Strong and weak orders in averaging for SPDEs

We show an averaging result for a system of stochastic evolution equations of parabolic type with slow and fast time scales. We derive explicit bounds for the approximation error with respect to the small parameter defining the fast time scale. We prove that the slow component of the solution of the system converges towards the solution of the averaged equation with an order of convergence 1/2 in a strong sense–approximation of trajectories–and 1 in a weak sense–approximation of laws. These orders turn out to be the same as for the SDE case.     

Approximation of some stochastic differential equations by the splitting up method

In this paper we deal with the convergence of some iterative schemes suggested by Lie-Trotter product formulas for stochastic differential equations of parabolic type. The stochastic equation is split into two problems which are simpler for numerical computations, as already shown, for example, for the Zakaï equation. An estimate of the approximation error is given in a particular case.The work of A. Bensoussan and R. Glowinski was supported by the U.S. Army Research Office under Contract DAAL03-86-K-0138. Additional support was given by NSF via Grant INT-8612680.     

Mean-Square Approximation of Navier-Stokes Equations with Additive Noise in Vorticity-Velocity Formulation

We consider a time discretization of incompressible Navier-Stokes equations with spatial periodic boundary conditions and additive noise in the vorticity-velocity formulation. The approximation is based on freezing the velocity on time subintervals resulting in a linear stochastic parabolic equation for vorticity. At each time step, the velocity is expressed via vorticity using a formula corresponding to the Biot-Savart-type law. We prove the first mean-square convergence order of the vorticity approximation.     

Variational Principle for General Diffusion Problems

We employ the Monge–Kantorovich mass transfer theory to study the existence of solutions for a large class of parabolic partial differential equations. We deal with nonhomogeneous nonlinear diffusion problems (of Fokker–Planck type) with time-dependent coefficients. This work greatly extends the applicability of known techniques based on constructing weak solutions by approximation with time-interpolants of minimizers arising from Wasserstein-type implicit schemes. It also generalizes previous results of the authors, where proofs of convergence in the case of a right-hand side in the equation is given by these methods. To prove the existence of weak solutions we establish an interesting maximum principle for such equations. This involves comparison with the solution for the corresponding homogeneous, time-independent equation.     

Convergence of Finite Volume Schemes for Hamilton-Jacobi Equations with Dirichlet Boundary Conditions

We study numerical methods for time-dependent Hamilton-Jacobi equations with weak Dirichlet boundary conditions. We first propose a new class of abstract monotone approximation schemes and get a convergence rate of 1/2 . Then, according to the abstract convergence results, by newly constructing monotone finite volume approximations on interior and boundary points, we obtain convergent finite volume schemes for time-dependent Hamilton-Jacobi equations with weak Dirichlet boundary conditions. Finally give some numerical results.     

Perturbation theory of difference schemes

Summary This paper is to show, if the abstract Cauchy problem has a stable difference scheme, then the Cauchy problem of a perturbed equation has also a stable difference scheme when a perturbing operator and its difference approximation have some suitable properties. And it will be noted this result is applicable to parabolic differential equations and their lower order terms, when parabolic difference schemes are used as original difference schemes.     

Approximation of weak adjoints by reverse automatic differentiation of BDF methods

We shed light on the relation between the discrete adjoints of multistep backward differentiation formula (BDF) methods and the solution of the adjoint differential equation. To this end, we develop a functional-analytic framework based on a constrained variational problem and introduce the notion of weak adjoint solutions of ordinary differential equations. We devise a Petrov-Galerkin finite element (FE) interpretation of the BDF method and its discrete adjoint scheme obtained by reverse internal numerical differentiation. We show how the FE approximation of the weak adjoint is computed by the discrete adjoint scheme and prove its convergence in the space of normalized functions of bounded variation. We also show convergence of the discrete adjoints to the classical adjoints on the inner time interval. Finally, we give numerical results for non-adaptive and fully adaptive BDF schemes. The presented framework opens the way to carry over techniques on global error estimation from FE methods to BDF methods.     

Spline approximations for linear nonautonomous delay systems

We develop a semi-discrete approximation framework for linear nonautonomous nonhomogeneous functional differential equations of retarded type. The approximation schemes are constructed and convergence results are obtained through the approximation of an associated abstract evolution operator. Computer implementation of the schemes is outlined and a spline-based method included in the framework is constructed. Extensions of the semi-discrete methods to schemes incorporating full discretization and difference equation approximation are also discussed. Numerical results for several examples demonstrating the feasibility of the schemes are presented.     

Convergent difference schemes for nonlinear parabolic equations and mean curvature motion

Summary. Explicit finite difference schemes are given for a collection of parabolic equations which may have all of the following complex features: degeneracy, quasilinearity, full nonlinearity, and singularities. In particular, the equation of “motion by mean curvature” is included. The schemes are monotone and consistent, so that convergence is guaranteed by the general theory of approximation of viscosity solutions of fully nonlinear problems. In addition, an intriguing new type of nonlocal problem is analyzed which is related to the schemes, and another very different sort of approximation is presented as well. Received January 10, 1995     

Convergence of a Projection-Difference Method for the Approximate Solution of a Parabolic Equation with a Weighted Integral Condition on the Solution

In a Hilbert space, we consider an abstract linear parabolic equation defined on an interval with a nonlocal weighted integral condition imposed on the solution. This problem is solved approximately by a projection-difference method with the use of the implicit Euler method in the time variable. The approximation to the problem in the spatial variables is developed with the finite element method in mind. An estimate of the approximate solution is obtained, the convergence of the approximate solutions to the exact solution is proved, and the error estimates, as well as the orders of the rate of convergence, are established.     

Unconditional convergence of DIRK schemes applied to dissipative evolution equations

In this paper we prove the convergence of algebraically stable DIRK schemes applied to dissipative evolution equations on Hilbert spaces. The convergence analysis is unconditional as we do not impose any restrictions on the initial value or assume any extra regularity of the solution. The analysis is based on the observation that the schemes are linear combinations of the Yosida approximation, which enables the usage of an abstract approximation result for dissipative maps. The analysis is also extended to the case where the dissipative vector field is perturbed by a locally Lipschitz continuous map. The efficiency and robustness of these schemes are finally illustrated by applying them to a nonlinear diffusion equation.     

Weak convergence of finite element approximations of linear stochastic evolution equations with additive noise

A unified approach is given for the analysis of the weak error of spatially semidiscrete finite element methods for linear stochastic partial differential equations driven by additive noise. An error representation formula is found in an abstract setting based on the semigroup formulation of stochastic evolution equations. This is then applied to the stochastic heat, linearized Cahn-Hilliard, and wave equations. In all cases it is found that the rate of weak convergence is twice the rate of strong convergence, sometimes up to a logarithmic factor, under the same or, essentially the same, regularity requirements.     

Maximum norm error bounds of ADI and compact ADI methods for solving parabolic equations

Alternating direction implicit (ADI) schemes are computationally efficient and widely utilized for numerical approximation of the multidimensional parabolic equations. By using the discrete energy method, it is shown that the ADI solution is unconditionally convergent with the convergence order of two in the maximum norm. Considering an asymptotic expansion of the difference solution, we obtain a fourth‐order, in both time and space, approximation by one Richardson extrapolation. Extension of our technique to the higher‐order compact ADI schemes also yields the maximum norm error estimate of the discrete solution. And by one extrapolation, we obtain a sixth order accurate approximation when the time step is proportional to the squares of the spatial size. An numerical example is presented to support our theoretical results. © 2008 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2010     

Energy Error Estimates for the Projection-Difference Method with the Crank–Nicolson Scheme for Parabolic Equations

We solve an abstract parabolic problem in a separable Hilbert space, using the projection-difference method. The spatial discretization is carried out by the Galerkin method and the time discretization, by the Crank–Nicolson scheme. On assuming weak solvability of the exact problem, we establish effective energy estimates for the error of approximate solutions. These estimates enable us to obtain the rate of convergence of approximate solutions to the exact solution in time up to the second order. Moreover, these estimates involve the approximation properties of the projection subspaces, which is illustrated by subspaces of the finite element type.     

High order splitting methods for analytic semigroups exist

In this paper, we are concerned with the construction and analysis of high order exponential splitting methods for the time integration of abstract evolution equations which are evolved by analytic semigroups. We derive a new class of splitting methods of orders three to fourteen based on complex coefficients. An optimal convergence analysis is presented for the methods when applied to equations on Banach spaces with unbounded vector fields. These results resolve the open question whether there exist splitting schemes with convergence rates greater then two in the context of semigroups. As a concrete application we consider parabolic equations and their dimension splittings. The sharpness of our theoretical error bounds is further illustrated by numerical experiments.     

Application of nonconforming finite elements to solving advection—diffusion problems

The paper investigates some nonconforming finite elements and nonconforming finite element schemes for solving an advection—diffusion equation. This investigation is aimed at finding new schemes for solving parabolic equations. The study uses a finite element method, variational-difference schemes, and test calculations. Two types of schemes are examined: one is obtained with the help of the Bubnov—Galerkin method from a weak problem determination (nonmonotone scheme), and the other one is a monotone up-stream scheme obtained from an approximate weak problem determination with a special approximation of the skew-symmetric terms.     

Discrete time high-order schemes for viscosity solutions of Hamilton-Jacobi-Bellman equations

Summary. A general method for constructing high-order approximation schemes for Hamilton-Jacobi-Bellman equations is given. The method is based on a discrete version of the Dynamic Programming Principle. We prove a general convergence result for this class of approximation schemes also obtaining, under more restrictive assumptions, an estimate in of the order of convergence and of the local truncation error. The schemes can be applied, in particular, to the stationary linear first order equation in . We present several examples of schemes belonging to this class and with fast convergence to the solution. Received July 4, 1992 / Revised version received July 7, 1993     

Regularization of outflow problems in unsaturated porous media with dry regions

We study a porous medium with saturated, unsaturated, and dry regions, described by Richards' equation for the saturation s and the pressure p. Due to a degenerate permeability coefficient k(x,s) and a degenerate capillary pressure function pc(x,s), the equations may be of elliptic, parabolic, or of ODE-type. We construct a parabolic regularization of the equations and find conditions that guarantee the convergence of the parabolic solutions to a solution of the degenerate system. An example shows that the convergence fails in general. Our approach provides an existence result for the outflow problem in the case of x-dependent coefficients and a method for a numerical approximation.     

BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization

Backward stochastic differential equations (BSDE) also gives the weak solution of a semi-linear system of parabolic PDEs with a second-order divergence-form partial differential operator and possibly discontinuous coefficients. This is proved here by approximation. After that, a homogenization result for such a system of semi-linear PDEs is proved using the weak convergence of the solution of the corresponding BSDEs in the S-topology.     

On a Finite Difference Scheme for an Inverse Integro-Differential Problem Using Semigroup Theory: A Functional Analytic Approach

In this article, the problem of reconstructing an unknown memory kernel from an integral overdetermination in an abstract linear (of convolution type) evolution equation of parabolic type is considered. After illustrating some results of the existence and uniqueness of a solution for the differential problem, we study its approximation by Rothe's method. We prove a result of stability and another concerning the order of approximation of the solution in dependence of its regularity. The main tool is a maximal regularity result for solutions to abstract parabolic finite difference schemes. Two model problems to which the results are applicable are illustrated.