Explicit Euler Scheme Research Articles

On spurious asymptotic numerical solutions of explicit Runge-Kutta methods

The bifurcation diagram associated with the logistic equation υn+1 = aυn(1 − υn) is by now well known, as is its equivalence to solving the ordinary differential equation (ODE) u′ = αu(1 − u) by the explicit Euler difference scheme. It has also been noted by Iserles that other popular difference schemes may not only exhibit period doubling and chaotic phenomena but also possess spurious fixed points. We investigate, both analytically and computationally, Runge-Kutta schemes applied to the equation u′=f(u), for f(u) = αu{1 − u) and f(u) = au(1 − u)(b − u), contrasting their behaviour with the explicit Euler scheme. We determine and provide a local analysis of bifurcations to spurious fixed points and periodic orbits. In particular we show that these may appear below the linearised stability limit of the scheme, and may consequently lead to erroneous computational results.

Computation of shock wave diffraction at a ninety degrees convex edge

This paper presents a numerical study of shock wave diffraction at a sharp ninety degrees edge, using an explicit second-order Godunov-type Euler scheme based upon the solution of a generalized Riemann problem (GRP). The Euler computations produce flow separation very close to the diffraction edge, leading to a realistic development of the separated shear layer and subsequent vortex roll-up. The diffracted shock wave, and the secondary shock wave, are both reproduced well. In addition a pair of vortex shocks are shown to form, extending well into the vortex core.

A Simple Proof of the Existence of a Solution of Itô’s Equation with Monotone Coefficients

Previous article Next article A Simple Proof of the Existence of a Solution of Itô’s Equation with Monotone CoefficientsN. V. KrylovN. V. Krylovhttps://doi.org/10.1137/1135082PDFBibTexSections ToolsAdd to favoritesExport CitationTrack CitationsEmail SectionsAbout[1] N. V. Krylov and , B. L. Rozovskii, Stochastic evolution equationsCurrent problems in mathematics, Vol. 14 (Russian), Akad. Nauk SSSR, Vsesoyuz. Inst. Nauchn. i Tekhn. Informatsii, Moscow, 1979, 71–147, 256 81m:60116 Google Scholar[2] I. Gyongy and , N. V. Krylov, On stochastic equations with respect to semimartingales. I, Stochastics, 4 (1980/81), 1–21 82j:60104 CrossrefGoogle Scholar[3] N. V. Krylov, Extremal properties of solutions of stochastic equations, Theory Probab. Appl., 29 (1984), 205–217 10.1137/1129033 0557.60042 LinkGoogle Scholar[4] L. A. Alyushina, Euler polygonal lines for Itô equations with monotone coefficients, Theory Probab. Appl., 32 (1987), 340–346 10.1137/1132046 0663.60049 LinkGoogle Scholar[5] Gisirō Maruyama, Continuous Markov processes and stochastic equations, Rend. Circ. Mat. Palermo (2), 4 (1955), 48–90 17,166f 0053.40901 CrossrefGoogle Scholar Previous article Next article FiguresRelatedReferencesCited ByDetails A splitting method for SDEs with locally Lipschitz drift: Illustration on the FitzHugh-Nagumo modelApplied Numerical Mathematics | 1 Apr 2022 Cross Ref Approximation of BSDEs with super-linearly growing generators by Euler’s polygonal line method: A simple proof of the existenceSystems & Control Letters, Vol. 153 | 1 Jul 2021 Cross Ref Fractional Stochastic Active Scalar Equations Generalizing the Multi-Dimensional Quasi-Geostrophic & 2D-Navier–Stokes Equations: The General CaseJournal of Mathematical Fluid Mechanics, Vol. 22, No. 4 | 4 September 2020 Cross Ref A note on strong convergence of implicit scheme for SDEs under local one-sided Lipschitz conditionsInternational Journal of Computer Mathematics, Vol. 5 | 9 March 2020 Cross Ref Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility ModelsAndrei Cozma and Christoph ReisingerSIAM Journal on Numerical Analysis, Vol. 56, No. 6 | 11 December 2018AbstractPDF (1095 KB)Well-Posedness of the Multidimensional Fractional Stochastic Navier–Stokes Equations on the Torus and on Bounded DomainsJournal of Mathematical Fluid Mechanics, Vol. 18, No. 1 | 22 October 2015 Cross Ref An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz CoefficientsJean-François Chassagneux, Antoine Jacquier, and Ivo MihaylovSIAM Journal on Financial Mathematics, Vol. 7, No. 1 | 14 December 2016AbstractPDF (602 KB)A New Type of Stability Theorem for Stochastic Systems With Application to Stochastic StabilizationIEEE Transactions on Automatic Control, Vol. 61, No. 1 | 1 Jan 2016 Cross Ref Loss of regularity for Kolmogorov equationsThe Annals of Probability, Vol. 43, No. 2 | 1 Mar 2015 Cross Ref Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay Under Local Lipschitz ConditionStochastic Analysis and Applications, Vol. 32, No. 2 | 28 February 2014 Cross Ref A Note on Euler Approximations for Stochastic Differential Equations with DelayApplied Mathematics & Optimization, Vol. 68, No. 3 | 24 August 2013 Cross Ref Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equationsThe Annals of Applied Probability, Vol. 23, No. 5 | 1 Oct 2013 Cross Ref Rate of convergence of Euler’s approximations for SDEs with non-Lipschitz coefficientsActa Mathematica Sinica, English Series, Vol. 29, No. 8 | 15 July 2013 Cross Ref Stochastic Itô inclusion with upper separated multifunctionsJournal of Mathematical Analysis and Applications, Vol. 400, No. 2 | 1 Apr 2013 Cross Ref Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficientsThe Annals of Applied Probability, Vol. 22, No. 4 | 1 Aug 2012 Cross Ref Stochastic 3D tamed Navier–Stokes equations: Existence, uniqueness and small time large deviation principlesJournal of Differential Equations, Vol. 252, No. 1 | 1 Jan 2012 Cross Ref On the Strong Solution for the 3D Stochastic Leray-Alpha ModelBoundary Value Problems, Vol. 2010, No. 1 | 1 Jan 2010 Cross Ref ON STOCHASTIC EVOLUTION EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTSStochastics and Dynamics, Vol. 09, No. 04 | 21 November 2011 Cross Ref Stochastic tamed 3D Navier–Stokes equations: existence, uniqueness and ergodicityProbability Theory and Related Fields, Vol. 145, No. 1-2 | 19 July 2008 Cross Ref Large deviations in the Langevin dynamics of a random field Ising modelStochastic Processes and their Applications, Vol. 105, No. 2 | 1 Jun 2003 Cross Ref Viable solutions of set-valued stochastic equationOptimization, Vol. 48, No. 2 | 1 Jan 2000 Cross Ref Volume 35, Issue 3| 1991Theory of Probability & Its Applications411-623 History Submitted:05 September 1988Published online:17 July 2006 InformationCopyright © Society for Industrial and Applied MathematicsPDF Download Article & Publication DataArticle DOI:10.1137/1135082Article page range:pp. 583-587ISSN (print):0040-585XISSN (online):1095-7219Publisher:Society for Industrial and Applied Mathematics

A modified finite element model for mesoscale flows over complex terrain

A three-dimensional non-hydrostatic planetary boundary-layer model for simulating flows over complex terrain has been developed. The spatial discretization is based on cost-effective modifications to the standard finite element technique. Two time integration procedures are considered, a modified explicit Euler scheme and a semi-implicit scheme. Several numerical simulations based on flow over both idealized and real terrain are presented.

Finite element calculation of three‐dimensional hot forging

AbstractA three‐dimensional finite, element model for the simulation of isothermal hot forging is presented.The material behaviour is assumed to be incompressible visco‐plastic (Norton–Hoff law), with the associated friction law. The velocity field is calculated with a finite element approximation using eight node hexahedral or six node prismatic elements. An explicit Euler scheme is used for time integration. Simulations of compression of a cubic block and horizontal cylinder are performed. The computed results are compared with experimental measurements made on special Plasticine.

The weak nonlinear instability of euler explicit scheme for the convective equation

The weak nonlinear instability of the Euler explicit scheme for the convective equation u, + uu x = v xx is studied analytically using perturbation expansion and discrete Fourier transform techniques. Short time weak nonlinear growth of the Fourier modes for the noise is found, provided that the linear stability conditions are satisfied. As long as the perturbation expansion is valid, the maximum growth is approximately proportional to the inverse of the grid spacing.

Approximation dans un Problème de Viscoélasticité Périodique

AbstractWe are concerned with equations which derive from a quasistatic periodic problem of viscoelasticity. We give a condition which yields to existence and uniqueness of a periodic solution. Then we prove a finite element method based on equilibrium elements for the space approximation and on the explicit Euler scheme for the time approximation.

Difference methods for parabolic history value problems

This paper is concerned with one–step difference methods for parabolic history value problems in one space variable. These problems, which have the feature that the evolution of the solution is influenced by ‘all its past’ occur in the theory of viscoelastic liquids (materials with ‘memory’). The history dependence is represented by a Volterra-integral in the equation of motion. Using recently obtained existence results (see Renardy [9]) and smoothness assumptions on the solution we derive a local stability and convergence result for a Crank-Nicolson-type difference scheme by interpreting the linearized scheme as perturbation of a strictly parabolic scheme without memory term. Second order convergence is shown on sufficiently small time intervals. The presented approach carries over to other one-step difference methods like implicit and explicit Euler schemes.