Finite element solution of nonlinear diffusion problems

In this paper we describe the Rothe-finite element numerical scheme to find an approximate solution of a nonlinear diffusion problem modeled as a parabolic partial differential equation of even order. This scheme is based on the Rothe’s approximation in time and on the finite element method (FEM) approximation in the spatial discretization. A proof of convergence of the approximate solution is given and error estimates are shown.     

Lavrentiev regularization + Ritz approximation = uniform finite element error estimates for differential equations with rough coefficients

We consider a parametric family of boundary value problems for a diffusion equation with a diffusion coefficient equal to a small constant in a subdomain. Such problems are not uniformly well-posed when the constant gets small. However, in a series of papers, Bakhvalov and Knyazev have suggested a natural splitting of the problem into two well-posed problems. Using this idea, we prove a uniform finite element error estimate for our model problem in the standard parameter-independent Sobolev norm. We also study uniform regularity of the transmission problem, needed for approximation. A traditional finite element method with only one additional assumption, namely, that the boundary of the subdomain with the small coefficient does not cut any finite element, is considered.

One interpretation of our main theorem is in terms of regularization. Our FEM problem can be viewed as resulting from a Lavrentiev regularization and a Ritz-Galerkin approximation of a symmetric ill-posed problem. Our error estimate can then be used to find an optimal regularization parameter together with the optimal dimension of the approximation subspace.

     

Some new approaches to the solution of the diffusion chaos problem

Using the solution of the Kuramoto–Tsuzuki equation as an example, we present the results of numerical investigations of diffusion chaos in the neighborhood of the thermodynamic branch of the “reaction–diffusion” equation system. Chaos onset scenarios are considered both in the small-mode approximation and for the solution of the second boundary-value problem for the original equation. In the phase space of the Kuramoto–Tsuzuki equation chaos sets in through period doubling bifurcation cascades and through subharmonic bifurcation cascades of two-dimensional tori by both internal and external frequency. Chaos onset scenarios in the Kuramoto–Tsuzuki equation phase space and in the Fourier coefficient space are compared both for the small-mode approximation and for direct numerical solution of the second boundary-value problem. Inappropriateness of the three-dimensional small-mode approximations is proved.     

Fast second-order accurate difference schemes for time distributed-order and Riesz space fractional diffusion equations

The aim of this paper is to develop fast second-order accurate difference schemes for solving one- and two-dimensional time distributed-order and Riesz space fractional diffusion equations. We adopt the same measures for one- and two-dimensional problems as follows: we first transform the time distributed-order fractional diffusion problem into the multi-term time-space fractional diffusion problem with the composite trapezoid formula. Then, we propose a second-order accurate difference scheme based on the interpolation approximation on a special point to solve the resultant problem. Meanwhile, the unconditional stability and convergence of the new difference scheme in $L_2$-norm are proved. Furthermore, we find that the discretizations lead to a series of Toeplitz systems which can be efficiently solved by Krylov subspace methods with suitable circulant preconditioners. Finally, numerical results are presented to show the effectiveness of the proposed difference methods and demonstrate the fast convergence of our preconditioned Krylov subspace methods.     

超格中的理想

在超格中引入了超序的概念,得到了超序的若干特征定理.借助于超序的概念,给出了超格中的理想的定义,研究了超格中的理想的一系列性质.     

Parabolic and hyperbolic contours for computing the Bromwich integral

Some of the most effective methods for the numerical inversion of the Laplace transform are based on the approximation of the Bromwich contour integral. The accuracy of these methods often hinges on a good choice of contour, and several such contours have been proposed in the literature. Here we analyze two recently proposed contours, namely a parabola and a hyperbola. Using a representative model problem, we determine estimates for the optimal parameters that define these contours. An application to a fractional diffusion equation is presented.

     

Contrast-based information criterion for ergodic diffusion processes from discrete observations

In this paper, we consider the model selection problem for discretely observed ergodic multi-dimensional diffusion processes. In order to evaluate the statistical models, Akaike’s information criterion (AIC) is a useful tool. Since AIC is constructed by the maximum log likelihood and the dimension of the parameter space, it may look easy to get AIC even for discretely observed diffusion processes. However, there is a serious problem that a transition density of a diffusion process does not generally have an explicit form. Instead of the exact log-likelihood, we use a contrast function based on a locally Gaussian approximation of the transition density and we propose the contrast-based information criterion.     

Lattices Derived from Hyperlattices

In this article, by considering the notion of a hyperlattice and a superlattice, we give some examples of them, and we study their structures and their quotient structure with a regular relation. We introduce the relation ν on a hyperlattice L, and we let ν* be the transitive closure of ν. We show that ν* is a fundamental relation on a hyperlattice. The quotient L/ν* is called the fundamental lattice. Notice that the most important relations in hyperstructure theory are the fundamental ones. Finally, we give some interesting results about the fundamental lattices.     

有界超格上的微分

在有界超格上引入微分,研究了有界超格上微分的一些性质.定义并研究了微分超格的微分超理想和微分超同余,并证明了如果$(L,d)$是一个有界强单微分超格并且$R$是$(L,d)$的一个强微分同余,则$(L/R,g)$仍是一个强单微分超格,其中$g$是由$d$诱导的商超格上的单强微分.     

On the hyperinvariant subspace problem III

In two recent papers (Foias and Pearcy, J. Funct. Anal., in press, Hamid et al., Indiana Univ. Math. J., to appear), the authors reduced the hyperinvariant subspace problem for operators on Hilbert space to the question whether every C₀₀-(BCP)-operator that is quasidiagonal and has spectrum the unit disc has a nontrivial hyperinvariant subspace (n.h.s.). In this note, we continue this study by showing, with the help of a new equivalence relation, that every operator whose spectrum is uncountable, as well as every nonalgebraic operator with finite spectrum, has a hyperlattice (i.e., lattice of hyperinvariant subspaces) that is isomorphic to the hyperlattice of a C₀₀, quasidiagonal, (BCP)-operator whose spectrum is the closed unit disc.     

On approximation in the fictitious domain method for a bidimensional transport equation

In this article a numerical method for solving a two‐dimensional transport equation in the stationary case is presented. Using the techniques of the variational calculus, we find the approximate solution for a homogeneous boundary‐value problem that corresponds to a square domain D₂. Then, using the method of the fictitious domain, we extend our algorithm to a boundary value problem for a set D that has an arbitrary shape. In this approach, the initial computation domain D (called physical domain) is immersed in a square domain D₂. We prove that the solution obtained by this method is a good approximation of the exact solution. The theoretical results are verified with the help of a numerical example. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2010     

The nonlinear diffusion equation in cylindrical coordinates

Nonlinear corrections to some classical solutions of the linear diffusion equation in cylindrical coordinates are studied within quadratic approximation. When cylindrical coordinates are used, we try to find a nonlinear correction using quadratic polynomials of Bessel functions whose coefficients are Laurent polynomials of radius. This usual perturbation technique inevitably leads to a series of overdetermined systems of linear algebraic equations for the unknown coefficients (in contrast with the Cartesian coordinates). Using a computer algebra system, we show that all these overdetermined systems become compatible if we formally add one function on radius W(r). Solutions can be constructed as linear combinations of these quadratic polynomials of the Bessel functions and the functions W(r) and W′(r). This gives a series of solutions to the nonlinear diffusion equation; these are found with the same accuracy as the equation is derived. __________ Translated from Fundamentalnaya i Prikladnaya Matematika, Vol. 13, No. 1, pp. 235–245, 2007.     

Stochastic differential portfolio games for an insurer in a jump-diffusion risk process

We discuss an optimal portfolio selection problem of an insurer who faces model uncertainty in a jump-diffusion risk model using a game theoretic approach. In particular, the optimal portfolio selection problem is formulated as a two-person, zero-sum, stochastic differential game between the insurer and the market. There are two leader-follower games embedded in the game problem: (i) The insurer is the leader of the game and aims to select an optimal portfolio strategy by maximizing the expected utility of the terminal surplus in the “worst-case” scenario; (ii) The market acts as the leader of the game and aims to choose an optimal probability scenario to minimize the maximal expected utility of the terminal surplus. Using techniques of stochastic linear-quadratic control, we obtain closed-form solutions to the game problems in both the jump-diffusion risk process and its diffusion approximation for the case of an exponential utility.     

Construction and Spectral Topology on Hyperlattices

In this paper by considering the notion of hyperlattice, we introduce good and s-good hyperlattices, homomorphism of hyperlattices and s-reflexives. We give some examples of them and we study their structures. We show that there exists a hyperlattice L such that ${x \vee x = \{x\}}In this paper by considering the notion of hyperlattice, we introduce good and s-good hyperlattices, homomorphism of hyperlattices and s-reflexives. We give some examples of them and we study their structures. We show that there exists a hyperlattice L such that x úx = {x}{x \vee x = \{x\}} for all x ? L{x \in L} and there exist x, y ? L{x, y \in L} which card(x úy) 1 1{card(x \vee y) \ne 1}. Also, we define a topology on the set of prime ideals of a distributive hyperlattice L and we will call it S(L){{{\mathcal S}(L)}}, then we show that S(L){{{\mathcal S}(L)}} is a T ₀-space. At the end, we obtain that each complemented distributive hyperlattice is a T ₁-space.     

MIXED FINITE ELEMENT METHOD FOR THE CONVECTION-DOMINATED DIFFUSION PROBLEMS WITH SMALL PARAMETER ε

In rids paper a mixed finite element method for the convection-dominated diffusion problems with small parameter ε is presented,the effect of the parameter ε on the approximation error is considered and a sufficient condition for optimal error estimates is derived. The paper also shows that under some conditions,the standard finite dement method only gives a hounded solution,however the mixed finite element method gives a convergent one.     

Dividend maximization under consideration of the time value of ruin

In the Cramér-Lundberg model and its diffusion approximation, it is a classical problem to find the optimal dividend payment strategy that maximizes the expected value of the discounted dividend payments until ruin. One often raised disadvantage of this approach is the fact that such a strategy does not take the lifetime of the controlled process into account. In this paper we introduce a value function which considers both expected dividends and the time value of ruin. For both the diffusion model and the Cramér-Lundberg model with exponential claim sizes, the problem is solved and in either case the optimal strategy is identified, which for unbounded dividend intensity is a barrier strategy and for bounded dividend intensity is of threshold type.     

Space-time discontinuos Galerkin method for solving nonstationary convection-diffusion-reaction problems

The paper presents the theory of the discontinuous Galerkin finite element method for the space-time discretization of a linear nonstationary convection-diffusion-reaction initial-boundary value problem. The discontinuous Galerkin method is applied separately in space and time using, in general, different nonconforming space grids on different time levels and different polynomial degrees p and q in space and time discretization, respectively. In the space discretization the nonsymmetric interior and boundary penalty approximation of diffusion terms is used. The paper is concerned with the proof of error estimates in “L ²(L ²)”-and “ ”-norms, where ɛ ⩾ 0 is the diffusion coefficient. Using special interpolation theorems for the space as well as time discretization, we find that under some assumptions on the shape regularity of the meshes and a certain regularity of the exact solution, the errors are of order O(h ^p + τ ^q ). The estimates hold true even in the hyperbolic case when ɛ = 0.     

Optimal reinsurance under the mean–variance premium principle to minimize the probability of ruin

We consider the problem of minimizing the probability of ruin by purchasing reinsurance whose premium is computed according to the mean–variance premium principle, a combination of the expected-value and variance premium principles. We derive closed-form expressions of the optimal reinsurance strategy and the corresponding minimum probability of ruin under the diffusion approximation of the classical Cramér–Lundberg risk process perturbed by a diffusion. We find an explicit expression for the reinsurance strategy that maximizes the adjustment coefficient for the classical risk process perturbed by a diffusion. Also, for this risk process, we use stochastic Perron’s method to prove that the minimum probability of ruin is the unique viscosity solution of its Hamilton–Jacobi–Bellman equation with appropriate boundary conditions. Finally, we prove that, under an appropriate scaling of the classical risk process, the minimum probability of ruin converges to the minimum probability of ruin under the diffusion approximation.     

Smooth sample average approximation of stationary points in nonsmooth stochastic optimization and applications

Inspired by a recent work by Alexander et al. (J Bank Finance 30:583–605, 2006) which proposes a smoothing method to deal with nonsmoothness in a conditional value-at-risk problem, we consider a smoothing scheme for a general class of nonsmooth stochastic problems. Assuming that a smoothed problem is solved by a sample average approximation method, we investigate the convergence of stationary points of the smoothed sample average approximation problem as sample size increases and show that w.p.1 accumulation points of the stationary points of the approximation problem are weak stationary points of their counterparts of the true problem. Moreover, under some metric regularity conditions, we obtain an error bound on approximate stationary points. The convergence result is applied to a conditional value-at-risk problem and an inventory control problem.      

Approximating Time to Extinction for Endemic Infection Models

Approximating the time to extinction of infection is an important problem in infection modelling. A variety of different approaches have been proposed in the literature. We study the performance of a number of such methods, and characterise their performance in terms of simplicity, accuracy, and generality. To this end, we consider first the classic stochastic susceptible-infected-susceptible (SIS) model, and then a multi-dimensional generalisation of this which allows for Erlang distributed infectious periods. We find that (i) for a below-threshold infection initiated by a small number of infected individuals, approximation via a linear branching process works well; (ii) for an above-threshold infection initiated at endemic equilibrium, methods from Hamiltonian statistical mechanics yield correct asymptotic behaviour as population size becomes large; (iii) the widely-used Ornstein-Uhlenbeck diffusion approximation gives a very poor approximation, but may retain some value for qualitative comparisons in certain cases; (iv) a more detailed diffusion approximation can give good numerical approximation in certain circumstances, but does not provide correct large population asymptotic behaviour, and cannot be relied upon without some form of external validation (eg simulation studies).