Monotone Finite-Difference Schemes of Second-Order Accuracy for Quasilinear Parabolic Equations with Mixed Derivatives

2019 ◽  
Vol 55 (3) ◽  
pp. 424-436
Author(s):  
P. P. Matus ◽  
L. M. Hieu ◽  
D. Pylak
Keyword(s):  
Finite Difference ◽  
Parabolic Equations ◽  
Second Order ◽  
Difference Schemes ◽  
Finite Difference Schemes ◽  
Quasilinear Parabolic Equations ◽  
Order Accuracy ◽  
Mixed Derivatives ◽  
Quasilinear Parabolic

scholarly journals Backward differentiation formula finite difference schemes for diffusion equations with an obstacle term

2020 ◽  
Author(s):  
Olivier Bokanowski ◽  
Kristian Debrabant
Keyword(s):  
Finite Difference ◽  
Mathematical Finance ◽  
Second Order ◽  
Difference Schemes ◽  
Diffusion Equations ◽  
Finite Difference Schemes ◽  
Differentiation Formula ◽  
Backward Differentiation Formula ◽  
Hamilton Jacobi Bellman ◽  
Nicolson Scheme

Abstract Finite difference schemes, using backward differentiation formula (BDF), are studied for the approximation of one-dimensional diffusion equations with an obstacle term of the form $$\begin{equation*}\min(v_t - a(t,x) v_{xx} + b(t,x) v_x + r(t,x) v, v- \varphi(t,x))= f(t,x).\end{equation*}$$For the scheme building on the second-order BDF formula, we discuss unconditional stability, prove an $L^2$-error estimate and show numerically second-order convergence, in both space and time, unconditionally on the ratio of the mesh steps. In the analysis an equivalence of the obstacle equation with a Hamilton–Jacobi–Bellman equation is mentioned, and a Crank–Nicolson scheme is tested in this context. Two academic problems for parabolic equations with an obstacle term with explicit solutions and the American option problem in mathematical finance are used for numerical tests.

FINITE DIFFERENCE SCHEMES WITH CROSS DERIVATIVES CORRECTORS FOR MULTIDIMENSIONAL PARABOLIC SYSTEMS

2006 ◽  
Vol 03 (01) ◽  
pp. 27-52 ◽  
Author(s):  
FRANÇOIS BOUCHUT ◽  
HERMANO FRID
Keyword(s):  
Finite Difference ◽  
Parabolic Systems ◽  
Finite Volume Methods ◽  
Difference Schemes ◽  
Navier Stokes ◽  
Finite Difference Schemes ◽  
First Order ◽  
Flux Vector Splitting ◽  
Cross Derivatives ◽  
Mixed Derivatives

We propose finite difference schemes for multidimensional quasilinear parabolic systems whose main feature is the introduction of correctors which control the second-order terms with mixed derivatives. We show that with these correctors the schemes inherit physically relevant properties present at the continuous level, such as the existence of invariant domains and/or the nonincrease of the total amount of entropy. The analysis is performed with some general tools that could be used also in the analysis of finite volume methods based on flux vector splitting for first-order hyperbolic problems on unstructured meshes. Applications to the compressible Navier–Stokes system are given.

Stability of Finite-difference Schemes for Semilinear Multidimensional Parabolic Equations

2012 ◽  
Vol 12 (3) ◽  
pp. 289-305 ◽  
Author(s):  
Bosko Jovanovic ◽  
Magdalena Lapinska-Chrzczonowicz ◽  
Aleh Matus ◽  
Piotr Matus
Keyword(s):  
Finite Difference ◽  
Parabolic Equations ◽  
Blow Up ◽  
Initial Boundary ◽  
Initial Boundary Value Problem ◽  
Difference Schemes ◽  
Finite Difference Schemes ◽  
Nonlinear Odes ◽  
The Stability ◽  
Initial Boundary Value

Abstract Abstract — We have studied the stability of finite-difference schemes approximating initial-boundary value problem (IBVP) for multidimensional parabolic equations with a nonlinear source of a power type. We have obtained simple sufficient input data conditions, in which the solutions of differential and difference problems are globally bounded for all t. It is shown that if these conditions are not satisfied, then the solution can blow-up (go to infinity) in finite time. The lower bound of the blow-up time has been determined. The stability of the difference solution has been proven. In all cases, we used the method of energy inequalities based on the application of the Chaplygin comparison theorem for nonlinear ODEs, Bihari-type inequalities and their discrete analogs.

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