Comparative Study on Numerical Methods for Singularly Perturbed Advanced-Delay Differential Equations

In this paper, we consider a class of singularly perturbed advanced-delay differential equations of convection-diffusion type. We use finite and hybrid difference schemes to solve the problem on piecewise Shishkin mesh. We have established almost first- and second-order convergence with respect to finite difference and hybrid difference methods. An error estimate is derived with the discrete norm. In the end, numerical examples are given to show the advantages of the proposed results (Mathematics Subject Classification: 65L11, 65L12, and 65L20).

Markov chain approximation of one-dimensional sticky diffusions

We develop a continuous-time Markov chain (CTMC) approximation of one-dimensional diffusions with sticky boundary or interior points. Approximate solutions to the action of the Feynman–Kac operator associated with a sticky diffusion and first passage probabilities are obtained using matrix exponentials. We show how to compute matrix exponentials efficiently and prove that a carefully designed scheme achieves second-order convergence. We also propose a scheme based on CTMC approximation for the simulation of sticky diffusions, for which the Euler scheme may completely fail. The efficiency of our method and its advantages over alternative approaches are illustrated in the context of bond pricing in a sticky short-rate model for a low-interest environment and option pricing under a geometric Brownian motion price model with a sticky interior point.

A hybrid method for solution of linear Volterra integro-differential equations (LVIDES) via finite difference and Simpson’s numerical methods (FDSM)

In this paper, a hybrid of Finite difference-Simpson’s approach was applied to solve linear Volterra integro-differential equations. The method works efficiently great by reducing the problem into a system of linear algebraic equations. The numerical results shows the simplicity and effectiveness of the method, error estimation of the method is provided which shows that the method is of second order convergence.

The mass-conserving domain decomposition method for convection diffusion equations with variable coefficients

In this paper, a conserved domain decomposition method for solving convection-diffusion equations with variable coefficients is analyzed. The interface fluxes over the sub-domains are firstly obtained by the explicit fluxes scheme. Secondly, the interior solutions and fluxes over each sub-domains are computed by the modified upwind implicit scheme. Then, the interface fluxes are corrected by the obtained solutions. We prove rigorously that our scheme is mass conservative, unconditionally stable and of second-order convergence in spatial step. Numerical examples test the theoretical analysis and efficiencies. Lastly, we extend our scheme to the nonlinear convection-diffusion equations and give the error estimate.

CELL-CENTERED LAGRANGIAN LAX-WENDROFF HLL HYBRID SCHEME ON UNSTRUCTURED MESHES

We have recently introduced a new cell-centered Lax-Wendroff HLL hybrid scheme for Lagrangian hydrodynamics [Fridrich et al. J. Comp. Phys. 326 (2016) 878-892] with results presented only on logical rectangular quadrilateral meshes. In this study we present an improved version on unstructured meshes, including uniform triangular and hexagonal meshes and non-uniform triangular and polygonal meshes. The performance of the scheme is verified on Noh and Sedov problems and its second-order convergence is verified on a smooth expansion test.Finally the choice of the scalar parameter controlling the amount of added artificial dissipation is studied.

A New Simplified Weak Second-Order Scheme for Solving Stochastic Differential Equations with Jumps

In this paper, we propose a new weak second-order numerical scheme for solving stochastic differential equations with jumps. By using trapezoidal rule and the integration-by-parts formula of Malliavin calculus, we theoretically prove that the numerical scheme has second-order convergence rate. To demonstrate the effectiveness and the second-order convergence rate, three numerical experiments are given.

Improved phase-field models of melting and dissolution in multi-component flows

We develop and analyse the first second-order phase-field model to combine melting and dissolution in multi-component flows. This provides a simple and accurate way to simulate challenging phase-change problems in existing codes. Phase-field models simplify computation by describing separate regions using a smoothed phase field. The phase field eliminates the need for complicated discretizations that track the moving phase boundary. However, standard phase-field models are only first-order accurate. They often incur an error proportional to the thickness of the diffuse interface. We eliminate this dominant error by developing a general framework for asymptotic analysis of diffuse-interface methods in arbitrary geometries. With this framework, we can consistently unify previous second-order phase-field models of melting and dissolution and the volume-penalty method for fluid–solid interaction. We finally validate second-order convergence of our model in two comprehensive benchmark problems using the open-source spectral code Dedalus.

A higher-order finite element reactive transport model for unstructured and fractured grids

This work presents a new reactive transport framework that combines a powerful geochemistry engine with advanced numerical methods for flow and transport in subsurface fractured porous media. Specifically, the PhreeqcRM interface (developed by the USGS) is used to take advantage of a large library of equilibrium and kinetic aqueous and fluid-rock reactions, which has been validated by numerous experiments and benchmark studies. Fluid flow is modeled by the Mixed Hybrid Finite Element (FE) method, which provides smooth velocity fields even in highly heterogenous formations with discrete fractures. A multilinear Discontinuous Galerkin FE method is used to solve the multicomponent transport problem. This method is locally mass conserving and its second order convergence significantly reduces numerical dispersion. In terms of thermodynamics, the aqueous phase is considered as a compressible fluid and its properties are derived from a Cubic Plus Association (CPA) equation of state. The new simulator is validated against several benchmark problems (involving, e.g., Fickian and Nernst-Planck diffusion, isotope fractionation, advection-dispersion transport, and rock-fluid reactions) before demonstrating the expanded capabilities offered by the underlying FE foundation, such as high computational efficiency, parallelizability, low numerical dispersion, unstructured 3D gridding, and discrete fraction modeling.

An asymptotic model based on matching far and near field expansions for thin gratings problems

In this paper, we devise an asymptotic model for calculating electromagnetic diffraction and absorption in planar multilayered structures with a shallow surface-relief grating. Far from the grating, we assume that the solution can be written as a power series in terms of the grating thickness δ , the coefficients of this expansion being smooth up to the grating. However, the expansion approximates the solution only sufficiently far from the grating (far field approximation). Near the grating, we assume that there exists another expansion in powers of δ (near field approximation). Moreover, there is an overlapping zone where both expansion are valid. The proposed model is based on matching the two expansions on this overlapping domain. Then, by truncating terms of order δ 2 or higher, we obtain explicitly the equations satisfied by the lowest order terms in the power series. Under appropriate assumptions, we prove second order convergence of the error with respect to δ . Finally, an alternative form, more convenient for implementation, is derived and discretized with finite elements to perform some numerical tests.

Boundary update via resolvent for fluid-structure interaction

We propose a BOundary Update using Resolvent (BOUR) partitioned method, second-order accurate in time, unconditionally stable, for the interaction between a viscous, incompressible fluid and a thin structure. The method is algorithmically similar to the sequential Backward Euler - Forward Euler implementation of the midpoint quadrature rule. (i) The structure and fluid sub-problems are first solved using a Backward Euler scheme, (ii) the velocities of fluid and structure are updated on the boundary via a second-order consistent resolvent operator, and then (iii) the structure and fluid sub-problems are solved again, using a Forward Euler scheme. The stability analysis based on energy estimates shows that the scheme is unconditionally stable. Error analysis of the semi-discrete problem yields second-order convergence in time. The two numerical examples confirm theoretical convergence analysis results and show an excellent agreement between the proposed partitioned scheme and the monolithic scheme.