A numerical scheme for solutions of stochastic advection diffusion equations

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In this paper, finite difference schemes are proposed to approximate solutions of stochastic advection-diffusion equations. We used central-difference formula of third-order to approximate spatial derivatives. The stability, consistency and convergence of the scheme are analysed and established. A numerical result is also given to demonstrate the computational efficiency of the stochastic schemes.

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Nội dung Text: A numerical scheme for solutions of stochastic advection diffusion equations

TRƯỜNG ĐẠI HỌC SƯ PHẠM TP HỒ CHÍ MINH TẠP CHÍ KHOA HỌC HO CHI MINH CITY UNIVERSITY OF EDUCATION JOURNAL OF SCIENCE KHOA HỌC TỰ NHIÊN VÀ CÔNG NGHỆ NATURAL SCIENCES AND TECHNOLOGY ISSN: 1859-3100 Tập 14, Số 9 (2017): 15-23 Vol. 14, No. 9 (2017): 15-23 Email: tapchikhoahoc@hcmue.edu.vn; Website: http://tckh.hcmue.edu.vn A NUMERICAL SCHEME FOR SOLUTIONS OF STOCHASTIC ADVECTION-DIFFUSION EQUATIONS Nguyen Tien Dung*, Nguyen Anh Tra Ho Chi Minh City University of Technology Received: 31/3/2017; Revised: 03/5/2017; Accepted: 13/5/2017 ABSTRACT In this paper, finite difference schemes are proposed to approximate solutions of stochastic advection-diffusion equations. We used central-difference formula of third-order to approximate spatial derivatives. The stability, consistency and convergence of the scheme are analysed and established. A numerical result is also given to demonstrate the computational efficiency of the stochastic schemes. Keywords: stochastic partial differential equation, finite difference method, convergence, stability. TÓM TẮT Một xấp xỉ nghiệm của phương trình khuếch tán bình lưu ngẫu nhiên Trong bài báo này, phương pháp sai phân hữu hạn được sử dụng để xấp xỉ nghiệm của phương trình khuếch tán bình lưu ngẫu nhiên. Chúng tôi áp dụng công thức sai phân trung tâm bậc ba để ước lượng các đạo hàm riêng. Sự ổn định và sự hội tụ của lược đồ sai phân được nghiên cứu và đánh giá. Một ví dụ tính toán số cũng được xem xét để minh họa tính đúng đắn và hiệu quả của phương pháp xấp xỉ được đề xuất. Từ khóa: phương trình đạo hàm riêng ngẫu nhiên, phương pháp sai phân hữu hạn, sự hội tụ, sự ổn định. 1. Introduction Many applications in engineering and mathematical finance has developed with a heavy emphasis on stochastic partial differential equations (SPDEs). Apparently, appropriate algorithms that can approximate these equations have attracted many researchers since we can hardly find explicit formula of the corresponding solutions. In [2], [3], [4], [5], the authors studied the weak and the strong numerical schemes for SPDEs. In this paper, we would like to propose a finite difference scheme for the following advection-diffusion  (1) u ( x, t )   u ( x, t )   u ( x, t )   u ( x , t )W (t ) t * x xx Email: dungnt@hcmut.edu.vn 15 TẠP CHÍ KHOA HỌC - Trường ĐHSP TPHCM 1 with respect to an Tập 14, Số 9 (2017): 15-23 -valued Wiener process (W (t ), Ft ) defined on a probability space (, F , P) , adapted to the standard filtration ( Ft ) . The parameter  is the viscosity coefficient and  is the phase speed, and both are assumed to be positive. One may refers to [1] for applications of advection-diffusion equations in geophysics and [8] for its applications in consensus. It is known that Young and Grygory [13] established an approximation scheme for one dimension advection-diffusion equation in 1973. Later, [10], [11] proposed the idea of using three-point and five-point finite difference schemes to approximate the solution of stochastic diffusion equations without advection but unable to verify the corresponding stability and convergence. Similar approach using seven-point schemes is also implemented in [5] for the same equations. In 2011, [12] presented stochastic alternating direction explicit methods for advection-diffusion equations. In this paper, we would like to study the stability and convergence of a numerical scheme using three-point finite difference scheme for stochastic advection diffusion equations. This paper is organised as follows: The next section introduces some preliminaries regarding to stochastic advection diffusion equation. In section 3, a three-point central difference scheme is presented and the stability and the convergence of the proposed scheme are carried out. Finally, the computational performance of the stochastic difference method is demonstrated in section 4. 2. Preliminaries In this paper, we study a finite difference scheme for a stochastic advection diffusion equation  u ( x, t )   u ( x, t )   u ( x, t )   u ( x , t )W (t ), for all t  [0, T ], x  [0, l ] (2) t x xx with initial-boundary conditions u( x, 0)  u0 ( x ), for all x  [0, l ] u(0, t )  where W (t ) is a f 0 (t ) and u(l , t )  f l (t ), for all t  [0, T ] 1 (3) -valued Brownian motion, and  ,  and  are constants. One may refers to [12] for further discussions on the solutions of equations (2)-(3), including the existence and uniqueness. For simplicity, we denote by L the following operator  (4) Lu  ut ( x , t )   u x ( x , t )   u xx ( x, t )   u ( x, t )W (t ). Then equation (2) becomes Lu ( x, t )  0. 16 (5) TẠP CHÍ KHOA HỌC - Trường ĐHSP TPHCM Nguyen Tien Dung et al. 3. Three-point central difference scheme In this section, we will apply three-point central difference formula to estimate the solution of (2). T Let x and  t be the space step and the time step respectively such that N  t l and K  are positive integers. x t t Let   and   . For all n  0,, N , we denote (x)2 x ukn1  (1  2 )u  (   )u n u0 1 n u K1   f 0 ((n  1)t ) fl ((n  1)t ) 0 uk  u (k x,0), k  0, , K . n k n k 1 2  ukn Wn , k  1, , K  1  (   n )uk 1 2 (6) where Wn  Wn 1  Wn These equations give an approximation scheme for the solution of equations (2)-(3). For convenience, put xk  k x and tn  nt , and we introduce the following operator  un  un  t Ln u n  ukn1  ukn  t  k 1 k 1    2 ukn1  2ukn  ukn1 k x  2 x  n   uk [W (tn 1 )  W (tn )]   n n where un  (u0 ,, uK ) and un  [u( x0 , tn ),, u( xK , tn )] . We can then verify that (6) is equivalent to Ln un k u0  0  u0 We refer to [5] for the following definitions, but first we introduce for sequences u  (, uk , ) the sup-norm u  sup | u k |2 . k Definition 3.1. A stochastic difference scheme Ln un  0 approximating the stochastic partial k differential equation Lv  0 is convergent in mean square at time t if, as x  0 E uN  vN 2  0 where u N  ( , u kN , ) and v N  (, vkN , ) . 17 TẠP CHÍ KHOA HỌC - Trường ĐHSP TPHCM Tập 14, Số 9 (2017): 15-23 Definition 3.2. A stochastic difference scheme is said to be stable with respect to a norm in mean square if there exist positive constants x0 and t0 , and nonnegative constants K and  such that E || u N ||2  KeT E || u0 ||2 , for all 0  x  x0 and 0  t  t0 . In what follows, we will study the consistence, the stability and the convergence of scheme (6). For convenience, we use notation   to denote the supremum norm. Theorem 3.3.  1 If    , then scheme (6) with a fixed space step x is conditionally stable. In 2 2 fact, there exists a constant C such that n 0 sup E | uk |2  C sup E | uk |2 k for all n  0 . k Proof. Equation (6) implies that E | ukn1 |2  E |(1  2 )ukn  (  If    n )uk 1  (   )ukn1 |2  E( 2 )(t )E | ukn |2 2 2 (7)  , then (7) becomes 2 n n E | uk 1 |2  E 1   2 t  sup E | uk |2   k 0,, K Thus n sup E | u k 1 |2  (1   2 t ) sup E | ukn |2 k  0,, K k  0,, K for all n  0 . Consequently, sup E | ukn |2 0  (1   2 t ) n sup E | uk |2 k  0,, K k  0,, K e  2T 0 sup E | uk |2 (8) k  0,, K  Theorem 3.4.  1 If    then scheme (6) converges in norm   to the solution of equations 2 2 (2)-(3). Proof. First of all, (6) implies that 18 TẠP CHÍ KHOA HỌC - Trường ĐHSP TPHCM n uk 1  ukn   Nguyen Tien Dung et al. n n t (ukn1  2ukn  ukn1 ) t uk 1  uk 1 x 2 2 x (9)  u (W (( n  1) t )  W ( nt )). n k n On the other hand, denote by vk the value of the solution of equation (2) at ( xk , tn ) . Assume that s [tn , tn1 ] . We have n vk 1  vkn1 t v x ( xk , s )   vt (x k 1 , t n   k 1 (s) t)  vt (x k 1 , t n   k 1 (s) t) 2 x 2 x ( x ) 2  [vxxx ( xk   k 1 ( s)x, s)  vxxx ( xk   k 1 ( s)x, s)] 12 (10) where 0  k 1 (r ),k 1 (r )  1 . Similarly vxx ( xk , s)  1 t  n  2 kn  kn1   2  k 1  ( x ) 2 [ t (x k 1 , t n   k 1 (s)  t) ( x ) 2 t (x k , t n   k (s) t)  t (x k 1 , t n   k 1 (s) t)]  x [vxxxx ( xk   k 1 (s)x,s)  vxxxx ( xk   k 1 (s)x,s)] 6 (11) where 0   k 1 (s),  k (s),  k 1 (s)  1 . For the sake of simplicity, we denote  k1 (s)  v xxx ( xk   k 1 (s) x, s)  k1 (s)  v xxx ( xk   k 1 (s) x ,s) and k i (s)  vt ( xk i , tn   k i (s) t ) for all i  1,0,1 . Integrating both sides of equation (2) from tn to tn 1 , and then substituting vx and vxx given by equations (10) and (11) into the resulting equation, we deduce 19