Non-Gaussian Quadrature Integral Transform Solution of Parabolic Models with a Finite Degree of Randomness

[EN] In this paper, we propose an integral transform method for the numerical solution of random mean square parabolic models, that makes manageable the computational complexity due to the storage of intermediate information when one applies iterative methods. By applying the random Laplace transform method combined with the use of Monte Carlo and numerical integration of the Laplace transform inversion, an easy expression of the approximating stochastic process allows the manageable computation of the statistical moments of the approximation.This work has been supported by the Spanish Ministerio de Economia, Industria y Competitividad (MINECO), the Agencia Estatal de Investigacion (AEI) and Fondo Europeo de Desarrollo Regional (FEDER UE) grant MTM2017-89664-P.Casabán Bartual, MC.; Company Rossi, R.; Jódar Sánchez, LA. (2020). Non-Gaussian Quadrature Integral Transform Solution of Parabolic Models with a Finite Degree of Randomness. Mathematics. 8(7):1-16. https://doi.org/10.3390/math8071112S11687Bharucha-Reid, A. T. (1964). On the theory of random equations. Proceedings of Symposia in Applied Mathematics, 40-69. doi:10.1090/psapm/016/0189071Ernst, O. G., Sprungk, B., & Tamellini, L. (2018). Convergence of Sparse Collocation for Functions of Countably Many Gaussian Random Variables (with Application to Elliptic PDEs). SIAM Journal on Numerical Analysis, 56(2), 877-905. doi:10.1137/17m1123079Casaban, M.-C., Cortes, J.-C., & Jodar, L. (2018). Analytic-Numerical Solution of Random Parabolic Models: A Mean Square Fourier Transform Approach. Mathematical Modelling and Analysis, 23(1), 79-100. doi:10.3846/mma.2018.006Casabán, M. C., Company, R., & Jódar, L. (2019). Numerical Integral Transform Methods for Random Hyperbolic Models with a Finite Degree of Randomness. Mathematics, 7(9), 853. doi:10.3390/math7090853Nouri, K., & Ranjbar, H. (2014). Mean Square Convergence of the Numerical Solution of Random Differential Equations. Mediterranean Journal of Mathematics, 12(3), 1123-1140. doi:10.1007/s00009-014-0452-8Casabán, M.-C., Cortés, J.-C., & Jódar, L. (2015). A random Laplace transform method for solving random mixed parabolic differential problems. Applied Mathematics and Computation, 259, 654-667. doi:10.1016/j.amc.2015.02.091Iserles, A. (2004). On the numerical quadrature of highly-oscillating integrals I: Fourier transforms. IMA Journal of Numerical Analysis, 24(3), 365-391. doi:10.1093/imanum/24.3.365Consuelo Casabán, M., Company, R., Egorova, V. N., & Jódar, L. (2020). Integral transform solution of random coupled parabolic partial differential models. Mathematical Methods in the Applied Sciences, 43(14), 8223-8236. doi:10.1002/mma.6492Casabán, M.-C., Company, R., Cortés, J.-C., & Jódar, L. (2014). Solving the random diffusion model in an infinite medium: A mean square approach. Applied Mathematical Modelling, 38(24), 5922-5933. doi:10.1016/j.apm.2014.04.063Casabán, M.-C., Cortés, J.-C., & Jódar, L. (2018). Solving linear and quadratic random matrix differential equations using: A mean square approach. The non-autonomous case. Journal of Computational and Applied Mathematics, 330, 937-954. doi:10.1016/j.cam.2016.11.049Davies, B., & Martin, B. (1979). Numerical inversion of the laplace transform: a survey and comparison of methods. Journal of Computational Physics, 33(1), 1-32. doi:10.1016/0021-9991(79)90025-1Ng, E. W., & Geller, M. (1969). A table of integrals of the Error functions. Journal of Research of the National Bureau of Standards, Section B: Mathematical Sciences, 73B(1), 1. doi:10.6028/jres.073b.001Armstrong, J. S., & Collopy, F. (1992). Error measures for generalizing about forecasting methods: Empirical comparisons. International Journal of Forecasting, 8(1), 69-80. doi:10.1016/0169-2070(92)90008-

A class of immersed finite element methods for Stokes interface problems

In this dissertation, we explore applications of partial differential equations with discontinuous coefficients. We consider the nonconforming immersed finite element methods (IFE) for modeling and simulating these partial differential equations. A one-dimensional second-order parabolic initial-boundary value problem with discontinuous coefficients is studied. We propose an extension of the immersed finite element method to a high-order immersed finite element method for solving one-dimensional parabolic interface problems. In addition, we introduce a nonconforming immersed finite element method to solve the two-dimensional parabolic problem with a moving interface. In the nonconforming IFE framework, the degrees of freedom are determined by the average integral value over the element edges. The continuity of the nonconforming IFE framework is in the weak sense in comparison the continuity of the conforming IFE framework. Numerical experiments are provided to demonstrate the features and the robustness of these methods. We introduce a class of lowest-order nonconforming immersed finite element methods for solving two-dimensional Stokes interface problem. On triangular meshes, the Crouzeix-Raviart element is used for velocity approximation, and piecewise constant for pressure. On rectangular meshes, the Rannacher-Turek rotated $Q_1$-$Q_0$ finite element is used. We also consider a new mixed immersed finite element method for the Stokes interface problem on an unfitted mesh. The proposed IFE space uses conforming linear elements for one velocity component and nonconforming linear elements for the other component. The new vector-valued IFE functions are constructed to approximate the interface jump conditions. Basic properties including the unisolvency and the partition of unity of these new IFE methods are discussed. Numerical approximations are observed to converge optimally. Lastly, we apply each class of the new immersed finite element methods to solve the unsteady Stokes interface problem. Based on the new IFE spaces, semi-discrete and full-discrete schemes are developed for solving the unsteady Stokes equations with a stationary or a moving interface. A comparison of the degrees of freedom and number of elements are presented for each method. Numerical experiments are provided to demonstrate the features of these methods

A RBF partition of unity collocation method based on finite difference for initial-boundary value problems

Meshfree radial basis function (RBF) methods are popular tools used to numerically solve partial differential equations (PDEs). They take advantage of being flexible with respect to geometry, easy to implement in higher dimensions, and can also provide high order convergence. Since one of the main disadvantages of global RBF-based methods is generally the computational cost associated with the solution of large linear systems, in this paper we focus on a localizing RBF partition of unity method (RBF-PUM) based on a finite difference (FD) scheme. Specifically, we propose a new RBF-PUM-FD collocation method, which can successfully be applied to solve time-dependent PDEs. This approach allows to significantly decrease ill-conditioning of traditional RBF-based methods. Moreover, the RBF-PUM-FD scheme results in a sparse matrix system, reducing the computational effort but maintaining at the same time a high level of accuracy. Numerical experiments show performances of our collocation scheme on two benchmark problems, involving unsteady convection-diffusion and pseudo-parabolic equations

Nonlinear Parabolic Equations arising in Mathematical Finance

This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review various non-linear extensions of the classical Black-Scholes theory for pricing financial instruments, as well as models of stochastic dynamic portfolio optimization leading to the Hamilton-Jacobi-Bellman (HJB) equation. After suitable transformations, both problems can be represented by solutions to nonlinear parabolic equations. Qualitative analysis will be focused on issues concerning the existence and uniqueness of solutions. In the numerical part we discuss a stable finite-volume and finite difference schemes for solving fully nonlinear parabolic equations.Comment: arXiv admin note: substantial text overlap with arXiv:1603.0387