Convergent numerical methods for parabolic equations with reversed time via a new Carleman estimate

DOI10.1088/1361-6420/AB2777MaRDI QIDQ4973545zbMATH OpenOpenAlexFDO

Authors Michael V. Klibanov, A. G. Yagola

Publication date 28 November 2019

Published in Inverse Problems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1903.01238

zbMATH Keywords

Carleman estimatestability estimatelinear and quasilinear parabolic equationsreversed timeconvergent quasi-reversibility method for the linear caseglobally convergent numerical method for the quasilinear case

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Quasilinear parabolic equations (35K59) Inverse problems for PDEs (35R30) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Numerical methods for ill-posed problems for initial value and initial-boundary value problems involving PDEs (65M30) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) PDEs in connection with classical thermodynamics and heat transfer (35Q79)

Abstract: The key tool of this paper is a new Carleman estimate for an arbitrary parabolic operator of the second order for the case of reversed time data. This estimate works on an arbitrary time interval. On the other hand, the previously known Carleman estimate for the reversed time case works only on a sufficiently small time interval. First, a stability estimate is proven. Next, the quasi-reversibility numerical method is proposed for an arbitrary time interval for the linear case. This is unlike a sufficiently small time interval in the previous work. The convergence rate for the quasi-reversibility method is established. Finally, the quasilinear parabolic equation with reversed time is considered. A weighted globally strictly convex Tikhonov-like functional is constructed. The weight is the Carleman Weight Function which is involved in that Carleman estimate. The global convergence of the gradient projection method to the exact solution is proved for this functional.

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