No Arabic abstract
A new second-order method for approximating the compressible Euler equations is introduced. The method preserves all the known invariant domains of the Euler system: positivity of the density, positivity of the internal energy and the local minimum principle on the specific entropy. The technique combines a first-order, invariant domain preserving, Guaranteed Maximum Speed method using a Graph Viscosity (GMS-GV1) with an invariant domain violating, but entropy consistent, high-order method. Invariant domain preserving auxiliary states, naturally produced by the GMS-GV1 method, are used to define local bounds for the high-order method which is then made invariant domain preserving via a convex limiting process. Numerical tests confirm the second-order accuracy of the new GMS-GV2 method in the maximum norm, where 2 stands for second-order. The proposed convex limiting is generic and can be applied to other approximation techniques and other hyperbolic systems.
For the stochastic differential equation (SDE) which has piecewise continuous arguments (PCAs), is driven by multiplicative noises and its drift coefficients are dissipative, we show that the solution at integer time is a Markov chain and admits a unique invariant measure. In order to inherit numerically the invariant measure of SDE with PCAs, we apply the backward Euler (BE) method to the equation, and prove that the numerical solution at integer time is not only Markovian but also reproduces a unique numerical invariant measure. We present the time-independent weak error analysis for the method under certain hypothesis. Further, we show that the numerical invariant measure converges to the original one with order 1. Numerical experiments verify the theoretical analysis.
In this work we design a new domain decomposition method for the Euler equations in 2 dimensions. The basis is the equivalence via the Smith factorization with a third order scalar equation to whom we can apply an algorithm inspired from the Robin-Robin preconditioner for the convection-diffusion equation. Afterwards we translate it into an algorithm for the initial system and prove that at the continuous level and for a decomposition into 2 sub-domains, it converges in 2 iterations. This property cannot be preserved strictly at discrete level and for arbitrary domain decompositions but we still have numerical results which confirm a very good stability with respect to the various parameters of the problem (mesh size, Mach number, ....).
This paper presents a class of novel high-order accurate discontinuous Galerkin (DG) schemes for the compressible Euler equations under gravitational fields. A notable feature of these schemes is that they are well-balanced for a general hydrostatic equilibrium state, and at the same time, provably preserve the positivity of density and pressure. In order to achieve the well-balanced and positivity-preserving properties simultaneously, a novel DG spatial discretization is carefully designed with suitable source term reformulation and a properly modified Harten-Lax-van Leer contact (HLLC) flux. Based on some technical decompositions as well as several key properties of the admissible states and HLLC flux, rigorous positivity-preserving analyses are carried out. It is proven that the resulting well-balanced DG schemes, coupled with strong stability preserving time discretizations, satisfy a weak positivity property, which implies that one can apply a simple existing limiter to effectively enforce the positivity-preserving property, without losing high-order accuracy and conservation. The proposed methods and analyses are applicable to the Euler system with general equation of state. Extensive one- and two-dimensional numerical tests demonstrate the desired properties of these schemes, including the exact preservation of the equilibrium state, the ability to capture small perturbation of such state, the robustness for solving problems involving low density and/or low pressure, and good resolution for smooth and discontinuous solutions.
We formulate a well-posedness and approximation theory for a class of generalised saddle point problems. In this way we develop an approach to a class of fourth order elliptic partial differential equations using the idea of splitting into coupled second order equations. Our main motivation is to treat certain fourth order surface equations arising in the modelling of biomembranes but the approach may be applied more generally. In particular, we are interested in equations with non-smooth right hand sides and operators which have non-trivial kernels.The theory for well posedness and approximation is presented in an abstract setting. Several examples are described together with some numerical experiments.
High-dimensional partial differential equations (PDE) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment (CVA) models, or portfolio optimization models. The PDEs in such applications are high-dimensional as the dimension corresponds to the number of financial assets in a portfolio. Moreover, such PDEs are often fully nonlinear due to the need to incorporate certain nonlinear phenomena in the model such as default risks, transaction costs, volatility uncertainty (Knightian uncertainty), or trading constraints in the model. Such high-dimensional fully nonlinear PDEs are exceedingly difficult to solve as the computational effort for standard approximation methods grows exponentially with the dimension. In this work we propose a new method for solving high-dimensional fully nonlinear second-order PDEs. Our method can in particular be used to sample from high-dimensional nonlinear expectations. The method is based on (i) a connection between fully nonlinear second-order PDEs and second-order backward stochastic differential equations (2BSDEs), (ii) a merged formulation of the PDE and the 2BSDE problem, (iii) a temporal forward discretization of the 2BSDE and a spatial approximation via deep neural nets, and (iv) a stochastic gradient descent-type optimization procedure. Numerical results obtained using ${rm T{small ENSOR}F{small LOW}}$ in ${rm P{small YTHON}}$ illustrate the efficiency and the accuracy of the method in the cases of a $100$-dimensional Black-Scholes-Barenblatt equation, a $100$-dimensional Hamilton-Jacobi-Bellman equation, and a nonlinear expectation of a $ 100 $-dimensional $ G $-Brownian motion.