Degenerate two-phase incompressible flow II: regularity, stability and stabilization

In this paper, we analyze a coupled system of highly degenerate elliptic-parabolic partial differential equations for two-phase incompressible flow in porous media. This system involves a saturation and a global pressure (or a total flow velocity). First, we show that the saturation is Hölder continuous both in space and time and the total velocity is Hölder continuous in space (uniformly in time). Applying this regularity result, we then establish the stability of the saturation and pressure with respect to initial and boundary data, from which uniqueness of the solution to the system follows. Finally, we establish a stabilization result on the asymptotic behavior of the saturation and pressure; we prove that the solution to the present system converges (in appropriate norms) to the solution of a stationary system as time goes to infinity. An example is given to show typical regularity of the saturation.     

Finite element approximation of a fourth order nonlinear degenerate parabolic equation

Summary. We consider a fully practical finite element approximation of the fourth order nonlinear degenerate parabolic equation where generically for any given . An iterative scheme for solving the resulting nonlinear discrete system is analysed. In addition to showing well-posedness of our approximation, we prove convergence in one space dimension. Finally some numerical experiments are presented. Received July 29, 1997     

The unsaturated flow in porous media with dynamic capillary pressure

In this paper we consider a degenerate pseudoparabolic equation for the wetting saturation of an unsaturated two-phase flow in porous media with dynamic capillary pressure-saturation relationship where the relaxation parameter depends on the saturation. Following the approach given in [13] the existence of a weak solution is proved using Galerkin approximation and regularization techniques. A priori estimates needed for passing to the limit when the regularization parameter goes to zero are obtained by using appropriate test-functions, motivated by the fact that considered PDE allows a natural generalization of the classical Kullback entropy. Finally, a special care was given in obtaining an estimate of the mixed-derivative term by combining the information from the capillary pressure with the obtained a priori estimates on the saturation.     

Error estimates for a mixed finite element discretization of some degenerate parabolic equations

We consider a numerical scheme for a class of degenerate parabolic equations, including both slow and fast diffusion cases. A particular example in this sense is the Richards equation modeling the flow in porous media. The numerical scheme is based on the mixed finite element method (MFEM) in space, and is of one step implicit in time. The lowest order Raviart–Thomas elements are used. Here we extend the results in Radu et al. (SIAM J Numer Anal 42:1452–1478, 2004), Schneid et al. (Numer Math 98:353–370, 2004) to a more general framework, by allowing for both types of degeneracies. We derive error estimates in terms of the discretization parameters and show the convergence of the scheme. The features of the MFEM, especially of the lowest order Raviart–Thomas elements, are now fully exploited in the proof of the convergence. The paper is concluded by numerical examples.     

Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type

Degenerate parabolic equations of Kolmogorov type occur in many areas of analysis and applied mathematics. In their simplest form these equations were introduced by Kolmogorov in 1934 to describe the probability density of the positions and velocities of particles but the equations are also used as prototypes for evolution equations arising in the kinetic theory of gases. More recently equations of Kolmogorov type have also turned out to be relevant in option pricing in the setting of certain models for stochastic volatility and in the pricing of Asian options. The purpose of this paper is to numerically solve the Cauchy problem, for a general class of second order degenerate parabolic differential operators of Kolmogorov type with variable coefficients, using a posteriori error estimates and an algorithm for adaptive weak approximation of stochastic differential equations. Furthermore, we show how to apply these results in the context of mathematical finance and option pricing. The approach outlined in this paper circumvents many of the problems confronted by any deterministic approach based on, for example, a finite-difference discretization of the partial differential equation in itself. These problems are caused by the fact that the natural setting for degenerate parabolic differential operators of Kolmogorov type is that of a Lie group much more involved than the standard Euclidean Lie group of translations, the latter being relevant in the case of uniformly elliptic parabolic operators.     

Global solutions of nonconcave hyperbolic conservation laws with relaxation arising from traffic flow

We establish global solutions of nonconcave hyperbolic equations with relaxation arising from traffic flow. One of the characteristic fields of the system is neither linearly degenerate nor genuinely nonlinear. Furthermore, there is no dissipative mechanism in the relaxation system. Characteristics travel no faster than traffic. The global existence and uniqueness of the solution to the Cauchy problem are established by means of a finite difference approximation. To deal with the nonconcavity, we use a modified argument of Oleinik (Amer. Math. Soc. Translations 26 (1963) 95). It is also shown that the zero relaxation limit of the solutions exists and is the unique entropy solution of the equilibrium equation.     

三维热传导型半导体问题的特征混合元方法和分析

本文研究三维热传导型半导体态问题的特征混合元方法及其理论分析,其数学模型是一类非线性偏微分方程的初边值问题,对电子位势方程提出混合元逼近,对电子,空穴浓度方程笔挺表限元逼近;对热传导方程采用对时间向后差分的Ｇａｌｅｒｋｉｎ逼近,应用微分方程先验估计理论和技巧得到了最优阶Ｌ＾２误差估计。     

Sharp estimates for approximations to a nonlinear backward heat equation

A nonlinear backward heat problem for an infinite strip is considered. The problem is ill-posed in the sense that the solution (if it exists) does not depend continuously on the data. In this paper, we use the Fourier regularization method to solve the problem. Some sharp estimates of the error between the exact solution and its regularization approximation are given.     

A combined finite volume–nonconforming/mixed-hybrid finite element scheme for degenerate parabolic problems

We propose and analyze a numerical scheme for nonlinear degenerate parabolic convection–diffusion–reaction equations in two or three space dimensions. We discretize the diffusion term, which generally involves an inhomogeneous and anisotropic diffusion tensor, over an unstructured simplicial mesh of the space domain by means of the piecewise linear nonconforming (Crouzeix–Raviart) finite element method, or using the stiffness matrix of the hybridization of the lowest-order Raviart–Thomas mixed finite element method. The other terms are discretized by means of a cell-centered finite volume scheme on a dual mesh, where the dual volumes are constructed around the sides of the original mesh. Checking the local Péclet number, we set up the exact necessary amount of upstream weighting to avoid spurious oscillations in the convection-dominated case. This technique also ensures the validity of the discrete maximum principle under some conditions on the mesh and the diffusion tensor. We prove the convergence of the scheme, only supposing the shape regularity condition for the original mesh. We use a priori estimates and the Kolmogorov relative compactness theorem for this purpose. The proposed scheme is robust, only 5-point (7-point in space dimension three), locally conservative, efficient, and stable, which is confirmed by numerical experiments.This work was supported by the GdR MoMaS, CNRS-2439, ANDRA, BRGM, CEA, EdF, France.     

Convergence of a fitted finite volume method for the penalized Black–Scholes equation governing European and American Option pricing

In this paper we present an analysis of a numerical method for a degenerate partial differential equation, called the Black–Scholes equation, governing American and European option pricing. The method is based on a fitted finite volume spatial discretization and an implicit time stepping technique. The analysis is performed within the framework of the vertical method of lines, where the spatial discretization is formulated as a Petrov–Galerkin finite element method with each basis function of the trial space being determined by a set of two-point boundary value problems. We establish the stability and an error bound for the solutions of the fully discretized system. Numerical results are presented to validate the theoretical results.     

Continuous interior penalty finite element method for the time-dependent Navier–Stokes equations: space discretization and convergence

This paper focuses on the numerical analysis of a finite element method with stabilization for the unsteady incompressible Navier–Stokes equations. Incompressibility and convective effects are both stabilized adding an interior penalty term giving L ²-control of the jump of the gradient of the approximate solution over the internal faces. Using continuous equal-order finite elements for both velocities and pressures, in a space semi-discretized formulation, we prove convergence of the approximate solution. The error estimates hold irrespective of the Reynolds number, and hence also for the incompressible Euler equations, provided the exact solution is smooth.     

Smooth zero-contact-angle solutions to a thin-film equation around the steady state

In the simplest case of a linearly degenerate mobility, we view the thin-film equation as a classical free boundary problem. Our focus is on the regularity of solutions and of their free boundary in the “complete wetting” regime, which prescribes zero slope at the free boundary. In order to rule out of the analysis possible changes in the topology of the positivity set, we zoom into the free boundary by looking at perturbations of the stationary solution. Our strategy is based on a priori energy-type estimates which provide “minimal” conditions on the initial datum under which a unique global solution exists. In fact, this solution turns out to be smooth for positive times and to converge to the stationary solution for large times. As a consequence, we obtain smoothness and large-time behavior of the free boundary.     

三维热传导型半导体问题的交替方向特征有限元方法及理论分析

１．引言 三维热传导型半导体器件瞬态问题的数学模型由四个非线性偏微分方程描述 ［１,２］．工程研究中一般考虑绝流边条件,由于绝流条件可以看作一反射条件来处理、为了数值分析方便,我们在此考虑三维周期问题： 其中,　＝［０,１］３,未知函数是电子位势　;电子,空穴浓度ｅ,ｐ;温度函数Ｔ．方程（１,１）－（１.４）中出现的系数均有正的上下界,且是　周期的． ａ＝Ｑ／ε,Ｑ,ε分别表示电子负荷和介电系数,均为正常数．Ｎ（ｘ）是给定的函数．Ｄｓ（ｘ）为扩散系数,μｓ（ｘ）为迁移率,ｓ＝ｅ,Ｐ．Ｒ（ｅ,ｐ,Ｔ）…     

On the coupled BEM and FEM for a nonlinear exterior Dirichlet problem in R2

Summary In this paper we apply the coupling of boundary integral and finite element methods to solve a nonlinear exterior Dirichlet problem in the plane. Specifically, the boundary value problem consists of a nonlinear second order elliptic equation in divergence form in a bounded inner region, and the Laplace equation in the corresponding unbounded exterior region, in addition to appropriate boundary and transmission conditions. The main feature of the coupling method utilized here consists in the reduction of the nonlinear exterior boundary value problem to an equivalent monotone operator equation. We provide sufficient conditions for the coefficients of the nonlinear elliptic equation from which existence, uniqueness and approximation results are established. Then, we consider the case where the corresponding operator is strongly monotone and Lipschitz-continuous, and derive asymptotic error estimates for a boundary-finite element solution. We prove the unique solvability of the discrete operator equations, and based on a Strang type abstract error estimate, we show the strong convergence of the approximated solutions. Moreover, under additional regularity assumptions on the solution of the continous operator equation, the asymptotic rate of convergenceO (h) is obtained.The first author's research was partly supported by the U.S. Army Research Office through the Mathematical Science Institute of Cornell University, by the Universidad de Concepción through the Facultad de Ciencias, Dirección de Investigación and Vicerretoria, and by FONDECYT-Chile through Project 91-386.     

Free boundary and mixed boundary value problems for quasilinear elliptic equations: tangential oblique derivative and degenerate Dirichlet boundary problems

We present Hölder estimates and Hölder gradient estimates for a class of free boundary problems with tangential oblique derivative boundary conditions provided the oblique vector β does not vanish at any point on the boundary. We also establish the existence result for a general class of quasilinear degenerate problems of this type including nonlinear wave systems and the unsteady transonic small disturbance equation.     

海水入浸问题的数值分析

海水入浸问题的数学模型是两个耦合抛物型偏微分方程,其中一个是关于压力的流动方程,另一个是关于浓度的对流扩散方程.压力方程由标准有限元方法逼近,浓度方程则用特征有限元方法逼近.在扩散项系数半正定的情形得到逼近解的次优L2 模误差估计.     

A Second Order Unconditionally Convergent Finite Element Method for the Thermal Equation with Joule Heating Problem

In this paper, we study the finite element approximation for nonlinear thermal equation. Because the nonlinearity of the equation, our theoretical analysis is based on the error of temporal and spatial discretization. We consider a fully discrete second order backward difference formula based on a finite element method to approximate the temperature and electric potential, and establish optimal $L^2$error estimates for the fully discrete finite element solution without any restriction on the time-step size. The discrete solution is bounded in infinite norm. Finally, several numerical examples are presented to demonstrate the accuracy and efficiency of the proposed method.     

A posteriori error analysis for the normal compliance problem

In this work, a contact problem between a linear elastic material and a deformable obstacle is numerically analyzed. The contact is modeled using the well-known normal compliance contact condition. The weak formulation leads to a nonlinear variational equation which is approximated by using the finite element method. A priori error estimates are recalled. Then, we define an a posteriori error estimator of residual type to evaluate the accuracy of the finite element approximation of the problem. Upper and lower bounds of the discretization error are proved for this estimator.     

A combined mixed and discontinuous Galerkin method for compressible miscible displacement problem in porous media

In this paper, we present a numerical scheme for solving the coupled system of compressible miscible displacement problem in porous media. The flow equation is solved by the mixed finite element method, and the transport equation is approximated by a discontinuous Galerkin method. The scheme is continuous in time and a priori hp error estimates is presented.     

Finite element approximationof a nonlinear elliptic equation arising from bimaterial problemsin elastic-plastic mechanics

Summary. In [13], a nonlinear elliptic equation arising from elastic-plastic mechanics is studied. A well-posed weak formulation is established for the equation and some regularity results are further obtained for the solution of the boundary problem. In this work, the finite element approximation of this boundary problem is examined in the framework of [13]. Some error bounds for this approximation are initially established in an energy type quasi-norm, which naturally arises in degenerate problems of this type and proves very useful in deriving sharper error bounds for the finite element approximation of such problems. For sufficiently regular solutions optimal error bounds are then obtained for some fully degenerate cases in energy type norms. Received June 12, 1998 / Revised version received June 21, 1999 / Published online June 8, 2000