An optimal polynomial approximation of Brownian motion

In this paper, we will present a strong (or pathwise) approximation of standard Brownian motion by a class of orthogonal polynomials. The coefficients that are obtained from the expansion of Brownian motion in this polynomial basis are independent Gaussian random variables. Therefore it is practical (requires $N$ independent Gaussian coefficients) to generate an approximate sample path of Brownian motion that respects integration of polynomials with degree less than $N$. Moreover, since these orthogonal polynomials appear naturally as eigenfunctions of an integral operator defined by the Brownian bridge covariance function, the proposed approximation is optimal in a certain weighted $L^{2}(\mathbb{P})$ sense. In addition, discretizing Brownian paths as piecewise parabolas gives a locally higher order numerical method for stochastic differential equations (SDEs) when compared to the standard piecewise linear approach. We shall demonstrate these ideas by simulating Inhomogeneous Geometric Brownian Motion (IGBM). This numerical example will also illustrate the deficiencies of the piecewise parabola approximation when compared to a new version of the asymptotically efficient log-ODE (or Castell-Gaines) method.Comment: 27 pages, 8 figure

Improved approximation of phase-space densities on triangulated domains using Discrete Flow Mapping with p-refinement

We consider the approximation of the phase-space flow of a dynamical system on a triangulated surface using an approach known as Discrete Flow Mapping. Such flows are of interest throughout statistical mechanics, but the focus here is on flows arising from ray tracing approximations of linear wave equations. An orthogonal polynomial basis approximation of the phase-space density is applied in both the position and direction coordinates, in contrast with previous studies where piecewise constant functions have typically been applied for the spatial approximation. In order to improve the tractability of an orthogonal polynomial approximation in both phase-space coordinates, we propose a careful strategy for computing the propagation operator. For the favourable case of a Legendre polynomial basis we show that the integrals in the definition of the propagation operator may be evaluated analytically with respect to position and via a spectrally convergent quadrature rule for the direction coordinate. A generally applicable spectral quadrature scheme for integration with respect to both coordinates is also detailed for completeness. Finally, we provide numerical results that motivate the use of p-refinement in the orthogonal polynomial basis

High-order conservative reconstruction schemes for finite volume methods in cylindrical and spherical coordinates

High-order reconstruction schemes for the solution of hyperbolic conservation laws in orthogonal curvilinear coordinates are revised in the finite volume approach. The formulation employs a piecewise polynomial approximation to the zone-average values to reconstruct left and right interface states from within a computational zone to arbitrary order of accuracy by inverting a Vandermonde-like linear system of equations with spatially varying coefficients. The approach is general and can be used on uniform and non-uniform meshes although explicit expressions are derived for polynomials from second to fifth degree in cylindrical and spherical geometries with uniform grid spacing. It is shown that, in regions of large curvature, the resulting expressions differ considerably from their Cartesian counterparts and that the lack of such corrections can severely degrade the accuracy of the solution close to the coordinate origin. Limiting techniques and monotonicity constraints are revised for conventional reconstruction schemes, namely, the piecewise linear method (PLM), third-order weighted essentially non-oscillatory (WENO) scheme and the piecewise parabolic method (PPM). The performance of the improved reconstruction schemes is investigated in a number of selected numerical benchmarks involving the solution of both scalar and systems of nonlinear equations (such as the equations of gas dynamics and magnetohydrodynamics) in cylindrical and spherical geometries in one and two dimensions. Results confirm that the proposed approach yields considerably smaller errors, higher convergence rates and it avoid spurious numerical effects at a symmetry axis.Comment: 37 pages, 12 Figures. Accepted for publication in Journal of Compuational Physic