On the global existence and uniqueness of solutions to the nonstationary boundary layer system

In this paper, we study the problem of boundary layer for nonstationary flows of viscous incompressible fluids. There are some open problems in the field of boundary layer. The method used here is mainly based on a transformation which reduces the boundary layer system to an initial-boundary value problem for a single quasilinear parabolic equation. We prove the existence of weak solutions to the modified nonstationary boundary layer system. Moreover, the stability and uniqueness of weak solutions are discussed.     

On the stability and the attraction domain of the stationary solution of a singularly perturbed parabolic equation with a multiple root of the degenerate equation

We construct and justify the asymptotics of a boundary layer solution of a boundary value problem for a singularly perturbed second-order ordinary differential equation for the case in which the degenerate (finite) equation has an identically double root. A specific feature of the asymptotics is the presence of a three-zone boundary layer. The solution of the boundary value problem is a stationary solution of the corresponding parabolic equation. We prove the asymptotic stability of this solution and find its attraction domain.     

Solutions for the problem of boundary layer formation in a pseudo-plastic fluid: The case of gradual acceleration

We consider the development of the nonstationary boundary layer about a body that gradually starts to move in a resting fluid. Under certain conditions, we construct the solutions for the problem of formation of boundary layer in a pseudo-plastic fluid. The method used here is mainly based on a transformation which reduces the boundary layer system to a boundary value problem for a single quasilinear parabolic equation.     

Null controllability of degenerate parabolic equations

Motivated by a boundary layer problem, we are interested in the controllability properties of parabolic equations degenerating at the boundary of the space domain. We derive new Carleman estimates for a class of degenerate parabolic equation; the proof is based in particular on Hardytype inequalities. Then we deduce observability and null controllability results. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Asymptotics of the solution to an initial boundary value problem for a singularly perturbed parabolic equation in the case of a triple root of the degenerate equation

For a singularly perturbed parabolic equation, asymptotics of the solution to an initial boundary value problem in the case of a triple root of the degenerate equation is constructed and justified. Essential distinctions from the case of a simple root are the scale of the boundary layer variables and the three-zone structure of the boundary layer.     

A mathematical model for the three-dimentional ocean sound propagation

A model is developed mathematically to represent sound propagation in a three-dimensional ocean. The complete development is based on characteristics of the physical environment, mathematical theory, and computational accuracy.While the two-dimentional underwater acoustic wave propagation problem is not yet solved completely for range-dependent environments,three-dimentional environmental effects, such as fronts and eddies, often cannot be neglected. To predict underwater sound propagation, one usually deals with the solution of the Helmholtz (reduced wave) equation. This elliptical equation, along with a set of boundary conditions including a wall condition at the maximum range, forms a well-posed problem, which is pure boundary-value problem. An existing approach to economically solve this three-dimensional range-dependent problem is by means of a two-dimensional parabolic partial differential equation. This parabolic approximation approach, within the limitation of mathematical and acoustical approximations, offers efficient solutions to a class of long-range propagation problems. The parabolic wave equation is much easier to solve than the elliptic equation; one major saving is the removal of the wall boundary condition at the maximum range. The application of the two-dimensional parabolic wave equation to a number of realistic problems has been successful.We discuss the extension of the parabolic equation approach to three-dimensional problems. This paper begins with general considerations of the three-dimensional elliptic wave equation and shows how to transform this equation into parabolic equations which are easier to solve. The development of this paper focuses on wide angle three-dimensional underwater acoustic propagation and accommodates as a special case prevoius developments by other authors. In the course of our development, the physical properties, mathematical validity, and computational accuracy are the primary factors considered. We describe how parabolic wave equations are derived and how wide angle propagation is taken into consideration. Then, a discussion of the limitations and the advantages of the parabolic equation approximation is highlighted. These provide the background for the mathematical formulation of three-dimensional underwater acoustic wave propagation models.Modelling the mathematical solution to three-dimensional underwater acoustic wave propagation involves difficulties both in describing the theoretical acoustics and in performing the large scale computations. We have used the mathematical and physical properties of the problem to simplify considerably. Simplications allow us to introduce a three-dimensional mathematical model for underwater acoustic propagation predictions. Our wide angle three-dimensional parabolic equation model is theoretically justifiable and computationally accurate. This model offers a variety of capabilities to handle a class of long-range propagation problems under acoustical environments with three-dimensional variations.     

On an inhomogeneous problem for parabolic-hyperbolic equation

We study a boundary value problem for an inhomogeneous parabolic-hyperbolic equation with a noncharacteristic type change line. Boundary conditions of the first kind are posed on characteristics in the parabolic and hyperbolic parts of the domain where the equation is given, and a condition of the third kind is posed on the noncharacteristic part of the boundary in the parabolic part. First, we study the solvability of an inhomogeneous initial–boundary value problem for a parabolic equation.     

Regularity of solutions of boundary value problems for a second-order parabolic equation in weighted Hölder spaces

We consider the first boundary value problem and the oblique derivative problem for a linear second-order parabolic equation in noncylindrical not necessarily bounded domains with nonsmooth (with respect to t) and noncompact lateral boundary under the assumption that the right-hand side and the lower-order coefficients of the equation may have certain growth when approaching the parabolic boundary of the domain and all coefficients are locally Hölder with given characteristics of the Hölder property. We construct a smoothness scale of solutions of these boundary value problems in Hölder spaces of functions that admit growth of higher derivatives near the parabolic boundary of the domain.     

On a mixed problem with integral conditions for one-dimensional parabolic equation

We consider an initial-boundary value problem for a one-dimensional parabolic equation with nonlocal boundary conditions. These nonlocal conditions are given in terms of integrals. Based on solution of the Dirichlet problem for the parabolic equation, we constructively establish the well-posedness for the nonlocal problem.     

Model oblique derivative problem for the heat equation in the Zygmund space <Emphasis Type="Italic">H</Emphasis> <Subscript>1</Subscript>

The third boundary value problem and the oblique derivative problem for the heat equation are considered in model formulations. A difference compatibility condition is introduced for the initial and boundary functions. Under suitable assumptions made about the problem data, the solutions are shown to belong to the parabolic Zygmund space H₁, which is the analogue of the parabolic Hölder space for an integer smoothness exponent.     

Analytic and Experimental Studies of the Errors in Numerical Methods for the Valuation of Options

The value of a European option satisfies the Black-Scholes equation with appropriately specified final and boundary conditions.We transform the problem to an initial boundary value problem in dimensionless form.There are two parameters in the coefficients of the resulting linear parabolic partial differential equation.For a range of values of these parameters,the solution of the problem has a boundary or an initial layer.The initial function has a discontinuity in the first-order derivative,which leads to the appearance of an interior layer.We construct analytically the asymptotic solution of the equation in a finite domain.Based on the asymptotic solution we can determine the size of the artificial boundary such that the required solution in a finite domain in x and at the final time is not affected by the boundary.Also,we study computationally the behaviour in the maximum norm of the errors in numerical solutions in cases such that one of the parameters varies from finite (or pretty large) to small values,while the other parameter is fixed and takes either finite (or pretty large) or small values. Crank-Nicolson explicit and implicit schemes using centered or upwind approximations to the derivative are studied.We present numerical computations,which determine experimentally the parameter-uniform rates of convergence.We note that this rate is rather weak,due probably to mixed sources of error such as initial and boundary layers and the discontinuity in the derivative of the solution.     

Spectral Method for the Black-Scholes Model of American Options Valuation

In this paper, we devote ourselves to the research of numerical methods for American option pricing problems under the Black-Scholes model. The optimal exercise boundary which satisfies a nonlinear Volterra integral equation is resolved by a high-order collocation method based on graded meshes. For the other spatial domain boundary, an artificial boundary condition is applied to the pricing problem for the effective truncation of the semi-infinite domain. Then, the front-fixing and stretching transformations are employed to change the truncated problem in an irregular domain into a one-dimensional parabolic problem in [−1,1]. The Chebyshev spectral method coupled with fourth-order Runge-Kutta method is proposed for the resulting parabolic problem related to the options. The stability of the semi-discrete numerical method is established for the parabolic problem transformed from the original model. Numerical experiments are conducted to verify the performance of the proposed methods and compare them with some existing methods.     

Nulle contrôlabilité régionale d'une équation de type Crocco linéariséeRegional null controllability of a linearized Crocco type equation

We are interested in controllability problems of equations coming from a boundary layer model. This problem is described by a degenerate parabolic equation (a linearized Crocco type equation) where phenomena of diffusion and transport are coupled.First we give a geometric characterization of the influence domain of a locally distributed control. Then we prove regional null controllability results on this domain. The proof is based on an adequate observability inequality for the homogeneous adjoint problem. This inequality is obtained by decomposition of the space–time domain and Carleman type estimates along characteristics. To cite this article: P. Martinez et al., C. R. Acad. Sci. Paris, Ser. I 334 (2002) 581–584.     

Singular limit of a competition–diffusion system with large interspecific interaction

We consider a competition–diffusion system for two competing species; the density of the first species satisfies a parabolic equation together with an inhomogeneous Dirichlet boundary condition whereas the second one either satisfies a parabolic equation with a homogeneous Neumann boundary condition, or an ordinary differential equation. Under the situation where the two species spatially segregate as the interspecific competition rate becomes large, we show that the resulting limit problem turns out to be a free boundary problem. We focus on the singular limit of the interspecific reaction term, which involves a measure located on the free boundary.     

Generalized solution of a one-dimensional quasilinear boundary value problem of the hydriding type with nonlinear boundary conditions and state evolution

We consider a quasilinear parabolic boundary value problem of the third kind on an interval. The coefficients of the partial differential equation and the right-hand sides in the boundary conditions and the evolution equation for the state vector nonlinearly depend on time, the point, the state vector, and the values of the solution at the endpoints. This problem generalizes a number of models of formation and decomposition of metal hydrides. For the simplest finite-difference scheme, we prove the uniform convergence to a continuous generalized solution of the boundary value problem. A sample model is given.     

On an upwind difference scheme for strongly degenerate parabolic equations modelling the settling of suspensions in centrifuges and non-cylindrical vessels

We prove the convergence of an explicit monotone finite difference scheme approximating an initial-boundary value problem for a spatially one-dimensional quasilinear strongly degenerate parabolic equation, which is supplied with two zero-flux boundary conditions. This problem arises in a model of sedimentation–consolidation processes in centrifuges and vessels with varying cross-sectional area. We formulate the definition of entropy solution of the model in the sense of Kružkov and prove the convergence of the scheme to the unique BV entropy solution of the problem. The scheme and the model are illustrated by numerical examples.     

Asymptotics of the solution of an initial-boundary value problem for a singularly perturbed parabolic equation in the case of double root of the degenerate equation

For a singularly perturbed parabolic equation, we construct and justify the asymptotics of the classical solution of an initial-boundary value problem in the case of a double root of the degenerate equation. This case substantially differs from the case of a simple root in that the scales of the boundary layer variables are different.     

Finite difference schemes for the singularly perturbed reaction-diffusion equation in the case of spherical symmetry

The boundary value problem for the singularly perturbed reaction-diffusion parabolic equation in a ball in the case of spherical symmetry is considered. The derivatives with respect to the radial variable appearing in the equation are written in divergent form. The third kind boundary condition, which admits the Dirichlet and Neumann conditions, is specified on the boundary of the domain. The Laplace operator in the differential equation involves a perturbation parameter ?², where ? takes arbitrary values in the half-open interval (0, 1]. When ? → 0, the solution of such a problem has a parabolic boundary layer in a neighborhood of the boundary. Using the integro-interpolational method and the condensing grid technique, conservative finite difference schemes on flux grids are constructed that converge ?-uniformly at a rate of O(N ^?2ln² N + N ₀ ^?1 ), where N + 1 and N ₀ + 1 are the numbers of the mesh points in the radial and time variables, respectively.     

Liouville Property for Solutions of the Linearized Degenerate Thin Film Equation of Fourth Order in a Halfspace

We consider a boundary value problem in a half-space for a linear parabolic equation of fourth order with a degeneration on the boundary of the half-space. The equation under consideration is substantially a linearized thin film equation. We prove that, if the right hand side of the equation and the boundary condition are polynomials in the tangential variables and time, the same property has any solution of a power growth. It is shown also that the specified property does not apply to the normal variable. As an application, we present a theorem of uniqueness for the problem in the class of functions of power growth.     

Weak Galerkin finite element method for valuation of American options

We introduce a weak Galerkin finite element method for the valuation of American options governed by the Black-Scholes equation. In order to implement, we need to solve the optimal exercise boundary and then introduce an artificial boundary to make the computational domain bounded. For the optimal exercise boundary, which satisfies a nonlinear Volterra integral equation, it is resolved by a higher-order collocation method based on graded meshes. With the computed optimal exercise boundary, the front-fixing technique is employed to transform the free boundary problem to a one- dimensional parabolic problem in a half infinite area. For the other spatial domain boundary, a perfectly matched layer is used to truncate the unbounded domain and carry out the computation. Finally, the resulting initial-boundary value problems are solved by weak Galerkin finite element method, and numerical examples are provided to illustrate the efficiency of the method.