A nonconventional Eulerian‐Lagrangian single‐node collocation method with Hermite polynomials for unsteady‐state advection‐diffusion equations

We developed a nonconventional Eulerian‐Lagrangian single‐node collocation method (ELSCM) with piecewise‐cubic Hermite polynomials as basis functions for the numerical simulation to unsteady‐state advection‐diffusion transport partial differential equations. This method greatly reduces the number of unknowns in the conventional collocation method, and generates accurate numerical solutions even if very large time steps are taken. The method is relatively easy to formulate. Numerical experiments are presented to show the strong potential of this method. © 2003 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 19: 271–283, 2003.     

An Eulerian‐Lagrangian discontinuous Galerkin method for transient advection‐diffusion equations

We develop an Eulerian‐Lagrangian discontinuous Galerkin method for time‐dependent advection‐diffusion equations. The derived scheme has combined advantages of Eulerian‐Lagrangian methods and discontinuous Galerkin methods. The scheme does not contain any undetermined problem‐dependent parameter. An optimal‐order error estimate and superconvergence estimate is derived. Numerical experiments are presented, which verify the theoretical estimates.© 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2007     

An Eulerian‐Lagrangian single‐node collocation method for transient advection‐diffusion equations in multiple space dimensions

We developed a nonconventional Eulerian‐Lagrangian single‐node collocation method for transient advection‐diffusion transport partial differential equations in multiple space dimensions. This method greatly reduces the number of unknowns in conventional collocation method, generates accurate numerical solutions, and allows large time steps to be used in numerical simulations. We perform numerical experiments to show the strong potential of the method. © 2003 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 20: 284–301, 2004     

An Eulerian‐Lagrangian control volume scheme for two‐dimensional unsteady advection‐diffusion problems

We develop a mass conservative Eulerian‐Lagrangian control volume scheme (ELCVS) for the solution of the transient advection‐diffusion equations in two space dimensions. This method uses finite volume test functions over the space‐time domain defined by the characteristics within the framework of the class of Eulerian‐Lagrangian localized adjoint characteristic methods (ELLAM). It, therefore, maintains the advantages of characteristic methods in general, and of this class in particular, which include global mass conservation as well as a natural treatment of all types of boundary conditions. However, it differs from other methods in that class in the treatment of the mass storage integrals at the previous time step defined on deformed Lagrangian regions. This treatment is especially attractive for orthogonal rectangular Eulerian grids composed of block elements. In the algorithm, each deformed region is approximated by an eight‐node region with sides drawn parallel to the Eulerian grid, which significantly simplifies the integration compared with the approach used in finite volume ELLAM methods, based on backward tracking, while retaining local mass conservation at no additional expenses in terms of accuracy or CPU consumption. This is verified by numerical tests which show that ELCVS performs as well as standard finite volume ELLAM methods, which have previously been shown to outperform many other well‐received classes of numerical methods for the equations considered. © 2011 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2012     

A single‐node characteristic collocation method for unsteady‐state convection‐diffusion equations in three‐dimensional spaces

We develop a nonconventional single‐node characteristic collocation method with piecewise‐cubic Hermite polynomials for the numerical simulation to unsteady‐state advection‐diffusion transport partial differential equations. This method greatly reduces the number of unknowns in the conventional collocation method, and generates accurate numerical solutions even if very large time steps are taken. The reduction of number of nodes has great potential for problems defined on high space dimensions, which appears in such problems as quantification of uncertainties in subsurface porous media. The method developed here is easy to formulate. Numerical experiments are presented to show the strong potential of the method. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 27: 786–802, 2011     

A uniform optimal‐order estimate for an Eulerian‐Lagrangian discontinuous Galerkin method for transient advection–diffusion equations

We prove an optimal‐order error estimate in a weighted energy norm for the Eulerian‐Lagrangian discontinuous Galerkin method for unsteady‐state advection–diffusion equations with general inflow and outflow boundary conditions. It is well‐known that these problems admit dynamic fronts with interior and boundary layers. The estimate holds uniformly with respect to the vanishing diffusion coefficient. © 2008 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2009     

A locally conservative Eulerian‐Lagrangian control‐volume method for transient advection‐diffusion equations

Characteristic methods generally generate accurate numerical solutions and greatly reduce grid orientation effects for transient advection‐diffusion equations. Nevertheless, they raise additional numerical difficulties. For instance, the accuracy of the numerical solutions and the property of local mass balance of these methods depend heavily on the accuracy of characteristics tracking and the evaluation of integrals of piecewise polynomials on some deformed elements generally with curved boundaries, which turns out to be numerically difficult to handle. In this article we adopt an alternative approach to develop an Eulerian‐Lagrangian control‐volume method (ELCVM) for transient advection‐diffusion equations. The ELCVM is locally conservative and maintains the accuracy of characteristic methods even if a very simple tracking is used, while retaining the advantages of characteristic methods in general. Numerical experiments show that the ELCVM is favorably comparable with well‐regarded Eulerian‐Lagrangian methods, which were previously shown to be very competitive with many well‐perceived methods. © 2005 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2005     

A characteristic nonoverlapping domain decomposition method for multidimensional convection‐diffusion equations

We develop a quasi‐two‐level, coarse‐mesh‐free characteristic nonoverlapping domain decomposition method for unsteady‐state convection‐diffusion partial differential equations in multidimensional spaces. The development of the domain decomposition method is carried out by utilizing an additive Schwarz domain decomposition preconditioner, by using an Eulerian‐Lagrangian method for convection‐diffusion equations and by delicately choosing appropriate interface conditions that fully respect and utilize the hyperbolic nature of the governing equations. Numerical experiments are presented to illustrate the method. © 2004 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2005     

An upwind finite volume scheme and its maximum‐principle‐preserving ADI splitting for unsteady‐state advection‐diffusion equations

We develop an upwind finite volume (UFV) scheme for unsteady‐state advection‐diffusion partial differential equations (PDEs) in multiple space dimensions. We apply an alternating direction implicit (ADI) splitting technique to accelerate the solution process of the numerical scheme. We investigate and analyze the reason why the conventional ADI splitting does not satisfy maximum principle in the context of advection‐diffusion PDEs. Based on the analysis, we propose a new ADI splitting of the upwind finite volume scheme, the alternating‐direction implicit, upwind finite volume (ADFV) scheme. We prove that both UFV and ADFV schemes satisfy maximum principle and are unconditionally stable. We also derive their error estimates. Numerical results are presented to observe the performance of these schemes. © 2003 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 19: 211–226, 2003     

An Eulerian‐Lagrangian method for option pricing in finance

This article is devoted to the development and application of an Eulerian‐Lagrangian method (ELM) for the solution of the Black‐Scholes partial differential equation for the valuation of European option contracts. This method fully utilizes the transient behavior of the governing equations and generates very accurate option's fair values and their derivatives also known as option Greeks, even if coarse spatial grids and large time steps are used. Numerical experiments on two standard option contracts are presented which show that the ELM method (favorably) compares in terms of accuracy and efficiency to many other well‐perceived methods. © 2006 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 23: 293–329, 2007     

An optimal‐order error estimate for MMOC and MMOCAA schemes for multidimensional advection‐reaction equations

In this article, we analyze the modified method of characteristics (MMOC) and an improved version of the MMOC, named the modified method of characteristics with adjusted advection (MMOCAA), for multidimensional advection‐reaction transport equations in a uniform manner. We derive an optimal‐order error estimate for these schemes. Numerical results are presented to verify the theoretical estimates. © 2002 John Wiley & Sons, Inc. Numer Methods Partial Differential Eq 18: 69–84, 2002     

Nonoverlapping domain decomposition characteristic finite differences for three‐dimensional convection‐diffusion equations

One domain decomposition method modified with characteristic differences is presented for non‐periodic three‐dimensional equations by multiply‐type quadratic interpolation and variant time‐step technique. This method consists of reduced‐scale, two‐dimensional computation on subdomain interface boundaries and fully implicit subdomain computation in parallel. A computational algorithm is outlined and an error estimate in discrete l²‐ norm is established by introducing new inner products and norms. Finally, numerical examples are given to illustrate the theoretical results, efficiency and parallelism of this method. © 2010 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 28: 17‐37, 2012     

An optimization‐based domain decomposition method for the Boussinesq equations

We study an optimization based domain decomposition method for the Boussinesq equations governing natural convection problems. Domain decomposition is cast into a constrained minimization problem for which the objective functional measures the jump in the dependent variables across the interface between solid and fluid subdomains. We showthat solutions of the minimization problem exist and derive an optimality system from which these solutions may be determined. Finite element approximations of the solutions of the optimality system are examined. The domain decomposition method is also reformulated as a nonlinear least‐squares problem and the results of some numerical experiments are given. © 2002 John Wiley & Sons, Inc. Numer Methods Partial Differential Eq 18: 1–25, 2002     

A CFL‐free explicit characteristic interior penalty scheme for linear advection‐reaction equations

We develop a CFL‐free, explicit characteristic interior penalty scheme (CHIPS) for one‐dimensional first‐order advection‐reaction equations by combining a Eulerian‐Lagrangian approach with a discontinuous Galerkin framework. The CHIPS method retains the numerical advantages of the discontinuous Galerkin methods as well as characteristic methods. An optimal‐order error estimate in the L² norm for the CHIPS method is derived and numerical experiments are presented to confirm the theoretical estimates. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2010     

Taylor‐Galerkin B‐spline finite element method for the one‐dimensional advection‐diffusion equation

The advection‐diffusion equation has a long history as a benchmark for numerical methods. Taylor‐Galerkin methods are used together with the type of splines known as B‐splines to construct the approximation functions over the finite elements for the solution of time‐dependent advection‐diffusion problems. If advection dominates over diffusion, the numerical solution is difficult especially if boundary layers are to be resolved. Known test problems have been studied to demonstrate the accuracy of the method. Numerical results show the behavior of the method with emphasis on treatment of boundary conditions. Taylor‐Galerkin methods have been constructed by using both linear and quadratic B‐spline shape functions. Results shown by the method are found to be in good agreement with the exact solution. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2010     

An efficient explicit/implicit domain decomposition method for convection‐diffusion equations

A nonoverlapping domain decomposition method for some time‐dependent convection‐diffusion equations is presented. It combines predictor‐corrector technique, modified upwind differences with explicit/implicit coupling to provide intrinsic parallelism, and unconditional stability while improving the accuracy. Both rigorous mathematical analysis and numerical experiments are carried out to illustrate the stability, accuracy, and parallelism. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2010     

A monotone conservative Eulerian–Lagrangian scheme for reaction‐diffusion‐convection equations modeling chemotaxis

A numerical method for convection dominated diffusion problems, that exploits the use of characteristics, is derived and analyzed. It is shown to preserve positivity of solutions and be locally mass conserving. Stability, consistency and order one convergence are verified. Because of the way in which it determines characteristic pre‐images of grid cells, the method can be easily implemented for 1‐, 2‐, or 3‐dimensional problems on rectangular grids.© 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2007     

A two‐grid characteristic finite volume element method for semilinear advection‐dominated diffusion equations

A two‐grid finite volume element method, combined with the modified method of characteristics, is presented and analyzed for semilinear time‐dependent advection‐dominated diffusion equations in two space dimensions. The solution of a nonlinear system on the fine‐grid space (with grid size h) is reduced to the solution of two small (one linear and one nonlinear) systems on the coarse‐grid space (with grid size H) and a linear system on the fine‐grid space. An optimal error estimate in H¹ ‐norm is obtained for the two‐grid method. It shows that the two‐grid method achieves asymptotically optimal approximation, as long as the mesh sizes satisfy h = O(H²). Numerical example is presented to validate the usefulness and efficiency of the method. © 2013 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2013     

A note on second‐order finite‐difference schemes on uniform meshes for advection‐‐diffusion equations

An artificial‐viscosity finite‐difference scheme is introduced for stabilizing the solutions of advection‐diffusion equations. Although only the linear one‐dimensional case is discussed, the method is easily susceptible to generalization. Some theory and comparisons with other well‐known schemes are carried out. The aim is, however, to explain the construction of the method, rather than considering sophisticated applications. © 1999 John Wiley & Sons, Inc. Numer Methods Partial Differential Eq 15: 581–588, 1999