On Numerical Approximations of Fractional and Nonlocal Mean Field Games

We construct numerical approximations for Mean Field Games with fractional or nonlocal diffusions. The schemes are based on semi-Lagrangian approximations of the underlying control problems/games along with dual approximations of the distributions of agents. The methods are monotone, stable, and consistent, and we prove convergence along subsequences for (i) degenerate equations in one space dimension and (ii) nondegenerate equations in arbitrary dimensions. We also give results on full convergence and convergence to classical solutions. Numerical tests are implemented for a range of different nonlocal diffusions and support our analytical findings.

     

On the moving plane method for nonlocal problems in bounded domains

We consider a nonlocal problem involving the fractional Laplacian and the Hardy potential in bounded smooth domains. Exploiting the moving plane method and some weak and strong comparison principles, we deduce symmetry and monotonicity properties of positive solutions under zero Dirichlet boundary conditions.     

空间-时间分数阶变系数对流扩散方程微分阶数的数值反演

考虑终值数据条件下一维空间-时间分数阶变系数对流扩散方程中同时确定空间微分阶数与时间微分阶数的反问题.基于对空间-时间分数阶导数的离散,给出求解正问题的一个隐式差分格式,通过对系数矩阵谱半径的估计,证明差分格式的无条件稳定性和收敛性.联合最佳摄动量算法和同伦方法引入同伦正则化算法,应用一种单调下降的Sigmoid型传输函数作为同伦参数,对所提微分阶数反问题进行精确数据与扰动数据情形下的数值反演.结果表明同伦正则化算法对于空间-时问分数阶反常扩散的参数反演问题是有效的.     

带漂移的单侧正规化回火分数阶扩散方程的Crank-Nicolson拟紧格式

基于已有的针对单侧正规化回火分数阶扩散方程的三阶拟紧算法,将该算法的思想应用于带漂移的单侧正规化回火分数阶扩散方程的数值模拟,并结合Crank-Nicolson方法导出数值格式.证明了数值格式的稳定性与收敛性,且数值格式的时间收敛阶和空间收敛阶分别是二阶和三阶.通过数值试验验证了数值格式的有效性和理论结果.     

Solutions for the Kirchhoff type equations with fractional Laplacian

Due to the singularity and nonlocality of the fractional Laplacian, the classical tools such as Sturm comparison, Wronskians, Picard--Lindel\"{o}f iteration, and shooting arguments (which are all purely local concepts) are not{\ applicable} when analyzing solutions in the setting of the nonlocal operator $\left( -\Delta \right) ^{s}$. Furthermore, the nonlocal term of the Kirchhoff type equations will also cause some mathematical difficulties. The present work is motivated by the method of semi-classical problems which show that the existence of solutions of the Kirchhoff type equations are equivalent to the corresponding associated fractional differential and algebraic system. In such case, the existence of the fractional Kirchhoff equation can be obtained by using the corresponding fractional elliptic equation. Therefore some qualitative properties of solutions for the associated problems can be inherited. In particular, the classical uniqueness results can be applied to this equation.     

DISCONTINUOUS GALERKIN METHODS AND THEIR ADAPTIVITY FOR THE TEMPERED FRACTIONAL (CONVECTION) DIFFUSION EQUATIONS

This paper focuses on the adaptive discontinuous Galerkin (DG) methods for the tempered fractional (convection) diffusion equations. The DG schemes with interior penalty for the diffusion term and numerical flux for the convection term are used to solve the equations, and the detailed stability and convergence analyses are provided. Based on the derived posteriori error estimates, the local error indicator is designed. The theoretical results and the effectiveness of the adaptive DG methods are, respectively, verified and displayed by the extensive numerical experiments. The strategy of designing adaptive schemes presented in this paper works for the general PDEs with fractional operators.     

Long-term behavior of reaction–diffusion equations with nonlocal boundary conditions on rough domains

We investigate the long term behavior in terms of finite dimensional global and exponential attractors, as time goes to infinity, of solutions to a semilinear reaction–diffusion equation on non-smooth domains subject to nonlocal Robin boundary conditions, characterized by the presence of fractional diffusion on the boundary. Our results are of general character and apply to a large class of irregular domains, including domains whose boundary is Hölder continuous and domains which have fractal-like geometry. In addition to recovering most of the existing results on existence, regularity, uniqueness, stability, attractor existence, and dimension, for the well-known reaction–diffusion equation in smooth domains, the framework we develop also makes possible a number of new results for all diffusion models in other non-smooth settings.     

Convergence of the matrix transformation method for the finite difference approximation of fractional order diffusion problems

Numerical solution of fractional order diffusion problems with homogeneous Dirichlet boundary conditions is investigated on a square domain. An appropriate extension is applied to have a well-posed problem on R² and the solution on the square is regarded as a localization. For the numerical approximation a finite difference method is applied combined with the matrix transformation method. Here the discrete fractional Laplacian is approximated with a matrix power instead of computing the complicated approximations of fractional order derivatives. The spatial convergence of this method is proved and demonstrated by some numerical experiments.     

Polynomial spectral collocation method for space fractional advection–diffusion equation

This article discusses the spectral collocation method for numerically solving nonlocal problems: one‐dimensional space fractional advection–diffusion equation; and two‐dimensional linear/nonlinear space fractional advection–diffusion equation. The differentiation matrixes of the left and right Riemann–Liouville and Caputo fractional derivatives are derived for any collocation points within any given bounded interval. Several numerical examples with different boundary conditions are computed to verify the efficiency of the numerical schemes and confirm the exponential convergence; the physical simulations for Lévy–Feller advection–diffusion equation and space fractional Fokker–Planck equation with initial δ‐peak and reflecting boundary conditions are performed; and the eigenvalue distributions of the iterative matrix for a variety of systems are displayed to illustrate the stabilities of the numerical schemes in more general cases. © 2013 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 30: 514–535, 2014     

Approximation of a fractional power of an elliptic operator

Some mathematical models of applied problems lead to the need of solving boundary value problems with a fractional power of an elliptic operator. In a number of works, approximations of such a nonlocal operator are constructed on the basis of an integral representation with a singular integrand. In the present article, new integral representations are proposed for operators with fractional powers. Approximations are based on the classical quadrature formulas. The results of numerical experiments on the accuracy of quadrature formulas are presented. The proposed approximations are used for numerical solving a model two‐dimensional boundary value problem for fractional diffusion.     

A Peano-Like Theorem for Stochastic Differential Equations with Nonlocal Sample Dependence

The existence of a not-necessarily-unique strong solution for a stochastic differential equations with nonlocal sample dependence is established under the assumption that the coefficients satisfy an asymptotically local boundedness condition in addition to continuity. The proof is by an Euler-like construction of approximations. These equations include mean-field stochastic differential equations, but the nonlocal sample dependence can be more general than just the dependence on moments of the solution.     

Grid approximation of singularly perturbed parabolic reaction-diffusion equations on large domains with respect to the space and time variables

In an unbounded (with respect to x and t) domain (and in domains that can be arbitrarily large), an initial-boundary value problem for singularly perturbed parabolic reaction-diffusion equations with the perturbation parameter ε² multiplying the higher order derivative is considered. The parameter ε takes arbitrary values in the half-open interval (0, 1]. To solve this problem, difference schemes on grids with an infinite number of nodes (formal difference schemes) are constructed that converge ε-uniformly in the entire unbounded domain. To construct these schemes, the classical grid approximations of the problem on the grids that are refined in the boundary layer are used. Schemes on grids with a finite number of nodes (constructive difference schemes) are also constructed for the problem under examination. These schemes converge for fixed values of ε in the prescribed bounded subdomains that can expand as the number of grid points increases. As ε → 0, the accuracy of the solution provided by such schemes generally deteriorates and the size of the subdomains decreases. Using the condensing grid method, constructive difference schemes that converge ε-uniformly are constructed. In these schemes, the approximation accuracy and the size of the prescribed subdomains (where the schemes are convergent) are independent of ε and the subdomains may expand as the number of nodes in the underlying grids increases.     

On numerical methods and error estimates for degenerate fractional convection–diffusion equations

First we introduce and analyze a convergent numerical method for a large class of nonlinear nonlocal possibly degenerate convection diffusion equations. Secondly we develop a new Kuznetsov type theory and obtain general and possibly optimal error estimates for our numerical methods—even when the principal derivatives have any fractional order between 1 and 2! The class of equations we consider includes equations with nonlinear and possibly degenerate fractional or general Levy diffusion. Special cases are conservation laws, fractional conservation laws, certain fractional porous medium equations, and new strongly degenerate equations.     

Locally one-dimensional difference schemes for the fractional order diffusion equation

Locally-one-dimensional difference schemes for the fractional diffusion equation in multidimensional domains are considered. Stability and convergence of locally one-dimensional schemes for this equation are proved.     

The Crank–Nicolson–Galerkin finite element method for a nonlocal parabolic equation with moving boundaries

The aim of this article is to establish the convergence and error bounds for the fully discrete solutions of a class of nonlinear equations of reaction–diffusion nonlocal type with moving boundaries, using a linearized Crank–Nicolson–Galerkin finite element method with polynomial approximations of any degree. A coordinate transformation which fixes the boundaries is used. Some numerical tests to compare our Matlab code with some existing moving finite element methods are investigated. © 2014 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 31: 1515–1533, 2015     

Overlapping grids for the diffusion equation

Yiqi Qiu ^{We examine the use of nonmatching, overlapping grids for theapproximate solution of time-dependent diffusion problems withNeumann boundary conditions. This problem arises as a modelof the so-called well test analysis of oil and gas reservoirs,which has geometry modelling requirements that make overlappinggrids particularly suitable. We describe the problem and theoverlapping grid approximation, and then carry out a stabilityand convergence analysis in one space dimension (1D). We showthat for suitable schemes, stability is relatively easy to establishin much more general situations. Convergence is less easy togeneralise, but we demonstrate that 2D approximations appearto have the same convergence behaviour as their 1D counterparts.}     

Three-scale finite element eigenvalue discretizations

Some three-scale finite element discretization schemes are proposed and analyzed in this paper for a class of elliptic eigenvalue problems on tensor product domains. With these schemes, the solution of an eigenvalue problem on a fine grid may be reduced to the solutions of eigenvalue problems on a relatively coarse grid and some partially mesoscopic grids, together with the solutions of linear algebraic systems on a globally mesoscopic grid and several partially fine grids. It is shown theoretically and numerically that this type of discretization schemes not only significantly reduce the number of degrees of freedom but also produce very accurate approximations. AMS subject classification (2000)  65N15, 65N25, 65N30, 65N50     

Two-grid discretization schemes for nonlinear Schrödinger equations

We study efficient two-grid discretization schemes with two-loop continuation algorithms for computing wave functions of two-coupled nonlinear Schrödinger equations defined on the unit square and the unit disk. Both linear and quadratic approximations of the operator equations are exploited to derive the schemes. The centered difference approximations, the six-node triangular elements and the Adini elements are used to discretize the PDEs defined on the unit square. The proposed schemes also can compute stationary solutions of parameter-dependent reaction–diffusion systems. Our numerical results show that it is unnecessary to perform quadratic approximations.     

Fractional Piola identity and polyconvexity in fractional spaces

In this paper we address nonlocal vector variational principles obtained by substitution of the classical gradient by the Riesz fractional gradient. We show the existence of minimizers in Bessel fractional spaces under the main assumption of polyconvexity of the energy density, and, as a consequence, the existence of solutions to the associated Euler–Lagrange system of nonlinear fractional PDE. The main ingredient is the fractional Piola identity, which establishes that the fractional divergence of the cofactor matrix of the fractional gradient vanishes. This identity implies the weak convergence of the determinant of the fractional gradient, and, in turn, the existence of minimizers of the nonlocal energy. Contrary to local problems in nonlinear elasticity, this existence result is compatible with solutions presenting discontinuities at points and along hypersurfaces.     

High order schemes for the tempered fractional diffusion equations

Lévy flight models whose jumps have infinite moments are mathematically used to describe the superdiffusion in complex systems. Exponentially tempering Lévy measure of Lévy flights leads to the tempered stable Lévy processes which combine both the α-stable and Gaussian trends; and the very large jumps are unlikely and all their moments exist. The probability density functions of the tempered stable Lévy processes solve the tempered fractional diffusion equation. This paper focuses on designing the high order difference schemes for the tempered fractional diffusion equation on bounded domain. The high order difference approximations, called the tempered and weighted and shifted Grünwald difference (tempered-WSGD) operators, in space are obtained by using the properties of the tempered fractional calculus and weighting and shifting their first order Grünwald type difference approximations. And the Crank-Nicolson discretization is used in the time direction. The stability and convergence of the presented numerical schemes are established; and the numerical experiments are performed to confirm the theoretical results and testify the effectiveness of the schemes.