Derivation of Stochastic Partial Differential Equations

Abstract

A procedure is explained for deriving stochastic partial differential equations from basic principles. A discrete stochastic model is first constructed. Then, a stochastic differential equation system is derived, which leads to a certain stochastic partial differential equation. To illustrate the procedure, a representative problem is first studied in detail. Exact solutions, available for the representative problem, show that the resulting stochastic partial differential equation is accurate. Next, stochastic partial differential equations are derived for a one-dimensional vibrating string, for energy-dependent neutron transport, and for cotton-fiber breakage. Several computational comparisons are made.     

A Type of General Forward-Backward Stochastic Differential Equations and Applications

The authors discuss one type of general forward-backward stochastic differential equations (FBSDEs) with It?o’s stochastic delayed equations as the forward equations and anticipated backward stochastic differential equations as the backward equations. The existence and uniqueness results of the general FBSDEs are obtained. In the framework of the general FBSDEs in this paper, the explicit form of the optimal control for linearquadratic stochastic optimal control problem with delay and the Nash equilibrium point for nonzero sum differential games problem with delay are obtained.     

On the well-posedness of periodic problems for the system of hyperbolic equations with finite time delay

A periodic problem for the system of hyperbolic equations with finite time delay is investigated. The investigated problem is reduced to an equivalent problem, consisting the family of periodic problems for a system of ordinary differential equations with finite delay and integral equations using the method of a new functions introduction. Relationship of periodic problem for the system of hyperbolic equations with finite time delay and the family of periodic problems for the system of ordinary differential equations with finite delay is established. Algorithms for finding approximate solutions of the equivalent problem are constructed, and their convergence is proved. Criteria of well-posedness of periodic problem for the system of hyperbolic equations with finite time delay are obtained.     

Dirichlet problem for complex model partial differential equations

ABSTRACT

Complex model partial differential equations of arbitrary order are considered. The uniqueness of the Dirichlet problem is studied. It is proved that the Dirichlet problem for higher order complex partial differential equations with one complex variable has infinitely many solutions.     

The dual weighted residuals approach to optimal control of ordinary differential equations

The methodology of dual weighted residuals is applied to an optimal control problem for ordinary differential equations. The differential equations are discretized by finite element methods. An a posteriori error estimate is derived and an adaptive algorithm is formulated. The algorithm is implemented in Matlab and tested on a simple model problem from vehicle dynamics.     

Factorization method for linear and quasilinear singularly perturbed boundary value problems for ordinary differential equations

For linear singularly perturbed boundary value problems, we come up with a method that reduces solving a differential problem to a discrete (difference) problem. Difference equations, which are an exact analog of differential equations, are constructed by the factorization method. Coefficients of difference equations are calculated by solving Cauchy problems for first-order differential equations. In this case nonlinear Ricatti equations with a small parameter are solved by asymptotic methods, and solving linear equations reduces to computing quadratures. A solution for quasilinear singularly perturbed equations is obtained by means of an implicit relaxation method. A solution to a linearized problem is calculated by analogy with a linear problem at each iterative step. The method is tested against solutions to the known Lagerstrom-Cole problem.     

Computational methods of solving the boundary value problems for the loaded differential and Fredholm integro‐differential equations

The article presents a new general solution to a loaded differential equation and describes its properties. Solving a linear boundary value problem for loaded differential equation is reduced to the solving a system of linear algebraic equations with respect to the arbitrary vectors of general solution introduced. The system's coefficients and right sides are computed by solving the Cauchy problems for ordinary differential equations. Algorithms of constructing a new general solution and solving a linear boundary value problem for loaded differential equation are offered. Linear boundary value problem for the Fredholm integro‐differential equation is approximated by the linear boundary value problem for loaded differential equation. A mutual relationship between the qualitative properties of original and approximate problems is obtained, and the estimates for differences between their solutions are given. The paper proposes numerical and approximate methods of solving a linear boundary value problem for the Fredholm integro‐differential equation and examines their convergence, stability, and accuracy.     

Numerical Solution of Systems of Loaded Ordinary Differential Equations with Multipoint Conditions

A system of loaded ordinary differential equations with multipoint conditions is considered. The problem under study is reduced to an equivalent boundary value problem for a system of ordinary differential equations with parameters. A system of linear algebraic equations for the parameters is constructed using the matrices of the loaded terms and the multipoint condition. The conditions for the unique solvability and well-posedness of the original problem are established in terms of the matrix made up of the coefficients of the system of linear algebraic equations. The coefficients and the righthand side of the constructed system are determined by solving Cauchy problems for linear ordinary differential equations. The solutions of the system are found in terms of the values of the desired function at the initial points of subintervals. The parametrization method is numerically implemented using the fourth-order accurate Runge–Kutta method as applied to the Cauchy problems for ordinary differential equations. The performance of the constructed numerical algorithms is illustrated by examples.     

Finite-difference methods for solving the reaction-diffusion equations of a simple isothermal chemical system

Numerical methods are proposed for the numerical solution of a system of reaction-diffusion equations, which model chemical wave propagation. The reaction terms in this system of partial differential equations contain nonlinear expressions. Nevertheless, it is seen that the numerical solution is obtained by solving a linear algebraic system at each time step, as opposed to solving a nonlinear algebraic system, which is often required when integrating nonlinear partial differential equations. The development of each numerical method is made in the light of experience gained in solving the system of ordinary differential equations, which model the well-stirred analogue of the chemical system. The first-order numerical methods proposed for the solution of this initialvalue problem are characterized to be implicit. However, in each case it is seen that the numerical solution is obtained explicitly. In a series of numerical experiments, in which the ordinary differential equations are solved first of all, it is seen that the proposed methods have superior stability properties to those of the well-known, first-order, Euler method to which they are compared. Incorporating the proposed methods into the numerical solution of the partial differential equations is seen to lead to two economical and reliable methods, one sequential and one parallel, for solving the travelling-wave problem. © 1994 John Wiley & Sons, Inc.     

Existence, Uniqueness, and Construction of the Solution of a System of Ordinary Functional Differential Equations, with Application to the Design of Perfectly Focusing Symmetric Lenses

In the design of perfectly focusing symmetric lenses, one isled, in a natural way, to a set offunctional differential equations;that is, differential equations involving composites of unknownfunctions, with initial conditions prescribed on the lens axis.This paper concentrateson those features of the equations whichmake them uniquely solvable. They are: (i) a contractivenessproperty of the equations near the axis; (ii) a uniform retardationin the arguments of thecomposite functions away from the axis.The second and third sections of this paper generalize and formalizethese properties and provide proofs of existence, uniqueness,and continuous dependence on the data for solutions of suchgeneralized systems of functional differential equations. Becauseof the lens context which motivates our study, the problem inwhich the contractiveness property (i) above holds is calledthe ‘local’ problem, and the problem in which thearguments of composite functions are uniformly retarded is calledthe ‘global’ problem. In the final section of thepaper we apply the general results of the preceding sectionsto prove existence and uniqueness of perfectly focusing symmetriclenses up to distances from the lens axis at which various typesof breakdown, discussed in the text, may occur.     

Integrability of the Equations for Nonsingular Pairs of Compatible Flat Metrics

We solve the problem of describing all nonsingular pairs of compatible flat metrics (or, in other words, nonsingular flat pencils of metrics) in the general N-component case. This problem is equivalent to the problem of describing all compatible Dubrovin–Novikov brackets (compatible nondegenerate local Poisson brackets of hydrodynamic type) playing an important role in the theory of integrable systems of hydrodynamic type and also in modern differential geometry and field theory. We prove that all nonsingular pairs of compatible flat metrics are described by a system of nonlinear differential equations that is a special nonlinear differential reduction of the classical Lamé equations, and we present a scheme for integrating this system by the method of the inverse scattering problem. The integration procedure is based on using the Zakharov method for integrating the Lamé equations (a version of the inverse scattering method).     

Tropical differential equations

Tropical differential equations are introduced and an algorithm is designed which tests solvability of a system of tropical linear differential equations within the complexity polynomial in the size of the system and in the absolute values of its coefficients. Moreover, we show that there exists a minimal solution, and the algorithm constructs it (in case of solvability). This extends a similar complexity bound established for tropical linear systems. In case of tropical linear differential systems in one variable a polynomial complexity algorithm for testing its solvability is designed.We prove also that the problem of solvability of a system of tropical non-linear differential equations in one variable is NP-hard, and this problem for arbitrary number of variables belongs to NP. Similar to tropical algebraic equations, a tropical differential equation expresses the (necessary) condition on the dominant term in the issue of solvability of a differential equation in power series.     

Transformation of an axialsymmetric disk problem for the helmholtz equation into an ordinary differential equation

The problem of solving the three-dimensional Helmholtz equation in the exterior of a circular disk is considered where radially symmetric Dirichlet data on the disk are assumed to be prescribed. This problem for example arises in the scattering of plane (sound) waves at an infinite plane screen with a circular aperture if the direction of the incident wave is normal to the screen, as well as in the process of diffusion through a circular hole. By applying the factorization technique developed in [N. GORENFLO, M. WERNER,Solution of a finite convolution equation with a Hankel kernel by matrix factorization, SIAM J. Math. Anal., 28 (1997), pp. 434–451] to the disk problem an equivalent ordinary differential equation is derived, whose solution leads directly to the solution of the disk problem. This differential equation belongs to a class of ordinary differential equations which are of higher complexity than the standard ordinary differential equations of mathematical physics. The examination of this new class of differential equations therefore is motivated.     

A class of systems of ordinary differential equations of large dimension

We consider the Cauchy problem for a class of systems of ordinary differential equations of large dimension.We prove that, for sufficiently large number of equations, the last component of a solution to the Cauchy problem is an approximate solution to the initial value problem for a delay differential equation. Estimates of the approximation are obtained.     

Differential equations with meromorphic coefficients

The following problems of the analytic theory of differential equations are considered: Hilbert’s 21st problem for Fuchsian systems of linear differential equations, the Birkhoff normal form problem for systems of linear differential equations with irregular singularities, and the classification problem for isomonodromic deformations of Fuchsian systems.     

Well-posedness of the analytic Cauchy problem in classes of entire functions of finite order

We study the Cauchy problem for a system of complex linear differential equations in scales of spaces of functions of exponential type with an integral metric. Conditions under which this problem is well posed are obtained. These sufficient conditions are shown to be also necessary for the well-posedness of the Cauchy problem in the case of systems of ordinary differential equations with a parameter.     

Differential invariants of generic hyperbolic Monge-Ampère equations

In this paper basic differential invariants of generic hyperbolic Monge-Ampère equations with respect to contact transformations are constructed and the equivalence problem for these equations is solved.      

Nondegeneracy and uniqueness of positive solutions for Robin problem of second order ordinary differential equations and its applications

This article studies positive solutions of Robin problem for semi-linear second order ordinary differential equations. Nondegeneracy and uniqueness results are proven for homogeneous differential equations. Necessary and sufficient conditions for the existence of one or two positive solutions for inhomogeneous differential equations or differential equations with concave-convex nonlinearities are obtained by making use of the nondegeneracy and uniqueness results for positive solutions of homogeneous differential equations.     

Finding the Periodic Solution of Differential Equation via Solving Optimization Problem

In this paper, we propose a new method to find the periodic solutions of differential equations. The key technique is to convert the problem of finding periodic solutions of differential equations into an optimization problem. Then by solving the corresponding optimization problem, we can find the periodic solutions of differential equations. Finally, some numerical results are presented to illustrate the utility of the technique.