A numerical algorithm for determination of a control parameter in two-dimensional parabolic inverse problems

Numerical solution of the parabolic partial differential equations with an unknown parameter play a very important role in engineering applications. In this study we present a high order scheme for determining unknown control parameter and unknown solution of two-dimensional parabolic inverse problem with overspecialization at a point in the spatial domain. In this approach, a compact fourth-order scheme is used to discretize spatial derivatives of equation and reduces the problem to a system of ordinary differential equations(ODEs).Then we apply a fourth order boundary value method to the solution of resulting system of ODEs. So the proposed method has fourth order of accuracy in both space and time components and is unconditionally stable due to the favorable stability property of boundary value methods. The results of numerical experiments are presented and some comparisons are made with several well-known finite difference schemes in the literature.Also we will investigate the effect of noise in data on the approximate solutions.     

THE BOUNDARY INTEGRAL METHOD FOR THE HELMHOLTZ EQUATION WITH CRACKS INSIDE A BOUNDED DOMAIN

We consider a kind of scattering problem by a crack Γ that is buried in a bounded domain D,and we put a point source inside the domain D.This leads to a mixed boundary value problem to the Helmholtz equation in the domain D with a crack Γ.Both sides of the crack Γ are given Dirichlet-impedance boundary conditions,and different boundary condition(Dirichlet,Neumann or Impedance boundary condition) is set on the boundary of D.Applying potential theory,the problem can be reformulated as a system of boundary integral equations.We establish the existence and uniqueness of the solution to the system by using the Fredholm theory.     

具线性退化特征场对角型方程组Goursat问题的奇性形成机制

For an inhomogeneous quasilinear hyperbolic system of diagonal form, under the assumptions that the system is linearly degenerate and the C^1 norm of the boundary data is bounded, we show that the mechanism of the formation of singularities of C^1 classical solution to the Goursat problem with C^1 compatibility conditions at the origin must be an ODE type. The similar result is also obtained for the weakly discontinuous solution with C^0 compatibility conditions at the origin.     

A Linear System Arising from a Polynomial Problem and Its Applications

A linear system arising from a polynomial problem in the approximation theory is studied, and the necessary and sufficient conditions for existence and uniqueness of its solutions are presented. Together with a class of determinant identities, the resulting theory is used to determine the unique solution to the polynomial problem. Some homogeneous polynomial identities as well as results on the structure of related polynomial ideals are just by-products.     

Analytic and Experimental Studies of the Errors in Numerical Methods for the Valuation of Options

The value of a European option satisfies the Black-Scholes equation with appropriately specified final and boundary conditions.We transform the problem to an initial boundary value problem in dimensionless form.There are two parameters in the coefficients of the resulting linear parabolic partial differential equation.For a range of values of these parameters,the solution of the problem has a boundary or an initial layer.The initial function has a discontinuity in the first-order derivative,which leads to the appearance of an interior layer.We construct analytically the asymptotic solution of the equation in a finite domain.Based on the asymptotic solution we can determine the size of the artificial boundary such that the required solution in a finite domain in x and at the final time is not affected by the boundary.Also,we study computationally the behaviour in the maximum norm of the errors in numerical solutions in cases such that one of the parameters varies from finite (or pretty large) to small values,while the other parameter is fixed and takes either finite (or pretty large) or small values. Crank-Nicolson explicit and implicit schemes using centered or upwind approximations to the derivative are studied.We present numerical computations,which determine experimentally the parameter-uniform rates of convergence.We note that this rate is rather weak,due probably to mixed sources of error such as initial and boundary layers and the discontinuity in the derivative of the solution.     

带分数阶Robin边界条件的时间-空间分数阶扩散方程的有限差分方法（英文）

In this paper, an efficient numerical method is proposed to solve the Caputo-Riesz fractional diffusion equation with fractional Robin boundary conditions. We approximate the Riesz space fractional derivatives using the fractional central difference scheme with second-order accurate. A priori estimation of the solution of the numerical scheme is given, and the stability and convergence of the numerical scheme are analyzed.Finally, a numerical example is used to verify the accuracy and efficiency...     

A MAXIMUM PRINCIPLE APPROACH TO STOCHASTIC H_2/H_∞ CONTROL WITH RANDOM JUMPS

A necessary maximum principle is given for nonzero-sum stochastic differential games with random jumps.The result is applied to solve the H_2/H_∞ control problem of stochastic systems with random jumps.A necessary and sufficient condition for the existence of a unique solution to the H_2/H_∞ control problem is derived.The resulting solution is given by the solution of an uncontrolled forward backward stochastic differential equation with random jumps.     

EXPONENTIAL STABILITY FOR NONLINEAR HYBRID STOCHASTIC PANTOGRAPH EQUATIONS AND NUMERICAL APPROXIMATION

The paper develops exponential stability of the analytic solution and convergence in probability of the numerical method for highly nonlinear hybrid stochastic pantograph equation. The classical linear growth condition is replaced by polynomial growth conditions, under which there exists a unique global solution and the solution is almost surely exponentially stable. On the basis of a series of lemmas, the paper establishes a new criterion on convergence in probability of the Euler-Maruyama approximate solution. The criterion is very general so that many highly nonlinear stochastic pantograph equations can obey these conditions. A highly nonlinear example is provided to illustrate the main theory.     

EXISTENCE OF MILD SOLUTION TO NONLINEAR NEUTRAL STOCHASTIC DIFFERENTIAL SYSTEM WITH DELAY

This paper is concerned with the existence of solution to a nonlinear neutral stochastic diferential system with delay in a Hilbert Space. Sufcient conditions for the existence are obtained using the Schaefer fxed point theorem.     

一个具有非线性边界条件的抛物系统整体存在性和爆破

In this paper the nonnegative classical solutions of a parabolic system with nonlinear boundary conditions are discussed. The existence and uniqueness of a nonnegative classical solution are proved. And some sufficient conditions to ensure the global existence and nonexistence of nonnegative classical solution to this problem are given.     

STABILITY FOR IMPOSING ABSORBING BOUNDARY CONDITIONS IN THE FINITE ELEMENT SIMULATION OF ACOUSTIC WAVE PROPAGATION＊

It is well-known that artificial boundary conditions are crucial for the efficient and accurate computations of wavefields on unbounded domains. In this paper, we investigate stability analysis for the wave equation coupled with the first and the second order absorbing boundary conditions. The computational scheme is also developed. The approach allows the absorbing boundary conditions to be naturally imposed, which makes it easier for us to construct high order schemes for the absorbing boundary conditions. A thirdorder Lagrange finite element method with mass lumping is applied to obtain the spatial discretization of the wave equation. The resulting scheme is stable and is very efficient since no matrix inversion is needed at each time step. Moreover, we have shown both abstract and explicit conditional stability results for the fully-discrete schemes. The results are helpful for designing computational parameters in computations. Numerical computations are illustrated to show the efficiency and accuracy of our method. In particular, essentially no boundary reflection is seen at the artificial boundaries.     

LARGE-TIME BEHAVIOR OF SOLUTIONS OF QUANTUM HYDRODYNAMIC MODEL FOR SEMICONDUCTORS

A one-dimensional quantum hydrodynamic model (or quantum Euler-Poisson system) for semiconductors with initial boundary conditions is considered for general pressure-density function. The existence and uniqueness of the classical solution of the corresponding steady-state quantum hydrodynamic equations is proved. Furthermore, the global existence of classical solution, when the initial datum is a perturbation of the steady-state solution, is obtained. This solution tends to the corresponding steady-state solution exponentially fast as the time tends to infinity.     

A Stability Theorem for Constrained Optimal Control Problems

This paper presents the stability of difference approximations of an optimal control problem for a quasilinear parabolic equation with controls in the coefficients, boundary conditions and additional restrictions. The optimal control problem has been convered to one of the optimization problem using a penalty function technique. The difference approximations problem for the considered problem is obtained. The estimations of stability of the solution of difference approximations problem are proved. The stability estimation of the solution of difference approximations problem by the controls is obtained.     

Asymptotic Stability of Equilibrium State to the Mixed Initial-Boundary Value Problem for Quasilinear Hyperbolic Systems

Under the internal dissipative condition, the Cauchy problem for inhomogeneous quasilinear hyperbolic systems with small initial data admits a unique global C1 solution, which exponentially decays to zero as t → +∞, while if the coefficient matrixΘ of boundary conditions satisfies the boundary dissipative condition, the mixed initialboundary value problem with small initial data for quasilinear hyperbolic systems with nonlinear terms of at least second order admits a unique global C1 solution, which also exponentially decays to zero as t → +∞. In this paper, under more general conditions, the authors investigate the combined effect of the internal dissipative condition and the boundary dissipative condition, and prove the global existence and exponential decay of the C1 solution to the mixed initial-boundary value problem for quasilinear hyperbolic systems with small initial data. This stability result is applied to a kind of models, and an example is given to show the possible exponential instability if the corresponding conditions are not satisfied.     

INITIAL BOUNDARY VALUE PROBLEMS FOR QUASILINEAR HYPERBOLIC-PARABOLIC COUPLED SYSTEMS IN HIGHER DIMENSIONAL SPACES

The initial bounary value problem for quasilinear hyperbolic-parabolic coupled systemsin higher dimensional spaces,which arises in many mechanical problems is considered.Underthe assumptions that the hyperbolic part of the coupled system is a quasilinear symmetrichyperbolic system and the parabolic part is a quasilinear parabolic system of second orderand suitble asstunptions of smoothness and compatibiliy conditions,the existence anduniqueness of local smooth solution is proved in the cases that the boundary of domain isnoncharacteristic or uniformly characteristic with respect to the hyperbolic part.As an application,the existence and uniqueness of local smooth solution for the initialboundary problem of the radiation hydrodynamic system,as well as of the viscous compressiblehydrodynamic system,with solid wall boundary,is obtained.     

SEMI-LINEAR SYSTEMS OF BACKWARD STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS IN R~n

This paper explores the diffeomorphism of a backward stochastic ordinary differential equation (BSDE) to a system of semi-linear backward stochastic partial differential equations (BSPDEs), under the inverse of a stochastic flow generated by an ordinary stochastic differential equation (SDE). The author develops a new approach to BSPDEs and also provides some new results. The adapted solution of BSPDEs in terms of those of SDEs and BSDEs is constructed. This brings a new insight on BSPDEs, and leads to a probabilistic approach. As a consequence, the existence, uniqueness, and regularity results are obtained for the (classical, Sobolev, and distributional) solution of BSPDEs. The dimension of the space variable x is allowed to be arbitrary n, and BSPDEs are allowed to be nonlinear in both unknown variables, which implies that the BSPDEs may be nonlinear in the gradient. Due to the limitation of space, however, this paper concerns only classical solution of BSPDEs under some more restricted assumptions.     

Boundary Shape Control of the Navier-Stokes Equations and Applications

In this paper, the geometrical design for the blade's surface in an impeller or for the profile of an aircraft, is modeled from the mathematical point of view by a boundary shape control problem for the Navier-Stokes equations. The objective function is the sum of a global dissipative function and the power of the fluid. The control variables are the geometry of the boundary and the state equations are the Navier-Stokes equations. The Euler-Lagrange equations of the optimal control problem are derived, which are an elliptic boundary value system of fourth order, coupled with the Navier-Stokes equations. The authors also prove the existence of the solution of the optimal control problem, the existence of the solution of the Navier-Stokes equations with mixed boundary conditions, the weak continuity of the solution of the Navier-Stokes equations with respect to the geometry shape of the blade's surface and the existence of solutions of the equations for the Gateaux derivative of the solution of the Navier-Stokes equations with respect to the geometry of the boundary.     

A closed form solution to one dimensional robin boundary problems

Many cellular and subcellular biological processes can be described in terms of diffusing and chem- ically reacting species (e.g. enzymes). In this paper, we will use reflected and absorbed Brownian motion and stochastic differential equations to construct a closed form solution to one dimensional Robin boundary prob- lems. Meanwhile, we will give a reasonable explanation to the closed form solution from a stochastic point of view. Finally, we will extend the problem to Robin boundary problem with two boundary conditions and give a specific solution by resorting to a stopping time.     

一类退化椭圆方程组正解的存在性和唯一性

In this paper we study a class of degenerate nonlinear elliptic systems with homogeneous Dirichlet boundary conditions by the monotone iteration method. The existence and uniqueness of the positive solution of such a system are proved. In particular conditions which ensure that the iteration process converges to the unique solution are given.