A Collocation Method for the Numerical Solution of Non-linear Parabolic Partial Differential Equations

Lagrange interpolation formulae are used to obtain a new algorithmfor the approximate polynomial solution of linear and non-linearparabolic equations. The algorithm is described for problemsin one space dimension, although it is applicable to problemsdefined in two or more dimensions. It is also shown how thealgorithm may be adapted to solve a moving boundary (Stefan)problem.     

由退化抛物型方程产生的常微分方程一种自由边界问题

Assume B∈C[0,+∞)∩C¹(0,+∞) and B(υ) is strictly increasingand concave. That the free boundary Problem for ODE     

Asymptotic Properties of Solutions of Parabolic Equations Arising from Transient Diffusions

This work is concerned with asymptotic properties of a class of parabolic systems arising from singularly perturbed diffusions. The underlying system has a fast varying component and a slowly changing component. One of the distinct features is that the fast varying diffusion is transient. Under such a setup, this paper presents an asymptotic analysis of the solutions of such parabolic equations. Asymptotic expansions of functional satisfying the parabolic system are obtained. Error bounds are derived.     

一类微分项中含Hysteresis的抛物型方程

本文通过引入导出算子分离Ｈｙｓｔｅｒｅｓｉｓ与微分,证明了一个微分项中含Ｈｙｓｔｅｒｅｓｉｓ的抛物型方程古典解的存在唯一性。     

A Lumped Mass Finite-element Method with Quadrature for a Non-linear Parabolic Problem

For a non-linear second-order parabolic equation in two spacedimensions we consider semidiscrete and totally discrete variantsof the lumped mass modification with quadrature of the standardGalerkin method using piecewise linear approximating functions.We demonstrate error estimates of optimal order in L₂ and ofalmost optimal order in L and discuss some positivity and monotonicityproperties of the discrete solution operator.     

A Generalized Chebyshev Method for Non-linear Parabolic Equations in One Space Variable

The derivation and implementation of a generalized Chebyshevmethod is described for the numerical solution of non-linearparabolic equations in one space dimension. The solution isobtained by using the method of lines and is approximated inthe space variable by piecewise Chebyshev polynomial expansions.These expansions are normally few in number and of high order.It is shown that the method can be derived from a perturbedform of the original equation. A numerical example is givento illustrate its performance compared with the finite elementand finite difference method. A comparison of various Chebyshev methods is made by applyingthem to two-point eigenproblems. It is shown by analysis andnumerical examples that the approach used to derive the generalizedChebyshev method is comparable, in terms of the accuracy obtained,with existing Chebyshev methods.     

多时滞抛物型微分方程的强迫振动

我们给出满足某种边界条件的非线性时滞抛物型微分方程的一切解振动的若干充分条件.     

A Non-linear Singular Perturbation Problem Arising in the Study of Chemical Flow Reactors

This paper presents a method of obtaining the complete asymptoticsolution of boundary value problems of the form for x [0,1] where b(x) is strictly positive andfor small and positive. Physically, the problem arises in determiningthe steady-state concentration of a substance in a chemicalflow reactor. A "two-variable" expansion procedure is used.     

Spectral Problems Arising in the Theory of Differential Equations with Delay

In this article we present a review of results on asymptotic behavior and stability of strong solutions for functional differential equations (FDE). We also formulate several results about spectral properties (completeness and basisness) of exponential solutions of the above-mentioned equations. It is relevant to emphasize that our approach for the research of FDE is based on the spectral analysis of operator pencils that are symbols (characteristic quasi-polynomials) with operator coefficients. The article is divided into two parts. The first part is devoted to the research on FDE in a Hilbert space; the second part is devoted to the research on FDE in a finite-dimensional space.     

Classical Solutions of Nonautonomous Riccati Equations Arising in Parabolic Boundary Control Problems

An abstract linear-quadratic regulator problem over finite time horizon is considered; it covers a large class of linear nonautonomous parabolic systems in bounded domains, with boundary control of Dirichlet or Neumann type. The associated differential Riccati equation is studied from the point of view of semigroup theory; it is shown to have a classical, explicitly represented solution for very general final data; weighted H?lder regularity results for the optimal pair are deduced. Accepted 10 December 1997     

Parabolic Differential Equations with Unbounded Coefficients – A Generalization of the Parametrix Method

We consider uniformly parabolic differential equations with unbounded first- and zero-order coefficients. A fundamental solution is constructed based on the classical parametrix method of E. Levi. From this the existence and uniqueness of the corresponding Cauchy problem is derived. Our approach does not require differentiable coefficients, as is usually assumed in the unbounded case. It only requires Hölder continuous coefficients. In this respect, our new proof also extends known results. We briefly discuss applications which make essential use of this extension.     

On Solutions of Ordinary Differential Equations Arising from a Model of Crystal Growth

The properties of the solutions of the equations φ′″ + φ′ = ?e^φ and φ′″ + φ′ = 1/(2φ) in the complex plane are discussed. Both equations have Stokes phenomena as the imaginary axis is crossed. The Stokes multiplier of the subdominant term in each case is accurately calculated by transforming the equation into an integral equation by using a Laplace integral. The existence and uniqueness of the solutions of these integral equations are also discussed.     

Initial-Value Technique for Singularly Perturbed Boundary-Value Problems for Second-Order Ordinary Differential Equations Arising in Chemical Reactor Theory

An initial-value technique is presented for solving singularly perturbed two-point boundary-value problems for linear and semilinear second-order ordinary differential equations arising in chemical reactor theory. In this technique, the required approximate solution is obtained by combining solutions of two terminal-value problems and one initial-value problem which are obtained from the original boundary-value problem through asymptotic expansion procedures. Error estimates for approximate solutions are obtained. Numerical examples are presented to illustrate the present technique.     

Classical Solutions of Nonautonomous Riccati Equations Arising in Parabolic Boundary Control Problems, II

An abstract linear-quadratic regulator problem over finite time horizon is considered; it covers a large class of linear nonautonomous parabolic systems in bounded domains, with boundary control of Dirichlet or Neumann type. We give the proof of some result stated in [AT5], and in addition we prove uniqueness of the Riccati operator, provided its final datum is suitably regular. Accepted 14 October 1998     

A Coupled System of Integrodifferential Equations Arising in Liquidity Risk Model

We study the mathematical aspects of the portfolio/consumption choice problem in a market model with liquidity risk introduced in (Pham and Tankov, Math. Finance, 2006, to appear). In this model, the investor can trade and observe stock prices only at exogenous Poisson arrival times. He may also consume continuously from his cash holdings, and his goal is to maximize his expected utility from consumption. This is a mixed discrete/continuous time stochastic control problem, nonstandard in the literature. We show how the dynamic programming principle leads to a coupled system of Integro-Differential Equations (IDE), and we prove an analytic characterization of this control problem by adapting the concept of viscosity solutions. This coupled system of IDE may be numerically solved by a decoupling algorithm, and this is the topic of a companion paper (Pham and Tankov, Math. Finance, 2006, to appear).     

A Canonical System of lntegrodifferential Equations Arising in Resonant Nonlinear Acoustics

In general, weakly nonlinear high frequency almost periodic wave trains for systems of hyperbolic conservation laws interact and resonate to leading order. In earlier work the first two authors and J. Hunter developed simplified asymptotic equations describing this resonant interaction. In the important special case of compressible fluid flow in one or several space dimensions, these simplified asymptotic equations are essentially two inviscid Burgers equations for the nonlinear sound waves, coupled by convolution with a known kernel given by the sum of the initial vortex strength and the derivative of the initial entropy. Here we develop some of the remarkable new properties of the solutions of this system for resonant acoustics. These new features include substantial almost periodic exchange of energy between the nonlinear sound waves, the existence of smooth periodic wave trains, and the role of such smooth wave patterns in eliminating or suppressing the strong temporal decay of sawtooth profile solutions of the decoupled inviscid Burgers equations. Our approach combines detailed numerical modeling to elucidate the new phenomena together with rigorous analysis to obtain exact solutions as well as other elementary properties of the solutions of this system.     

Parabolic Differential Equations in Ordered Banach Spaces of Bounded Functions

Let A be a set, and let E be the Banach space of bounded functions : A R, equipped with its natural order. With a rectangle R = (a,b) × (0,T] let F(x,t,) : R × E E be a bounded, continuous function satisfying a local Hölder condition and being quasimonotone increasing with respect to . Then there exists a solution u: [a,b] × [0,T] E of the problem ut(x,t) – uxx(x,t) = F(x,t,u(x,t)) ((x,t) R), u(x,t) = 0 ((x,t) R R).     

一类非线性延迟抛物偏微分方程的紧致差分格式

对于一类带有Dirichlet边界条件的延迟非线性抛物型偏微分方程的初边值问题建立了一个紧差分格式,用能量分析法证明该差分格式在L_∞范数下是无条件收敛的,且收敛阶为O(τ~2+h~4).最后,通过数值算例验证了理论结果.     

Strong Solutions of Semilinear Parabolic Equations with Measure Data and Generalized Backward Stochastic Differential Equations

We prove that under natural assumptions on the data strong solutions in Sobolev spaces of semilinear parabolic equations in divergence form involving measure on the right-hand side may be represented by solutions of some generalized backward stochastic differential equations. As an application we provide stochastic representation of strong solutions of the obstacle problem by means of solutions of some reflected backward stochastic differential equations. To prove the latter result we use a stochastic homographic approximation for solutions of the reflected backward equation. The approximation may be viewed as a stochastic analogue of the homographic approximation for solutions to the obstacle problem.