Search

This paper provides a probabilistic proof of the comparison result for viscosity solutions of path-dependent semilinear PDEs. We consider the notion of viscosity solutions introduced in [I. Ekren, et al., Ann. Probab., 42 (2014), pp. 204-236], which considers as test functions all those smooth processes which are tangent in mean. When restricted to the Markovian case, this definition induces a larger set of test functions and reduces to the notion of stochastic viscosity solutions analyzed in [E. Bayraktar and M. Sirbu, Proc. Amer. Math. Soc., 140 (2012), pp. 3645-3654; SIAM J. Control Optim., 51 (2013), pp. 4274-4294]. Our main result takes advantage of this enlargement of the test functions and provides an easier proof of comparison. This is most remarkable in the context of the linear path-dependent heat equation. As a key ingredient for our methodology, we introduce a notion of punctual differentiation, similar to the corresponding concept in the standard viscosity solutions [L. A. Caffarelli and X. Cabre, Amer. Math. Soc. Colloq. Publ., 43, AMS, Providence, RI, 1995], and we prove that semimartingales are almost everywhere punctually differentiable. This smoothness result can be viewed as the counterpart of the Aleksandroff smoothness result for convex functions. A similar comparison result was established earlier in [I. Ekren et al., Ann. Probab., 42 (2014), pp. 204-236]. The result of this paper is more general and, more importantly, the arguments that we develop do not rely on any representation of the solution. [ABSTRACT FROM AUTHOR]

We consider a linear kinetic transport equation under a diffusive scaling that converges to a diffusion equation as the Knudsen number ε → 0. In [S. Boscarino, L. Pareschi, and G. Russo, SIAM J. Sci. Comput., 35 (2013), pp. A22--A51; Z. Peng et al., J. Comput. Phys., 415 (2020), 109485], to achieve the asymptotic preserving (AP) property and unconditional stability in the diffusive regime with ε ≪ 1, numerical schemes are developed based on an additional reformulation of the even-odd or micro-macro decomposed version of the equation. The key of the reformulation is to add a weighted diffusive term on both sides of one equation in the decomposed system. The choice of the weight function, however, is problem-dependent and ad-hoc, and it can affect the performance of numerical simulations. To avoid issues related to the choice of the weight function and still obtain the AP property and unconditional stability in the diffusive regime, we propose in this paper a new family of AP schemes, termed as IMEX-DG-S schemes, directly solving the micro-macro decomposed system without any further reformulation. The main ingredients of the IMEX-DG-S schemes include globally stiffly accurate implicit-explicit (IMEX) Runge--Kutta temporal discretizations with a new IMEX strategy, discontinuous Galerkin spatial discretizations, discrete ordinate methods for the velocity space, and the application of the Schur complement to the algebraic form of the schemes to control the overall computational cost. The AP property of the schemes is shown formally. With an energy type stability analysis applied to the first order scheme, and Fourier type stability analysis applied to the first to third order schemes, we confirm the uniform stability of the methods with respect to\varepsilon and the unconditional stability in the diffusive regime. A series of numerical examples are presented to demonstrate the performance of the new schemes. [ABSTRACT FROM AUTHOR]

In this paper, we present a fast (3 - α)-order numerical method for the Caputo fractional derivative based on the L2 scheme and the sum-of-exponentials (SOE) approximation to the convolution kernel involved in the fractional derivative. This work can be regarded as a continuation of previous works reported by one of the authors in [C.W. Lv and C.J. Xu, SIAM J. Sci. Comput., 38 (2016), pp. A2699-A2724], which constructed and analyzed a (3 - α)-order L2 time stepping scheme for the time-fractional diffusion equation. It is now extended to take into account the fast SOE evaluation method, which allows us to reduce the storage and overall computational cost from O(NT) and O(NT²) for the L2 scheme to O(Nε) and O(NTNε), respectively, with NT being the number of time steps and Nε being the number of fast evaluation terms. The proposed method is then used for the time-fractional diffusion equation in bounded domains. The stability as well as the accuracy of the resulting scheme are rigorously analyzed. Several numerical examples are provided to validate the theoretical results and to demonstrate the efficiency of the proposed method. Finally, we extend the discussion to a graded mesh to make the scheme more suitable for problems having weakly singular solutions at the initial time. [ABSTRACT FROM AUTHOR]

We develop a unified and easy to use framework to study robust fully discrete numerical methods for nonlinear degenerate diffusion equations ∂tu-Lσ,μ[φ(u)] = f in RN×(0,T), where Lσ,μ is a general symmetric diffusion operator of Lévy type and φ is merely continuous and non-decreasing. We then use this theory to prove convergence for many different numerical schemes. In the nonlocal case most of the results are completely new. Our theory covers strongly degenerate Stefan problems, the full range of porous medium equations, and for the first time for nonlocal problems, also fast diffusion equations. Examples of diffusion operators Lσ,μ are the (fractional) Laplacians Δ and -(-Δ)α/2 for α ∈ (0,2), discrete operators, and combinations. The observation that monotone finite difference operators are nonlocal Lévy operators, allows us to give a unified and compact nonlocal theory for both local and nonlocal, linear and nonlinear diffusion equations. The theory includes stability, compactness, and convergence of the methods under minimal assumptions, including assumptions that lead to very irregular solutions. As a byproduct, we prove the new and general existence result announced in [F. del Teso, J. Endal, and E. R. Jakobsen, C. R. Math. Acad. Sci. Paris, 355 (2017), pp. 1154--1160]. We also present some numerical tests, but extensive testing is deferred to the companion paper [F. del Teso, J. Endal, and E. R. Jakobsen, SIAM J. Numer. Anal., 56 (2018), pp. 3611-3647] along with a more detailed discussion of the numerical methods included in our theory. [ABSTRACT FROM AUTHOR]