On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion

The derivative of self-intersection local time (DSLT) for Brownian motion was introduced by Rosen (2005) and subsequently used by others to study the L²$L^2$ and L³$L^3$ moduli of continuity of Brownian local time. A version of the DSLT for fractional Brownian motion (fBm) was introduced in Yan et al. (2008); however, the definition given there presents difficulties, since it is motivated by an incorrect application of the fractional Itô formula. To rectify this, we introduce a modified DSLT for fBm and prove existence using an explicit Wiener chaos expansion. We will then argue that our modification is the natural version of the DSLT by rigorously proving the corresponding Tanaka formula. This formula corrects a formal identity given in both Rosen (2005) and Yan et al. (2008). In the course of this endeavor we prove a Fubini theorem for integrals with respect to fBm. The Fubini theorem may be of independent interest, as it generalizes (to Hida distributions) similar results previously seen in the literature. As a further byproduct of our investigation, we also provide a small correction to an important technical second-moment bound for fBm which has appeared in the literature many times.     

On the Weighted Local Time and the Tanaka Formula for the Multidimensional Fractional Brownian Motion

Abstract

We determine the weighted local time for the multidimensional fractional Brownian motion from the occupation time formula. We also discuss on the Itô and Tanaka formula for the multidimensional fractional Brownian motion. In these formulas the Skorohod integral is applicable if the Hurst parameter of fractional Brownian motion is greater than 1/2. If the Hurst parameter is less than 1/2, then we use the Skorohod type integral introduced by Nualart and Zakai for the stochastic integral and establish the Itô and Tanaka formulas.     

Tanaka Formula for Multidimensional Brownian Motions

We study the Tanaka formula for multidimensional Brownian motions in the framework of generalized Wiener functionals. More precisely, we show that the submartingale U(B _t –x) is decomposed in the sence of generalized Wiener functionals into the sum of a martingale and the Brownian local time, U being twice of the kernel of Newtonian potential and B _t the multidimensional Brownian motion. We also discuss on an aspect of the Tanaka formula for multidimensional Brownian motions as the Doob–Meyer decomposition.     

Time decay rate for two 3D magnetohydrodynamics‐ α models

We consider the long time behavior of solutions to the magnetohydrodynamics‐ α model in three spatial dimensions. Time decay rate in L²‐norm of the solution is obtained. Similar results for a generalized Leray‐ α‐magnetohydrodynamics model are also established. As a by‐product, an optimal time decay rate for the Navier–Stokes‐ α model is achieved. Copyright © 2013 John Wiley & Sons, Ltd.     

Convergence and error bound analysis for the space‐time CESE method

In this work, we study the convergence behavior of a recently developed space‐time conservation element and solution element method for solving conservation laws. In particular, we apply the method to a one‐dimensional time‐dependent convection‐diffusion equation possibly with high Peclet number. We prove that the scheme converges and we obtain an error bound. This method performs well even for strong convection dominance over diffusion with good long‐time accuracy. Numerical simulations are performed to verify the results. © 2001 John Wiley & Sons, Inc. Numer Methods Partial Differential Eq 17: 64–78, 2001     

Local well‐posedness and zero‐α limit for the Euler‐α equations

In this paper, we prove the local‐in‐time existence and a blow‐up criterion of solutions in the Besov spaces for the Euler‐α equations of inviscid incompressible fluid flows in . We also establish the convergence rate of the solutions of the Euler‐α equations to the corresponding solutions of the Euler equations as the regularization parameter α approaches 0 in . Copyright © 2016 John Wiley & Sons, Ltd.     

Large time behaviour of solutions to Penrose–Fife phase change models

A non‐conserved phase transition model of Penrose–Fife type is considered where Dirichlet boundary conditions for the temperature are taken. A sketch of the proof of existence and uniqueness of the solution is given. Then, the large time behaviour of such a solution is studied. By using the Simon–?ojasiewicz inequality it is shown that the whole solution trajectory converges to a single stationary state. Due to the non‐coercive character of the energy functional, the main difficulty in the proof is to control the large values of the temperature. This is achieved by means of non‐standard a priori estimates. Copyright © 2005 John Wiley & Sons, Ltd.     

Convergence analysis of the Navier–Stokes alpha model

We consider the Navier–Stokes‐alpha (NS‐α) model as an approximation of turbulent flows under nonperiodic boundary conditions. We prove global existence and uniqueness of weak solutions of the particular model. Further, we give full discretization of the model using the finite element approximations. Finally, we prove convergence of the method to the continuous NS‐α solution as h → 0 for a constant α. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2010     

Continuity of the scattering function and Levinson‐type formula of Klein–Gordon equation

We considered the inverse problem of scattering theory for a boundary value problem on the half line generated by Klein–Gordon differential equation with a nonlinear spectral parameter‐dependent boundary condition. We defined the scattering data, and we proved the continuity of the scattering function S(λ); in a special case, the relation for the difference of the logarithm of the scattering function, which is called the Levinson‐type formula, was obtained. Copyright © 2012 John Wiley & Sons, Ltd.     

On a Parametrization Formula for the Solution Set of a Completely Indeterminate Generalized Matricial Carathéodory–Fejér Problem

A parametrization formula for the solution set of a completely indeterminate generalized matricial Carathéodory–Fejér problem is given. The unique A–normalized γ–generating quadruple is constructed by a limit procedure. Moreover, its blocks are expressed as Gramians.     

Large time asymptotics of Feynman–Kac functionals for symmetric stable processes

Let μ be a positive Kato measure on associated with the Green kernel of the transient symmetric α‐stable process, the Markov process with generator (). Let be the positive continuous additive functional in the Revuz correspondence with μ. If, in addition, μ is of compact support, we give exact large time asymptotics of the expectation of the Feynman–Kac functional, .     

Nonstandard finite difference schemes for a class of generalized convection–diffusion–reaction equations

In this work, a class of nonstandard finite difference (NSFD) schemes are proposed to approximate the solutions of a class of generalized convection–diffusion–reaction equations. First, in the case of no diffusion, two exact finite difference schemes are presented using the method of characteristics. Based on these two exact schemes, a class of exact schemes are presented by introducing a parameter α. Second, since the forms of these exact schemes are so complicated that they are not convenient to use, a class of NSFD schemes are derived from the exact schemes using numerical approximations. It follows that, under certain conditions about denominator function of time‐step sizes, these NSFD schemes are elementary stable and the solutions are positive and bounded. Third, by means of the Mickens' technique of subequations, a new class of implicit NSFD schemes are constructed for the full convection–diffusion–reaction equations. It is shown that, under certain parameters set, these NSFD schemes are capable of preserving the non‐negativity and boundedness of the analytical solutions. Finally, some numerical simulations are provided to verify the validity of our analytical results. © 2014 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 31: 1288–1309, 2015     

Robust reliable L2 – L∞ control for continuous‐time systems with nonlinear actuator failures

This article examines the reliable L₂ – L_∞ control design problem for a class of continuous‐time linear systems subject to external disturbances and mixed actuator failures via input delay approach. Also, due to the occurrence of nonlinear circumstances in the control input, a more generalized and practical actuator fault model containing both linear and nonlinear terms is constructed to the addressed control system. Our attention is focused on the design of the robust state feedback reliable sampled‐data controller that guarantees the robust asymptotic stability of the resulting closed‐loop system with an L₂ – L_∞ prescribed performance level γ > 0, for all the possible actuator failure cases. For this purpose, by constructing an appropriate Lyapunov–Krasovskii functional (LKF) and utilizing few integral inequality techniques, some novel sufficient stabilization conditions in terms of linear matrix inequalities (LMIs) are established for the considered system. Moreover, the established stabilizability conditions pave the way for designing the robust reliable sampled‐data controller as the solution to a set of LMIs. Finally, as an example, a wheeled mobile robot trailer model is considered to illustrate the effectiveness of the proposed control design scheme. © 2016 Wiley Periodicals, Inc. Complexity 21: 309–319, 2016     

Large‐time behavior of a two‐scale semilinear reaction–diffusion system for concrete sulfatation

We study the large‐time behavior of (weak) solutions to a two‐scale reaction–diffusion system coupled with a nonlinear ordinary differential equations modeling the partly dissipative corrosion of concrete (or cement)‐based materials with sulfates. We prove that as t → ∞ , the solution to the original two‐scale system converges to the corresponding two‐scale stationary system. To obtain the main result, we make use essentially of the theory of evolution equations governed by subdifferential operators of time‐dependent convex functions developed combined with a series of two‐scale energy‐like time‐independent estimates. Copyright © 2014 John Wiley & Sons, Ltd.     

An inverse eigenvalue method for frequency isolation in spring–mass systems

The action of external vibrating forces on mechanical structures can cause severe damages when resonance occurs. The removal of natural frequencies of the structure from resonance bands is therefore of great importance. This problem is called frequency isolation problem and is the subject of this paper. A new inverse eigenvalue method is proposed and applied to spring–mass systems, which have generated much interest in the literature as prototypes of vibrating structures. The novelty of the method lies in using the zeros of the frequency response function at the last mass as control variables in an optimization problem to minimize the impact of redesign. Numerically accurate algorithms for computing the sensitivity with respect to the control variables are presented, which form the basis of an efficient multidimensional search strategy to solve the frequency isolation problem. Copyright © 2001 by John Wiley & Sons, Ltd.     

RBF‐ENO/WENO schemes with Lax–Wendroff type time discretizations for Hamilton–Jacobi equations

In this research, a class of radial basis functions (RBFs) ENO/WENO schemes with a Lax–Wendroff time discretization procedure, named as RENO/RWENO‐LW, for solving Hamilton–Jacobi (H–J) equations is designed. Particularly the multi‐quadratic RBFs are used. These schemes enhance the local accuracy and convergence by locally optimizing the shape parameters. Comparing with the original WENO with Lax–Wendroff time discretization schemes of Qiu for HJ equations, the new schemes provide more accurate reconstructions and sharper solution profiles near strong discontinuous derivative. Also, the RENO/RWENO‐LW schemes are easy to implement in the existing original ENO/WENO code. Extensive numerical experiments are considered to verify the capability of the new schemes.     

On some dynamic inequalities of Steffensen type on time scales

In the present article, we investigate some new inequalities of Steffensen type on an arbitrary time scale using the diamond‐α dynamic integrals, which are defined as a linear combination of the delta and nabla integrals. The obtained inequalities extend some known dynamic inequalities on time scales and unify and extend some continuous inequalities and their discrete analogues.     

Energy decay estimates for the dissipative wave equation with space–time dependent potential

We study the asymptotic behavior of solutions of dissipative wave equations with space–time‐dependent potential. When the potential is only time‐dependent, Fourier analysis is a useful tool to derive sharp decay estimates for solutions. When the potential is only space‐dependent, a powerful technique has been developed by Todorova and Yordanov to capture the exact decay of solutions. The presence of a space–time‐dependent potential, as in our case, requires modifications of this technique. We find the energy decay and decay of the L² norm of solutions in the case of space–time‐dependent potential. Copyright © 2010 John Wiley & Sons, Ltd.     

Numerical time schemes for an ocean‐related system of PDEs

In this article we consider a system of equations related to the δ‐primitive equations of the ocean and the atmosphere, linearized around a stratified flow, and we supplement the equations with transparent boundary conditions. We study the stability of different numerical schemes and we show that for each case, letting the vertical viscosity δ go to 0, the stability conditions are the same as the classical CFL conditions for the transport equation. © 2005 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2006     

A modified Chebyshev ϑ‐weighted Crank–Nicolson method for analyzing fractional sub‐diffusion equations

This study presents a robust modification of Chebyshev ? ‐weighted Crank–Nicolson method for analyzing the sub‐diffusion equations in the Caputo fractional sense. In order to solve the problem, by discretization of the sub‐fractional diffusion equations using Taylor's expansion a linear system of algebraic equations that can be analyzed by numerical methods is presented. Furthermore, consistency, convergence, and stability analysis of the suggested method are discussed. In this framework, compact structures of sub‐diffusion equations are considered as prototype examples. The main advantage of the proposed method is that, it is more efficient in terms of CPU time, computational cost and accuracy in comparing with the existing ones in open literature.