非线性中立型延迟积分微分方程单支方法的收敛性

获得了求解非线性中立型延迟积分微分方程单支方法的收敛性结果.证明了当且仅当相应的常微分方程方法是A-稳定的且经典相容阶为p（p=1,2）时,单支方法是p阶E（或EB）-收敛的.数值实验结果验证了所获理论的正确性.     

单支方法的收敛性

本文讨论用单支方法数值求解一类多刚性时滞微分代数方程的收敛性。我们获得了A－稳定的且p阶经典相容的单支方法（时滞部分用线性插值）的整体误差估计。     

θ-方法求解广义延时微分方程系统的GP-稳定性

本文研究了用θ方法求解广义延时微分方程系统的GP 稳定性,分析了θ方法的稳定性型态.证明了基于Lagrange插值的θ方法是GP 稳定的当且仅当1/2≤θ≤1.单支θ方法是GP 稳定的当且仅当θ=1.     

刚性延迟积分微分方程单支方法的B-收敛性

本文研究刚性延迟积分微分方程单支方法的B-收敛性,结果表明：A-稳定的单支方法是B-收敛的,其B-收敛阶等于其经典相容阶．最后的数值试验验证了上述理论结果．     

非线性中立型延迟积分微分方程单支方法的稳定性分析

本文研究求解R(α,β1,β2,γ)类非线性中立型延迟积分微分方程单支方法的数值稳定性,结果表明:在一定条件下,A-稳定的单支方法是数值稳定的,强A-稳定的单支方法是渐近稳定的,最后的数值试验验证了所获理论的正确性.     

单支方法关于多延迟Pantograph方程的稳定性分析

本文主要讨论了单支方法关于多延迟pantograph方程解的存在唯一性及渐近稳定性 ,同时将非线性多延迟系统数值解的有关结论推广到多延迟pantograph方程 ,证明了单支方法对于ODEs的A(α) 稳定等价于单支方法关于多延迟pantograph方程NGPk(α) 稳定 .     

延迟微分方程单支方法的非线性稳定性

本文讨论延迟微分方程单支方法的非线性稳定性 .对于 Kα,β,γ类非线性延迟微分方程 ,我们证明带有线性插值的 G( c,p,q) -代数稳定的单支方法当 c≤ 1时是 GR( p/2 ,q/2 ) -稳定及弱 GAR( p/2 ,q/2 ) -稳定的 ,当 c<1时是 GAR( p/2 ,q/2 ) -稳定的 .最后的数值试验表明了上述结论的正确性 .     

渐近A稳定的线性多步法

本文主要结果为: 1.构造了一类k步k+1阶隐式线性多步公式,它们是渐近A稳定的。 2.构造了一类k步k阶隐式线性多步公式,它们是stiff稳定且是渐近A稳定的。 3.构造了一类k步k—1阶显式线性多步公式,它们是渐近A稳定的。k为任意正整数。     

多层渗流方程组合系统的迎风分数步长差分方法和应用

对多层渗流方程组合系统提出适合并行计算的二阶和一阶两类迎风分数步长差分格式,利用变分形式、能量方法、二维和三维格式的配套、隐显格式的相互结合、差分算子乘积交换性、高阶差分算子的分解、先验估计的理论和技巧,对二阶格式得到收敛性的最佳阶的L²误差估计. 对一阶格式亦得到收敛性的L²误差估计. 该方法已成功地应用到多层油资源运移聚集的评估生产实际中,得到了很好的数值模拟结果.     

向前型分段连续微分方程的数值解

本文讨论了向前型分段连续微分方程Euler-Maclaurin方法的收敛性和稳定性,给出了Euler-Maclaurin方法的稳定条件,证明了方法的收敛阶是2n+2,并且得到了数值解稳定区域包含解析解稳定区域的条件,最后给出了一些数值例子用以验证本文结论的正确性.     

Stability of implicit-explicit linear multistep methods for ordinary and delay differential equations

Stability properties of implicit-explicit (IMEX) linear multistep methods for ordinary and delay differential equations are analyzed on the basis of stability regions defined by using scalar test equations. The analysis is closely related to the stability analysis of the standard linear multistep methods for delay differential equations. A new second-order IMEX method which has approximately the same stability region as that of the IMEX Euler method, the simplest IMEX method of order 1, is proposed. Some numerical results are also presented which show superiority of the new method.      

Extrapolation-based implicit-explicit general linear methods

For many systems of differential equations modeling problems in science and engineering, there are natural splittings of the right hand side into two parts, one non-stiff or mildly stiff, and the other one stiff. For such systems implicit-explicit (IMEX) integration combines an explicit scheme for the non-stiff part with an implicit scheme for the stiff part. In a recent series of papers two of the authors (Sandu and Zhang) have developed IMEX GLMs, a family of implicit-explicit schemes based on general linear methods. It has been shown that, due to their high stage order, IMEX GLMs require no additional coupling order conditions, and are not marred by order reduction. This work develops a new extrapolation-based approach to construct practical IMEX GLM pairs of high order. We look for methods with large absolute stability region, assuming that the implicit part of the method is A- or L-stable. We provide examples of IMEX GLMs with optimal stability properties. Their application to a two dimensional test problem confirms the theoretical findings.     

One-leg variable-coefficient formulas for ordinary differential equations and local–global step size control

In this paper we discuss a class of numerical algorithms termed one-leg methods. This concept was introduced by Dahlquist in 1975 with the purpose of studying nonlinear stability properties of multistep methods for ordinary differential equations. Later, it was found out that these methods are themselves suitable for numerical integration because of good stability. Here, we investigate one-leg formulas on nonuniform grids. We prove that there exist zero-stable one-leg variable-coefficient methods at least up to order 11 and give examples of two-step methods of orders 2 and 3. In this paper we also develop local and global error estimation techniques for one-leg methods and implement them with the local–global step size selection suggested by Kulikov and Shindin in 1999. The goal of this error control is to obtain automatically numerical solutions for any reasonable accuracy set by the user. We show that the error control is more complicated in one-leg methods, especially when applied to stiff problems. Thus, we adapt our local–global step size selection strategy to one-leg methods.     

The Stability Analysis of the $θ$-Methods for Delay Differential Equations

This paper deals with the stability analysis of $\theta -$methods for the numerical solution of delay differential equations (DDEs). We focus on the behaviour of such methods in the solution of the linear test equation $y^{\prime}(t)=a(t)y(t)+b(t)y(t-\tau )$, where $\tau >0$, $a(t)$ and $b(t)$ are functions from $R$ to $C$. It is proved that the linear $\theta -$method and the one-leg $\theta -$method are TGP-stable if and only if $\theta =1.$     

解Stiff常微分方程组初值问题的线性隐式方法

对于Stiff常微分方程组初值问题的数值解,人们为了保证数值解过程误差传播的有界性,经常使用的方法之一是隐式的线性多步法.而在解由隐式线性多步法所产生的非线性方程组时,总是采用Newton-Raphson迭代方法.为此就要给出适当的预估式和计算     

D-CONVERGENCE OF ONE-LEG METHODS FOR STIFF DELAY DIFFERENTIAL EQUATIONS

1. IntroductionIn recent yeaJrs, many paPers discussed numerical methods for the solution of delay deential equation (DDE)y,(t) = f(t,y(t),y(t -- T)). (1.1)For linear stability of ntunerical methods, a sedcant nUIner of results have aiready beenfound for both Rase--Kutta methods and linear mchistev mehods (cf[4] [7] [8]).Recently wefurther established the relationship between G-stability and llonhnear stability (cf[3]). Erroranalysis of DDE sobors is another imPortant issue. In faCt, ma…     

两类线性隐式方法

众所周知,在Stiff常微分方程组初值问题的数值解法中,向后微分公式(即Gear方法)是目前最通用的方法之一(见[1]).但是,Gear方法是一类隐式方法,在数值解的过程中,一般说来,每向前积分一步,需要解一个非线性方程组,它的求解是采用Newton-Raphson迭代方法,因此需要给出适当精度的预估值和计算右函数f(t,y)的Jacobi阵以     

Stability and error analysis of one-leg methods for nonlinear delay differential equations

This paper is concerned with the numerical solution of delay differential equations (DDEs). We focus on the stability behaviour and error analysis of one-leg methods with respect to nonlinear DDEs. The new concepts of GR-stability, GAR-stability and weak GAR-stability are introduced. It is proved that a strongly A-stable one-leg method with linear interpolation is GAR-stable, and that an A-stable one-leg method with linear interpolation is GR-stable, weakly GAR-stable and D-convergent of order s, if it is consistent of order s in the classical sense.     

An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models

In this paper, an implicit‐explicit two‐step backward differentiation formula (IMEX‐BDF2) together with finite difference compact scheme is developed for the numerical pricing of European and American options whose asset price dynamics follow the regime‐switching jump‐diffusion process. It is shown that IMEX‐BDF2 method for solving this system of coupled partial integro‐differential equations is stable with the second‐order accuracy in time. On the basis of IMEX‐BDF2 time semi‐discrete method, we derive a fourth‐order compact (FOC) finite difference scheme for spatial discretization. Since the payoff function of the option at the strike price is not differentiable, the results show only second‐order accuracy in space. To remedy this, a local mesh refinement strategy is used near the strike price so that the accuracy achieves fourth order. Numerical results illustrate the effectiveness of the proposed method for European and American options under regime‐switching jump‐diffusion models.