High-order numerical methods for 2D parabolic problems in single and composite domains

In this work, we discuss and compare three methods for the numerical approximation of constant- and variable-coefficient diffusion equations in both single and composite domains with possible discontinuity in the solution/flux at interfaces, considering (i) the Cut Finite Element Method; (ii) the Difference Potentials Method; and (iii) the summation-by-parts Finite Difference Method. First we give a brief introduction for each of the three methods. Next, we propose benchmark problems, and consider numerical tests-with respect to accuracy and convergence-for linear parabolic problems on a single domain, and continue with similar tests for linear parabolic problems on a composite domain (with the interface defined either explicitly or implicitly). Lastly, a comparative discussion of the methods and numerical results will be given.Comment: 45 pages, 12 figures, in revision for Journal of Scientific Computin

A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs

We consider the probabilistic numerical scheme for fully nonlinear PDEs suggested in \cite{cstv}, and show that it can be introduced naturally as a combination of Monte Carlo and finite differences scheme without appealing to the theory of backward stochastic differential equations. Our first main result provides the convergence of the discrete-time approximation and derives a bound on the discretization error in terms of the time step. An explicit implementable scheme requires to approximate the conditional expectation operators involved in the discretization. This induces a further Monte Carlo error. Our second main result is to prove the convergence of the latter approximation scheme, and to derive an upper bound on the approximation error. Numerical experiments are performed for the approximation of the solution of the mean curvature flow equation in dimensions two and three, and for two and five-dimensional (plus time) fully-nonlinear Hamilton-Jacobi-Bellman equations arising in the theory of portfolio optimization in financial mathematics

Multilevel Monte Carlo for Random Degenerate Scalar Convection Diffusion Equation

We consider the numerical solution of scalar, nonlinear degenerate convection-diffusion problems with random diffusion coefficient and with random flux functions. Building on recent results on the existence, uniqueness and continuous dependence of weak solutions on data in the deterministic case, we develop a definition of random entropy solution. We establish existence, uniqueness, measurability and integrability results for these random entropy solutions, generalizing \cite{Mishr478,MishSch10a} to possibly degenerate hyperbolic-parabolic problems with random data. We next address the numerical approximation of random entropy solutions, specifically the approximation of the deterministic first and second order statistics. To this end, we consider explicit and implicit time discretization and Finite Difference methods in space, and single as well as Multi-Level Monte-Carlo methods to sample the statistics. We establish convergence rate estimates with respect to the discretization parameters, as well as with respect to the overall work, indicating substantial gains in efficiency are afforded under realistic regularity assumptions by the use of the Multi-Level Monte-Carlo method. Numerical experiments are presented which confirm the theoretical convergence estimates.Comment: 24 Page

Solving Nonlinear Parabolic Equations by a Strongly Implicit Finite-Difference Scheme

We discuss the numerical solution of nonlinear parabolic partial differential equations, exhibiting finite speed of propagation, via a strongly implicit finite-difference scheme with formal truncation error $\mathcal{O}\left[(\Delta x)^2 + (\Delta t)^2 \right]$. Our application of interest is the spreading of viscous gravity currents in the study of which these type of differential equations arise. Viscous gravity currents are low Reynolds number (viscous forces dominate inertial forces) flow phenomena in which a dense, viscous fluid displaces a lighter (usually immiscible) fluid. The fluids may be confined by the sidewalls of a channel or propagate in an unconfined two-dimensional (or axisymmetric three-dimensional) geometry. Under the lubrication approximation, the mathematical description of the spreading of these fluids reduces to solving the so-called thin-film equation for the current's shape $h(x,t)$. To solve such nonlinear parabolic equations we propose a finite-difference scheme based on the Crank--Nicolson idea. We implement the scheme for problems involving a single spatial coordinate (i.e., two-dimensional, axisymmetric or spherically-symmetric three-dimensional currents) on an equispaced but staggered grid. We benchmark the scheme against analytical solutions and highlight its strong numerical stability by specifically considering the spreading of non-Newtonian power-law fluids in a variable-width confined channel-like geometry (a "Hele-Shaw cell") subject to a given mass conservation/balance constraint. We show that this constraint can be implemented by re-expressing it as nonlinear flux boundary conditions on the domain's endpoints. Then, we show numerically that the scheme achieves its full second-order accuracy in space and time. We also highlight through numerical simulations how the proposed scheme accurately respects the mass conservation/balance constraint.Comment: 36 pages, 9 figures, Springer book class; v2 includes improvements and corrections; to appear as a contribution in "Applied Wave Mathematics II