Enforcing the non-negativity constraint and maximum principles for diffusion with decay on general computational grids

In this paper, we consider anisotropic diffusion with decay, and the diffusivity coefficient to be a second-order symmetric and positive definite tensor. It is well-known that this particular equation is a second-order elliptic equation, and satisfies a maximum principle under certain regularity assumptions. However, the finite element implementation of the classical Galerkin formulation for both anisotropic and isotropic diffusion with decay does not respect the maximum principle. We first show that the numerical accuracy of the classical Galerkin formulation deteriorates dramatically with increase in the decay coefficient for isotropic medium and violates the discrete maximum principle. However, in the case of isotropic medium, the extent of violation decreases with mesh refinement. We then show that, in the case of anisotropic medium, the classical Galerkin formulation for anisotropic diffusion with decay violates the discrete maximum principle even at lower values of decay coefficient and does not vanish with mesh refinement. We then present a methodology for enforcing maximum principles under the classical Galerkin formulation for anisotropic diffusion with decay on general computational grids using optimization techniques. Representative numerical results (which take into account anisotropy and heterogeneity) are presented to illustrate the performance of the proposed formulation

Global existence, uniqueness and stability for nonlinear dissipative bulk-interface interaction systems

We show global well-posedness and exponential stability of equilibria for a general class of nonlinear dissipative bulk-interface systems. They correspond to thermodynamically consistent gradient structure models of bulk-interface interaction. The setting includes nonlinear slow and fast diffusion in the bulk and nonlinear coupled diffusion on the interface. Additional driving mechanisms can be included and non-smooth geometries and coefficients are admissible, to some extent. An important application are volume-surface reaction-diffusion systems with nonlinear coupled diffusion.Comment: 21 page

``String'' formulation of the Dynamics of the Forward Interest Rate Curve

We propose a formulation of the term structure of interest rates in which the forward curve is seen as the deformation of a string. We derive the general condition that the partial differential equations governing the motion of such string must obey in order to account for the condition of absence of arbitrage opportunities. This condition takes a form similar to a fluctuation-dissipation theorem, albeit on the same quantity (the forward rate), linking the bias to the covariance of variation fluctuations. We provide the general structure of the models that obey this constraint in the framework of stochastic partial (possibly non-linear) differential equations. We derive the general solution for the pricing and hedging of interest rate derivatives within this framework, albeit for the linear case (we also provide in the appendix a simple and intuitive derivation of the standard European option problem). We also show how the ``string'' formulation simplifies into a standard N-factor model under a Galerkin approximation.Comment: 24 pages, European Physical Journal B (in press

Global stability of steady states in the classical Stefan problem

The classical one-phase Stefan problem (without surface tension) allows for a continuum of steady state solutions, given by an arbitrary (but sufficiently smooth) domain together with zero temperature. We prove global-in-time stability of such steady states, assuming a sufficient degree of smoothness on the initial domain, but without any a priori restriction on the convexity properties of the initial shape. This is an extension of our previous result [28] in which we studied nearly spherical shapes.Comment: 14 pages. arXiv admin note: substantial text overlap with arXiv:1212.142