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.     

On the numerical method for solving a hypersingular integral equation with the computation of the solution gradient

We consider a linear integral equation, which arises when solving the Neumann boundary value problem for the Laplace equation with the representation of the solution in the form of a double layer potential, with a hypersingular integral treated in the sense of Hadamard finite value. We consider the case in which the exterior or interior problem is solved in a domain whose boundary is a closed smooth surface and the integral equation is written over that surface. A numerical scheme for solving the integral equation is constructed with the use of quadrature formulas of the type of the method of discrete singularities with a regularization for the use of an irregular grid. We prove the convergence, uniform over the grid points, of the numerical solutions to the exact solution of the hypersingular equation and, in addition, the uniform convergence of the values of the approximate finite-difference derivative operator on the numerical solution to the values on the projection of the exact solution onto the subspace of grid functions with nodes at the collocation points.     

Uniform asymptotics of the boundary values of the solution in a linear problem on the run-up of waves on a shallow beach

We consider the Cauchy problem with spatially localized initial data for a two-dimensional wave equation with variable velocity in a domain Ω. The velocity is assumed to degenerate on the boundary ?Ω of the domain as the square root of the distance to ?Ω. In particular, this problems describes the run-up of tsunami waves on a shallow beach in the linear approximation. Further, the problem contains a natural small parameter (the typical source-to-basin size ratio) and hence admits analysis by asymptotic methods. It was shown in the paper “Characteristics with singularities and the boundary values of the asymptotic solution of the Cauchy problem for a degenerate wave equation” [1] that the boundary values of the asymptotic solution of this problem given by a modified Maslov canonical operator on the Lagrangian manifold formed by the nonstandard characteristics associatedwith the problemcan be expressed via the canonical operator on a Lagrangian submanifold of the cotangent bundle of the boundary. However, the problem as to how this restriction is related to the boundary values of the exact solution of the problem remained open. In the present paper, we show that if the initial perturbation is specified by a function rapidly decaying at infinity, then the restriction of such an asymptotic solution to the boundary gives the asymptotics of the boundary values of the exact solution in the uniform norm. To this end, we in particular prove a trace theorem for nonstandard Sobolev type spaces with degeneration at the boundary.     

On the stability and the attraction domain of the stationary solution of a singularly perturbed parabolic equation with a multiple root of the degenerate equation

We construct and justify the asymptotics of a boundary layer solution of a boundary value problem for a singularly perturbed second-order ordinary differential equation for the case in which the degenerate (finite) equation has an identically double root. A specific feature of the asymptotics is the presence of a three-zone boundary layer. The solution of the boundary value problem is a stationary solution of the corresponding parabolic equation. We prove the asymptotic stability of this solution and find its attraction domain.     

On the asymptotics of a solution to an equation with a small parameter at some of the highest derivatives

We study the asymptotic behavior of a solution of the first boundary value problem for a second-order elliptic equation in a nonconvex domain with smooth boundary in the case where a small parameter is a factor at only some of the highest derivatives and the limit equation is an ordinary differential equation. Although the limit equation has the same order as the initial equation, the problem is singulary perturbed. The asymptotic behavior of its solution is studied by the method of matched asymptotic expansions.     

Laplace equation in a domain with a rectilinear crack: higher order derivatives of the energy with respect to the crack length

We consider the weak solution of the Laplace equation in a planar domain with a straight crack, prescribing a homogeneous Neumann condition on the crack and a nonhomogeneous Dirichlet condition on the rest of the boundary. For every k we express the k-th derivative of the energy with respect to the crack length in terms of a finite number of coefficients of the asymptotic expansion of the solution near the crack tip and of a finite number of other parameters, which only depend on the shape of the domain.     

Numerical solution method for the electric impedance tomography problem in the case of piecewise constant conductivity and several unknown boundaries

We study the electrical impedance tomography problem with piecewise constant electric conductivity coefficient, whose values are assumed to be known. The problem is to find the unknown boundaries of domains with distinct conductivities. The input information for the solution of this problem includes several pairs of Dirichlet and Neumann data on the known external boundary of the domain, i.e., several cases of specification of the potential and its normal derivative. We suggest a numerical solution method for this problem on the basis of the derivation of a nonlinear operator equation for the functions that define the unknown boundaries and an iterative solution method for this equation with the use of the Tikhonov regularization method. The results of numerical experiments are presented.     

一个扩散问题的自然边界元法与有限元法组合

本文讨论由Helmholtz方程描述的扩散问题的自然边界元法与有限元法的组合．取一个圆作为公共边界，用Fourier展开建立边界积分方程，将无界区域上的问题化为有界区域上的非局部边值问题．在变分方程中公共边界上的未知量只包含函数本身而不包含其法向导数，从而减少了未知数的数目，并且边界元剐度矩阵只有极少量不同的元素，有利于数值计算．这种组台方法优越于建立在直接边界元法基础上的组合方法．文中证明了变分解的唯一性，数值解的收敛性和误差估计．最后讨论了数值技术并给出一个算倒．     

Convergence of a numerical scheme of the type of the vortex loop method on a closed surface with an approximation to the surface shape

We consider a linear integral equation with a hypersingular integral treated in the sense of the Hadamard finite value. This equation arises when solving the Neumann boundary value problem for the Laplace equation with the use of the representation of the solution in the form of a double layer potential. We study the case in which an exterior or interior boundary value problem is solved in a domain whose boundary is a smooth closed surface and the integral equation is written out on that surface. For the numerical solution of the integral equation, the surface is approximated by spatial polygons whose vertices lie on the surface. We construct a numerical scheme for solving the integral equation on the basis of such an approximation to the surface with the use of quadrature formulas of the type of the method of discrete singularities with regularization. We prove that the numerical solutions converge to the exact solution of the hypersingular integral equation uniformly on the grid.     

Domain of existence for the solution of some IVP's and BVP's by using an efficient ninth-order iterative method

In this paper, we consider the problem of solving initial value problems and boundary value problems through the point of view of its continuous form. It is well known that in most cases these types of problems are solved numerically by performing a discretization and applying the finite difference technique to approximate the derivatives, transforming the equation into a finite-dimensional nonlinear system of equations. However, we would like to focus on the continuous problem, and therefore, we try to set the domain of existence and uniqueness for its analytic solution. For this purpose, we study the semilocal convergence of a Newton-type method with frozen first derivative in Banach spaces. We impose only the assumption that the Fréchet derivative satisfies the Lipschitz continuity condition and that it is bounded in the whole domain in order to obtain appropriate recurrence relations so that we may determine the domains of convergence and uniqueness for the solution. Our final aim is to apply these theoretical results to solve applied problems that come from integral equations, ordinary differential equations, and boundary value problems.     

Universal boundary value problem for equations of mathematical physics

A new statement of a boundary value problem for partial differential equations is discussed. An arbitrary solution to a linear elliptic, hyperbolic, or parabolic second-order differential equation is considered in a given domain of Euclidean space without any constraints imposed on the boundary values of the solution or its derivatives. The following question is studied: What conditions should hold for the boundary values of a function and its normal derivative if this function is a solution to the linear differential equation under consideration? A linear integral equation is defined for the boundary values of a solution and its normal derivative; this equation is called a universal boundary value equation. A universal boundary value problem is a linear differential equation together with a universal boundary value equation. In this paper, the universal boundary value problem is studied for equations of mathematical physics such as the Laplace equation, wave equation, and heat equation. Applications of the analysis of the universal boundary value problem to problems of cosmology and quantum mechanics are pointed out.     

Multiplicative asymptotics of solutions of the first boundary value problem on a half-axis for a parabolic equation with a small parameter

In this work we consider the first boundary value problem for a parabolic equation of second order with a small parameter on a half-axis (i.e., we consider the one-dimensional case). We take the zero initial condition. We construct the global (that is, the caustic points are taken into account) asymptotics of a solution for the boundary value problem. The asymptotic solution of this problem has a different structure depending on the sign of the coefficient (the drift coefficient) at the derivative of first order at a boundary point. The constructed asymptotic solutions are justified.     

Numerical methods for some inverse problems of heart electrophysiology

We consider numerical methods for solving inverse problems that arise in heart electrophysiology. The first inverse problem is the Cauchy problem for the Laplace equation. Its solution algorithm is based on the Tikhonov regularization method and the method of boundary integral equations. The second inverse problem is the problem of finding the discontinuity surface of the coefficient of conductivity of a medium on the basis of the potential and its normal derivative given on the exterior surface. For its numerical solution, we suggest a method based on the method of boundary integral equations and the assumption on a special representation of the unknown surface.     

Convergence of a difference scheme for the heat equation in a long strip by artificial boundary conditions

The numerical solution of the heat equation on a strip in two dimensions is considered. An artificial boundary is introduced to make the computational domain finite. On the artificial boundary, an exact boundary condition is proposed to reduce the original problem to an initial‐boundary value problem in a finite computational domain. A difference scheme is constructed by the method of reduction of order to solve the problem in the finite computational domain. It is proved that the difference scheme is uniquely solvable, unconditionally stable and convergent with the convergence order 2 in space and order 3/2 in time in an energy norm. A numerical example demonstrates the theoretical results.© 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2007     

A general solution of the diffusion equation for semiinfinite geometries

The solution of the time-dependent diffusion equation in a semiinfinite planar, cylindrical, or spherical geometry with common initial and asymptotic boundary conditions is considered. It is shown that this boundary value problem may be described by a single equation which involves only a first order spatial derivative and a half order time derivative. The replacement is exact in the planar and spherical geometry cases but approximate in the cylindrical case. This replacement permits the solution of the original boundary value problem to be written for any boundary condition at the origin. It also leads to a simple relationship between the boundary flux and the boundary intensive variable, which does not require a calculation of the intensive variable at all positions and times.     

Numerical solution of the differential equation describing the behavior of the zeroth-order boundary function

The asymptotic solution of the integro-differential plasma-sheath equation is considered. This equation is singularly perturbed because of the small coefficient multiplying the highest order (second) derivative. The asymptotic solution is obtained by the boundary function method. Equations are derived for the first two coefficients in the form of both a regular series expansion and an expansion in boundary functions. The equation for the first coefficient of the regular series has only a trivial solution. A numerical algorithm is considered for the solution of the second-order differential equation describing the behavior of the zeroth-order boundary function. The proposed algorithm efficiently solves the boundary-value problem and produces a well-behaved solution of the Cauchy problem. __________ Translated from Prikladnaya Matematika i Informatika, No. 23, pp. 24–35, 2006.     

Shape and topology optimization of contact problems by level set methods

This paper deals with the numerical solution of a topology and shape optimization problems of an elastic body in unilateral contact with a rigid foundation. The contact problem with the prescribed friction is considered. The structural optimization problem consists in finding such shape of the boundary of the domain occupied by the body that the normal contact stress along the contact boundary of the body is minimized. In the paper shape as well as topological derivatives formulae of the cost functional are provided using material derivative and asymptotic expansion methods, respectively. These derivatives are employed to formulate necessary optimality condition for simultaneous shape and topology optimization. Level set based numerical algorithm for the solution of the shape optimization problem is proposed. Level set method is used to describe the position of the boundary of the body and its evolution on a fixed mesh. This evolution is governed by Hamilton – Jacobi equation. The speed vector field driving the propagation of the boundary of the body is given by the shape derivative of a cost functional with respect to the free boundary. Numerical examples are provided. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Viscous Shock Motion for Advection-Diffusion Equations

This paper studies the asymptotic solution of the initial-boundary value problem for scalar convection-dominated evolution equations on a bounded spatial domain when initial and boundary conditions are such that the solution develops a single thin shock layer of steep change. The exponentially slow motion of the shock is determined for exponentially long times using an ansatz based on the solution for the special case of Burgers' equation, obtained through the Cole-Hopf transformation. Results obtained analytically are confirmed by numerical experiments.     

A note on the approximation of Dirichlet boundary control problems for the wave equation on curved domains

We consider an exact boundary control problem for the wave equation with given initial and terminal data and Dirichlet boundary control. The aim is to steer the state of the system that is defined on a given domain to a position of rest in finite time. The optimal control that is obtained as the solution of the problem depends on the data that define the problem, in particular on the domain. Often for the numerical solution of the control problem, this given domain is replaced by a polygon. This is the motivation to study the convergence of the optimal controls for the polygon to the optimal controls for the given domain. To study the convergence, the values of the optimal controls that are defined on the boundaries of the approximating polygons are mapped in the normal directions of the polygon to control functions defined on the boundary of the original domain. This map has already been used by Bramble and King, Deckelnick, Guenther and Hinze and by Casas and Sokolowski. Using this map, we can show the strong convergence of the transformed controls as the polygons approach the given domain. An essential tool to obtain the convergence is a regularization term in the objective functions to increase the regularity of the state.     

On a singularly perturbed initial value problem in the case of a double root of the degenerate equation

We study the initial value problem of a singularly perturbed first order ordinary differential equation in case that the degenerate equation has a double root. We construct the formal asymptotic expansion of the solution such that the boundary layer functions decay exponentially. This requires a modification of the standard procedure. The asymptotic solution will be used to construct lower and upper solutions guaranteeing the existence of a unique solution and justifying its asymptotic expansion.