Kenneth H. Karlsen

Monotone Difference Approximations Of BV Solutions To Degenerate Convection-Diffusion Equations

We consider consistent, conservative-form, monotone difference schemes for nonlinear convection-diffusion equations in one space dimension. Since we allow the diffusion term to be strongly degenerate, solutions can be discontinuous and, in general, are not uniquely determined by their data. Here we choose to work with weak solutions that belong to the BV (in space and time) class and, in addition, satisfy an entropy condition. A recent result of Wu and Yin [ Northeastern Math J., 5 (1989), pp. 395--422] states that these so-called BV entropy weak solutions are unique. The class of equations under consideration is very large and contains, to mention only a few, the heat equation, the porous medium equation, the two phase flow equation, and hyperbolic conservation laws. The difference schemes are shown to converge to the unique BV entropy weak solution of the problem. In view of the classical theory for monotone difference approximations of conservation laws, the main difficulty in obtaining a similar convergence theory in the present context is to show that the (strongly degenerate) discrete diffusion term is sufficiently smooth. We provide the necessary regularity estimates by deriving and carefully analyzing a linear difference equation satisfied by the numerical flux of the difference schemes. Finally, we make some concluding remarks about monotone difference schemes for multidimensional equations.

Well-posedness in BV t and convergence of a difference scheme for continuous sedimentation in ideal clarifier-thickener units

Summary.We consider a scalar conservation law modeling the settling of particles in an ideal clarifier-thickener unit. The conservation law has a nonconvex flux which is spatially dependent on two discontinuous parameters. We suggest to use a Kružkov-type notion of entropy solution for this conservation law and prove uniqueness (L1 stability) of the entropy solution in the BVt class (functions W(x,t) with ∂tW being a finite measure). The existence of a BVt entropy solution is established by proving convergence of a simple upwind finite difference scheme (of the Engquist-Osher type). A few numerical examples are also presented.

Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach

Abstract. We study a problem of optimal consumption and portfolio selection in a market where the logreturns of the uncertain assets are not necessarily normally distributed. The natural models then involve pure-jump Lévy processes as driving noise instead of Brownian motion like in the Black and Scholes model. The state constrained optimization problem involves the notion of local substitution and is of singular type. The associated Hamilton-Jacobi-Bellman equation is a nonlinear first order integro-differential equation subject to gradient and state constraints. We characterize the value function of the singular stochastic control problem as the unique constrained viscosity solution of the associated Hamilton-Jacobi-Bellman equation. This characterization is obtained in two main steps. First, we prove that the value function is a constrained viscosity solution of an integro-differential variational inequality. Second, to ensure that the characterization of the value function is unique, we prove a new comparison (uniqueness) result for the state constraint problem for a class of integro-differential variational inequalities. In the case of HARA utility, it is possible to determine an explicit solution of our portfolio-consumption problem when the Lévy process posseses only negative jumps. This is, however, the topic of a companion paper [7].

A Model of Continuous Sedimentation of Flocculated Suspensions in Clarifier-Thickener Units

The chief purpose of this paper is to formulate and partly analyze a new mathematical model for continuous sedimentation-consolidation processes of flocculated suspensions in clarifier-thickener units. This model appears in two variants for cylindrical and variable cross-sectional area units, respectively (Models 1 and 2). In both cases, the governing equation is a scalar, strongly degenerate parabolic equation in which both the convective and diffusion fluxes depend on parameters that are discontinuous functions of the depth variable. The initial value problem for this equation is analyzed for Model 1. We introduce a simple finite difference scheme and prove its convergence to a weak solution that satisfies an entropy condition. A limited analysis of steady states as desired stationary modes of operation is performed. Numerical examples illustrate that the model realistically describes the dynamics of flocculated suspensions in clarifier-thickeners.

CONVERGENCE OF THE LAX-FRIEDRICHS SCHEME AND STABILITY FOR CONSERVATION LAWS WITH A DISCONTINUOUS SPACE-TIME DEPENDENT FLUX

The authors give the first convergence proof for the Lax-Friedrichs finite difference scheme for non-convex genuinely nonlinear scalar conservation laws of the form where the coefficient k(x,t) is allowed to be discontinuous along curves in the (x,t) plane. In contrast to most of the existing literature on problems with discontinuous coefficients, here the convergence proof is not based on the singular mapping approach, but rather on the div-curl lemma (but not the Young measure) and a Lax type entropy estimate that is robust with respect to the regularity of k(x,t). Following [14], the authors propose a definition of entropy solution that extends the classical Kružkov definition to the situation where k(x,t) is piecewise Lipschitz continuous in the (x,t) plane, and prove the stability (uniqueness) of such entropy solutions, provided that the flux function satisfies a so-called crossing condition, and that strong traces of the solution exist along the curves where k(x,t) is discontinuous. It is shown that a convergent subsequence of approximations produced by the Lax-Friedrichs scheme converges to such an entropy solution, implying that the entire computed sequence converges.

An Engquist-Osher-Type Scheme for Conservation Laws with Discontinuous Flux Adapted to Flux Connections

We consider scalar conservation laws with the spatially varying flux

On Nonlinear Stochastic Balance Laws

H(x)f(u)+(1-H(x))g(u)

ANALYSIS OF A CLASS OF DEGENERATE REACTION-DIFFUSION SYSTEMS AND THE BIDOMAIN MODEL OF CARDIAC TISSUE

, where

Renormalized Entropy Solutions for Quasi-linear Anisotropic Degenerate Parabolic Equations

H(x)

A front tracking approach to a model of continuous sedimentation in ideal clarifier-thickener units

is the Heaviside function and