Nonlinear Parabolic Differential Equations Research Articles

Haar wavelet collocation technique for numerical solution of porous media equations

This paper focuses on using efficient Haar wavelet collocation method to nonlinear parabolic differential equations in order to solve steady state pore-scale creeping fluid flow in porous medium, substituting finite Haar series for space derivatives, incontrast forward difference approach is used to estimate the time derivative for porous media equation. These equations has vast number of application in engineering and various other fields such as, in petroleum engineering, there are often situations where fluids are near critical conditions. As oil pressure reduces below the bubble point when gas forms liquid condensations, or when the surface tension become very low i.e, transition from miscibility to immiscibility. To model gas production by pressure decline requires an accurate description of physical mechanism involved in the appearance of the gas bubbles. The observed stability with theoretical convergence assertion, the conservation law of mass and energy are stated. This supports the convergence of the preferred paradigm. A convergent approximation to the porous media equation is obtained by suggested approach. By calculating the maximum error norm and the experimental rate of convergence for various problems, the method efficiency and dependability are demonstrated. The method is accurate, easily applicable, and efficient.

On the existence of time-periodic solutions of nonlinear parabolic differential equations with nonlocal boundary conditions of the Bitsadze-Samarskii type

We study a nonlinear parabolic differential equation in a bounded multidimensional domain with nonlocal boundary conditions of the Bitsadze-Samarskii type. We prove existence theorems for a periodic in time generalized solution. Su cient conditions for the existence of generalized solutions contain either an algebraic ellipticity condition or an algebraic strong ellipticity condition for the auxiliary differential-difference operator.

Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems

We prove the local well-posedness results, i.e. existence, uniqueness, and stability, of the solutions to a class of nonlocal fully nonlinear parabolic partial differential equations (PDEs), where there is an external time parameter t on top of the temporal and spatial variables (s,y) and thus the problem could be considered as a flow of equations. The nonlocality comes from the dependence on the unknown function and its first- and second-order derivatives evaluated at not only the local point (t,s,y) but also at the diagonal line of the time domain (s,s,y). Such equations arise from time-inconsistent problems in game theory or behavioral economics, where the observations and preferences are (reference-)time-dependent. We first study the linearized version of the nonlocal PDEs with an innovative construction of appropriate norms and Banach spaces and contraction mappings over which. With fixed-point arguments, we obtain the solvability of nonlocal linear PDEs and establish a Schauder-type prior estimate for the solutions. Then, by the linearization method, we establish the well-posedness under the fully nonlinear case. Moreover, we reveal that the solution of a nonlocal fully nonlinear parabolic PDE is an adapted solution to a flow of second-order forward-backward stochastic differential equations.

Neural Network for Solving Nonlinear Parabolic Differential Equations

We develop a cell-average-based neural network (CANN) method to compute nonlinear differential equations. Using feedforward networks, we can train average solutions from t0 + Δt with initial values. In order to find the optimal parameters for the network, in combination with supervised training, we use a BP algorithm. By the trained network, we may compute the approximate solutions at the time t n+1 with the ones at time tn . Numerical results show CANN method permits a very large time step size for solution evolution.

Well-Posedness for Nonlinear Parabolic Stochastic Differential Equations with Nonlinear Robin Conditions

In this paper, we present the existence and uniqueness of strong probabilistic solutions for nonlinear parabolic Stochastic Partial Differential Equations (SPDEs) with nonlinear Robin boundary conditions in a domain with holes. On the boundary of the holes, a nonlinear Robin condition is imposed, while a homogeneous Dirichlet condition is prescribed on the exterior boundary. The coefficient matrix is assumed to be symmetric, while the nonlinear random forces are assumed to satisfy some types of regularities. We use Galerkin’s approximation method, probabilistic compactness results and some results from stochastic calculus.

Distributed model of space exploration by two types of interacting robots and its exact solutions

A system of nonlinear parabolic differential equations is being studied, considered as a distributed mathematical model of the process of examining three-dimensional space by interacting robots of two types. Parametric families of exact solutions have been built that can be used to form the control of the survey process by creating the necessary densities at the border of the area that is the base for robots.

Nonlocal Fully Nonlinear Parabolic Differential Equations Arising in Time-Inconsistent Problems

We prove the well-posedness results, i.e. existence, uniqueness, and stability, of the solutions to a class of nonlocal fully nonlinear parabolic partial differential equations (PDEs), where there is an external time parameter $t$ on top of the temporal and spatial variables $(s,y)$ and thus the problem could be considered as a flow of equations. The nonlocality comes from the dependence on the unknown function and its first- and second-order derivatives evaluated at not only the local point $(t,s,y)$ but also at the diagonal line of the time domain $(s,s,y)$. Such equations arise from time-inconsistent problems in game theory or behavioural economics, where the observations and preferences are (reference-)time-dependent. To address the open problem of the well-posedness of the corresponding nonlocal PDEs (or the time-inconsistent problems), we first study the linearized version of the nonlocal PDEs with an innovative construction of appropriate norms and Banach spaces and contraction mappings over which. With fixed-point arguments, we obtain the well-posedness of nonlocal linear PDEs and establish a Schauder-type prior estimate for the solutions. Then, by the linearization method, we analogously establish the well-posedness under the fully nonlinear case. Moreover, we reveal that the solution of a nonlocal fully nonlinear parabolic PDE is an adapted solution to a flow of second-order forward-backward stochastic differential equations.

On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential Equations

Parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) are key ingredients in a number of models in physics and financial engineering. In particular, parabolic PDEs and BSDEs are fundamental tools in the state-of-the-art pricing and hedging of financial derivatives. The PDEs and BSDEs appearing in such applications are often high-dimensional and nonlinear. Since explicit solutions of such PDEs and BSDEs are typically not available, it is a very active topic of research to solve such PDEs and BSDEs approximately. In the recent article [E, W., Hutzenthaler, M., Jentzen, A., and Kruse, T. Linear scaling algorithms for solving high-dimensional nonlinear parabolic differential equations. arXiv:1607.03295 (2017)] we proposed a family of approximation methods based on Picard approximations and multilevel Monte Carlo methods and showed under suitable regularity assumptions on the exact solution for semilinear heat equations that the computational complexity is bounded by $O( d \, \epsilon^{-(4+\delta)})$ for any $\delta\in(0,\infty)$, where $d$ is the dimensionality of the problem and $\epsilon\in(0,\infty)$ is the prescribed accuracy. In this paper, we test the applicability of this algorithm on a variety of $100$-dimensional nonlinear PDEs that arise in physics and finance by means of numerical simulations presenting approximation accuracy against runtime. The simulation results for these 100-dimensional example PDEs are very satisfactory in terms of accuracy and speed. In addition, we also provide a review of other approximation methods for nonlinear PDEs and BSDEs from the literature.

Option Pricing in Illiquid Markets with Jumps

ABSTRACTThe classical linear Black–Scholes model for pricing derivative securities is a popular model in the financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the assumption on the underlying asset price dynamics following a geometric Brownian motion. The main purpose of this paper is to generalize the classical Black–Scholes model for pricing derivative securities by taking into account feedback effects due to an influence of a large trader on the underlying asset price dynamics exhibiting random jumps. The assumption that an investor can trade large amounts of assets without affecting the underlying asset price itself is usually not satisfied, especially in illiquid markets. We generalize the Frey–Stremme nonlinear option pricing model for the case the underlying asset follows a Lévy stochastic process with jumps. We derive and analyze a fully nonlinear parabolic partial-integro differential equation for the price of the option contract. We propose a semi-implicit numerical discretization scheme and perform various numerical experiments showing the influence of a large trader and intensity of jumps on the option price.

Optimal boundary control of a nonstandard viscous Cahn–Hilliard system with dynamic boundary condition

In this paper, we study an optimal boundary control problem for a model for phase separation that was introduced by Podio-Guidugli (2006). The model consists of a strongly coupled system of nonlinear parabolic differential equations, in which products between the unknown functions and their time derivatives occur that are difficult to handle analytically. In contrast to the existing control literature about this PDE system, we consider here a dynamic boundary condition involving the Laplace–Beltrami operator for the order parameter of the system, which models an additional nonconserving phase transition occurring on the surface of the domain. We show the Fréchet differentiability of the associated control-to-state operator in appropriate Banach spaces and derive results on the existence of optimal controls and on first-order necessary optimality conditions in terms of a variational inequality and the adjoint state system.

Existence and stability for fractional parabolic integro-partial differential equations with fractional Brownian motion and nonlocal condition

In this paper, a nonlinear fractional parabolic stochastic integro-partial differential equations with nonlocal effects driven by a fractional Brownian motion is considered. In particular, first we...

Numerical approximation of nonlinear fractional parabolic differential equations with Caputo–Fabrizio derivative in Riemann–Liouville sense

This paper considers the Caputo–Fabrizio derivative in Riemann–Liouville sense for the spatial discretization fractional derivative. We formulate two notable exponential time differencing schemes based on the Adams–Bashforth and the Runge–Kutta methods to advance the fractional derivatives in time. Our approach is tested on a number of fractional parabolic differential equations that are of current and recurring interest, and which cover pitfalls and address points and queries that may naturally arise. The effectiveness and suitability of the proposed techniques are justified via numerical experiments in one and higher dimensions.

On the viscosity solutions to a class of nonlinear degenerate parabolic differential equations

In this work, we show existence and uniqueness of positive solutions of \(H(Du, D^2u)+\chi (t)|Du|^\Gamma -f(u)u_t=0\) in \(\Omega \times (0, T)\) and \(u=h\) on its parabolic boundary. The operator H satisfies certain homogeneity conditions, \(\Gamma >0\) and depends on the degree of homogeneity of \(H, f>0\), increasing and meets a concavity condition. We also consider the case \(f\equiv 1\) and prove existence of solutions without sign restrictions.

Global Existence for a Nonstandard Viscous Cahn--Hilliard System with Dynamic Boundary Condition

In this paper, we study a model for phase segregation taking place in a spatial domain that was introduced by Podio-Guidugli [Ric. Mat., 55 (2006), pp. 105--118]. The model consists of a strongly coupled system of nonlinear parabolic differential equations, in which products between the unknown functions and their time derivatives occur, that are difficult to handle analytically. In contrast to the existing literature about this PDE system, we consider here a dynamic boundary condition involving the Laplace--Beltrami operator for the order parameter. This boundary condition models an additional nonconserving phase transition occurring on the surface of the domain. Different well-posedness results are shown, depending on the smoothness properties of the involved bulk and surface free energies.

A-posteriori error analysis for lithium-ion concentrations in batteries utilizing the reduced-basis method

ABSTRACTIn this paper, the authors consider a parametrized non-linear parabolic differential equation, which is motivated by lithium-ion battery models. A standard finite volume discretization leads to a high-dimensional discrete non-linear problem so that simulation of the parametrized problem for various different parameters is very costly. Therefore, the reduced-basis method is applied, so that the number of degrees of freedom is reduced significantly and a fast numerical simulation of the model is possible. To control the error, an a-posteriori error estimator is derived. Numerical experiments show the efficiency of the approach.

Unconditionally Explicit Stable Difference Schemes for Solving Some Linear and Non-Linear Parabolic Differential Equation

We present the numerical method for solution of some linear and non-linear parabolic equation. Using idea [1], we will present the explicit unconditional stable scheme which has no restriction on the step size ratio k/h2 where k and h are step sizes for space and time respectively. We will also present numerical results to justify the present scheme.

Difference problems generated by infinite systems of nonlinear parabolic functional differential equations with the Robin conditions

We consider the classical solutions of mixed problems for infinite, countable systems of parabolic functional dierential equations. Dierence methods of two types are constructed and convergence theorems are proved. In the first type, we approximate the exact solutions by solutions of infinite dierence systems. Methods of second type are truncation of the infinite dierence system, so that the resulting dierence problem is finite and practically solvable. The proof of stability is based on a comparison technique with nonlinear estimates of the Perron type for the given functions. The comparison system is infinite. Parabolic problems with deviated variables and integro-dierenti al problems can be obtained from the general model by specifying the given operators.

Homogenization of Richardsʼ equation of van Genuchten–Mualem model

This paper is devoted to the homogenization of Richardsʼ equation of van Genuchten–Mualem model, which is a nonlinear degenerate parabolic differential equation. It is usually used to model the motion of saturated–unsaturated water flow in porous media. We firstly apply the Kirchhoff transformation to the equation and obtain a simpler equivalent equation with a linear oscillated diffusion term. Then under the real assumption for van Genuchten–Mualem model, we obtain the homogenized equation based on the two-scale convergence theory. Some results on the first order corrector are also presented.

Backward stochastic differential equations associated to jump Markov processes and applications

In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure associated to a given pure jump Markov process X on a general state space K. We apply these results to prove well-posedness of a class of nonlinear parabolic differential equations on K, that generalize the Kolmogorov equation of X. Finally we formulate and solve optimal control problems for Markov jump processes, relating the value function and the optimal control law to an appropriate BSDE that also allows to construct probabilistically the unique solution to the Hamilton–Jacobi–Bellman equation and to identify it with the value function.

The oscillations of solutions of initial value problems for parabolic equations by HPM

In this paper, we have used the homotopy perturbation method in order to find the analytical solutions of some linear and nonlinear parabolic differential equations. The method does not need linearization or weak nonlinearity assumptions. In this scheme, solution is calculated in the form of a convergent power series with easily computable components. Mathematics Subject Classification: 47J30, 35G25, 35Q53