We prove an abstract convergence result for a family of dual-mesh based quadrature rules on tensor products of simplical meshes. In the context of the multilinear tensor-product finite element discretization of reaction-drift-diffusion equations, our quadrature rule generalizes the mass-lump rule, retaining its most useful properties; for a nonnegative reaction coefficient, it gives an $O(h^2)$-accurate, nonnegative diagonalization of the reaction operator. The major advantage of our scheme in comparison with the standard mass lumping scheme is that, under mild conditions, it produces an $O(h^2)$ consistency error even when the integrand has a jump discontinuity. The finite-volume-type quadrature rule has been stated in a less general form and applied to systems of reaction-diffusion equations related to particle-based stochastic reaction-diffusion simulations (PBSRD); in this context, the reaction operator is \textit{required} to be an $M$-matrix and a standard model for bimolecular reactions has a discontinuous reaction coefficient. We apply our convergence results to a finite element discretization of scalar drift-diffusion-reaction model problem related to PBSRD systems, and provide new numerical convergence studies confirming the theory.
We prove that a class of monotone finite volume schemes for scalar conservation laws with discontinuous flux converge at a rate of $\sqrt{Δx}$ in $\mathrm{L}^1$, whenever the flux is strictly monotone in $u$ and the spatial dependency of the flux is piecewise constant with finitely many discontinuities. We also present numerical experiments to illustrate the main result. To the best of our knowledge, this is the first proof of any type of convergence rate for numerical methods for conservation laws with discontinuous, nonlinear flux. Our proof relies on convergence rates for conservation laws …
We study the numerical approximation of stochastic evolution equations with a monotone drift driven by an infinite-dimensional Wiener process. To discretize the equation, we combine a drift-implicit two-step BDF method for the temporal discretization with an abstract Galerkin method for the spatial discretization. After proving well-posedness of the BDF2-Maruyama scheme, we establish a convergence rate of the strong error for equations under suitable Lipschitz conditions. We illustrate our theoretical results through various numerical experiments and compare the performance of the BDF2-Maruyam…
In this paper we study jump-diffusion stochastic differential equations (SDEs) with a discontinuous drift coefficient and a possibly degenerate diffusion coefficient. Such SDEs appear in applications such as optimal control problems in energy markets. We prove existence and uniqueness of strong solutions. In addition we study the strong convergence order of the Euler-Maruyama scheme and recover the optimal rate $1/2$.
In this paper, we consider scalar stochastic differential equations (SDEs) with a superlinearly growing and piecewise continuous drift coefficient. Existence and uniqueness of strong solutions of such SDEs are obtained. Furthermore, the classical $L_p$-error rate 1/2 for all $p\in [1, +\infty)$ is recovered for the tamed Euler scheme. A numerical example is provided to support our conclusion.
Numerical methods for SDEs with drift discontinuous on a set of positive reach
University of Salzburg（萨尔茨堡大学）；Johannes Kepler University Linz（林茨约翰内斯开普勒大学）；University of Cambridge（剑桥大学）；University of Graz（格拉茨大学）；Vienna University of Economics and Business（维也纳经济与商业大学）；ETH Zürich（苏黎世联邦理工学院）
We prove that adapted entropy solutions of scalar conservation laws with discontinuous flux are stable with respect to changes in the flux under the assumption that the flux is strictly monotone in u and the spatial dependency is piecewise constant with finitely many discontinuities. We use this stability result to prove a convergence rate for the front tracking method -- a numerical method which is widely used in the field of conservation laws with discontinuous flux. To the best of our knowledge, both of these results are the first of their kind in the literature on conservation laws with di…
We establish a general theory of optimal strong error estimation for numerical approximations of a second-order parabolic stochastic partial differential equation with monotone drift driven by a multiplicative infinite-dimensional Wiener process. The equation is spatially discretized by Galerkin methods and temporally discretized by drift-implicit Euler and Milstein schemes. By the monotone and Lyapunov assumptions, we use both the variational and semigroup approaches to derive a spatial Sobolev regularity under the $L_ω^p L_t^\infty \dot H^{1+γ}$-norm and a temporal Hölder regularity under th…
Design of modern nanostructured semiconductor devices often calls for simulation tools capable of modeling arbitrarily-shaped multiscale geometries. In this work, to this end, a discontinuous Galerkin (DG) method-based framework is developed to simulate steady-state response of semiconductor devices. The proposed framework solves a system of Poisson equation (in electric potential) and drift-diffusion equations (in charge densities), which are nonlinearly coupled via the drift current and the charge distribution. This system is decoupled and linearized using the Gummel method and the resulting…
We introduce an explicit adaptive Milstein method for stochastic differential equations (SDEs) with no commutativity condition. The drift and diffusion are separately locally Lipschitz and together satisfy a monotone condition. This method relies on a class of path-bounded time-stepping strategies which work by reducing the stepsize as solutions approach the boundary of a sphere, invoking a backstop method in the event that the timestep becomes too small. We prove that such schemes are strongly $L_2$ convergent of order one. This order is inherited by an explicit adaptive Euler-Maruyama scheme…
This article considers the extension of two-grid $hp$-version discontinuous Galerkin finite element methods for the numerical approximation of second-order quasilinear elliptic boundary value problems of monotone type to the case when agglomerated polygonal/polyhedral meshes are employed for the coarse mesh approximation. We recall that within the two-grid setting, while it is necessary to solve a nonlinear problem on the coarse approximation space, only a linear problem must be computed on the original fine finite element space. In this article, the coarse space will be constructed by agglome…
Incorporation of plasmonic nanostructures in the design of photoconductive devices (PCDs) has significantly improved their optical-to-terahertz conversion efficiency. However, this improvement comes at the cost of increased complexity for the design and simulation of these devices. Indeed, accurate and efficient modeling of multiphysics processes and intricate device geometries of nanostructured PCDs is challenging due to the high computational cost resulting from multiple characteristic scales in time and space. In this work, a discontinuous Galerkin (DG)-based unit-cell scheme for efficient …
We introduce a generalized finite difference method for solving a large range of fully nonlinear elliptic partial differential equations in three dimensions. Methods are based on Cartesian grids, augmented by additional points carefully placed along the boundary at high resolution. We introduce and analyze a least-squares approach to building consistent, monotone approximations of second directional derivatives on these grids. We then show how to efficiently approximate functions of the eigenvalues of the Hessian through a multi-level discretization of orthogonal coordinate frames in $\mathbb{…
Plasmonic nanostructures significantly improve the performance of photoconductive devices (PCDs) in generating terahertz radiation. However, they are geometrically intricate and result in complicated electromagnetic (EM) field and carrier interactions under a bias voltage and upon excitation by an optical EM wave. These lead to new challenges in simulations of plasmonic PCDs, which cannot be addressed by existing numerical frameworks. In this work, a multiphysics framework making use of discontinuous Galerkin (DG) methods is developed to address these challenges. The operation of the PCD is an…
We are interested in the optimal control problem associated with certain quadratic cost functionals depending on the solution $X=X^α$ of the stochastic mean-field type evolution equation in $\mathbb R^d$ $dX_t=b(t,X_t,\mathcal L(X_t),α_t)dt+σ(t,X_t,\mathcal L(X_t),α_t)dW_t,$ $X_0\sim μ$ given, under assumptions that enclose a sytem of FitzHugh-Nagumo neuron networks, and where for practical purposes the control $α_t$ is deterministic. To do so, we assume that we are given a drift coefficient that satisfies a one-sided Lipshitz condition, and that the dynamics is subject to a (convex) level set…
