper presents results of some numerical experiments on the backward heat equation. Two quasi-reversibility techniques, explicit filtering and structural perturbation, to regularize the ill-posed backward heat equation have been used. In each of these techniques, two numerical methods, namely Euler and Crank-Nicolson (CN), have been used to advance the solution in time.Crank-Nicolson method is very counter-intuitive for solving the backward heat equation because the dispersion relation of the scheme for the backward heat equation has a singularity (unbounded growth) for a particular wave whose finite wave number depends on the numerical parameters. In comparison, the Euler method shows only catastrophic growth of relatively much shorter waves. Strikingly we find that use of smart filtering techniques with the CN method can give as good a result, if not better, as with the Euler method which is discussed in the main text. Performance of these regularization methods using these numerical schemes have been exemplified.     

Fourier regularization for a backward heat equation

In this paper a simple and convenient new regularization method for solving backward heat equation—Fourier regularization method is given. Meanwhile, some quite sharp error estimates between the approximate solution and exact solution are provided. A numerical example also shows that the method works effectively.     

A modified integral equation method of the semilinear backward heat problem

The paper is concerned with the non-linear backward heat equation in the rectangle domain. The problem is severely ill-posed. We shall use a modified integral equation method to regularize the nonlinear problem. The error estimates of Hölder type of the regularized solutions are obtained. Numerical results are presented to illustrate the accuracy and efficiency of the method. This work is a generalization of many earlier papers, including the recent paper [D.D. Trong, N.H. Tuan, Regularization and error estimate for the nonlinear backward heat problem using a method of integral equation, Nonlinear Anal. 71 (9) (2009) 4167-4176].     

A regularization method for solving the radially symmetric backward heat conduction problem

This work is devoted to solving the radially symmetric backward heat conduction problem, starting from the final temperature distribution. The problem is ill-posed: the solution (if it exists) does not depend continuously on the given data. A modified Tikhonov regularization method is proposed for solving this inverse problem. A quite sharp estimate of the error between the approximate solution and the exact solution is obtained with a suitable choice of regularization parameter. A numerical example is presented to verify the efficiency and accuracy of the method.     

Nonlinear wavelet methods for high-dimensional backward heat equation

The backward heat equation is a typical ill-posed problem. In this paper, we shall apply a dual least squares method connecting Shannon wavelet to the following equation ut (x, y, t) = u xx (x, y, t) + uyy (x, y, t), x ∈ R, y ∈ R, 0 ≤ t 1, u(x, y, 1) = (x, y), x ∈ R, y ∈ R. Motivated by Regińska's work, we shall give two nonlinear approximate methods to regularize the approximate solutions for high-dimensional backward heat equation, and prove that our methods are convergent.     

A note on backward perturbations for the hermitian eigenvalue problem

Through different orthogonal decompositions of computed eigenvectors we can define different Hermitian backward perturbations for a Hermitian eigenvalue problem. Certain optimal Hermitian backward perturbations are studied. The results show that not all the optimal Hermitian backward perturbations are small when the computed eigenvectors have a small residual and are close to orthonormal.Dedicated to Åke Björck on the occasion of his 60th birthdayThis work was supported by the Swedish Natural Science Research Council under Contract F-FU 6952-302 and the Department of Computing Science, Umeå University.     

Regularization of a backward problem for the inhomogeneous time-fractional wave equation

In this paper, we consider a backward problem for an inhomogeneous time-fractional wave equation in a general bounded domain. 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 existence and regularity for the backward problem are investigated. The backward problem is ill-posed, and we propose a regularizing scheme by using a modified regularization method. We also prove the convergence rate for the regularized solution by using some a priori regularization parameter choice rule.     

On an inverse problem: Recovery of non-smooth solutions to backward heat equation

We have recently developed two quasi-reversibility techniques in combination with Euler and Crank–Nicolson schemes and applied successfully to solve for smooth solutions of backward heat equation. In this paper, we test the viability of using these techniques to recover non-smooth solutions of backward heat equation. In particular, we numerically integrate the backward heat equation with smooth initial data up to a time of singularity (corners and discontinuities) formation. Using three examples, it is shown that the numerical solutions are very good smooth approximations to these singular exact solutions. The errors are shown using pseudo-L- and U-curves and compared where available with existing works. The limitations of these methods in terms of time of simulation and accuracy with emphasis on the precise set of numerical parameters suitable for producing smooth approximations are discussed. This paper also provides an opportunity to gain some insight into developing more sophisticated filtering techniques that can produce the fine-scale features (singularities) of the final solutions. Techniques are general and can be applied to many problems of scientific and technological interests.     

Some filter regularization methods for a backward heat conduction problem

In this paper, a one-dimensional backward heat conduction problem is investigated. It is well known that such problem is ill-posed. Some filter regularization methods are used to solve it. Convergence estimates under two a-priori bound assumptions for the exact solution are given based on the conditional stabilities. Finally, numerical examples are given to show that our used numerical methods are effective and stable.     

Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs

Mathematical mean-field approaches have been used in many fields, not only in Physics and Chemistry, but also recently in Finance, Economics, and Game Theory. In this paper we will study a new special mean-field problem in a purely probabilistic method, to characterize its limit which is the solution of mean-field backward stochastic differential equations (BSDEs) with reflections. On the other hand, we will prove that this type of reflected mean-field BSDEs can also be obtained as the limit equation of the mean-field BSDEs by penalization method. Finally, we give the probabilistic interpretation of the nonlinear and nonlocal partial differential equations with the obstacles by the solutions of reflected mean-field BSDEs.     

A backward nonlinear heat equation: regularization with error estimates

In this article the authors consider a backward nonlinear heat equation. The uniqueness of the problem is proved and the problem is regularized by finite dimensional approximations. Error estimates in some particular cases are given.     

Regularization of backward heat conduction problem

We study the backward heat conduction problem in an unbounded region. The problem is ill-posed, in the sense that the solution if it exists, does not depend continuously on the data. Continuous dependence of the data is restored by cutting-off high frequencies in Fourier domain. The cut-off parameter acts as a regularization parameter. The discrepancy principle, for choosing the regularization parameter and double exponential transformation methods for numerical implementation of regularization method have been used. An example is presented to illustrate applicability and accuracy of the proposed method.     

A posteriori regularization parameter choice rule for the quasi-boundary value method for the backward time-fractional diffusion problem

In this paper, we consider a backward problem for a time-fractional diffusion equation with variable coefficients in a general bounded domain. That is to determine the initial data from a noisy final data. We propose a quasi-boundary value regularization method combined with an a posteriori regularization parameter choice rule to deal with the backward problem and give the corresponding convergence estimate.     

Terminal perturbation method for the backward approach to continuous time mean–variance portfolio selection

A terminal perturbation method is introduced to study the backward approach to continuous time mean–variance portfolio selection with bankruptcy prohibition in a complete market model. Using Ekeland’s variational principle, we obtain a necessary condition, i.e. the stochastic maximum principle, which the optimal terminal wealth satisfies. This method can deal with nonlinear wealth equation with bankruptcy prohibition and several examples are given to show applications of our results.     

A generalized quasi-boundary value method for the backward semi-linear time-fractional heat problem in a cylinder

We are concerned with a backward problem associated with a semi-linear time-fractional heat equation in an axis-symmetric cylinder, which arises from the modeling of the blast furnace steelmaking in metallurgy. Under some assumptions, the existence and uniqueness of the solution to the semi-linear problem is first established. The ill-posedness of the backward problem is then established, and we obtain the error estimates by a generalized quasi-boundary value regularization method. Finally, the numerical experiment is presented to demonstrate the effectiveness of the proposed method.     

Nonlocal transformations of Kolmogorov equations into the backward heat equation

We extend and solve the classical Kolmogorov problem of finding general classes of Kolmogorov equations that can be transformed to the backward heat equation. These new classes include Kolmogorov equations with time-independent and time-dependent coefficients. Our main idea is to include nonlocal transformations. We describe a step-by-step algorithm for determining such transformations. We also show how all previously known results arise as particular cases in this wider framework.     

On measure solutions of backward stochastic differential equations

We consider backward stochastic differential equations (BSDEs) with nonlinear generators typically of quadratic growth in the control variable. A measure solution of such a BSDE will be understood as a probability measure under which the generator is seen as vanishing, so that the classical solution can be reconstructed by a combination of the operations of conditioning and using martingale representations. For the case where the terminal condition is bounded and the generator fulfills the usual continuity and boundedness conditions, we show that measure solutions with equivalent measures just reinterpret classical ones. For the case of terminal conditions that have only exponentially bounded moments, we discuss a series of examples which show that in the case of non-uniqueness, classical solutions that fail to be measure solutions can coexist with different measure solutions.     

Differential Harnack estimates for backward heat equations with potentials under the Ricci flow

In this paper, we derive a general evolution formula for possible Harnack quantities. As a consequence, we prove several differential Harnack inequalities for positive solutions of backward heat-type equations with potentials (including the conjugate heat equation) under the Ricci flow. We shall also derive Perelman's Harnack inequality for the fundamental solution of the conjugate heat equation under the Ricci flow.