A finite volume scheme for nonlinear parabolic equations derived from one-dimensional local Dirichlet problems

In this paper, we propose a new method to compute the numerical flux of a finite volume scheme, used for the approximation of the solution of parabolic partial differential equation with nonlinear diffusion and convection terms a 1D, 2D or 3D domain. The nonlinear diffusion term be bounded away from zero except a finite number of values. The method is based on the solution, at each interface between two control volumes, of a nonlinear elliptic two point boundary value problem derived from the original equation with Dirichlet boundary conditions given by the values of the discrete approximation in both control volumes. We prove the existence of a solution to this two point boundary value problem. We show that the expression for the numerical flux can be yielded without referring to this solution. Furthermore, we prove that the so designed finite volume scheme has the expected stability properties and that its solution converges to the weak solution of the continuous problem. Numerical results show the increase of accuracy due to the use of this scheme, compared to some other schemes

Global Regularity vs. Finite-Time Singularities: Some Paradigms on the Effect of Boundary Conditions and Certain Perturbations

In light of the question of finite-time blow-up vs. global well-posedness of solutions to problems involving nonlinear partial differential equations, we provide several cautionary examples which indicate that modifications to the boundary conditions or to the nonlinearity of the equations can effect whether the equations develop finite-time singularities. In particular, we aim to underscore the idea that in analytical and computational investigations of the blow-up of three-dimensional Euler and Navier-Stokes equations, the boundary conditions may need to be taken into greater account. We also examine a perturbation of the nonlinearity by dropping the advection term in the evolution of the derivative of the solutions to the viscous Burgers equation, which leads to the development of singularities not present in the original equation, and indicates that there is a regularizing mechanism in part of the nonlinearity. This simple analytical example corroborates recent computational observations in the singularity formation of fluid equations

On the fourth-order accurate compact ADI scheme for solving the unsteady Nonlinear Coupled Burgers' Equations

The two-dimensional unsteady coupled Burgers' equations with moderate to severe gradients, are solved numerically using higher-order accurate finite difference schemes; namely the fourth-order accurate compact ADI scheme, and the fourth-order accurate Du Fort Frankel scheme. The question of numerical stability and convergence are presented. Comparisons are made between the present schemes in terms of accuracy and computational efficiency for solving problems with severe internal and boundary gradients. The present study shows that the fourth-order compact ADI scheme is stable and efficient

Numerical analysis of a robust free energy diminishing Finite Volume scheme for parabolic equations with gradient structure

We present a numerical method for approximating the solutions of degenerate parabolic equations with a formal gradient flow structure. The numerical method we propose preserves at the discrete level the formal gradient flow structure, allowing the use of some nonlinear test functions in the analysis. The existence of a solution to and the convergence of the scheme are proved under very general assumptions on the continuous problem (nonlinearities, anisotropy, heterogeneity) and on the mesh. Moreover, we provide numerical evidences of the efficiency and of the robustness of our approach

Preconditioned fully implicit PDE solvers for monument conservation

Mathematical models for the description, in a quantitative way, of the damages induced on the monuments by the action of specific pollutants are often systems of nonlinear, possibly degenerate, parabolic equations. Although some the asymptotic properties of the solutions are known, for a short window of time, one needs a numerical approximation scheme in order to have a quantitative forecast at any time of interest. In this paper a fully implicit numerical method is proposed, analyzed and numerically tested for parabolic equations of porous media type and on a systems of two PDEs that models the sulfation of marble in monuments. Due to the nonlinear nature of the underlying mathematical model, the use of a fixed point scheme is required and every step implies the solution of large, locally structured, linear systems. A special effort is devoted to the spectral analysis of the relevant matrices and to the design of appropriate iterative or multi-iterative solvers, with special attention to preconditioned Krylov methods and to multigrid procedures. Numerical experiments for the validation of the analysis complement this contribution.Comment: 26 pages, 13 figure

Transformation Method for Solving Hamilton-Jacobi-Bellman Equation for Constrained Dynamic Stochastic Optimal Allocation Problem

In this paper we propose and analyze a method based on the Riccati transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation arising from the stochastic dynamic optimal allocation problem. We show how the fully nonlinear Hamilton-Jacobi-Bellman equation can be transformed into a quasi-linear parabolic equation whose diffusion function is obtained as the value function of certain parametric convex optimization problem. Although the diffusion function need not be sufficiently smooth, we are able to prove existence, uniqueness and derive useful bounds of classical H\"older smooth solutions. We furthermore construct a fully implicit iterative numerical scheme based on finite volume approximation of the governing equation. A numerical solution is compared to a semi-explicit traveling wave solution by means of the convergence ratio of the method. We compute optimal strategies for a portfolio investment problem motivated by the German DAX 30 Index as an example of application of the method

Numerical Methods for the Fractional Laplacian: a Finite Difference-quadrature Approach

The fractional Laplacian $(-\Delta)^{\alpha/2}$ is a non-local operator which depends on the parameter $\alpha$ and recovers the usual Laplacian as $\alpha \to 2$. A numerical method for the fractional Laplacian is proposed, based on the singular integral representation for the operator. The method combines finite difference with numerical quadrature, to obtain a discrete convolution operator with positive weights. The accuracy of the method is shown to be $O(h^{3-\alpha})$. Convergence of the method is proven. The treatment of far field boundary conditions using an asymptotic approximation to the integral is used to obtain an accurate method. Numerical experiments on known exact solutions validate the predicted convergence rates. Computational examples include exponentially and algebraically decaying solution with varying regularity. The generalization to nonlinear equations involving the operator is discussed: the obstacle problem for the fractional Laplacian is computed.Comment: 29 pages, 9 figure