A general framework for solving Riemann-Hilbert problems numerically (Q455673)

Let \(\Gamma\subset{\mathbb C}\) be a given contour. The author finds approximations for a function \(\Phi: {\mathbb C}\setminus\Gamma \mapsto {\mathbb C}^{2\times 2}\) which is analytic everywhere except on \(\Gamma\) such that \[ \Phi^{+}(t)=\Phi^{-}(t)G(t), \quad t\in\Gamma, \tag{RH} \] and \(\Phi(\infty) =I.\) Here \(G(t)\) is given \(2\times 2\) matrix defined on \(\Gamma\), \(\Phi^{+}\) and \(\Phi^{-}\) stand for the limits of \(\Phi\) as \(z\) approaches \(\Gamma\) from the left and from the right correspondingly, and \(I\) is the unit matrix. The boundary value problem (RH) is known as the matrix Riemann-Hilbert problem. The author proposes a numerical solution of the problem using an approximation of the Cauchy transform in terms of the Chebychev polynomial basis, and estimates the rate of convergence of the method. The last section of the paper contains examples of numerical approximation of the Painlevé transcendent functions by means of the Riemann-Hilbert approach, see [\textit{A. S. Fokas, A. R. Its, A. A. Kapaev} and \textit{V. Y. Novokshenov}, Painlevé transcendents: The Riemann-Hilbert Approach. Mathematical Surveys and Monographs 128. Providence, RI: American Mathematical Society (AMS) (2006; Zbl 1111.34001)].