In this paper, we consider a class of discontinuous Galerkin (DG) methods for one-dimensional nonlocal diffusion (ND) problems. The nonlocal models are integral equations that are widely used in describing many physical phenomena with long-range interactions. The ND problem is the nonlocal analog of the classic diffusion problem, and the nonlocality disappears as the interaction radius (horizon) vanishes, then the ND problem recovers the classic diffusion problem. Under certain conditions, the exact solution to the ND problem may contain discontinuities, and this is one of the properties of the ND problem that sets it apart from the classic diffusion problem. It is natural to adopt the DG method to compute the ND problems since the DG method shows its great advantages in resolving problems with discontinuities in the computational fluid dynamics in the past several decades. Based on \cite{DuCAMC2020}, we construct the DG methods with different penalty terms, and the proposed DG methods have their local counterparts as the horizon vanishes. This indicates the proposed methods will converge to the existing DG schemes as the horizon vanishes, which is crucial to obtain the {\it asymptotic compatibility}. Rigorous proofs are provided to demonstrate the stability, error estimates, and asymptotic compatibility of the proposed DG schemes. To see the nonlocal diffusion effect, we also consider the time-dependent convection-diffusion problems with nonlocal diffusion. We conduct several numerical experiments, including accuracy tests and Burgers' equation with nonlocal diffusion, and various horizons are taken to show the good performance of the proposed algorithm and validate the theoretical findings.
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