Discontinuous Diffusion Coefficients Research Articles

Weak solutions to coupled quadratic forward backward stochastic differential equations and Sobolev solutions to their related partial differential equations

We establish existence and uniqueness of a weak (in law sense) solution to coupled forward–backward stochastic differential equations (FBSDEs), with possibly discontinuous diffusion coefficient. We assume that the coefficient of the backward component is of quadratic growth. We first prove the existence of a Sobolev solution for the related partial differential equation (PDE) in the Sobolev space , by using compactness arguments. Next, we use Itô–Krylov's formula to get the existence of weak solution to our considered FBSDE. For the uniqueness part, we first establish the weak uniqueness of the FBSDEs then deduce the uniqueness of its related PDE by using the Feynmann–Kac formula.

A source term method for Poisson problems with a discontinuous diffusion coefficient

A source term method for Poisson problems with a discontinuous diffusion coefficient

Stochastic differential equations with discontinuous diffusion coefficients

We study one-dimensional stochastic differential equations of the form d X t = σ ( X t ) d Y t dX_t = \sigma (X_t)dY_t , where Y Y is a suitable Hölder continuous driver such as the fractional Brownian motion B H B^H with H > 1 2 H>\frac 12 . The innovative aspect of the present paper lies in the assumptions on diffusion coefficients σ \sigma for which we assume very mild conditions. In particular, we allow σ \sigma to have discontinuities, and as such our results can be applied to study equations with discontinuous diffusions.

A weak Galerkin finite element method for 1D semiconductor device simulation models

In this paper, we study a weak Galerkin (WG) finite element method for semiconductor device simulations. We consider the one-dimensional drift–diffusion (DD) and high-field (HF) models, which involves not only first derivative convection terms but also second derivative diffusion terms, as well as a coupled Poisson potential equation. The main difficulties in the analysis include the treatment of the nonlinearity and coupling of the models. The weak Galerkin finite element method adopts piecewise polynomials of degree k for the approximations of electron concentration and electric potential in the interior of elements, and piecewise polynomials of degree k+1 for the discrete weak derivative space. The optimal order error estimates in a discrete H1 norm and the standard L2 norm are derived. Numerical experiments are presented to illustrate our theoretical analysis. Moreover, numerical schemes also work out for the discontinuous diffusion coefficient problems.

Analysis of mass controlled reaction–diffusion systems with nonlinearities having critical growth rates

We analyze semilinear reaction–diffusion systems that are mass controlled, and have nonlinearities that satisfy critical growth rates. The systems under consideration are only assumed to satisfy natural assumptions, namely the preservation of non-negativity and a control of the total mass. It is proved in dimension one that if nonlinearities have (slightly super-) cubic growth rates then the system has a unique global classical solutions. Moreover, in the case of mass dissipation, the solution is bounded uniformly in time in sup-norm. One key idea in the proof is the Hölder continuity of gradient of solutions to parabolic equation with possibly discontinuous diffusion coefficients and low regular forcing terms. When the system possesses additionally an entropy inequality, the global existence and boundedness of a unique classical solution is shown for nonlinearities satisfying a cubic intermediate sum condition, which is a significant generalization of cubic growth rates. The main idea in this case is to combine a modified Gagliardo-Nirenberg inequality and the newly developed L^p-energy method in Fitzgibbon et al. (SIAM J Math Anal 53(6):6771–6803, 2021) and Morgan and Tang (Commun Contemp Math, 2022). This idea also allows us to deal with the case of discontinuous diffusion coefficients in higher dimensions, which has only recently been touched in the context of mass controlled reaction–diffusion systems.

Mean-field stochastic differential equations with a discontinuous diffusion coefficient

Mean-field stochastic differential equations with a discontinuous diffusion coefficient

Traveling waves for generalized Fisher–Kolmogorov equation with discontinuous density dependent diffusion

We are concerned with the existence and qualitative properties of traveling wave solutions for a quasilinear reaction‐diffusion equation on the real line. We consider a non‐Lipschitz reaction term of Fisher–KPP type and a discontinuous diffusion coefficient that allows for degenerations and singularities at equilibrium points. We investigate the joint influence of the reaction and diffusion terms on the existence and nonexistence of traveling waves, and assuming these terms are of power‐type near equilibria, we provide classification of solutions based on their asymptotic properties. Our approach provides a broad theoretical background for the mathematical treatment of rather general models not only in population dynamics but also in other applied sciences and engineering.

A network element method for heterogeneous and anisotropic diffusion-reaction problems

The network element method (NEM), a variational numerical method where the usual mesh was replaced by a discretization network has been recently introduced for the basic Poisson problem. A coercive and stable numerical scheme was proposed, and a convergence theory leading to convergence for minimal regularity solutions was derived, along with error estimates. The aim of the present paper is to explain how the method can be extended to the more general case of heterogeneous and anisotropic diffusion-reaction problems, as well as providing updated error estimates. Numerical experiments illustrate the good behavior of the method even for low regularity solutions with discontinuous diffusion coefficients.

Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient

General elliptic equations with spatially discontinuous diffusion coefficients may be used as a simplified model for subsurface flow in heterogeneous or fractured porous media. In such a model, data sparsity and measurement errors are often taken into account by a randomization of the diffusion coefficient of the elliptic equation which reveals the necessity of the construction of flexible, spatially discontinuous random fields. Subordinated Gaussian random fields are random functions on higher dimensional parameter domains with discontinuous sample paths and great distributional flexibility. In the present work, we consider a random elliptic partial differential equation (PDE) where the discontinuous subordinated Gaussian random fields occur in the diffusion coefficient. Problem specific multilevel Monte Carlo (MLMC) Finite Element methods are constructed to approximate the mean of the solution to the random elliptic PDE. We prove a-priori convergence of a standard MLMC estimator and a modified MLMC—control variate estimator and validate our results in various numerical examples.

Immersed finite element approximation for semi-linear parabolic interface problems combining with two-grid methods

In this paper, we propose and analyze the two-grid immersed finite element methods for semi-linear parabolic interface problems with discontinuous diffusion coefficients. The immersed finite element methods are used for spatial discretization where the meshes are not aligned with the interface. Optimal error estimates have been derived for both spatially semi-discrete schemes and fully discrete schemes. The two-grid algorithms based on the Newton methods are adopted to treat the nonlinear term. It is theoretically and numerically illustrated that the two-grid immersed finite element methods can achieve optimal convergence order when the coarse mesh satisfies H=O(h1/2) (or H=O(h1/4)).

An ADMM-Newton-CNN numerical approach to a TV model for identifying discontinuous diffusion coefficients in elliptic equations: convex case with gradient observations

Identifying the discontinuous diffusion coefficient in an elliptic equation with observation data of the gradient of the solution is an important nonlinear and ill-posed inverse problem. Models with total variational (TV) regularization have been widely studied for this problem, while the theoretically required nonsmoothness property of the TV regularization and the hidden convexity of the models are usually sacrificed when numerical schemes are considered in the literature. In this paper, we show that the favorable nonsmoothness and convexity properties can be entirely kept if the well-known alternating direction method of multipliers (ADMM) is applied to the TV-regularized models, hence it is meaningful to consider designing numerical schemes based on the ADMM. Moreover, we show that one of the ADMM subproblems can be well solved by the active-set Newton method along with the Schur complement reduction method, and the other one can be efficiently solved by the deep convolutional neural network (CNN). The resulting ADMM-Newton-CNN approach is demonstrated to be easily implementable and very efficient even for higher-dimensional spaces with fine mesh discretization.

Adaptive step size numerical integration for stochastic differential equations with discontinuous drift and diffusion

Stochastic hybrid systems (SHSs) are a modelling framework for a cyber-physical system (CPS), used to simulate, validate, and verify safety critical controllers under uncertainty. Popular simulation tools can miss detecting discontinuities when simulating SHS, thereby producing incorrect outputs during simulation. We propose a novel adaptive step size simulation/integration technique for a subset of SHS—stochastic differential equations (SDEs) with discontinuous drift and diffusion coefficients. Each integration step, of the Euler-Maruyama numerical solution of the SDEs, is made dependent upon the values of the continuous variables inducing the discontinuity. This in turn guarantees convergence of the system trajectory towards the discontinuity without missing it. A thorough analysis and extensive benchmarking of the proposed integration technique shows the efficacy of the approach when simulating complex SHSs.

Degenerate nonlinear parabolic equations with discontinuous diffusion coefficients

This paper is devoted to the study of some nonlinear parabolic equations with discontinuous diffusion intensities. Such problems appear naturally in physical and biological models. Our analysis is based on variational techniques and in particular on gradient flows in the space of probability measures equipped with the distance arising in the Monge–Kantorovich optimal transport problem. The associated internal energy functionals in general fail to be differentiable, therefore classical results do not apply directly in our setting. We study the combination of both linear and porous medium type diffusions and we show the existence and uniqueness of the solutions in the sense of distributions in suitable Sobolev spaces. Our notion of solution allows us to give a fine characterization of the emerging critical regions, observed previously in numerical experiments. A link to a three phase free boundary problem is also pointed out.

Uniform null controllability for parabolic equations with discontinuous diffusion coefficients

In this article, we study the null-controllability of a heat equation in a domain composed of two media of different constant conductivities. In particular, we are interested in the behavior of the system when the conductivity of the medium on which the control does not act goes to infinity, corresponding at the limit to a perfectly conductive medium. In that case, and under suitable geometric conditions, we obtain a uniform null-controllability result. Our strategy is based on the analysis of the controllability of the corresponding wave operators and the transmutation technique, which explains the geometric conditions.

A simple and high accurate finite volume scheme for diffusion equations

Most of numerical methods for diffusion equations, refer to vertex unknowns directly or indirectly, and their accuracy is ultimately determined by the approximation to vertex unknowns. Based on the “twin-fitting” method, a simple and high accurate treatment for the vertex unknowns is developed and is applied to the nine-point scheme for diffusion problem. Numerical experiments show that the resulting nine-point scheme is high accurate for diffusion problems with discontinuous diffusion coefficients on distorted meshes.

Flux balanced approximation with least-squares gradient for diffusion equation on polyhedral mesh

<p style='text-indent:20px;'>A numerical method for solving diffusion problems on polyhedral meshes is presented. It is based on a finite volume approximation with the degrees of freedom located in the centers of computational cells. A numerical gradient is defined by a least-squares minimization for each cell, where we suggest a restricted form in the case of discontinuous diffusion coefficient. The flux balanced approximation is proposed without numerically computing the gradient itself at the faces of computational cells in order to find a normal diffusive flux. To apply the method for parallel computations with a 1-ring neighborhood, we use an iterative method to solve the obtained system of algebraic equations. Several numerical examples illustrate some advantages of the proposed method.

New immersed finite volume element method for elliptic interface problems with non-homogeneous jump conditions

In this paper, we propose a new immersed finite volume element method to solve elliptic problems with discontinuous diffusion coefficient and sharp-edged interfaces on Cartesian mesh. The method uses the non-traditional immersed finite volume element method together with additional immersed finite element function on interface element. It can deal with the case when the solution or its normal derivative is discontinuous. Extensive numerical experiments for various problems show that the new method is approximate second-order convergence in the L∞ norm for piecewise smooth solutions, and more than 1.65th order accuracy is observed for solution with singularity.

A modified immersed finite volume element method for elliptic interface problems

This paper presents a new immersed finite volume element method for solving second-order elliptic problems with discontinuous diffusion coefficient on a Cartesian mesh. The new method possesses the local conservation property of classic finite volume element method, and it can overcome the oscillating behaviour of the classic immersed finite volume element method. The idea of this method is to reconstruct the control volume according to the interface, which makes it easy to implement. Optimal error estimates can be derived with respect to an energy norm under piecewise \(H^{2}\) regularity. Numerical results show that the new method significantly outperforms the classic immersed finite volume element method, and has second-order convergence in \(L^{\infty}\) norm. doi: 10.1017/S1446181120000073

A mass-transfer particle-tracking method for simulating transport with discontinuous diffusion coefficients

The problem of a spatially discontinuous diffusion coefficient (D(x)) is one that may be encountered in hydrogeologic systems due to natural geological features or as a consequence of numerical discretization of flow properties. To date, mass-transfer particle-tracking (MTPT) methods, a family of Lagrangian methods in which diffusion is jointly simulated by random walk and diffusive mass transfers, have been unable to solve this problem. This manuscript presents a new mass-transfer (MT) algorithm that enables MTPT methods to accurately solve the problem of discontinuous D(x). To achieve this, we derive a semi-analytical solution to the discontinuous D(x) problem by employing a predictor-corrector approach, and we use this semi-analytical solution as the weighting function in a reformulated MT algorithm. This semi-analytical solution is generalized for cases with multiple 1D interfaces as well as for 2D cases, including a 2 × 2 tiling of 4 subdomains that corresponds to a numerically-generated diffusion field. The solutions generated by this new mass-transfer algorithm closely agree with an analytical 1D solution or, in more complicated cases, trusted numerical results, demonstrating the success of our proposed approach.

Discontinuous Galerkin isogeometric analysis for elliptic problems with discontinuous diffusion coefficients on surfaces

This paper is concerned with using discontinuous Galerkin isogeometric analysis (dG-IGA) as a numerical treatment of diffusion problems on orientable surfaces ${\Omega } \subset \mathbb {R}^{3}$ . The computational domain or surface considered consists of several non-overlapping subdomains or patches which are coupled via an interior penalty scheme. In Langer and Moore [13], we presented a priori error estimate for conforming computational domains with matching meshes across patch interface and a constant diffusion coefficient. However, in this article, we generalize the a priori error estimate to non-matching meshes and discontinuous diffusion coefficients across patch interfaces commonly occurring in industry. We construct B-spline or NURBS approximation spaces which are discontinuous across patch interfaces. We present a priori error estimate for the symmetric discontinuous Galerkin scheme and numerical experiments to confirm the theory.