Explicit unconditionally stable methods for the heat equation via potential theory

DOI10.2140/PAA.2019.1.709MaRDI QIDQ2278824zbMATH OpenOpenAlexWikidataFDO

Authors Charles L. Epstein, Shidong Jiang, Jun Wang, Alex H. Barnett, Leslie Greengard

Publication date 11 December 2019

Published in Pure and Applied Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1902.08690

zbMATH Keywords

modified Bessel function of the first kindToeplitz matrixheat equationstability analysisAbel equationVolterra integral equationconvex sequenceforward Euler scheme

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Numerical methods for integral equations (65R20) Heat equation (35K05) Volterra integral equations (45D05) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10)

Abstract: We study the stability properties of explicit marching schemes for second-kind Volterra integral equations that arise when solving boundary value problems for the heat equation by means of potential theory. It is well known that explicit finite difference or finite element schemes for the heat equation are stable only if the time step $Deltat$ is of the order $O(Delta{x}^2)$, where $Deltax$ is the finest spatial grid spacing. In contrast, for the Dirichlet and Neumann problems on the unit ball in all dimensions $dge1$, we show that the simplest Volterra marching scheme, i.e., the forward Euler scheme, is unconditionally stable. Our proof is based on an explicit spectral radius bound of the marching matrix, leading to an estimate that an $L^2$-norm of the solution to the integral equation is bounded by $c_d{T}^{d/2}$ times the norm of the right hand side. For the Robin problem on the half space in any dimension, with constant Robin (heat transfer) coefficient $kappa$, we exhibit a constant $C$ such that the forward Euler scheme is stable if $Deltat<C/kapp{a}^2$, independent of any spatial discretization. This relies on new lower bounds on the spectrum of real symmetric Toeplitz matrices defined by convex sequences. Finally, we show that the forward Euler scheme is unconditionally stable for the Dirichlet problem on any smooth convex domain in any dimension, in $L^{i}nfty$-norm.

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Cited in

(3)

• Spectrum-free and meshless solvers of parabolic PDEs
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