Pseudospectral roaming contour integral methods for convection-diffusion equations
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Publication:1983173
contour integral methodsconvection-diffusion equationselliptic contourhyperbolic contourinverse Laplace transformparabolic contourquadrature for analytic integrandsweighted pseudospectra
Numerical methods for initial value problems involving ordinary differential equations (65L05) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22) Numerical methods for integral transforms (65R10)
Abstract: We generalize ideas in the recent literature and develop new ones in order to propose a general class of contour integral methods for linear convection-diffusion PDEs and in particular for those arising in finance. These methods aim to provide a numerical approximation of the solution by computing its inverse Laplace transform. The choice of the integration contour is determined by the computation of a few suitably weighted pseudo-spectral level sets of the leading operator of the equation. Parabolic and hyperbolic profiles proposed in the literature are investigated and compared to the elliptic contour originally proposed by Guglielmi, L'opez-Fern'andez and Nino. In summary, the article (i) provides a comparison among three different integration profiles; (ii) proposes a new fast pseudospectral roaming method; (iii) optimizes the selection of time windows on which one may arbitrarily approximate the solution by no extra computational cost with respect to the case of a fixed time instant; (iv) focuses extensively on computational aspects and it is the reference of the MATLAB code https://github.com/MattiaManucci/Contour_Integral_Methods.git, where all algorithms described here are implemented.
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Cited in
(10)- A contour method for time-fractional PDEs and an application to fractional viscoelastic beam equations
- Numerical inverse Laplace transform for convection-diffusion equations
- An Exponential Spectral Method Using VP Means for Semilinear Subdiffusion Equations with Rough Data
- Model Order Reduction in Contour Integral Methods for Parametric PDEs
- Structured linear stability problems
- Explicable hyper-reduced order models on nonlinearly approximated solution manifolds of compressible and incompressible Navier-Stokes equations
- Universal methods for nonlinear spectral problems
- Contour integral methods and model order reduction for parametric linear control systems
- Nonlinear model reduction for transport-dominated problems
- Fast numerical approximation of parabolic problems using model order reduction and the Laplace transform
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