The composite Euler method for stiff stochastic differential equations

In this paper we present the composite Euler method for the strong solution of stochastic differential equations driven by d-dimensional Wiener processes. This method is a combination of the semi-implicit Euler method and the implicit Euler method. At each step either the semi-implicit Euler method or the implicit Euler method is used in order to obtain better stability properties. We give criteria for selecting the semi-implicit Euler method or the implicit Euler method. For the linear test equation, the convergence properties of the composite Euler method depend on the criteria for selecting the methods. Numerical results suggest that the convergence properties of the composite Euler method applied to nonlinear SDEs is the same as those applied to linear equations. The stability properties of the composite Euler method are shown to be far superior to those of the Euler methods, and numerical results show that the composite Euler method is a very promising method. (C) 2001 Elsevier Science B.V. All rights reserved.

Implicit Taylor methods for stiff stochastic differential equations

In this paper we discuss implicit Taylor methods for stiff Ito stochastic differential equations. Based on the relationship between Ito stochastic integrals and backward stochastic integrals, we introduce three implicit Taylor methods: the implicit Euler-Taylor method with strong order 0.5, the implicit Milstein-Taylor method with strong order 1.0 and the implicit Taylor method with strong order 1.5. The mean-square stability properties of the implicit Euler-Taylor and Milstein-Taylor methods are much better than those of the corresponding semi-implicit Euler and Milstein methods and these two implicit methods can be used to solve stochastic differential equations which are stiff in both the deterministic and the stochastic components. Numerical results are reported to show the convergence properties and the stability properties of these three implicit Taylor methods. The stability analysis and numerical results show that the implicit Euler-Taylor and Milstein-Taylor methods are very promising methods for stiff stochastic differential equations.

Integration methods in dynamic analysis

"Series title: Springerbriefs in applied sciences and technology, ISSN 2191-530X"

On a series of Goldbach and Euler

Theorem 1 of Euler s paper of 1737 'Variae Observationes Circa Series Infinitas', states the astonishing result that the series of all unit fractions whose denominators are perfect powers of integers minus unity has sum one. Euler attributes the Theorem to Goldbach. The proof is one of those examples of misuse of divergent series to obtain correct results so frequent during the seventeenth and eighteenth centuries. We examine this proof closelyand, with the help of some insight provided by a modern (and completely dierent) proof of the Goldbach-Euler Theorem, we present a rational reconstruction in terms which could be considered rigorous by modern Weierstrassian standards. At the same time, with a few ideas borrowed from nonstandard analysis we see how the same reconstruction can be also be considered rigorous by modern Robinsonian standards. This last approach, though, is completely in tune with Goldbach and Euler s proof. We hope to convince the reader then how, a few simple ideas from nonstandard analysis, vindicate Euler's work.

Numerical Methods for Non-Stationary Stokes Flow

We consider a first order implicit time stepping procedure (Euler scheme) for the non-stationary Stokes equations in smoothly bounded domains of R3. Using energy estimates we can prove optimal convergence properties in the Sobolev spaces Hm(G) (m = 0;1;2) uniformly in time, provided that the solution of the Stokes equations has a certain degree of regularity. For the solution of the resulting Stokes resolvent boundary value problems we use a representation in form of hydrodynamical volume and boundary layer potentials, where the unknown source densities of the latter can be determined from uniquely solvable boundary integral equations’ systems. For the numerical computation of the potentials and the solution of the boundary integral equations a boundary element method of collocation type is used. Some simulations of a model problem are carried out and illustrate the efficiency of the method.

Course Notes, Numerical Methods (MATH3018/MATH6111).

Course notes for the Numerical Methods course (joint MATH3018 and MATH6111). Originally by Giampaolo d'Alessandro, modified by Ian Hawke. These contain only minimal examples and are distributed as is; examples are given in the lectures.

Energy consistent discontinuous Galerkin methods for the Navier–Stokes–Korteweg system

We design consistent discontinuous Galerkin finite element schemes for the approximation of the Euler-Korteweg and the Navier-Stokes-Korteweg systems. We show that the scheme for the Euler-Korteweg system is energy and mass conservative and that the scheme for the Navier-Stokes-Korteweg system is mass conservative and monotonically energy dissipative. In this case the dissipation is isolated to viscous effects, that is, there is no numerical dissipation. In this sense the methods are consistent with the energy dissipation of the continuous PDE systems. - See more at: http://www.ams.org/journals/mcom/2014-83-289/S0025-5718-2014-02792-0/home.html#sthash.rwTIhNWi.dpuf

Lie algebra methods for the applications to the statistical theory of turbulence

Approximate Lie symmetries of the Navier-Stokes equations are used for the applications to scaling phenomenon arising in turbulence. In particular, we show that the Lie symmetries of the Euler equations are inherited by the Navier-Stokes equations in the form of approximate symmetries that allows to involve the Reynolds number dependence into scaling laws. Moreover, the optimal systems of all finite-dimensional Lie subalgebras of the approximate symmetry transformations of the Navier-Stokes are constructed. We show how the scaling groups obtained can be used to introduce the Reynolds number dependence into scaling laws explicitly for stationary parallel turbulent shear flows. This is demonstrated in the framework of a new approach to derive scaling laws based on symmetry analysis [11]-[13].

Deconvolução de Euler: passado, presente e futuro – um tutorial

Neste tutorial apresentamos uma revisão da deconvolução de Euler que consiste de três partes. Na primeira parte, recordamos o papel da clássica formulação da deconvolução de Euler 2D e 3D como um método para localizar automaticamente fontes de campos potenciais anômalas e apontamos as dificuldades desta formulação: a presença de uma indesejável nuvem de soluções, o critério empírico usado para determinar o índice estrutural (um parâmetro relacionado com a natureza da fonte anômala), a exeqüibilidade da aplicação da deconvolução de Euler a levantamentos magnéticos terrestres, e a determinação do mergulho e do contraste de susceptibilidade magnética de contatos geológicos (ou o produto do contraste de susceptibilidade e a espessura quando aplicado a dique fino). Na segunda parte, apresentamos as recentes melhorias objetivando minimizar algumas dificuldades apresentadas na primeira parte deste tutorial. Entre estas melhorias incluem-se: i) a seleção das soluções essencialmente associadas com observações apresentando alta razão sinal-ruído; ii) o uso da correlação entre a estimativa do nível de base da anomalia e a própria anomalia observada ou a combinação da deconvolução de Euler com o sinal analítico para determinação do índice estrutural; iii) a combinação dos resultados de (i) e (ii), permitindo estimar o índice estrutural independentemente do número de soluções; desta forma, um menor número de observações (tal como em levantamentos terrestres) pode ser usado; iv) a introdução de equações adicionais independentes da equação de Euler que permitem estimar o mergulho e o contraste de susceptibilidade das fontes magnéticas 2D. Na terceira parte apresentaremos um prognóstico sobre futuros desenvolvimentos a curto e médio prazo envolvendo a deconvolução de Euler. As principais perspectivas são: i) novos ataques aos problemas selecionados na segunda parte deste tutorial; ii) desenvolvimento de métodos que permitam considerar interferências de fontes localizadas ao lado ou acima da fonte principal, e iii) uso das estimativas de localização da fonte anômala produzidas pela deconvolução de Euler como vínculos em métodos de inversão para obter a delineação das fontes em um ambiente computacional amigável.