Monika Eisenmann

Monika Eisenmann, Mihály Kovács, Raphael Kruse et al.

In this paper we introduce a randomized version of the backward Euler method, that is applicable to stiff ordinary differential equations and nonlinear evolution equations with time-irregular coefficients. In the finite-dimensional case, we consider Carathéodory type functions satisfying a one-sided Lipschitz condition. After investigating the well-posedness and the stability properties of the randomized scheme, we prove the convergence to the exact solution with a rate of $0.5$ in the root-mean-square norm assuming only that the coefficient function is square integrable with respect to the temporal parameter. These results are then extended to the numerical solution of infinite-dimensional evolution equations under monotonicity and Lipschitz conditions. Here we consider a combination of the randomized backward Euler scheme with a Galerkin finite element method. We obtain error estimates that correspond to the regularity of the exact solution. The practicability of the randomized scheme is also illustrated through several numerical experiments.

Monika Eisenmann, Raphael Kruse

In this paper we study the numerical quadrature of a stochastic integral, where the temporal regularity of the integrand is measured in the fractional Sobolev-Slobodeckij norm in $W^{σ,p}(0,T)$, $σ\in (0,2)$, $p \in [2,\infty)$. We introduce two quadrature rules: The first is best suited for the parameter range $σ\in (0,1)$ and consists of a Riemann-Maruyama approximation on a randomly shifted grid. The second quadrature rule considered in this paper applies to the case of a deterministic integrand of fractional Sobolev regularity with $σ\in (1,2)$. In both cases the order of convergence is equal to $σ$ with respect to the $L^p$-norm. As an application, we consider the stochastic integration of a Poisson process, which has discontinuous sample paths. The theoretical results are accompanied by numerical experiments.

Monika Eisenmann, Eskil Hansen

Convergence is proven for Schwarz-like methods applied to degenerate elliptic-parabolic equations with a $p$-structure. This family of PDEs, e.g., arises when modelling nonlinear diffusion processes. The Schwarz-like approximation methods are based on decomposing the space-time domain into overlapping subdomains, which enables parallel implementations. The methods are derived by introducing a pseudo-time component and applying time integrators of splitting type, which are time stepped towards infinity. This approach of decomposing the space-time domain is related to Schwarz waveform relaxation methods, but the methods considered here have the advantage that they can be proven to converge when applied to nonlinear parabolic, or even degenerate elliptic-parabolic, PDEs. We prove convergence by deriving a nonlinear framework based on the abstract theory for monotone operators and the existence theory for degenerate elliptic-parabolic equations.

Monika Eisenmann, Eskil Hansen

Domain decomposition based time integrators allow the usage of parallel and distributed hardware, making them well-suited for the temporal discretization of parabolic systems, in general, and degenerate parabolic problems, in particular. The latter is due to the degenerate equations' finite speed of propagation. In this study, a rigours convergence analysis is given for such integrators without assuming any restrictive regularity on the solutions or the domains. The analysis is conducted by first deriving a new variational framework for the domain decomposition, which is applicable to the two standard degenerate examples. That is, the $p$-Laplace and the porous medium type vector fields. Secondly, the decomposed vector fields are restricted to the underlying pivot space and the time integration of the parabolic problem can then be interpreted as an operators splitting applied to a dissipative evolution equation. The convergence results then follow by employing elements of the approximation theory for nonlinear semigroups.