Numerical simulation for degenerate diffusions (Q749175)

The author considers special finite difference schemes for singular degenerate parabolic equations describing stochastic diffusion processes. The main attention is given to the following problem connected with the statistical description of the wave propagation in random media: (1) \(y_ t=(1-\rho^ 2)^ 2y_{\rho \rho}-[(1-\rho^ 2)(1+7\rho^ 2)\rho^{-1}+\chi_ 1\rho]y_{\rho}-(\chi_ 1-8\rho^ 2)y\); (2) \(z_ t=(1-\rho^ 2)^ 2z_{\rho \rho}+[(1-\rho^ 2)^ 2\rho^{-1}- \chi_ 1\rho]z_{\rho}-w\chi_ 2(1+\rho^ 2)y\), \(0<\rho <1\), \(t>0\); (3) \(y(\rho,0)=\rho^ 2\), \(z(\rho,0)=\rho^ 2\), \(0<\rho <1\); (4) \(y_{\rho}(0,t)=0\), \(z_{\rho}(0,t)=0\), \(t>0\), where y(\(\rho\),t), z(\(\rho\),t) are unknown functions and \(\chi_ 1>0\), \(\chi_ 2>0\), w are parameters. On the part of the boundary \(\rho =1\) the parabolic system (1)-(2) degenerates into a hyperbolic system with outgoing flow, therefore on \(\rho =1\) no boundary conditions are required. The numerical solving of the problem (1)-(4) is done by using the well- known Crank-Nicolson scheme completed by special difference equations (the ``box scheme'') near the part of the boundary \(\rho =1\). These supplementary equations are written using the information about degeneracy of the system (1)-(2). The numerical results for various values of \(\chi_ 1\chi_ 2,w\) are given in the form of graphs of dependence ``t\(\to z(0,t).''\) The author also sketches another approach to the finite difference simulation based on the conservation of some quantities characterizing the original differential equations. This approach may be used for a certain class of singular problems containing, in particular, the problem (3), (4) for the equation (2) with \(w=0\).