Galerkin methods for a semilinear parabolic problem with nonlocal boundary conditions

We formulate and analyze a Crank-Nicolson finite element Galerkin method and an algebraically-linear extrapolated Crank-Nicolson method for the numerical solution of a semilinear parabolic problem with nonlocal boundary conditions. For each method, optimal error estimates are derived in the maximum norm.Dedicated to Professor J. Crank on the occasion of his 80th birthdaySupported in part by the National Science Foundation grant CCR-9403461.Supported in part by project DGICYT PB95-0711.     

Crank-Nicolson拟合有限体积法定价机制转换下的欧式期权（英文）

This paper develops and analyses a novel numerical scheme to price European options under regime switching model which is governed by a system of partial differential equations(PDEs).To numerically solve these PDEs,we introduce a fitted finite volume method for the spatial discretization,coupled with the Crank-Nicolson time stepping scheme.We show that this scheme is consistent,stable and monotone,and hence the convergence of the numerical solution to the viscosity solution of the continuous problem is guaranteed.Numerical experiments are presented to demonstrate the accuracy,efficiency and robustness of the new numerical method.     

Determination of a time-dependent heat source under nonlocal boundary and integral overdetermination conditions

This paper investigates the inverse problem of finding a time-dependent heat source in a parabolic equation with nonlocal boundary and integral overdetermination conditions. Under some natural regularity and consistency conditions on the input data the existence, uniqueness and continuously dependence upon the data of the solution are shown by using the generalized Fourier method. Numerical tests using the Crank-Nicolson finite difference scheme combined with an iterative method are presented and discussed.     

Interplay between the Inverse Scattering Method and Fokas's Unified Transform with an Application

It is known that the initial‐boundary value problem for certain integrable Partial Differential Equations (PDEs) on the half‐line with integrable boundary conditions can be mapped to a special case of the inverse scattering method (ISM) on the full‐line. This can also be established within the so‐called unified transform (UT) of Fokas for initial‐boundary value problems with linearizable boundary conditions. In this paper, we show a converse to this statement within the Ablowitz‐Kaup‐Newell‐Segur (AKNS) scheme: the ISM on the full‐line can be mapped to an initial‐boundary value problem with linearizable boundary conditions. To achieve this, we need a matrix version of the UT that was introduced by the author to study integrable PDEs on star‐graphs. As an application of the result, we show that the new, nonlocal reduction of the AKNS scheme introduced by Ablowitz and Musslimani to obtain the nonlocal nonlinear Schrödinger (NLS) equation can be recast as an old, local reduction, thus putting the nonlocal NLS and the NLS equations on equal footing from the point of view of the reduction group theory of Mikhailov.     

Estimation of 1-dimensional nonlinear stochastic differential equations based on higher-order partial differential equation numerical scheme and its application

A method based on higher-order partial differential equation (PDE) numerical scheme are proposed to obtain the transition cumulative distribution function (CDF) of the diffusion process (numerical differentiation of the transition CDF follows the transition probability density function (PDF)), where a transformation is applied to the Kolmogorov PDEs first, then a new type of PDEs with step function initial conditions and 0, 1 boundary conditions can be obtained. The new PDEs are solved by a fourth-order compact difference scheme and a compact difference scheme with extrapolation algorithm. After extrapolation, the compact difference scheme is extended to a scheme with sixth-order accuracy in space, where the convergence is proved. The results of the numerical tests show that the CDF approach based on the compact difference scheme to be more accurate than the other estimation methods considered; however, the CDF approach is not time-consuming. Moreover, the CDF approach is used to fit monthly data of the Federal funds rate between 1983 and 2000 by CKLS model.     

A Green’s function formulation of nonlocal finite-difference schemes for reaction-diffusion equations

Reaction-diffusion equations are commonly used in different science and engineering fields to describe spatial patterns arising from the interaction of chemical or biochemical reactions and diffusive transport mechanisms. The aim of this work is to show that a Green’s function formulation of reaction-diffusion PDEs is a suitable framework to derive FD schemes incorporating both O(h²) accuracy and nonlocal approximations in the whole domain (including boundary nodes). By doing so, the approach departs from a Green’s function formulation of the boundary-value problem to pose an approximation problem based on a domain decomposition. Within each subdomain, the corresponding integral equation is forced to have zero residual at given grid points. Different FD schemes are obtained depending on the numerical scheme used for computing the Green’s integral over each subdomain. Dirichlet and Neumann boundary conditions are considered, showing that the FD scheme based on the Green’s function formulation incorporates, in a natural way, the effects of boundary nodes in the discretization approximation.     

带非局部边界条件的非线性抛物方程的隐式差分解法

在准静态弹性力学中常遇到求解带有非局部边界条件的抛物方程初边值问题.本文构造了一个数值求解带有非局部边界条件的非线性抛物方程的隐式差分格式,利用离散泛函分析的知识和不动点定理证明了差分解是存在的,且在离散最大模意义下关于时间步长一阶收敛,关于空间步长二阶收敛,并给出了数值算例.     

Convergence of a finite element scheme for the two-dimensional time-dependent Schrödinger equation in a long strip

This paper addresses the finite element method for the two-dimensional time-dependent Schrödinger equation on an infinite strip by using artificial boundary conditions. We first reduce the original problem into an initial-boundary value problem in a bounded domain by introducing a transparent boundary condition, then fully discretize this reduced problem by applying the Crank-Nicolson scheme in time and a bilinear or quadratic finite element approximation in space. This scheme, by a rigorous analysis, has been proved to be unconditionally stable and convergent, and its convergence order has also been obtained. Finally, two numerical examples are given to verify the accuracy of the scheme.     

Minimum time‐step criteria for the Galerkin finite element methods applied to one‐dimensional parabolic partial differential equations

The finite element method has been well established for numerically solving parabolic partial differential equations (PDEs). Also it is well known that a too large time step should not be chosen in order to obtain a stable and accurate numerical solution. In this article, accuracy analysis shows that a too small time step should not be chosen either for some time‐stepping schemes. Otherwise, the accuracy of the numerical solution cannot be improved or can even be worsened in some cases. Furthermore, the so‐called minimum time step criteria are established for the Crank‐Nicolson scheme, the Galerkin‐time scheme, and the backward‐difference scheme used in the temporal discretization. For the forward‐difference scheme, no minimum time step exists as far as the accuracy is concerned. In the accuracy analysis, no specific initial and boundary conditions are invoked so that such established criteria can be applied to the parabolic PDEs subject to any initial and boundary conditions. These minimum time step criteria are verified in a series of numerical experiments for a one‐dimensional transient field problem with a known analytical solution. The minimum time step criteria developed in this study are useful for choosing appropriate time steps in numerical simulations of practical engineering problems. © 2005 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2006     

Numerical Solution of Parabolic Problems with Nonlocal Boundary Conditions

In this article, the one-dimensional parabolic equation with three types of integral nonlocal boundary conditions is approximated by the implicit Euler finite difference scheme. Stability analysis is done in the maximum norm and it is proved that the radius of the stability region and the stiffness of the discrete scheme depends on the signs of coefficients in the nonlocal boundary condition. The known stability results are improved. In the case of a plain integral boundary condition, the conditional convergence rate is proved and the regularization relation between discrete time and space steps is proposed. The accuracy of the obtained estimates is illustrated by results of numerical experiments.     

膜自由振动的多辛方法

基于Hamilton空间体系的多辛理论研究了膜自由振动问题,讨论了构造复合离散多辛格式的方法,并构造了一种典型的9×3点半隐式的多辛复合离散格式,该格式满足多辛守恒律、能量守恒律和动量守恒律．数值算例结果表明该多辛离散格式具有较好的长时间数值稳定性．     

Finite Difference Methods for the Heat Equation with a Nonlocal Boundary Condition

We consider the numerical solution by finite difference methods of the heat equation in one space dimension, with a nonlocal integral boundary condition, resulting from the truncation to a finite interval of the problem on a semi-infinite interval. We first analyze the forward Euler method, and then the $θ$-method for $0 < θ ≤ 1$, in both cases in maximum-norm, showing $O(h^2 + k)$ error bounds, where $h$ is the mesh-width and $k$ the time step. We then give an alternative analysis for the case $θ = 1/2$, the Crank-Nicolson method, using energy arguments, yielding a $O(h^2$ + $k^{3/2}$) error bound. Special attention is given the approximation of the boundary integral operator. Our results are illustrated by numerical examples.     

Finite Difference Method for Reaction-Diffusion Nonlocal Boundary Conditions Equation with

In this paper, we present a numerical approach to a class of nonlinear reactiondiffusion equations with nonlocal Robin type boundary conditions by finite difference methods. A second-order accurate difference scheme is derived by the method of reduction of order. Moreover, we prove that the scheme is uniquely solvable and convergent with the convergence rate of order two in a discrete L2-norm. A simple numerical example is given to illustrate the efficiency of the proposed method.     

Finite Difference Method for Reaction-Diffusion Equation with Nonlocal Boundary Conditions

In this paper, we present a numerical approach to a class of nonlinear reaction-diffusion equations with nonlocal Robin type boundary conditions by finite difference methods. A second-order accurate difference scheme is derived by the method of reduction of order. Moreover, we prove that the scheme is uniquely solvable and convergent with the convergence rate of order two in a discrete L2-norm. A simple numerical example is given to illustrate the efficiency of the proposed method.     

A modified Crank-Nicolson scheme with incremental unknowns for convection dominated diffusion equations

A modified Crank-Nicolson scheme based on one-sided difference approximations is proposed for solving time-dependent convection dominated diffusion equations in two-dimensional space. The modified scheme is consistent and unconditionally stable. A priori L² error estimate for the fully discrete modified scheme is derived. With the use of the incremental unknowns preconditioner at each time step, a comparison among several classical numerical schemes has been made and numerical results confirm stability and efficiency of the modified Crank-Nicolson scheme.     

Numerical solution of a Rayleigh-Taylor instability problem

The numerical solution of a Rayleigh-Taylor instability problem where an inviscid liquid of finite depth is accelerated into a gas of semi-infinite extent is obtained by transforming the irregular flow domain into a rectangular domain by a coordinate transformation. The free surface equation is solved by a Crank-Nicolson procedure. The boundary condition at the free surface for the velocity potential ø which contains the time derivative of ø is also treated by an implicit scheme. The numerical results agree well with those obtained by higher order perturbation analysis.     

Buckling analyses of three characteristic-lengths featured size-dependent gradient-beam with variational consistent higher order boundary conditions

In this work, a three characteristic-lengths featured size-dependent gradient-beam is constructed by adopting the modified nonlocal model, resulting in much more general constitutive equation with stress gradient up to four-order and strain gradient to two-order. The six-order differential governing equation for transverse displacement is formulated. All boundary conditions especially variational consistent higher order boundary conditions of the present model are derived with the aid of weighted residual approach. The closed-form solutions to critical buckling loads under different sets of boundary conditions are systematically formulated with higher order boundary conditions incorporated. The numerical results show that both nonlocal parameters have significant effect on the buckling behaviors. Meanwhile, if two nonlocal parameters are taken as same, the present results cannot always reduce to that from Eringen's nonlocal model. Due to its clear physical meaning, the present model is expected to be widely adopted in mechanical analyses of nano-structures.     

Incompatibility Induced Nonlocal Crystal Plasticity

Motivated by the fact that locally inhomogeneous elastic or plastic deformations may result in incompatibilities of the fictitious intermediate configuration a strain gradient crystal plasticity model is developed. Thereby incompatibilities can be accounted for and scale dependent material behavior, as also observed experimentally, is predictable. A nonlocal extension of existing local formulations is proposed which does not require additional boundary conditions and thus maintains the classical BVP structure. On the numerical side key developments are an extended FE-formulation for rate-(in)dependent strain gradient plasticity and a local FE-formulation which bases the gradient computation on an operator split combined with a smoothing algorithm. Comparative numerical studies for classical examples proove the superior efficiency of the second approach. (© 2005 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Composite spectral method for solution of the diffusion equation with specification of energy

Many physical subjects are modeled by nonclassical parabolic boundary value problems with nonlocal boundary conditions replacing the classic boundary conditions. In this article, we introduce a new numerical method for solving the one‐dimensional parabolic equation with nonlocal boundary conditions. The approximate proposed method is based upon the composite spectral functions. The properties of composite spectral functions consisting of terms of orthogonal functions are presented and are utilized to reduce the problem to some algebraic equations. The method is easy to implement and yields very accurate result. © 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2008     

Solving nonlinear pseudoparabolic equations with nonlocal boundary conditions in reproducing kernel space

In this paper, a function space is constructed, in which an arbitrary function satisfies the nonlocal boundary conditions of a nonlinear pseudoparabolic equation. A very simple numerical algorithm for the approximations of the nonlinear pseudoparabolic equation with nonlocal boundary conditions based on the function space is provided. A numerical example is given to illustrate the applicability and efficiency of the algorithm.