A Legendre–Galerkin Chebyshev collocation method for the Burgers equation with a random perturbation on boundary condition

In the paper, we apply the generalized polynomial chaos expansion and spectral methods to the Burgers equation with a random perturbation on its left boundary condition. Firstly, the stochastic Galerkin method combined with the Legendre–Galerkin Chebyshev collocation scheme is adopted, which means that the original equation is transformed to the deterministic nonlinear equations by the stochastic Galerkin method and the Legendre–Galerkin Chebyshev collocation scheme is used to deal with the resulting nonlinear equations. Secondly, the stochastic Legendre–Galerkin Chebyshev collocation scheme is developed for solving the stochastic Burgers equation; that is, the stochastic Legendre–Galerkin method is used to discrete the random variable meanwhile the nonlinear term is interpolated through the Chebyshev–Gauss points. Then a set of deterministic linear equations can be obtained, which is in contrast to the other existing methods for the stochastic Burgers equation. The mean square convergence of the former method is analyzed. Numerical experiments are performed to show the effectiveness of our two methods. Both methods provide alternative approaches to deal with the stochastic differential equations with nonlinear terms.     

Finite element analysis of parabolic integro-differential equations of Kirchhoff type

The aim of this paper is to study parabolic integro-differential equations of Kirchhoff type. We prove the existence and uniqueness of the solution for this problem via Galerkin method. Semidiscrete formulation for this problem is presented using conforming finite element method. As a consequence of the Ritz–Volterra projection, we derive error estimates for both semidiscrete solution and its time derivative. To find the numerical solution of this class of equations, we develop two different types of numerical schemes, which are based on backward Euler–Galerkin method and Crank–Nicolson–Galerkin method. A priori bounds and convergence estimates in spatial as well as temporal direction of the proposed schemes are established. Finally, we conclude this work by implementing some numerical experiments to confirm our theoretical results.     

Numerical solution of exterior Maxwell problems by Galerkin BEM and Runge–Kutta convolution quadrature

In this paper we consider time-dependent electromagnetic scattering problems from conducting objects. We discretize the time-domain electric field integral equation using Runge–Kutta convolution quadrature in time and a Galerkin method in space. We analyze the involved operators in the Laplace domain and obtain convergence results for the fully discrete scheme. Numerical experiments indicate the sharpness of the theoretical estimates.     

Solution of an integro-differential equation describing the electromagnetic field distribution in a magnetic compressor

We construct a mathematical model of electromagnetic processes in a magnetic accelerator. In the two-dimensional approximation, the Maxwell equations are reduced to a system of scalar integro-differential equations in the conductors and to the Laplace equation in the dielectric subdomains. We obtain a numerical model on the basis of the Galerkin–Petrovmethod with piecewise constant and piecewise linear basis functions. The results of computations are represented.     

The operator equations of Lippmann–Schwinger type for acoustic and electromagnetic scattering problems in L 2

This article is concerned with the scattering of acoustic and electromagnetic time harmonic plane waves by an inhomogeneous medium. These problems can be translated into volume integral equations of the second kind – the most prominent example is the Lippmann–Schwinger integral equation. In this work, we study a particular class of scattering problems where the integral operator in the corresponding operator equation of Lippmann–Schwinger type fails to be compact. Such integral equations typically arise if the modelling of the inhomogeneous medium necessitates space-dependent coefficients in the highest order terms of the underlying partial differential equation. The two examples treated here are acoustic scattering from a medium with a space-dependent material density and electromagnetic medium scattering where both the electric permittivity and the magnetic permeability vary. In these cases, Riesz theory is not applicable for the solution of the arising integral equations of Lippmann–Schwinger type. Therefore, we show that positivity assumptions on the relative material parameters allow to prove positivity of the arising volume potentials in tailor-made weighted spaces of square integrable functions. This result merely holds for imaginary wavenumber and we exploit a compactness argument to conclude that the arising integral equations are of Fredholm type, even if the integral operators themselves are not compact. Finally, we explain how the solution of the integral equations in L ² affects the notion of a solution of the scattering problem and illustrate why the order of convergence of a Galerkin scheme set up in L ² does not suffer from our L ² setting, compared to schemes in higher order Sobolev spaces.     

Galerkin finite element method for one nonlinear integro-differential model

Galerkin finite element method for the approximation of a nonlinear integro-differential equation associated with the penetration of a magnetic field into a substance is studied. First type initial-boundary value problem is investigated. The convergence of the finite element scheme is proved. The rate of convergence is given too. The decay of the numerical solution is compared with the analytical results.     

THE NUMERICAL SOLUTION FOR A PARTIAL INTEGRO-DIFFERENTIAL EQUATION WITH A WEAKLY SINGULAR KERNEL

In this paper, a first order semi-discrete method of a partial integro-differential equation with a weakly singular kernel is considered. We apply Galerkin spectral method in one direction, and the inversion technique for the Laplace transform in another direction, the result of the numerical experiment proves the accuracy of this method.     

Galerkin finite element methods for two-dimensional RLW and SRLW equations

In this paper, Galerkin finite methods for two-dimensional regularized long wave and symmetric regularized long wave equation are studied. The discretization in space is by Galerkin finite element method and in time is based on linearized backward Euler formula and extrapolated Crank–Nicolson scheme. Existence and uniqueness of the numerical solutions have been shown by Brouwer fixed point theorem. The error estimates of linearlized Crank–Nicolson method for RLW and SRLW equations are also presented. Numerical experiments, including the error norms and conservation variables, verify the efficiency and accuracy of the proposed numerical schemes.     

Convergence of the Galerkin methods for equations with elliptic operators on subspaces and solving the electric field equation

Application of the Galerkin methods to the numerical analysis of the integro-differential electric field equation is justified. The convergence of the Galerkin methods is established for a class of equations with nonelliptic operators comprising the electric field equation. Theorems concerning the approximation of the elements belonging to a special Sobolev space by the basis Rao-Wilton-Glisson functions are proved. The rate of convergence is estimated.     

Variational Solutions of the Pricing PIDEs for European Options in Lévy Models

Abstract

One of the fundamental problems in financial mathematics is to develop efficient algorithms for pricing options in advanced models such as those driven by Lévy processes. Essentially there are three approaches in use. These are Monte Carlo, Fourier transform and partial integro-differential equation (PIDE)-based methods. We focus our attention here on the latter. There is a large arsenal of numerical methods for efficiently solving parabolic equations that arise in this context. Especially Galerkin and Galerkin-inspired methods have an impressive potential. In order to apply these methods, what is required is a formulation of the equation in the weak sense.

The contribution of this paper is therefore to analyse weak solutions of the Kolmogorov backward equations which are related to prices of European options in (time-inhomogeneous) Lévy models and to establish a precise link between the prices and the weak solutions of these equations. The resulting relation is a Feynman–Kac representation of the solution as a conditional expectation. Our special concern is to provide a framework that is able to cover both, the common types of European options and a wide range of advanced models in which these derivatives are priced.

An application to financial models requires in particular to admit pure jump processes such as generalized hyperbolic processes as well as unbounded domains of the equation. In order to deal at the same time with the typical pay-offs that can arise, the weak formulation of the equation is based on exponentially weighted Sobolev–Slobodeckii spaces. We provide a number of examples of models that are covered by this general framework. Examples of options for which such an analysis is required are calls, puts, digital and power options as well as basket options.     

关于广义KPP方程的数值解

广义KPP(Kolmogorov-Petrovskii-Piskunov)方程是一个积分微分方程.为了要研究其数值解,我们首先将该方程转化为一个非线性双曲型方程,然后构造了一个线性化的差分格式,得到了差分格式解的存在唯一性,利用能量不等式证明了差分格式二阶收敛性和关于初值的无条件稳定性,数值结果验证了本文提出的方法.     

Finite element and DG analysis for neutral-type Volterra integro-differential equations with weakly singular kernels

In this paper we analyze the numerical solution of Volterra integro-differential equations of neutral type with weakly singular kernels. We establish a priori error estimations for the finite-element-method semi-discretization of the given problem by defining a suitable Ritz-Volterra projection operator: here, the key point in the proof is the fact that the definition of the Ritz-Volterra projection operator that is not related to the neutral term. We then discuss the discontinuous Galerkin time-stepping method for the semi-discretized equation, together with a fully discretized form.     

The Maxey–Riley equation: Existence,uniqueness and regularity of solutions

The Maxey–Riley equation describes the motion of an inertial (i.e., finite-size) spherical particle in an ambient fluid flow. The equation is a second-order, implicit integro-differential equation with a singular kernel, and with a forcing term that blows up at the initial time. Despite the widespread use of the equation in applications, the basic properties of its solutions have remained unexplored. Here we fill this gap by proving local existence and uniqueness of mild solutions. For certain initial velocities between the particle and the fluid, the results extend to strong solutions. We also prove continuous differentiability of the mild and strong solutions with respect to their initial conditions. This justifies the search for coherent structures in inertial flows using the Cauchy–Green strain tensor.     

A nonlocal multi-point singular fractional integro-differential problem of Lane–Emden type

In this paper, using Riemann–Liouville integral and Caputo derivative, we study a nonlinear singular integro-differential equation of Lane–Emden type with nonlocal multi-point integral conditions. We prove the existence and uniqueness of solutions by application of Banach contraction principle. Also, we prove an existence result using Schaefer fixed point theorem. Then, we present some examples to show the applicability of the main results.     

A comparative Fourier analysis of discontinuous Galerkin schemes for advection–diffusion with respect to BR1, BR2, and local discontinuous Galerkin diffusion discretization

This work compares the wave propagation properties of discontinuous Galerkin (DG) schemes for advection–diffusion problems with respect to the behavior of classical discretizations of the diffusion terms, that is, two versions of the local discontinuous Galerkin (LDG) scheme as well as the BR1 and the BR2 scheme. The analysis highlights a significant difference between the two possible ways to choose the alternating LDG fluxes showing that the variant that is inconsistent with the upwind advective flux is more accurate in case of advection–diffusion discretizations. Furthermore, whereas for the BR1 scheme used within a third order DG scheme on Gauss-Legendre nodes, a higher accuracy for well-resolved problems has previously been observed in the literature, this work shows that higher accuracy of the BR1 discretization only holds for odd orders of the DG scheme. In addition, this higher accuracy is generally lost on Gauss–Legendre–Lobatto nodes.     

A numerical study of variable depth KdV equations and generalizations of Camassa–Holm-like equations

In this paper we numerically study the KdV-top equation and compare it with the Boussinesq equations over uneven bottoms. We use here a finite-difference scheme that conserves a discrete energy for the fully discrete scheme. We also compare this approach with the discontinuous Galerkin method. For the equations obtained in the case of stronger nonlinearities and related to the Camassa–Holm equation, we find several finite difference schemes that conserve a discrete energy for the fully discrete scheme. Because of its accuracy for the conservation of energy, our numerical scheme is also of interest even in the simple case of flat bottoms. We compare this approach with the discontinuous Galerkin method.     

Study of convergence of the projection-difference method for hyperbolic equations

We consider the Cauchy problem for an abstract quasilinear hyperbolic equation with variable operator coefficients and a nonsmooth but Bochner integrable free term in a Hilbert space. Under study is the scheme for approximate solution of this problem which is a combination of the Galerkin scheme in space variables and the three-layer difference scheme with time weights. We establish an a priori energy error estimate without any special conditions on the projection subspaces. We give a concrete form of this estimate in the case when discretization in the space variables is carried out by the finite element method (for a partial differential equation) and by the Galerkin method in Mikhlin form.     

Integro-differential equations with multivalued solutions

We prove a theorem on the unique existence of a classical solution of an integro-differential equation with Hukuhara derivative. We also justify an averaging scheme for equations of this type in the standard form.     

Galerkin’s Method in the Theory of Dipole Antennas

It is proved that an approximate solution of the integro-differential equation for the current at the surface of a dipole antenna obtained by Galerkin’s method converges to the exact solution. A method is proposed for calculating the matrix elements of linear operators that enter the above equation.     

Approximate solution of one singular integro-differential equation

In this paper we construct and theoretically justify a computational scheme for solving the Cauchy problem for a singular integro-differential equation of the first-order, where the integral over a segment of the real axis is understood in the sense of the Cauchy principal value. In addition, we study and solve approximately the integral equation with a special logarithmic kernel. We obtain uniform estimates for errors of approximate formulas. Orders of errors of approximate solutions are proved to be proportional to the order of the approximation error for the derivative of the density of the singular integral in the integro-differential equation.