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Richardson extrapolation method for solving the Riesz space fractional diffusion problem 求解Riesz空间分数扩散问题的Richardson外推法
3区 数学 Q1 Mathematics Pub Date : 2023-10-19 DOI: 10.1002/num.23076
Ren‐jun Qi, Zhi‐zhong Sun
Abstract The Richardson extrapolation is widely utilized in numerically solving the differential equations since it enjoys both high accuracy and ease of implementation. For the Riesz space fractional diffusion equation, the fractional centered difference operator is employed to approximate the fractional derivative, then the Richardson extrapolation methods for two difference schemes are constructed with the help of the asymptotic expansions of the discrete solutions. Specifically, for the Crank–Nicolson difference scheme, the extrapolation method contains two extrapolation formulae that achieve the fourth order and the sixth order both in the temporal and spatial directions, respectively. The extrapolation method for the compact difference scheme involves one extrapolation formula by which the sixth order can be obtained when the time step size is proportional to the squares of the space step size. The maximum norm error estimates of the extrapolation solutions are proved by the discrete fractional Sobolev embedding inequalities. The extension to the high dimensional and nonlinear cases is also demonstrated. Numerical results verify the theoretical convergence orders and efficiency of our methods.
摘要Richardson外推法具有精度高、易于实现等优点,在微分方程数值求解中得到了广泛的应用。对于Riesz空间分数阶扩散方程,采用分数中心差分算子逼近分数阶导数,利用离散解的渐近展开式构造了两种差分格式的Richardson外推方法。具体而言,对于Crank-Nicolson差分格式,外推方法包含两个外推公式,分别在时间和空间方向上达到四阶和六阶。紧致差分格式的外推方法包含一个外推公式,当时间步长与空间步长平方成正比时,可以得到六阶。利用离散分数Sobolev嵌入不等式证明了外推解的最大范数误差估计。对高维和非线性情况也进行了推广。数值结果验证了该方法的理论收敛阶和有效性。
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引用次数: 0
A semi‐Lagrangian ε$$ varepsilon $$‐monotone Fourier method for continuous withdrawal GMWBs under jump‐diffusion with stochastic interest rate 随机利率跳跃扩散下连续提取GMWBs的半拉格朗日ε $$ varepsilon $$单调傅立叶方法
3区 数学 Q1 Mathematics Pub Date : 2023-10-19 DOI: 10.1002/num.23075
Yaowen Lu, Duy‐Minh Dang
Abstract We develop an efficient pricing approach for guaranteed minimum withdrawal benefits (GMWBs) with continuous withdrawals under a realistic modeling setting with jump‐diffusions and stochastic interest rate. Utilizing an impulse stochastic control framework, we formulate the no‐arbitrage GMWB pricing problem as a time‐dependent Hamilton‐Jacobi‐Bellman (HJB) Quasi‐Variational Inequality (QVI) having three spatial dimensions with cross derivative terms. Through a novel numerical approach built upon a combination of a semi‐Lagrangian method and the Green's function of an associated linear partial integro‐differential equation, we develop an ‐monotone Fourier pricing method, where is a monotonicity tolerance. Together with a provable strong comparison result for the HJB‐QVI, we mathematically demonstrate convergence of the proposed scheme to the viscosity solution of the HJB‐QVI as . We present a comprehensive study of the impact of simultaneously considering jumps in the subaccount process and stochastic interest rate on the no‐arbitrage prices and fair insurance fees of GMWBs, as well as on the holder's optimal withdrawal behaviors.
在具有跳跃扩散和随机利率的现实建模设置下,我们开发了一种有效的连续提取保证最小提取收益(GMWBs)的定价方法。利用脉冲随机控制框架,我们将无套利GMWB定价问题表述为具有三维空间的具有交叉导数项的时变Hamilton - Jacobi - Bellman (HJB)拟变分不等式(QVI)。通过建立在半拉格朗日方法和相关线性偏积分微分方程的格林函数的组合上的一种新的数值方法,我们开发了一种单调傅里叶定价方法,其中是单调容忍的。结合HJB - QVI的一个可证明的强比较结果,我们从数学上证明了所提出的格式对HJB - QVI的粘度解的收敛性。我们全面研究了同时考虑子账户过程和随机利率的跳跃对GMWBs的无套利价格和公平保险费以及持有人的最优提现行为的影响。
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引用次数: 0
Implicit Runge‐Kutta with spectral Galerkin methods for the fractional diffusion equation with spectral fractional Laplacian 用谱伽辽金隐式Runge - Kutta方法求解带谱分数阶拉普拉斯的分数阶扩散方程
3区 数学 Q1 Mathematics Pub Date : 2023-10-12 DOI: 10.1002/num.23074
Yanming Zhang, Yu Li, Yuexin Yu, Wansheng Wang
Abstract An efficient numerical method with high accuracy both in time and in space is proposed for solving ‐dimensional fractional diffusion equation with spectral fractional Laplacian. The main idea is discretizing the time by an ‐stage implicit Runge‐Kutta method and approximating the space by a spectral Galerkin method with Fourier‐like basis functions. In view of the orthogonality, the mass matrix of the spectral Galerkin method is an identity and the stiffness matrix is diagonal, which makes the proposed method is efficient for high‐dimensional problems. The proposed method is showed to be stable and convergent with at least order in time, when the implicit Runge‐Kutta method with classical order () is algebraically stable. As another important contribution of this paper, we derive the spatial error estimate with optimal convergence order which depends on the regularity of the exact solution but not on the fractional parameter . This improves the previous result which depends on the fractional parameter . Numerical experiments verify and complement our theoretical results.
摘要提出了一种求解具有谱分数阶拉普拉斯算子的分数阶扩散方程的高效、高精度的时间和空间数值方法。主要思想是用一阶隐式Runge - Kutta方法对时间进行离散化,用类傅里叶基函数的谱伽辽金方法对空间进行逼近。鉴于谱伽辽金方法的正交性,该方法的质量矩阵是恒等矩阵,刚度矩阵是对角矩阵,这使得该方法对高维问题是有效的。当经典阶()的隐式Runge‐Kutta方法是代数稳定的时,该方法是稳定且收敛的。作为本文的另一个重要贡献,我们导出了具有最优收敛阶的空间误差估计,该估计依赖于精确解的正则性而不依赖于分数参数。这改进了先前依赖于分数参数的结果。数值实验验证和补充了我们的理论结果。
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引用次数: 0
Two‐grid finite element method on grade meshes for time‐fractional nonlinear Schrödinger equation 时间分数阶非线性Schrödinger方程的双网格有限元方法
3区 数学 Q1 Mathematics Pub Date : 2023-10-09 DOI: 10.1002/num.23073
Hanzhang Hu, Yanping Chen, Jianwei Zhou
Abstract A two‐grid finite element method with nonuniform L1 scheme is developed for solving the time‐fractional nonlinear Schrödinger equation. The finite element solution in the ‐norm and ‐norm are proved bounded without any time‐step size conditions (dependent on spatial‐step size). Then, the optimal order error estimations of the two‐grid solution in the ‐norm are proved without any time‐step size conditions. Finally, the theoretical results are verified by numerical experiments.
摘要提出了求解时间分数阶非线性Schrödinger方程的非均匀L1格式双网格有限元方法。证明了-范数和-范数的有限元解在没有任何时间步长条件(取决于空间步长)的情况下是有界的。然后,在没有任何时间步长条件的情况下,证明了两网格解在范数下的最优阶误差估计。最后通过数值实验对理论结果进行了验证。
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引用次数: 0
A Legendre spectral‐Galerkin method for fourth‐order problems in cylindrical regions 圆柱区域四阶问题的Legendre谱- Galerkin方法
3区 数学 Q1 Mathematics Pub Date : 2023-09-22 DOI: 10.1002/num.23071
Jihui Zheng, Jing An
Abstract A spectral‐Galerkin method based on Legendre‐Fourier approximation for fourth‐order problems in cylindrical regions is studied in this paper. By the cylindrical coordinate transformation, a three‐dimensional fourth‐order problem in a cylindrical region is transformed into a sequence of decoupled fourth‐order problems with two dimensions and the corresponding pole conditions are also derived. With appropriately constructed weighted Sobolev space, a weak form is established. Based on this weak form, a spectral‐Galerkin discretization scheme is proposed and its error is rigorously analyzed by defining a new class of projection operators. Then, a set of efficient basis functions are used to write the discrete scheme as the linear systems with a sparse matrix based on tensor product. Numerical examples are presented to show the efficiency and high‐accuracy of the developed method. Finally, an application of the proposed method to the fourth‐order Steklov problem and the corresponding numerical experiments once again confirm the efficiency and spectral accuracy of the method.
研究了一种基于Legendre - Fourier近似的四阶圆柱区域问题的谱伽辽金方法。通过柱面坐标变换,将柱面区域内的三维四阶问题转化为二维解耦四阶问题序列,并推导出相应的极点条件。通过适当构造加权Sobolev空间,建立弱形式。基于这种弱形式,提出了一种谱伽辽金离散化方案,并通过定义一类新的投影算子对其误差进行了严格分析。然后,利用一组有效的基函数将离散格式写成基于张量积的稀疏矩阵线性系统。数值算例表明了该方法的有效性和准确性。最后,将该方法应用于四阶Steklov问题并进行数值实验,再次验证了该方法的有效性和谱精度。
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引用次数: 0
Analysis of two fully discrete spectral volume schemes for hyperbolic equations 双曲型方程的两种完全离散谱体积格式的分析
3区 数学 Q1 Mathematics Pub Date : 2023-09-20 DOI: 10.1002/num.23072
Ping Wei, Qingsong Zou
Abstract In this paper, we analyze two classes of fully discrete spectral volume schemes (SV) for solving the one‐dimensional scalar hyperbolic equation. These two schemes are constructed by using the forward Euler (EU) method or the second‐order Runge–Kutta (RK2) method in time‐discretization, and by letting a piecewise k th degree( is an arbitrary integer) polynomial satisfy the local conservation law in each control volume designed by subdividing the underlying mesh with Gauss–Legendre points (LSV) or right‐Radau points (RRSV). We prove that for the EU‐SV schemes, the weak (2) stability holds and the norm errors converge with optimal orders , provided that the CFL condition is satisfied. While for the RK2‐SV schemes, the weak (4) stability holds and the norm errors converge with optimal orders , provided that the CFL condition is satisfied. Here and are, respectively, the spacial and temporal mesh sizes and the constant is independent of and . Our theoretical findings have been justified by several numerical experiments.
摘要本文分析了求解一维标量双曲型方程的两类完全离散谱体积格式。这两种方案分别使用前向欧拉(EU)方法或二阶龙格-库塔(RK2)方法在时间离散化中构造,并通过将下层网格细分为高斯-勒让德点(LSV)或右拉道点(RRSV),使分段k次(任意整数)多项式满足每个控制体积的局部守恒律。证明了在CFL条件满足的情况下,EU - SV方案具有弱(2)稳定性,范数误差收敛于最优阶。而对于RK2 - SV格式,只要满足CFL条件,则保持弱(4)稳定性,范数误差收敛于最优阶。这里和分别是空间和时间网格尺寸,常数与和无关。我们的理论发现已被几个数值实验所证实。
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引用次数: 0
Numerical study of conforming space‐time methods for Maxwell's equations 麦克斯韦方程组的符合时空方法的数值研究
3区 数学 Q1 Mathematics Pub Date : 2023-09-14 DOI: 10.1002/num.23070
Julia I. M. Hauser, Marco Zank
Abstract Time‐dependent Maxwell's equations govern electromagnetics. Under certain conditions, we can rewrite these equations into a partial differential equation of second order, which in this case is the vectorial wave equation. For the vectorial wave equation, we examine numerical schemes and their challenges. For this purpose, we consider a space‐time variational setting, that is, time is just another spatial dimension. More specifically, we apply integration by parts in time as well as in space, leading to a space‐time variational formulation with different trial and test spaces. Conforming discretizations of tensor‐product type result in a Galerkin–Petrov finite element method that requires a CFL condition for stability which we study. To overcome the CFL condition, we use a Hilbert‐type transformation that leads to a variational formulation with equal trial and test spaces. Conforming space‐time discretizations result in a new Galerkin–Bubnov finite element method that is unconditionally stable. In numerical examples, we demonstrate the effectiveness of this Galerkin–Bubnov finite element method. Furthermore, we investigate different projections of the right‐hand side and their influence on the convergence rates. This paper is the first step toward a more stable computation and a better understanding of vectorial wave equations in a conforming space‐time approach.
随时间变化的麦克斯韦方程组支配着电磁学。在一定条件下,我们可以把这些方程改写成二阶偏微分方程,在这种情况下就是矢量波动方程。对于矢量波动方程,我们研究了数值格式及其挑战。为此,我们考虑一个时空变分的设置,也就是说,时间只是另一个空间维度。更具体地说,我们将分部积分法应用于时间和空间,从而得到具有不同试验和测试空间的时空变分公式。本文研究了张量积型的一致性离散化,得到了需要CFL条件的Galerkin-Petrov有限元方法。为了克服CFL条件,我们使用希尔伯特型变换,该变换导致具有相等试验和测试空间的变分公式。一致的时空离散化得到了一种新的无条件稳定的Galerkin-Bubnov有限元方法。通过数值算例验证了Galerkin-Bubnov有限元方法的有效性。此外,我们研究了右侧的不同投影及其对收敛速率的影响。本文是朝着更稳定的计算和更好地理解符合时空方法的矢量波方程迈出的第一步。
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引用次数: 0
Strong approximation of stochastic semilinear subdiffusion and superdiffusion driven by fractionally integrated additive noise 分数积分加性噪声驱动的随机双线性次扩散和超扩散的强逼近
IF 3.9 3区 数学 Q1 Mathematics Pub Date : 2023-09-03 DOI: 10.1002/num.23068
Ye Hu, Yubin Yan, Shahzad Sarwar
Recently, Kovács et al. considered a Mittag‐Leffler Euler integrator for a stochastic semilinear Volterra integral‐differential equation with additive noise and proved the strong convergence error estimates [see SIAM J. Numer. Anal. 58(1) 2020, pp. 66‐85]. In this article, we shall consider the Mittag‐Leffler integrators for more general models: stochastic semilinear subdiffusion and superdiffusion driven by fractionally integrated additive noise. The mild solutions of our models involve four different Mittag‐Leffler functions. We first consider the existence, uniqueness and the regularities of the solutions. We then introduce the full discretization schemes for solving the problems. The temporal discretization is based on the Mittag‐Leffler integrators and the spatial discretization is based on the spectral method. The optimal strong convergence error estimates are proved under the reasonable assumptions for the semilinear term and for the regularity of the noise. Numerical examples are given to show that the numerical results are consistent with the theoretical results.
最近,Kovács等人考虑了具有加性噪声的随机双线性Volterra积分微分方程的Mittag‐Leffler Euler积分器,并证明了强收敛误差估计[见SIAM J.Numer.Anal.58(1)2020,pp.66‐85]。在本文中,我们将考虑更一般模型的Mittag‐Leffler积分器:分数积分加性噪声驱动的随机双线性次扩散和超扩散。我们模型的温和解涉及四个不同的Mittag-Leffler函数。我们首先考虑解的存在性、唯一性和规律性。然后,我们介绍了用于解决这些问题的完全离散化方案。时间离散化基于Mittag‐Leffler积分器,空间离散化基于谱方法。在对双线性项和噪声正则性的合理假设下,证明了最优强收敛误差估计。数值算例表明,数值结果与理论结果相一致。
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引用次数: 0
Analysis and application of a local discontinuous Galerkin method for the electromagnetic concentrator model 电磁集中器模型的局部间断Galerkin方法的分析与应用
IF 3.9 3区 数学 Q1 Mathematics Pub Date : 2023-09-01 DOI: 10.1002/num.23069
Yunqing Huang, Jichun Li, Xin Liu
In this paper, we develop a local discontinuous Galerkin (LDG) method to simulate the wave propagation in an electromagnetic concentrator. The concentrator model consists of a coupled system of four partial differential equations and one ordinary differential equation. Discrete stability and error estimate are proved for both semi‐discrete and full‐discrete LDG schemes. Numerical results are presented to justify the theoretical analysis and demonstrate the interesting wave concentration property by the electromagnetic concentrator.
本文提出了一种局部不连续伽辽金(LDG)方法来模拟电磁集中器中的波传播。集中器模型由四个偏微分方程和一个常微分方程的耦合系统组成。证明了半离散和全离散LDG方案的离散稳定性和误差估计。数值结果证明了理论分析的正确性,并证明了电磁集中器具有令人感兴趣的波集中特性。
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引用次数: 0
Finite element algorithm with a second‐order shifted composite numerical integral formula for a nonlinear time fractional wave equation 非线性时间分数波方程的二阶位移复合数值积分公式有限元算法
IF 3.9 3区 数学 Q1 Mathematics Pub Date : 2023-08-30 DOI: 10.1002/num.23066
Haoran Ren, Yang Liu, Baoli Yin, Haiyang Li
In this article, we propose a second‐order shifted composite numerical integral formula, which is denoted as the SCNIF2. We transform the nonlinear time fractional wave equation into a partial differential equation with a fractional integral term and use the SCNIF2 in time and the finite element algorithm in space to formulate a fully discrete scheme. In order to decrease the initial error of the numerical scheme, we add some starting parts. In addition, we prove the stability and error estimation of the algorithm. Finally, we illustrate the effect of the starting parts and the accuracy of the numerical scheme through some numerical tests.
在本文中,我们提出了一个二阶移位复合数值积分公式,表示为SCNIF2。我们将非线性时间分数波方程转化为具有分数积分项的偏微分方程,并使用时间上的SCNIF2和空间上的有限元算法来制定一个完全离散的格式。为了减小数值格式的初始误差,我们增加了一些起始部分。此外,我们还证明了算法的稳定性和误差估计。最后,通过一些数值试验,说明了起始部分的影响和数值格式的准确性。
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引用次数: 0
期刊
Numerical Methods for Partial Differential Equations
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