Fully Discrete Approximation Methods for Parabolic Poblems with Nonsmooth Initial Data

We study the space-time finite element discretizations for time fractional parabolic integro-differential equations in a bounded convex polygonal domain in $${\mathbb {R}}^d (d=1,2,3)$$ . Both spatially semidiscrete and fully discrete finite element approximations are considered and analyzed. We use piecewise linear and continuous finite elements to approximate the space variable whereas the time discretization uses two fully discrete schemes based on the convolution quadrature, namely the backward Euler and the second-order backward difference. For the spatially discrete scheme, optimal order a priori error estimates are derived for smooth initial data, i.e., when $$u_0\in H_0^1(\varOmega )\cap H^2(\varOmega )$$ . Moreover, for the homogeneous problem, almost optimal error estimates for positive time are established for nonsmooth initial data, i.e., when the initial function $$u_0$$ is only in $$ L^2(\varOmega )$$ . The error estimates for the fully discrete methods are shown to be optimal in time for both smooth and nonsmooth initial data under the specific choice of the kernel operator in the integral. Finally, we provide some numerical illustrations to verify our theoretical analysis.

In this paper, a finite volume element (FVE) method is considered for spatial approximations of time fractional diffusion equations involving a Riemann-Liouville fractional derivative of order α ∈ (0, 1) in time. Improving upon earlier results [Karaa et al., IMA J. Numer. Anal. 37 (2017) 945–964], error estimates in L2 (Ω)- and H1 (Ω)-norms for the semidiscrete problem with smooth and mildly smooth initial data, i.e., v ∈ H2(Ω) ∩ H01(Ω) and v ∈ H01(Ω) are established. For nonsmooth data, that is, v ∈ L2 (Ω), the optimal L2 (Ω)-error estimate is shown to hold only under an additional assumption on the triangulation, which is known to be satisfied for symmetric triangulations. Superconvergence result is also proved and as a consequence, a quasi-optimal error estimate is established in the L∞ (Ω)-norm. Further, two fully discrete schemes using convolution quadrature in time generated by the backward Euler and the second-order backward difference methods are analyzed, and error estimates are derived for both smooth and nonsmooth initial data. Based on a comparison of the standard Galerkin finite element solution with the FVE solution and exploiting tools for Laplace transforms with semigroup type properties of the FVE solution operator, our analysis is then extended in a unified manner to several time fractional order evolution problems. Finally, several numerical experiments are conducted to confirm our theoretical findings.

The subdiffusion equation with a Caputo fractional derivative of order � 2 (0, 1) in time arises in a wide variety of practical applications, and it is often adopted to model anomalous subdiffusion processes in heterogeneous media. The L1 scheme is one of the most popular and successful numerical methods for dis- cretizing the Caputo fractional derivative in time. The scheme was analyzed earlier independently by Lin and Xu (2007) and Sun and Wu (2006), and an O(� 2−� ) convergence rate was established, under the assumption that the solution is twice continuously differentiable in time. However, in view of the smoothing property of the subdiffusion equation, this regularity condition is restrictive, since it does not hold even for the homogeneous problem with a smooth initial data. In this work, we revisit the error analysis of the scheme, and establish an O(�) convergence rate for both smooth and nonsmooth initial data. The analysis is valid for more gen- eral sectorial operators. In particular, the L1 scheme is applied to one-dimensional space-time fractional diffusion equations, which involves also a Riemann-Liouville derivative of order � 2 (3/2,2) in space, and error estimates are provided for the fully discrete scheme. Numerical experiments are provided to verify the sharpness of the error estimates, and robustness of the scheme with respect to data regularity.

On the discretization in time for a parabolic integrodifferential equation with a weakly singular kernel II: nonsmooth initial data

In this paper, a backward Euler method combined with finite element discretization in spatial direction is discussed for the equations of motion arising in the two-dimensional Oldroyd model of viscoelastic fluids of order one with the forcing term independent of time or in $L^{\infty }$ in time. It is shown that the estimates of the discrete solution in Dirichlet norm is bounded uniformly in time. Optimal a priori error estimate in $\textbf {L}^2$-norm is derived for the discrete problem with nonsmooth initial data. This estimate is shown to be uniform in time, under the assumption of uniqueness condition. Finally, we present some numerical results to validate our theoretical results.

We investigate semi-discrete numerical schemes based on the standard Galerkin and lumped mass Galerkin finite element methods for an initial-boundary value problem for homogeneous fractional diffusion problems with non-smooth initial data. We assume that Ωi¾?i¾?i¾?ℝ d , di¾?=i¾?1,2,3 is a convex polygonal polyhedral domain. We theoretically justify optimal order error estimates in L 2- and H 1-norms for initial data in H -i¾?s Ω,i¾?0i¾?≤i¾?si¾?≤i¾?1. We confirm our theoretical findings with a number of numerical tests that include initial data v being a Dirac i¾?-function supported on a di¾?-i¾?1-dimensional manifold.

Efficient L-stable method for parabolic problems with application to pricing American options under stochastic volatility

We derive rigorous error bounds for exponential Runge–Kutta discretizations of parabolic equations with nonsmooth initial data. Our analysis is carried out in the framework of abstract semilinear evolution equations, allowing for operators with non-dense domains. The results provide a foundation for establishing error estimates for nonsmooth data in prototypical problems such as the Allen-Cahn and Burgers equations. Furthermore, we apply these estimates to the analysis of split exponential integrators, yielding convergence results expressed explicitly in terms of the prescribed data.

Runge-Kutta time discretization of reaction-diffusion and Navier-Stokes equations: nonsmooth-data error estimates and applications to long-time behaviour

A holomorphic semigroup approach to the lumped mass finite element method

Some efficient, high order methods are discussed for approximating the solution of an initial boundary value problem for a homogeneous parabolic equation with time dependent coefficients. The methods are based on Galerkin-type approximations in the spacial variables and single step methods in the time variable. The equations defining the time-stepping procedure are solved only approximately, however. A preconditioned iterative technique is used for this purpose. The resulting algorithm is shown to produce optimal order approximations using only the order of work required by the single step method applied to the parabolic problem with time independent coefficients.

Singular source terms in sub-diffusion equations may lead to the unboundedness of solutions, which will bring a severe reduction of convergence order of existing time-stepping schemes. In this work, we propose two efficient time-stepping schemes for solving sub-diffusion equations with a class of source terms mildly singular in time. One discretization is based on the Gr{\"u}nwald-Letnikov and backward Euler methods. First-order error estimate with respect to time is rigorously established for singular source terms and nonsmooth initial data. The other scheme derived from the second-order backward differentiation formula (BDF) is proved to possess second-order accuracy in time. Further, piecewise linear finite element and lumped mass finite element discretizations in space are applied and analyzed rigorously. Numerical investigations confirm our theoretical results.

Abstract. We study spatially semidiscrete and fully discrete finite volume element methods for the homogeneous heat equation with homogeneous Dirichlet boundary conditions and derive error estimates for smooth and nonsmooth initial data. We show that the results of our earlier work [Math. Comp. 81 (2012), 1–20] for the lumped mass method carry over to the present situation. In particular, in order for error estimates for initial data only in L2 to be of optimal second order for positive time, a special condition is required, which is satisfied for symmetric triangulations. Without any such condition, only first order convergence can be shown, which is illustrated by a counterexample. Improvements hold for triangulations that are almost symmetric and piecewise almost symmetric.

A method of matched asymptotic expansions has been used to construct an n-term uniformly valid approximate solution for an initial value problem of a linear singularly perturbed parabolic equation exhibiting an internal layer behavior. It is shown that each internal layer function caused by a non-smooth initial data can be described by an n-th iterated integral of the complementary error function.

Linearly implicit time discretizations of semilinear parabolic equations with non-smooth initial data are studied. The analysis uses the framework of analytic semigroups which includes reaction-diffusion equations and the incompressible Navier-Stokes equations. It is shown that the order of convergence on finite time intervals is essentially one. Applications to the long-term behaviour of linearly implicit Runge-Kutta methods are given.