Single and multi‐interval Legendre spectral methods in time for parabolic equations

In this article, we take the parabolic equation with Dirichlet boundary conditions as a model to present the Legendre spectral methods both in spatial and in time. Error analysis for the single/multi‐interval schemes in time is given. For the single interval spectral method in time, we obtain a better error estimate in L²‐norm. For the multi‐interval spectral method in time, we obtain the L²‐optimal error estimate in spatial. By choosing approximate trial and test functions, the methods result in algebraic systems with sparse forms. A parallel algorithm is constructed for the multi‐interval scheme in time. Numerical results show the efficiency of the methods. The methods are also applied to parabolic equations with Neumann boundary conditions, Robin boundary conditions and some nonlinear PDEs. © 2005 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2006     

Scrambling Sobol' and Niederreiter–Xing Points

Hybrids of equidistribution and Monte Carlo methods of integration can achieve the superior accuracy of the former while allowing the simple error estimation methods of the latter. In particular, randomized (0, m, s)-nets in basebproduce unbiased estimates of the integral, have a variance that tends to zero faster than 1/nfor any square integrable integrand and have a variance that for finitenis never more thane?2.718 times as large as the Monte Carlo variance. Lower bounds thaneare known for special cases. Some very important (t, m, s)-nets havet>0. The widely used Sobol' sequences are of this form, as are some recent and very promising nets due to Niederreiter and Xing. Much less is known about randomized versions of these nets, especially ins>1 dimensions. This paper shows that scrambled (t, m, s)-nets enjoy the same properties as scrambled (0, m, s)-nets, except the sampling variance is guaranteed only to be belowb^t[(b+1)/(b−1)]^stimes the Monte Carlo variance for a least-favorable integrand and finiten.     

New energy identities and super convergence analysis of the energy conserved splitting FDTD methods for 3D Maxwell's equations

The energy‐conserved splitting finite‐difference time‐domain (EC‐S‐FDTD) method has recently been proposed to solve the Maxwell equations with second order accuracy while numerically keep the L² energy conservation laws of the equations. In this paper, the EC‐S‐FDTD scheme for the 3D Maxwell equations is proved to be energy‐conserved and unconditionally stable in the discrete H¹ norm. The EC‐S‐FDTD scheme is of second‐order accuracy both in time step and spatial steps, which suggests the super‐convergence of this scheme in the discrete H¹ norm. And the divergence of the electric field of the EC‐S‐FDTD scheme in the discrete L² norm is second‐order accurate. Numerical experiments confirm our theoretical analysis. Copyright © 2012 John Wiley & Sons, Ltd.     

A shift‐adaptive meshfree method for solving a class of initial‐boundary value problems with moving boundaries in one‐dimensional domain

A new shift‐adaptive meshfree method for solving a class of time‐dependent partial differential equations (PDEs) in a bounded domain (one‐dimensional domain) with moving boundaries and nonhomogeneous boundary conditions is introduced. The radial basis function (RBF) collocation method is combined with the finite difference scheme, because, unlike with Kansa's method, nonlinear PDEs can be converted to a system of linear equations. The grid‐free property of the RBF method is exploited, and a new adaptive algorithm is used to choose the location of the collocation points in the first time step only. In fact, instead of applying the adaptive algorithm on the entire domain of the problem (like with other existing adaptive algorithms), the new adaptive algorithm can be applied only on time steps. Furthermore, because of the radial property of the RBFs, the new adaptive strategy is applied only on the first time step; in the other time steps, the adaptive nodes (obtained in the first time step) are shifted. Thus, only one small system of linear equations must be solved (by LU decomposition method) rather than a large linear or nonlinear system of equations as in Kansa's method (adaptive strategy applied to entire domain), or a large number of small linear systems of equations in the adaptive strategy on each time step. This saves a lot in time and memory usage. Also, Stability analysis is obtained for our scheme, using Von Neumann stability analysis method. Results show that the new method is capable of reducing the number of nodes in the grid without compromising the accuracy of the solution, and the adaptive grading scheme is effective in localizing oscillations due to sharp gradients or discontinuities in the solution. The efficiency and effectiveness of the proposed procedure is examined by adaptively solving two difficult benchmark problems, including a regularized long‐wave equation and a Korteweg‐de Vries problem. © 2016Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 32: 1622–1646, 2016     

Combination of standard Galerkin and subspace methods for the time‐dependent Navier‐Stokes equations with nonsmooth initial data

We consider a combination of the standard Galerkin method and the subspace decomposition methods for the numerical solution of the two‐dimensional time‐dependent incompressible Navier‐Stokes equations with nonsmooth initial data. Because of the poor smoothness of the solution near t = 0, we use the standard Galerkin method for time interval [0, 1] and the subspace decomposition method time interval [1, ∞). The subspace decomposition method is based on the solution into the sum of a low frequency component integrated using a small time step Δt and a high frequency integrated using a larger time step pΔt with p > 1. From the H¹‐stability and L²‐error analysis, we show that the subspace decomposition method can yield a significant gain in computing time. © 2008 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2009     

A Symmetric Characteristic Finite Volume Element Scheme for Nonlinear Convection-Diffusion Problems

In this paper, we implement alternating direction strategy and construct a symmetric FVE scheme for nonlinear convection-diffusion problems. Comparing to general FVE methods, our method has two advantages. First, the coefficient matrices of the discrete schemes will be symmetric even for nonlinear problems. Second, since the solution of the algebraic equations at each time step can be inverted into the solution of several one-dimensional problems, the amount of computation work is smaller. We prove the optimal H1-norm error estimates of order O（△t2 ＋ h） and present some numerical examples at the end of the paper.     

Stability and error analysis for spectral Galerkin method for the Navier–Stokes equations with L2 initial data

In this article we consider the spectral Galerkin method with the implicit/explicit Euler scheme for the two‐dimensional Navier–Stokes equations with the L² initial data. Due to the poor smoothness of the solution on [0,1), we use the the spectral Galerkin method based on high‐dimensional spectral space H_M and small time step Δt² on this interval. While on [1,∞), we use the spectral Galerkin method based on low‐dimensional spectral space H_m(m = O(M^1/2)) and large time step Δt. For the spectral Galerkin method, we provide the standard H²‐stability and the L²‐error analysis. © 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2007     

Dissipativity of the linearly implicit Euler scheme for Navier‐Stokes equations with delay

In this article, we study the dissipativity of the linearly implicit Euler scheme for the 2D Navier‐Stokes equations with time delay volume forces (NSD). This scheme can be viewed as an application of the implicit Euler scheme to linearized NSD. Therefore, only a linear system is needed to solve at each time step. The main results we obtain are that this scheme is L² dissipative for any time step size and H¹ dissipative under a time‐step constraint. As a consequence, the existence of a numerical attractor of the discrete dynamical system is established. A by‐product of the dissipativity analysis of the linearly implicit Euler scheme for NSD is that the dissipativity of an implicit‐explicit scheme for the celebrated Navier‐Stokes equations that treats the volume forces term explicitly is obtained.© 2017 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 33: 2114–2140, 2017     

On finite element methods for convection dominated phenomena

The aim of this work is to give theoretical justification of several types of finite element approximations to the initial-boundary value problems of first order linear hyperbolic equations. Our approximate scheme is obtained by the piecewise linear continuous finite element method for space variable, x, and the Euler type step by step integration method for time variable, t. An artificial viscosity technique, up-stream type methods are considered within the frame work of L²-theory. The convergence and the error estimate of the approximate solutions to the true one are discussed.     

Minimum time‐step criteria for the Galerkin finite element methods applied to one‐dimensional parabolic partial differential equations

The finite element method has been well established for numerically solving parabolic partial differential equations (PDEs). Also it is well known that a too large time step should not be chosen in order to obtain a stable and accurate numerical solution. In this article, accuracy analysis shows that a too small time step should not be chosen either for some time‐stepping schemes. Otherwise, the accuracy of the numerical solution cannot be improved or can even be worsened in some cases. Furthermore, the so‐called minimum time step criteria are established for the Crank‐Nicolson scheme, the Galerkin‐time scheme, and the backward‐difference scheme used in the temporal discretization. For the forward‐difference scheme, no minimum time step exists as far as the accuracy is concerned. In the accuracy analysis, no specific initial and boundary conditions are invoked so that such established criteria can be applied to the parabolic PDEs subject to any initial and boundary conditions. These minimum time step criteria are verified in a series of numerical experiments for a one‐dimensional transient field problem with a known analytical solution. The minimum time step criteria developed in this study are useful for choosing appropriate time steps in numerical simulations of practical engineering problems. © 2005 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2006     

The Effect of Surface Tension on the Moore Singularity of Vortex Sheet Dynamics

We investigate the regularization of Moore’s singularities by surface tension in the evolution of vortex sheets and its dependence on the Weber number (which is inversely proportional to surface tension coefficient). The curvature of the vortex sheet, instead of blowing up at finite time t ₀, grows exponentially fast up to a O(We) limiting value close to t ₀. We describe the analytic structure of the solutions and their self-similar features and characteristic scales in terms of the Weber number in a O(We⁻¹) neighborhood of the time at which, in absence of surface tension effects, Moore’s singularity would appear. Our arguments rely on asymptotic techniques and are supported by full numerical simulations of the PDEs describing the evolution of vortex sheets.     

A deterministic‐control‐based approach to fully nonlinear parabolic and elliptic equations

We show that a broad class of fully nonlinear, second‐order parabolic or elliptic PDEs can be realized as the Hamilton‐Jacobi‐Bellman equations of deterministic two‐person games. More precisely: given the PDE, we identify a deterministic, discrete‐time, two‐person game whose value function converges in the continuous‐time limit to the viscosity solution of the desired equation. Our game is, roughly speaking, a deterministic analogue of the stochastic representation recently introduced by Cheridito, Soner, Touzi, and Victoir. In the parabolic setting with no u‐dependence, it amounts to a semidiscrete numerical scheme whose timestep is a min‐max. Our result is interesting, because the usual control‐based interpretations of second‐order PDEs involve stochastic rather than deterministic control. © 2009 Wiley Periodicals, Inc.     

Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations

To understand and predict chronological dependence in the second‐order moments of asset returns, this paper considers a multivariate hysteretic autoregressive (HAR) model with generalized autoregressive conditional heteroskedasticity (GARCH) specification and time‐varying correlations, by providing a new method to describe a nonlinear dynamic structure of the target time series. The hysteresis variable governs the nonlinear dynamics of the proposed model in which the regime switch can be delayed if the hysteresis variable lies in a hysteresis zone. The proposed setup combines three useful model components for modeling economic and financial data: (1) the multivariate HAR model, (2) the multivariate hysteretic volatility models, and (3) a dynamic conditional correlation structure. This research further incorporates an adapted multivariate Student t innovation based on a scale mixture normal presentation in the HAR model to tolerate for dependence and different shaped innovation components. This study carries out bivariate volatilities, Value at Risk, and marginal expected shortfall based on a Bayesian sampling scheme through adaptive Markov chain Monte Carlo (MCMC) methods, thus allowing to statistically estimate all unknown model parameters and forecasts simultaneously. Lastly, the proposed methods herein employ both simulated and real examples that help to jointly measure for industry downside tail risk.     

Technical note: A fourth‐order finite difference scheme for a system of a 2D nonlinear elliptic partial differential equations

In this article we present a fourth‐order finite difference scheme, for a system of two‐dimensional, second‐order, nonlinear elliptic partial differential equations with mixed spatial derivative terms, using 13‐point stencils with a uniform mesh size h on a square region R subject to Dirichlet boundary conditions. The scheme of order h⁴ is derived using the local solution of the system on a single stencil. The resulting system of algebraic equations can be solved by iterative methods. The difference scheme can be easily modified to obtain formulae for grid points near the boundary. Computational results are given to demonstrate the performance of the scheme on some problems including Navier‐Stokes equations. © 2001 John Wiley & Sons, Inc. Numer Methods Partial Differential Eq 17: 43–53, 2001     

Nonlinear Fourier Transforms and the mKdV Equation in the Quarter Plane

The unified transform method introduced by Fokas can be used to analyze initial‐boundary value problems for integrable evolution equations. The method involves several steps, including the definition of spectral functions via nonlinear Fourier transforms and the formulation of a Riemann‐Hilbert problem. We provide a rigorous implementation of these steps in the case of the mKdV equation in the quarter plane under limited regularity and decay assumptions. We give detailed estimates for the relevant nonlinear Fourier transforms. Using the theory of L²‐RH problems, we consider the construction of quarter plane solutions which are C¹ in time and C³ in space.     

Uniform stability of spectral nonlinear Galerkin methods

This article provides a stability analysis for the backward Euler schemes of time discretization applied to the spatially discrete spectral standard and nonlinear Galerkin approximations of the nonstationary Navier‐Stokes equations with some appropriate assumption of the data (λ, u₀, f). If the backward Euler scheme with the semi‐implicit nonlinear terms is used, the spectral standard and nonlinear Galerkin methods are uniform stable under the time step constraint Δt ≤ (2/λλ₁). Moreover, if the backward Euler scheme with the explicit nonlinear terms is used, the spectral standard and nonlinear Galerkin methods are uniform stable under the time step constraints Δt = O(λ) and Δt = O(λ), respectively, where λ ≤ λ, which shows that the restriction on the time step of the spectral nonlinear Galerkin method is less than that of the spectral standard Galerkin method. © 2004 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2004     

The Crank‐Nicolson/Adams‐Bashforth scheme for the time‐dependent Navier‐Stokes equations with nonsmooth initial data

In this article, we study the stability and convergence of the Crank‐Nicolson/Adams‐Bashforth scheme for the two‐dimensional nonstationary Navier‐Stokes equations with a nonsmooth initial data. A finite element method is applied for the spatial approximation of the velocity and pressure. The time discretization is based on the implicit Crank‐Nicolson scheme for the linear terms and the explicit Adams‐Bashforth scheme for the nonlinear term. Moreover, we prove that the scheme is almost unconditionally stable for a nonsmooth initial data u₀ with div u₀ = 0, i.e., the time step τ satisfies: τ ≤ C₀ if u₀ ∈ H¹ ∩ L^∞; τ |log h| ≤ C₀ if u₀ ∈ H¹ for the mesh size h and some positive constant C₀. Finally, we obtain some error estimates for the discrete velocity and pressure under the above stability condition. © 2010 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 28: 155‐187, 2012     

Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method

We consider a model composed of a signal process X given by a classic stochastic differential equation and an observation process Y, which is supposed to be correlated to the signal process. We assume that process Y is observed from time 0 to s>0 at discrete times and aim to estimate, conditionally on these observations, the probability that the non-observed process X crosses a fixed barrier after a given time t>0. We formulate this problem as a usual nonlinear filtering problem and use optimal quantization and Monte Carlo simulations techniques to estimate the involved quantities.     

Long time stability and convergence for fully discrete nonlinear galerkin methods

The aim of this paper is to analyze the fully discrete nonlinear Galerkin methods, which are well suited to the long time integration of dissipative partial differential equations.

With the help of several time discrete Gronwall lemmas, we are able to prove L ^∞(IR⁺,H ^α ) (α=0,1) stabilities of the fully discrete nonlinear Galerkin methods under a less restrictive time step constraint than that of the classical Galerkin methods.     

Existence and modulation of traveling waves in particles chains

We consider an infinite particle chain whose dynamics are governed by the following system of differential equations: where q_n(t) is the displacement of the n^th particle at time t along the chain axis and denotes differentiation with respect to time. We assume that all particles have unit mass and that the interaction potential V between adjacent particles is a convex C∞ function. For this system, we prove the existence of C∞, time‐periodic, traveling‐wave solutions of the form q_n(t) = q(wt kn + where q is a periodic function q(z) = q(z+1) (the period is normalized to equal 1), ω and k are, respectively, the frequency and the wave number, is the mean particle spacing, and can be chosen to be an arbitrary parameter. We present two proofs, one based on a variational principle and the other on topological methods, in particular degree theory. For small‐amplitude waves, based on perturbation techniques, we describe the form of the traveling waves, and we derive the weakly nonlinear dispersion relation. For the fully nonlinear case, when the amplitude of the waves is high, we use numerical methods to compute the traveling‐wave solution and the non‐linear dispersion relation. We finally apply Whitham's method of averaged Lagrangian to derive the modulation equations for the wave parameters α, β, k, and ω. © 1999 John Wiley & Sons, Inc.