We study weak solutions to a combustion model problem. An equivalent conservation law with discontinuous flux is derived. Definition of an entropy solution is given, and the existence and uniqueness of the entropy solutions is proved. The convergence of a projection method and an implicit finite difference scheme is also proved. Finally using this approach we prove the convergence of a random projection method.

In these notes we first introduce logarithmic entropy methods for time-dependent drift-diffusion equations and then consider a kinetic model of Vlasov-Fokker-Planck type for traffic flows. In the spatially homogeneous case the model reduces to a special type of nonlinear driftdiffusion equation which may permit the existence of several stationary states corresponding to the same density. Then we define general convex entropies and prove a convergence result for large times to steady states, even if more than one exists in the considered range of parameters, provided that some entropy estimates are uniformly bounded.

We consider two different asymptotic limits of the Vlasov-Maxwell system describing a quasineutral plasma with a uniform ionic background. In the first case, as the magnetic field is preserved in the limiting process, we obtain the so-called electron magnetohydrodynamics equations. In the second case, we obtain the incompressible Euler equations with no more magnetic field left.

A class of reactive Euler-type equations derived from the kinetic theory of chemical reactions is presented and a finite-volume scheme for such problem is developed. The proposed method is based on a flux-vector splitting approach and it is second-order in space and time. The final non-linear problem coming from the discretization has a characteristic block diagonal structure that allows a decoupling in smaller subproblems. Finally, a set of numerical tests shows interesting behaviors in the evolution of the space-dependent fluid-dynamic fields driven by chemical reactions, not present in previous space homogeneous simulations.

A semi-implicit formulation of the method of spectral deferred corrections (SISDC) for ordinary differential equations with both stiff and non-stiff terms is presented. Several modifications and variations to the original spectral deferred corrections method by Dutt, Greengard, and Rokhlin concerning the choice of integration points and the form of the correction iteration are presented. The stability and accuracy of the resulting ODE methods for both stiff and nonstiff problems are explored analytically and numerically. The SISDC methods are intended to be combined with the method of lines approach to yield a flexible framework for creating higher-order semi-implicit methods for partial differential equations. A discussion and numerical examples of the SISDC method applied to advection-diffusion type equations are included. The results suggest that higher-order SISDC methods are a competitive alternative to existing Runge-Kutta and linear multistep methods based on the accuracy per function evaluation.

We propose a way to efficiently treat the well-known transparent boundary conditions for the Schrödinger equation. Our approach is based on two ideas: to write out a discrete transparent boundary condition (DTBC) using the Crank-Nicolson finite difference scheme for the governing equation, and to approximate the discrete convolution kernel of DTBC by sum-of-exponentials for a rapid recursive calculation of the convolution.

We prove stability of the resulting initial-boundary value scheme, give error estimates for the considered approximation of the boundary condition, and illustrate the efficiency of the proposed method on several examples.

A three-factor interest rate model defined on a finite domain has been provided. All the functions in the model can be obtained from the real markets. It has been proven that a final-value problem of the corresponding partial differential equation on a finite domain has a unique solution. Because the formulation of the problem is on a finite domain and correct, it is not difficult to design efficient numerical methods for the problem. Therefore interest rate derivatives can be evaluated without any difficulty and the results can readily be used in practice.

We introduce a level set method for computational high frequency wave propagation in dispersive media and consider the application to linear Schrödinger equation with high frequency initial data. High frequency asymptotics of dispersive equations often lead to the well-known WKB system where the phase of the plane wave evolves according to a nonlinear Hamilton-Jacobi equation and the intensity is governed by a linear conservation law. From the Hamilton-Jacobi equation, wave fronts with multiple phases are constructed by solving a linear Liouville equation of a vector valued level set function in the phase space. The multi-valued phase itself can be constructed either from an additional linear hyperbolic equation in phase space or an additional linear homogeneous equation and component to the level set function in an augmented phase space. This phase is in fact valid in the entire physical domain, but one of the components of the level set function can be used to restrict it to a wave front of interest. The use of the level set method in this numerical approach provides an Eulerian framework that automatically resolves the multi-valued wave fronts and phase from the superposition of solutions of the equations in phase space.