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Register a new userConvergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem
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Added by
Mykhaylo Shkolnikov
Publication date
2020
fields
Informatics Engineering
and research's language is
English
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The supercooled Stefan problem and its variants describe the freezing of a supercooled liquid in physics, as well as the large system limits of systemic risk models in finance and of integrate-and-fire models in neuroscience. Adopting the physics terminology, the supercooled Stefan problem is known to feature a finite-time blow-up of the freezing rate for a wide range of initial temperature distributions in the liquid. Such a blow-up can result in a discontinuity of the liquid-solid boundary. In this paper, we prove that the natural Euler time-stepping scheme applied to a probabilistic formulation of the supercooled Stefan problem converges to the liquid-solid boundary of its physical solution globally in time, in the Skorokhod M1 topology. In the course of the proof, we give an explicit bound on the rate of local convergence for the time-stepping scheme. We also run numerical tests to compare our theoretical results to the practically observed convergence behavior.
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We study the solutions of the one-phase supercooled Stefan problem with kinetic undercooling, which describes the freezing of a supercooled liquid, in one spatial dimension. Assuming that the initial temperature lies between the equilibrium freezing point and the characteristic invariant temperature throughout the liquid our main theorem shows that, as the kinetic undercooling parameter tends to zero, the free boundary converges to the (possibly irregular) free boundary in the supercooled Stefan problem without kinetic undercooling, whose uniqueness has been recently established in [DNS19], [LS18b]. The key tools in the proof are a Feynman-Kac formula, which expresses the free boundary in the problem with kinetic undercooling through a local time of a reflected process, and a resulting comparison principle for the free boundaries with different kinetic undercooling parameters.
We consider the supercooled Stefan problem, which captures the freezing of a supercooled liquid, in one space dimension. A probabilistic reformulation of the problem allows to define global solutions, even in the presence of blow-ups of the freezing rate. We provide a complete description of such solutions, by relating the temperature distribution in the liquid to the regularity of the ice growth process. The latter is shown to transition between (i) continuous differentiability, (ii) Hu007folder continuity, and (iii) discontinuity. In particular, in the second regime we rediscover the square root behavior of the growth process pointed out by Stefan in his seminal paper [Ste89] from 1889 for the ordinary Stefan problem. In our second main theorem, we establish the uniqueness of the global solutions, a first result of this kind in the context of growth processes with singular self-excitation when blow-ups are present.
We consider (a variant of) the external multi-particle diffusion-limited aggregation (MDLA) process of Rosenstock and Marquardt on the plane. Based on the recent findings of [11], [10] in one space dimension it is natural to conjecture that the scaling limit of the growing aggregate in such a model is given by the growing solid phase in a suitable probabilistic formulation of the single-phase supercooled Stefan problem for the heat equation. To address this conjecture, we extend the probabilistic formulation from [10] to multiple space dimensions. We then show that the equation that characterizes the growth rate of the solid phase in the supercooled Stefan problem is satisfied by the scaling limit of the external MDLA process with an inequality, which can be strict in general. In the course of the proof, we establish two additional results interesting in their own right: (i) the stability of a crossing property of planar Brownian motion and (ii) a rigorous connection between the probabilistic solutions to the supercooled Stefan problem and its classical and weak solutions.
The dissolution of solids has created spectacular geomorphologies ranging from centimeter-scale cave scallops to the kilometer-scale stone forests of China and Madagascar. Mathematically, dissolution processes are modeled by a Stefan problem, which describes how the motion of a phase-separating interface depends on local concentration gradients, coupled to a fluid flow. Simulating these problems is challenging, requiring the evolution of a free interface whose motion depends on the normal derivatives of an external field in an ever-changing domain. Moreover, density differences created in the fluid domain induce self-generated convecting flows that further complicate the numerical study of dissolution processes. In this contribution, we present a numerical method for the simulation of the Stefan problem coupled to a fluid flow. The scheme uses the Immersed Boundary Smooth Extension method to solve the bulk advection-diffusion and fluid equations in the complex, evolving geometry, coupled to a {theta}-L scheme that provides stable evolution of the boundary. We demonstrate third-order temporal and pointwise spatial convergence of the scheme for the classical Stefan problem, and second-order temporal and pointwise spatial convergence when coupled to flow. Examples of dissolution of solids that result in high-Rayleigh number convection are numerically studied, and qualitatively reproduce the complex morphologies observed in recent experiments.
We propose a monotone approximation scheme for a class of fully nonlinear PDEs called G-equations. Such equations arise often in the characterization of G-distributed random variables in a sublinear expectation space. The proposed scheme is constructed recursively based on a piecewise constant approximation of the viscosity solution to the G-equation. We establish the convergence of the scheme and determine the convergence rate with an explicit error bound, using the comparison principles for both the scheme and the equation together with a mollification procedure. The first application is obtaining the convergence rate of Pengs robust central limit theorem with an explicit bound of Berry-Esseen type. The second application is an approximation scheme with its convergence rate for the Black-Scholes-Barenblatt equation.
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