Probabilistic analysis of the upwind scheme for transport equations

DOI10.1007/S00205-010-0322-XzbMATH Open1230.65008arXiv0712.3217OpenAlexW1863894199MaRDI QIDQ717432FDOQ717432

Authors: François Delarue, Frédéric Lagoutière 

Publication date: 4 October 2011

Published in: Archive for Rational Mechanics and Analysis (Search for Journal in Brave)

Abstract: We provide a probabilistic analysis of the upwind scheme for multi-dimensional transport equations. We associate a Markov chain with the numerical scheme and then obtain a backward representation formula of Kolmogorov type for the numerical solution. We then understand that the error induced by the scheme is governed by the fluctuations of the Markov chain around the characteristics of the flow. We show, in various situations, that the fluctuations are of diffusive type. As a by-product, we prove that the scheme is of order 1/2 for an initial datum in BV and of order 1/2-a, for all a>0, for a Lipschitz continuous initial datum. Our analysis provides a new interpretation of the numerical diffusion phenomenon.

Full work available at URL: https://arxiv.org/abs/0712.3217

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zbMATH Keywords

Markov chainconvergencetransport equationupwind schemerandom characteristics

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (23)

• Analysis and Simulation of Nonlinear and Nonlocal Transport Equations
• Approximation of mono-dimensional hyperbolic systems: a lattice Boltzmann scheme as a relaxation method
• Extension of generic two-component VOF interface advection schemes to an arbitrary number of components
• Analysis Of Upwind Method For Piecewise Deterministic Markov Processes
• A random choice scheme for scalar advection
• Discretizing advection equations with rough velocity fields on non-Cartesian grids
• Error estimate for time-explicit finite volume approximation of strong solutions to systems of conservation laws
• Analysis of the implicit upwind finite volume scheme with rough coefficients
• Theoretical analysis of the upwind finite volume scheme on the counter-example of Peterson
• Convergence rates for upwind schemes with rough coefficients
• Nonlocal-interaction equation on graphs: gradient flow structure and continuum limit
• Machine learning design of volume of fluid schemes for compressible flows
• Numerical analysis of a Reynolds stress model for turbulent mixing: the one-dimensional case
• Structure preserving schemes for Fokker-Planck equations of irreversible processes
• Redheffer products and numerical approximation of currents in one-dimensional semiconductor kinetic models
• Large time behaviors of upwind schemes and \(B\)-schemes for Fokker-Planck equations on \(\mathbb{R}\) by jump processes
• Convergence analysis of upwind type schemes for the aggregation equation with pointy potential
• Convergence order of upwind type schemes for transport equations with discontinuous coefficients
• Convergence analysis of the upwind finite volume scheme for general transport problems
• An optimal error estimate for upwind finite volume methods for nonlinear hyperbolic conservation laws
• Numerical schemes for the aggregation equation with pointy potentials
• Error estimates for a finite volume scheme for advection–diffusion equations with rough coefficients
• Numerical approximation of the Frobenius-Perron operator using the finite volume method

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