Sub- and Super-solutions of a Nonlinear PDE, and Application to a Semilinear SPDE

2010 Mathematics Subject Classification: 35R60, 60H15, 74H35.

Exact nonlinear travelling hydromagnetic wave solutions

Exact travelling wave solutions for hydromagnetic waves in an exponentially stratified incompressible medium are obtained. With the help of two integrals it becomes possible to reduce the system of seven nonlinear PDE's to a second order nonlinear ODE which describes an one dimensional harmonic oscillator with a nonlinear friction term. This equation is studied in detail in the phase plane. The travelling waves are periodic only when they propagate either horizontally or vertically. The reduced second order nonlinear differential equation describing the travelling waves in inhomogeneous conducting media has rather ubiquitous nature in that it also appears in other geophysical systems such as internal waves, Rossby waves and topographic Rossby waves in the ocean.

Nonlinear Waves: An Introduction

This book deals with equations of mathematical physics as the different modifications of the KdV equation, the Camassa-Holm type equations, several modifications of Burger's equation, the Hunter-Saxton equation, conservation laws equations and others. The equations originate from physics but are proposed here for their investigation via purely mathematical methods in the frames of university courses. More precisely, we propose classification theorems for the traveling wave solutions for a sufficiently large class of third order nonlinear PDE when the corresponding profiles develop different kind of singularities (cusps, peaks), existence and uniqueness results, etc. The orbital stability of the periodic solutions of traveling type for mKdV equations are also studied. Of great interest too is the interaction of peakon type solutions of the Camassa-Holm equation and the solvability of the classical and generalized Cauchy problem for the Hunter-Saxton equation. The Riemann problem for special systems of conservation laws and the corresponding -shocks are also considered. As it concerns numerical methods we apply the CNN approach. The book is addressed to a broader audience including graduate students, Ph.D. students, mathematicians, physicist, engineers and specialists in the domain of PDE.

Ecuaciones diferenciales estocásticas con condición final y soluciones de viscosidad de EDPS semilineales de segundo orden

El objetivo de este documento es recopilar algunos resultados clasicos sobre existencia y unicidad ´ de soluciones de ecuaciones diferenciales estocasticas (EDEs) con condici ´ on final (en ingl ´ es´ Backward stochastic differential equations) con particular enfasis en el caso de coeficientes mon ´ otonos, y su cone- ´ xion con soluciones de viscosidad de sistemas de ecuaciones diferenciales parciales (EDPs) parab ´ olicas ´ y el´ıpticas semilineales de segundo orden.

Moving boundary value problems for the wave equation

We study certain boundary value problems for the one-dimensional wave equation posed in a time-dependent domain. The approach we propose is based on a general transform method for solving boundary value problems for integrable nonlinear PDE in two variables, that has been applied extensively to the study of linear parabolic and elliptic equations. Here we analyse the wave equation as a simple illustrative example to discuss the particular features of this method in the context of linear hyperbolic PDEs, which have not been studied before in this framework.

The Klein-Gordon equation in a domain with time-dependent boundary

We solve a Dirichlet boundary value problem for the Klein–Gordon equation posed in a time-dependent domain. Our approach is based on a general transform method for solving boundary value problems for linear and integrable nonlinear PDE in two variables. Our results consist of the inversion formula for a generalized Fourier transform, and of the application of this generalized transform to the solution of the boundary value problem.

Dissipative three-wave structures in stimulated backscattering. I. A subluminous solitary attractor

We present a solitary solution of the three-wave nonlinear partial differential equation (PDE) model - governing resonant space-time stimulated Brillouin or Raman backscattering - in the presence of a cw pump and dissipative material and Stokes waves. The study is motivated by pulse formation in optical fiber experiments. As a result of the instability any initial bounded Stokes signal is amplified and evolves to a subluminous backscattered Stokes pulse whose shape and velocity are uniquely determined by the damping coefficients and the cw-pump level. This asymptotically stable solitary three-wave structure is an attractor for any initial conditions in a compact support, in contrast to the known superluminous dissipative soliton solution which calls for an unbounded support. The linear asymptotic theory based on the Kolmogorov-Petrovskii-Piskunov assertion allows us to determine analytically the wave-front slope and the subluminous velocity, which are in remarkable agreement with the numerical computation of the nonlinear PDE model when the dynamics attains the asymptotic steady regime. © 1997 The American Physical Society.

Black-scholes type equations

In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation which models transaction costs arising in option pricing is discretized by a new high order compact scheme. The compact scheme is proved to be unconditionally stable and non-oscillatory and is very efficient compared to classical schemes. Moreover, it is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. In the next chapter we turn to the calibration problem of computing local volatility functions from market data in a generalized Black-Scholes setting. We follow an optimal control approach in a Lagrangian framework. We show the existence of a global solution and study first- and second-order optimality conditions. Furthermore, we propose an algorithm that is based on a globalized sequential quadratic programming method and a primal-dual active set strategy, and present numerical results. In the last chapter we consider a quasilinear parabolic equation with quadratic gradient terms, which arises in the modeling of an optimal portfolio in incomplete markets. The existence of weak solutions is shown by considering a sequence of approximate solutions. The main difficulty of the proof is to infer the strong convergence of the sequence. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution, but without additional regularity assumptions on the solution. The results are illustrated by a numerical example.

Modelling and PI Control of an Irrigation Canal

The main goal of this paper is to expose and validate a methodology to design efficient automatic controllers for irrigation canals, based on the Saint-Venant model. This model-based methodology enables to design controllers at the design stage (when the canal is not already built). The methodology is applied on an experimental canal located in Portugal. First the full nonlinear PDE model is calibrated, using a single steady-state experiment. The model is then linearized around a functioning point, in order to design linear PI controllers. Two classical control strategies are tested (local upstream control and distant downstream control) and compared on the canal. The experimental results show the effectiveness of the model.

The elliptic sine-Gordon equation: a nonlinear elliptic integrable PDE

In this paper, we summarise this recent progress to underline the features specific to this nonlinear elliptic case, and we give a new classification of boundary conditions on the semistrip that satisfy a necessary condition for yielding a boundary value problem can be effectively linearised. This classification is based on formulation the equation in terms of an alternative Lax pair.

Efficient preconditioning of the method of lines for solving nonlinear two-sided space-fractional diffusion equations

A standard method for the numerical solution of partial differential equations (PDEs) is the method of lines. In this approach the PDE is discretised in space using �finite di�fferences or similar techniques, and the resulting semidiscrete problem in time is integrated using an initial value problem solver. A significant challenge when applying the method of lines to fractional PDEs is that the non-local nature of the fractional derivatives results in a discretised system where each equation involves contributions from many (possibly every) spatial node(s). This has important consequences for the effi�ciency of the numerical solver. First, since the cost of evaluating the discrete equations is high, it is essential to minimise the number of evaluations required to advance the solution in time. Second, since the Jacobian matrix of the system is dense (partially or fully), methods that avoid the need to form and factorise this matrix are preferred. In this paper, we consider a nonlinear two-sided space-fractional di�ffusion equation in one spatial dimension. A key contribution of this paper is to demonstrate how an eff�ective preconditioner is crucial for improving the effi�ciency of the method of lines for solving this equation. In particular, we show how to construct suitable banded approximations to the system Jacobian for preconditioning purposes that permit high orders and large stepsizes to be used in the temporal integration, without requiring dense matrices to be formed. The results of numerical experiments are presented that demonstrate the effectiveness of this approach.

A characteristic based numerical method with tracking for nonlinear wave equations

Many physical problems can be modeled by scalar, first-order, nonlinear, hyperbolic, partial differential equations (PDEs). The solutions to these PDEs often contain shock and rarefaction waves, where the solution becomes discontinuous or has a discontinuous derivative. One can encounter difficulties using traditional finite difference methods to solve these equations. In this paper, we introduce a numerical method for solving first-order scalar wave equations. The method involves solving ordinary differential equations (ODEs) to advance the solution along the characteristics and to propagate the characteristics in time. Shocks are created when characteristics cross, and the shocks are then propagated by applying analytical jump conditions. New characteristics are inserted in spreading rarefaction fans. New characteristics are also inserted when values on adjacent characteristics lie on opposite sides of an inflection point of a nonconvex flux function, Solutions along characteristics are propagated using a standard fourth-order Runge-Kutta ODE solver. Shocks waves are kept perfectly sharp. In addition, shock locations and velocities are determined without analyzing smeared profiles or taking numerical derivatives. In order to test the numerical method, we study analytically a particular class of nonlinear hyperbolic PDEs, deriving closed form solutions for certain special initial data. We also find bounded, smooth, self-similar solutions using group theoretic methods. The numerical method is validated against these analytical results. In addition, we compare the errors in our method with those using the Lax-Wendroff method for both convex and nonconvex flux functions. Finally, we apply the method to solve a PDE with a convex flux function describing the development of a thin liquid film on a horizontally rotating disk and a PDE with a nonconvex flux function, arising in a problem concerning flow in an underground reservoir.

Active Vibration Suppression of One-dimensional Nonlinear Structures Using Optimal Dynamic Inversion

A flexible robot arm can be modeled as an Euler-Bernoulli beam which are infinite degrees of freedom (DOF) system. Proper control is needed to track the desired motion of a robotic arm. The infinite number of DOF of beams are reduced to finite number for controller implementation, which brings in error (due to their distributed nature). Therefore, to represent reality better distributed parameter systems (DPS) should be controlled using the systems partial differential equation (PDE) directly. In this paper, we propose to use a recently developed optimal dynamic inversion technique to design a controller to suppress nonlinear vibration of a beam. The method used in this paper determines control forces directly from the PDE model of the system. The formulation has better practical significance, because it leads to a closed form solution of the controller (hence avoids computational issues).

Three parallel programming paradigms: Comparisons on an archetypal PDE computation

Three paradigms for distributed-memory parallel computation that free the application programmer from the details of message passing are compared for an archetypal structured scientific computation -- a nonlinear, structured-grid partial differential equation boundary value problem -- using the same algorithm on the same hardware. All of the paradigms -- parallel languages represented by the Portland Group's HPF, (semi-)automated serial-to-parallel source-to-source translation represented by CAP-Tools from the University of Greenwich, and parallel libraries represented by Argonne's PETSc -- are found to be easy to use for this problem class, and all are reasonably effective in exploiting concurrency after a short learning curve. The level of involvement required by the application programmer under any paradigm includes specification of the data partitioning, corresponding to a geometrically simple decomposition of the domain of the PDE. Programming in SPMD style for the PETSc library requires writing only the routines that discretize the PDE and its Jacobian, managing subdomain-to-processor mappings (affine global-to-local index mappings), and interfacing to library solver routines. Programming for HPF requires a complete sequential implementation of the same algorithm as a starting point, introduction of concurrency through subdomain blocking (a task similar to the index mapping), and modest experimentation with rewriting loops to elucidate to the compiler the latent concurrency. Programming with CAPTools involves feeding the same sequential implementation to the CAPTools interactive parallelization system, and guiding the source-to-source code transformation by responding to various queries about quantities knowable only at runtime. Results representative of "the state of the practice" for a scaled sequence of structured grid problems are given on three of the most important contemporary high-performance platforms: the IBM SP, the SGI Origin 2000, and the CRAYY T3E.