Philosophiae Doctor - PhD / In this thesis, we consider some nonlinear differential models that govern unsteady magneto-hydrodynamic convective flow and mass transfer of viscous, incompressible,electrically conducting fluid past a porous plate with/without heat sources. The study focusses on the effect of a combination of a number of physical parameters (e.g., chemical reaction, suction, radiation, soret effect,thermophoresis and radiation absorption) which play vital role in these models.Non dimensionalization of these models gives us sets of differential equations. Reliable solutions of such differential equations can-not be obtained by standard numerical techniques. We therefore resorted to the use of the singular perturbation approaches. To proceed, each of these model problems is discretized in time by using a suitable time-stepping method and then by using a fitted operator finite difference method in spatial direction. The combined methods are then analyzed for stability and convergence. Aiming to study the robustness of the proposed numerical schemes with respect to change in the values of the key parame- ters, we present extensive numerical simulations for each of these models. Finally, we confirm theoretical results through a set of specificc numerical experiments.

Financial engineering problems are of great importance in the academic community and BlackScholes equation is a revolutionary concept in the modern financial theory. Financial instruments such as stocks and derivatives can be evaluated using this model. Option evaluation, is extremely important to trade in the stocks. The numerical solutions of the Black-Scholes equation are used to simulate these options. In this thesis, the explicit and the implicit Euler methods are used for the approximation of Black-scholes partial differential equation and a second order finite difference scheme is used for the spatial derivatives. These temporal and spatial discretizations are used to gain an insight about the stability properties of the explicit and the implicit methods in general. The numerical results show that the explicit methods have some constraints on the stability, whereas, the implicit Euler method is unconditionally stable. It is also demostrated that both the explicit and the implicit Euler methods are only first order convergent in time and this implies too small step-sizes to achieve a good accuracy.

The famous Black-Scholes partial differential equation is one of the most widely used and researched equations in modern financial engineering to address the complex evaluations in the financial markets. This thesis investigates a numerical technique, using a fourth-order discretization in time and space, to solve a generalized version of the classical Black-Scholes partial differential equation. The numerical discretization in space consists of a fourth order centered difference approximation in the interior points of the spatial domain along with a fourth order left and right sided approximation for the points near the boundary. On the other hand, the temporal discretization is made by implementing a Runge-Kutta order four (RK4) method. The designed approximations are analyzed numerically with respect to stability and convergence properties.

I [Mattson, Journal of Scientific Computing 51.3 (2012), s. 650–682] konstruerades partialsummeringsoperatorer för finita differensapproximationer av andraderivator med variabla koefficienter. Vi tillämpar framgångsrikt dessa operatorer på vågekvationen i två dimensioner med diskontinuerliga koefficienter, utan särskild behandling av diskontinuiteten. Närmare bestämt undersöks (i) operatorernas fel och konvergensordning relativt ”korrekt” hantering av diskontinuiteter genom blockuppdelning med kopplingstermer; (ii) ifall mycket komplicerade koefficienter orsakar instabilitet eller icke-fysikaliska fel. Vi visar att hoppet i våghastighet i simuleringen sker ett antal punkter ifrån hoppet i koefficienter, där antalet punkter beror på operatorernas ordning och storleken av hoppet i koefficienter. I (i) får dessa två faktorer plus blockets form och antalet punkter en stor påverkan på både storleken av felet, samt metodens konvergensordning som varierar från ca 1–2,5. Annars sker i både (i) och (ii) inget större icke-fysikaliskt fel eller instabilitet, vilket gör denna relativt enkla metod tillämpningsbar på komplexa verklighetsbaserade problem.

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This report presents a comprehensive investigation into the accuracy and stability of Finite Difference Methods (FDM) when applied to the acoustic wave equation. The analysis focuses on comparing the classical 2nd order FDM with highly-accurate computational stencil of order 2p = 2,4 and 6 with Summation-by-Parts (SBP) and Simultaneous Approximation Term (SAT) technique of the Finite Difference Method. The objective of the study is to investigate complex numerical techniques that contributes to highly-accurate and stable solutions to many hyperbolic PDEs.  The report starts by introducing the governing problem and studies its well-posedness to ensure stable and unique solutions of the governing equations. It continues with basic introduction to the classic spatial discretization of the FDM and introduces the SBP-SAT implementation of the method. The governing equations are rewritten as a semi-discrete problem, such that it can be written as a system of ordinary differential equations (ODEs) only dependent on the temporal evolution. This system can be solved with classic Runge-Kutta methods to ensure robust and accurate time-stepping schemes.  The results show that the implementation of the higher-order SBP-SAT Finite Difference Method provides highly accurate solutions of the acoustic wave equation compared to the classic FDM. The results also show that the method provides stable solutions with no visible oscillations (dispersion), which can be a challenge for higher order methods. Overall, this paper contributes with valuable insights into the analysis of accuracy and stability in finite difference methods for acoustic wave equation.

Made available in DSpace on 2015-03-04T18:51:06Z (GMT). No. of bitstreams: 1 tese_danieltf.pdf: 1240547 bytes, checksum: d1fac8fed2c288c3581c57065cf2c0c2 (MD5) Previous issue date: 2009-03-02 / Fundação Carlos Chagas Filho de Amparo a Pesquisa do Estado do Rio de Janeiro / It is well known that classical finite elements or finite difference methods for Helmholtz problem present pollution effects that can severely deteriorate the quality of the approximate solution. To control pollution effects is especially difficult on non uniform meshes. For uniform meshes of square elements pollution effects can be minimized with the Quasi Stabilized Finite Element Method (QSFEM) proposed by Babus\v ska el al, for example. In the present work we initially present two relatively simple Petrov-Galerkin finite element methods, referred here as RPPG (Reduced Pollution Petrov-Galerkin) and QSPG (Quasi Stabilized Petrov-Galerkin), with reasonable robustness to some type of mesh distortion. The QSPG also shows minimal pollution, identical to QSFEM, for uniform meshes with square elements. Next we formulate the QOFD (Quasi Stabilized Finite Difference) method, a finite difference method for unstructured meshes. The QOFD shows great robustness relative to element distortion, but requires extra work to consider non-essential boundary conditions and source terms. Finally we present a Quasi Optimal Petrov-Galerkin (QOPG) finite element method. To formulate the QOPG we use the same approach introduced for the QOFD, leading to the same accuracy and robustness on distorted meshes, but constructed based on consistent variational formulation. Numerical results are presented illustrating the behavior of all methods developed compared to Galerkin, GLS and QSFEM. / É bem sabido que métodos clássicos de elementos finitos e diferenças finitas para o problema de Helmholtz apresentam efeito de poluição, que pode deteriorar seriamente a qualidade da solução aproximada. Controlar o efeito de poluição é especialmente difícil quando são utilizadas malhas não uniformes. Para malhas uniformes com elementos quadrados são conhecidos métodos (p. e. o QSFEM, proposto por Babuska et al) que minimizam a poluição. Neste trabalho apresentamos inicialmente dois métodos de elementos finitos de Petrov-Galerkin com formulação relativamente simples, o RPPG e o QSPG, ambos com razoável robustez para certos tipos de distorções dos elementos. O QSPG apresenta ainda poluição mínima para elementos quadrados. Em seguida é formulado o QOFD, um método de diferenças finitas aplicável a malhas não estruturadas. O QOFD apresenta grande robustez em relação a distorções, mas requer trabalho extra para tratar problemas não homogêneos ou condições de contorno não essenciais. Finalmente é apresentado um novo método de elementos finitos de Petrov-Galerkin, o QOPG, que é formulado aplicando a mesma técnica usada para obter a estabilização do QOFD, obtendo assim a mesma robustez em relação a distorções da malha, com a vantagem de ser um método variacionalmente consistente. Resultados numéricos são apresentados ilustrando o comportamento de todos os métodos desenvolvidos em comparação com os métodos de Galerkin, GLS e QSFEM.

<p>In recent years, there has been a great interest towards the higher order numerical methods for singularly perturbed problems. As compared to their lower order counterparts, they provide better accuracy with fewer mesh points. Construction and/or implementation of direct higher order methods is usually very complicated. Thus a natural choice is to use some convergence acceleration techniques, e.g., Richardson extrapolation, defect correction, etc. In this thesis, we will consider various classes of problems described by singularly perturbed ordinary and partial differential equations. For these problems, we design some novel numerical methods and attempt to increase their accuracy as well as the order of convergence. We also do the same for existing numerical methods in some instances. We &macr / nd that, even though the Richardson extrapolation technique always improves the accuracy, it does not perform equally well when applied to different methods for certain classes of problems. Moreover, while in some cases it improves the order of convergence, in other cases it does not. These issues are discussed in this thesis for linear and nonlinear singularly perturbed ODEs as well as PDEs. Extrapolation techniques are analyzed thoroughly in all the cases, whereas the limitations of the defect correction approach for certain problems is indicated at the end of the thesis</p>

The linear elastodynamic two-dimensional anti-plane stress problem, where deformations occur in only one direction is considered for one sided non-planar faults. Fault dynamics are modeled using purely velocity dependent friction laws, and applied on boundaries with complex geometry. Summation-by-parts operators and energy estimates are used to couple a high-order finite difference method with an unstructured finite volume method. The unstructured finite volume method is used near the fault and the high-order finite difference method further away from the fault where no complex geometry is present. Boundary conditions are imposed weakly on characteristic form using the simultaneous approximation term technique, allowing explicit time integration to be used. Numerical computations are performed to verify the accuracy and time stability, of the method.

<p>In recent years, there has been a great interest towards the higher order numerical methods for singularly perturbed problems. As compared to their lower order counterparts, they provide better accuracy with fewer mesh points. Construction and/or implementation of direct higher order methods is usually very complicated. Thus a natural choice is to use some convergence acceleration techniques, e.g., Richardson extrapolation, defect correction, etc. In this thesis, we will consider various classes of problems described by singularly perturbed ordinary and partial differential equations. For these problems, we design some novel numerical methods and attempt to increase their accuracy as well as the order of convergence. We also do the same for existing numerical methods in some instances. We &macr / nd that, even though the Richardson extrapolation technique always improves the accuracy, it does not perform equally well when applied to different methods for certain classes of problems. Moreover, while in some cases it improves the order of convergence, in other cases it does not. These issues are discussed in this thesis for linear and nonlinear singularly perturbed ODEs as well as PDEs. Extrapolation techniques are analyzed thoroughly in all the cases, whereas the limitations of the defect correction approach for certain problems is indicated at the end of the thesis</p>