Numerical methods for fractional partial differential equations with Riesz space fractional derivatives

In this paper, we consider the numerical solution of a fractional partial differential equation with Riesz space fractional derivatives (FPDE-RSFD) on a finite domain. Two types of FPDE-RSFD are considered: the Riesz fractional diffusion equation (RFDE) and the Riesz fractional advection–dispersion equation (RFADE). The RFDE is obtained from the standard diffusion equation by replacing the second-order space derivative with the Riesz fractional derivative of order αset membership, variant(1,2]. The RFADE is obtained from the standard advection–dispersion equation by replacing the first-order and second-order space derivatives with the Riesz fractional derivatives of order βset membership, variant(0,1) and of order αset membership, variant(1,2], respectively. Firstly, analytic solutions of both the RFDE and RFADE are derived. Secondly, three numerical methods are provided to deal with the Riesz space fractional derivatives, namely, the L1/L2-approximation method, the standard/shifted Grünwald method, and the matrix transform method (MTM). Thirdly, the RFDE and RFADE are transformed into a system of ordinary differential equations, which is then solved by the method of lines. Finally, numerical results are given, which demonstrate the effectiveness and convergence of the three numerical methods.

Amplitude equations and asymptotic expansions for multi-scale problems

In this paper we introduce a new technique to obtain the slow-motion dynamics in nonequilibrium and singularly perturbed problems characterized by multiple scales. Our method is based on a straightforward asymptotic reduction of the order of the governing differential equation and leads to amplitude equations that describe the slowly-varying envelope variation of a uniformly valid asymptotic expansion. This may constitute a simpler and in certain cases a more general approach toward the derivation of asymptotic expansions, compared to other mainstream methods such as the method of Multiple Scales or Matched Asymptotic expansions because of its relation with the Renormalization Group. We illustrate our method with a number of singularly perturbed problems for ordinary and partial differential equations and recover certain results from the literature as special cases. © 2010 - IOS Press and the authors. All rights reserved.

A survey in mathematics for industry: Two-timing and matched asymptotic expansions for singular perturbation problems

Following the derivation of amplitude equations through a new two-time-scale method [O'Malley, R. E., Jr. & Kirkinis, E (2010) A combined renormalization group-multiple scale method for singularly perturbed problems. Stud. Appl. Math. 124, 383-410], we show that a multi-scale method may often be preferable for solving singularly perturbed problems than the method of matched asymptotic expansions. We illustrate this approach with 10 singularly perturbed ordinary and partial differential equations. © 2011 Cambridge University Press.

Maximum principle and numerical method for the multi-term time–space Riesz–Caputo fractional differential equations

The maximum principle for the space and time–space fractional partial differential equations is still an open problem. In this paper, we consider a multi-term time–space Riesz–Caputo fractional differential equations over an open bounded domain. A maximum principle for the equation is proved. The uniqueness and continuous dependence of the solution are derived. Using a fractional predictor–corrector method combining the L1 and L2 discrete schemes, we present a numerical method for the specified equation. Two examples are given to illustrate the obtained results.

An advanced implicit meshless approach for fractional partial differential equation in computational mechanics

Recently, the numerical modelling and simulation for fractional partial differential equations (FPDE), which have been found with widely applications in modern engineering and sciences, are attracting increased attentions. The current dominant numerical method for modelling of FPDE is the explicit Finite Difference Method (FDM), which is based on a pre-defined grid leading to inherited issues or shortcomings. This paper aims to develop an implicit meshless approach based on the radial basis functions (RBF) for numerical simulation of time fractional diffusion equations. The discrete system of equations is obtained by using the RBF meshless shape functions and the strong-forms. The stability and convergence of this meshless approach are then discussed and theoretically proven. Several numerical examples with different problem domains are used to validate and investigate accuracy and efficiency of the newly developed meshless formulation. The results obtained by the meshless formations are also compared with those obtained by FDM in terms of their accuracy and efficiency. It is concluded that the present meshless formulation is very effective for the modelling and simulation for FPDE.

Exponential asymptotics with multiple stokes lines

When asymptotic series methods are applied in order to solve problems that arise in applied mathematics in the limit that some parameter becomes small, they are unable to demonstrate behaviour that occurs on a scale that is exponentially small compared to the algebraic terms of the asymptotic series. There are many examples of physical systems where behaviour on this scale has important effects and, as such, a range of techniques known as exponential asymptotic techniques were developed that may be used to examinine behaviour on this exponentially small scale. Many problems in applied mathematics may be represented by behaviour within the complex plane, which may subsequently be examined using asymptotic methods. These problems frequently demonstrate behaviour known as Stokes phenomenon, which involves the rapid switches of behaviour on an exponentially small scale in the neighbourhood of some curve known as a Stokes line. Exponential asymptotic techniques have been applied in order to obtain an expression for this exponentially small switching behaviour in the solutions to orginary and partial differential equations. The problem of potential flow over a submerged obstacle has been previously considered in this manner by Chapman & Vanden-Broeck (2006). By representing the problem in the complex plane and applying an exponential asymptotic technique, they were able to detect the switching, and subsequent behaviour, of exponentially small waves on the free surface of the flow in the limit of small Froude number, specifically considering the case of flow over a step with one Stokes line present in the complex plane. We consider an extension of this work to flow configurations with multiple Stokes lines, such as flow over an inclined step, or flow over a bump or trench. The resultant expressions are analysed, and demonstrate interesting implications, such as the presence of exponentially sub-subdominant intermediate waves and the possibility of trapped surface waves for flow over a bump or trench. We then consider the effect of multiple Stokes lines in higher order equations, particu- larly investigating the behaviour of higher-order Stokes lines in the solutions to partial differential equations. These higher-order Stokes lines switch off the ordinary Stokes lines themselves, adding a layer of complexity to the overall Stokes structure of the solution. Specifically, we consider the different approaches taken by Howls et al. (2004) and Chap- man & Mortimer (2005) in applying exponential asymptotic techniques to determine the higher-order Stokes phenomenon behaviour in the solution to a particular partial differ- ential equation.

Special Issue on Spatial Moment Techniques for Modelling Biological Processes

Over the last two decades, there has been an increasing awareness of, and interest in, the use of spatial moment techniques to provide insight into a range of biological and ecological processes. Models that incorporate spatial moments can be viewed as extensions of mean-field models. These mean-field models often consist of systems of classical ordinary differential equations and partial differential equations, whose derivation, at some point, hinges on the simplifying assumption that individuals in the underlying stochastic process encounter each other at a rate that is proportional to the average abundance of individuals. This assumption has several implications, the most striking of which is that mean-field models essentially neglect any impact of the spatial structure of individuals in the system. Moment dynamics models extend traditional mean-field descriptions by accounting for the dynamics of pairs, triples and higher n-tuples of individuals. This means that moment dynamics models can, to some extent, account for how the spatial structure affects the dynamics of the system in question.

Constructive development of the solutions of linear equations in introductory ordinary differential equations

The solution of linear ordinary differential equations (ODEs) is commonly taught in first year undergraduate mathematics classrooms, but the understanding of the concept of a solution is not always grasped by students until much later. Recognising what it is to be a solution of a linear ODE and how to postulate such solutions, without resorting to tables of solutions, is an important skill for students to carry with them to advanced studies in mathematics. In this study we describe a teaching and learning strategy that replaces the traditional algorithmic, transmission presentation style for solving ODEs with a constructive, discovery based approach where students employ their existing skills as a framework for constructing the solutions of first and second order linear ODEs. We elaborate on how the strategy was implemented and discuss the resulting impact on a first year undergraduate class. Finally we propose further improvements to the strategy as well as suggesting other topics which could be taught in a similar manner.

Computationally efficient numerical methods for time- and space-fractional Fokker–Planck equations

Fractional Fokker–Planck equations have been used to model several physical situations that present anomalous diffusion. In this paper, a class of time- and space-fractional Fokker–Planck equations (TSFFPE), which involve the Riemann–Liouville time-fractional derivative of order 1-α (α(0, 1)) and the Riesz space-fractional derivative (RSFD) of order μ(1, 2), are considered. The solution of TSFFPE is important for describing the competition between subdiffusion and Lévy flights. However, effective numerical methods for solving TSFFPE are still in their infancy. We present three computationally efficient numerical methods to deal with the RSFD, and approximate the Riemann–Liouville time-fractional derivative using the Grünwald method. The TSFFPE is then transformed into a system of ordinary differential equations (ODE), which is solved by the fractional implicit trapezoidal method (FITM). Finally, numerical results are given to demonstrate the effectiveness of these methods. These techniques can also be applied to solve other types of fractional partial differential equations.

Stable strong order 1.0 schemes for solving stochastic ordinary differential equations

The Balanced method was introduced as a class of quasi-implicit methods, based upon the Euler-Maruyama scheme, for solving stiff stochastic differential equations. We extend the Balanced method to introduce a class of stable strong order 1. 0 numerical schemes for solving stochastic ordinary differential equations. We derive convergence results for this class of numerical schemes. We illustrate the asymptotic stability of this class of schemes is illustrated and is compared with contemporary schemes of strong order 1. 0. We present some evidence on parametric selection with respect to minimising the error convergence terms. Furthermore we provide a convergence result for general Balanced style schemes of higher orders.

Numerical simulation of stochastic ordinary differential equations in biomathematical modelling

In this work we discuss the effects of white and coloured noise perturbations on the parameters of a mathematical model of bacteriophage infection introduced by Beretta and Kuang in [Math. Biosc. 149 (1998) 57]. We numerically simulate the strong solutions of the resulting systems of stochastic ordinary differential equations (SDEs), with respect to the global error, by means of numerical methods of both Euler-Taylor expansion and stochastic Runge-Kutta type.

High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

The pioneering work of Runge and Kutta a hundred years ago has ultimately led to suites of sophisticated numerical methods suitable for solving complex systems of deterministic ordinary differential equations. However, in many modelling situations, the appropriate representation is a stochastic differential equation and here numerical methods are much less sophisticated. In this paper a very general class of stochastic Runge-Kutta methods is presented and much more efficient classes of explicit methods than previous extant methods are constructed. In particular, a method of strong order 2 with a deterministic component based on the classical Runge-Kutta method is constructed and some numerical results are presented to demonstrate the efficacy of this approach.