Stability of numerical method for semi-linear stochastic pantograph differential equations

Abstract As a particular expression of stochastic delay differential equations, stochastic pantograph differential equations have been widely used in nonlinear dynamics, quantum mechanics, and electrodynamics. In this paper, we mainly study the stability of analytical solutions and numerical solutions of semi-linear stochastic pantograph differential equations. Some suitable conditions for the mean-square stability of an analytical solution are obtained. Then we proved the general mean-square stability of the exponential Euler method for a numerical solution of semi-linear stochastic pantograph differential equations, that is, if an analytical solution is stable, then the exponential Euler method applied to the system is mean-square stable for arbitrary step-size h > 0 $h>0$ . Numerical examples further illustrate the obtained theoretical results

Implicit methods for the simple wave equation

A family of finite difference methods is developed for the numerical solution of the simple wave equation. Local truncation errors are cal- culated for each member of the family and each is analyzed for stability. The concepts of A0 -stability and L0 -stability, well-used in the literature on other types of partial differential equation, are discussed in relation to second order hyperbolic equations. The numerical methods are extended to cover two-dimensional wave equations and the methods developed in the paper are tested on three problems from the literature. w925948

A fast and well-conditioned spectral method

A novel spectral method is developed for the direct solution of linear ordinary differential equations with variable coefficients. The method leads to matrices which are almost banded, and a numerical solver is presented that takes $O(m^{2}n)$ operations, where $m$ is the number of Chebyshev points needed to resolve the coefficients of the differential operator and $n$ is the number of Chebyshev points needed to resolve the solution to the differential equation. We prove stability of the method by relating it to a diagonally preconditioned system which has a bounded condition number, in a suitable norm. For Dirichlet boundary conditions, this reduces to stability in the standard 2-norm

On systems of differential equations with extrinsic oscillation

We present a numerical scheme for an efficient discretization of nonlinear systems of differential equations subjected to highly oscillatory perturbations. This method is superior to standard ODE numerical solvers in the presence of high frequency forcing terms,and is based on asymptotic expansions of the solution in inverse powers of the oscillatory parameter w, featuring modulated Fourier series in the expansion coefficients. Analysis of numerical stability and numerical examples are included

Convergence and stability of finite difference schemes for some elliptic equations

The problem of convergence and stability of finite difference schemes used for solving boundary value problems for some elliptic partial differential equations has been studied in this thesis. Generally a boundary value problem is first replaced by a discretized problem whose solution is then found by numerical computation. The difference between the solution of the discretized problem and the exact solution of the boundary value problem is called the discretization error. This error is a measure of the accuracy of the numerical solution, provided the roundoff error is negligible. Estimates of the discretization error are obtained for a class of elliptic partial differential equations of order 2m (M ≥ 1) with constant coefficients in a general n-dimensional domain. This result can be used to define finite difference approximations with an arbitrary order of accuracy. The numerical solution of a discretized problem is usually obtained by solving the resulting system of algebraic equations by some iterative procedure. Such a procedure must be stable in order to yield a numerical solution. The stability of such an iteration scheme is studied in a general setting and several sufficient con­ditions of stability are obtained. When a higher order differential equation is solved numeri­cally, roundoff error can accumulate during the computations. In order to reduce this error the differential equation is sometimes replaced by several lower order differential equations. The method of splitting is analyzed for the two-dimensional biharmonic equation and the convergence of the discrete solution to the exact solution is discussed. An iterative procedure is presented for obtaining the numerical solution. It is shown that this method is also applicable to non-rectangular domains. The accuracy of numerical solutions of a nonselfadjoint elliptic differential equation is discussed when it is solved with a finite non-zero mesh size. This equation contains a parameter which may take large values. Some extensions to the two-dimensional Navier-Stokes equations are also presented

Finite element or Galerkin type semidiscrete schemes

A finite element of Galerkin type semidiscrete method is proposed for numerical solution of a linear hyperbolic partial differential equation. The question of stability is reduced to the stability of a system of ordinary differential equations for which Dahlquist theory applied. Results of separating the part of numerical solution which causes the spurious oscillation near shock-like response of semidiscrete scheme to a step function initial condition are presented. In general all methods produce such oscillatory overshoots on either side of shocks. This overshoot pathology, which displays a behavior similar to Gibb's phenomena of Fourier series, is explained on the basis of dispersion of separated Fourier components which relies on linearized theory to be satisfactory. Expository results represented

A New Numerical Approach for the Solutions of Partial Differential Equations in Three-Dimensional Space

This paper deals with the numerical computation of the solutions of nonlinear partial differential equations in threedimensional space subjected to boundary and initial conditions. Specifically, the modified cubic B-spline differential quadrature method is proposed where the cubic B-splines are employed as a set of basis functions in the differential quadrature method. The method transforms the three-dimensional nonlinear partial differential equation into a system of ordinary differential equations which is solved by considering an optimal five stage and fourth-order strong stability preserving Runge-Kutta scheme. The stability region of the numerical method is investigated and the accuracy and efficiency of the method are shown by means of three test problems: the threedimensional space telegraph equation, the Van der Pol nonlinear wave equation and the dissipative wave equation. The results show that the numerical solution is in good agreement with the exact solution. Finally the comparison with the numerical solution obtained with some numerical methods proposed in the pertinent literature is performed

Numerical methods for ordinary differential equations with applications to partial differential equations

This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.The thesis develops a number of algorithms for the numerical solution of ordinary differential equations with applications to partial differential equations. A general introduction is given; the existence of a unique solution for first order initial value problems and well known methods for analysing stability are described. A family of one-step methods is developed for first order ordinary differential equations. The methods are extrapolated and analysed for use in PECE mode and their theoretical properties, computer implementation and numerical behaviour, are discussed. Lo-stable methods are developed for second order parabolic partial differential equations 1n one space dimension; second and third order accuracy is achieved by a splitting technique in two space dimensions. A number of two-time level difference schemes are developed for first order hyperbolic partial differential equations and the schemes are analysed for Ao-stability and Lo-stability. The schemes are seen to have the advantage that the oscillations which are present with Crank-Nicolson type schemes, do not arise. A family of two-step methods 1S developed for second order periodic initial value problems. The methods are analysed, their error constants and periodicity intervals are calculated. A family of numerical methods is developed for the solution of fourth order parabolic partial differential equations with constant coefficients and variable coefficients and their stability analyses are discussed. The algorithms developed are tested on a variety of problems from the literature.British Governmen