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Anna Baranowska

Numerical approximations of parabolic functional differential equations on unbounded domains

Abstract. The paper is concerned with initial problems for nonlinear parabolic func- tional differential equations. A general class of difference methods is constructed. A theorem on the error estimate of approximate solutions for difference functional equa- tions of the Volterra type with an unknown function of several variables is presented.

The convergence of explicit difference schemes is proved by means of consistency and stability arguments. It is assumed that given function satisfy nonlinear estimates of the Perron type with respect to a functional variable. Results obtained in the paper can be applied to differential integral problems and equations with retarded variables.

Numerical examples are presented.

2000 Mathematics Subject Classification: 65M12, 35R10.

Key words and phrases: functional differential equations, stability and convergence, nonlinear estimates of the Perron type.

1. Introduction. In recent years, a number of papers concerning numerical methods for partial functional differential equations have been published.

Difference methods for nonlinear parabolic functional differential equations were considered in [6], [10] - [12] [17], [18]. Numerical approximations of classical solutions to first order partial functional differential equations were investigated in [1], [7], [8], [13], [14]. The monograph [9] contains an exposition of recent developments of difference methods for hyperbolic functional differential problems.

It is easy to construct an explicit or implicit Euler’s type difference method for a nonlinear problem which satisfies the consistency condition on all sufficiently regular solutions of a functional differential equation. The main task in these considerations is to find a finite difference approximation of a original problem which is stable.

The method of difference inequalities or simple theorems on recurrent inequalities

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are used in the investigation of the stability of nonlinear difference functional prob- lems. The proofs of the convergence of difference methods were also based on a general theorem on error estimates of approximate solutions to functional difference equations of the Volterra type with initial boundary conditions and with unknown functions of several variables.

These considerations as a rule involved a lot of calculations to reach the conver- gence result so the main property of the corresponding operators was not easy to be seen. The aim of the present paper is to show that the results mentioned above as well as many others theorems are consequences of a very simple result concerned with an abstract nonlinear difference functional equation with unknown function of several variables.

Now we formulate differential functional problems. For any metric spaces X and Y we denote by C(X, Y ) the class of all continuous functions from X into Y . We use vectorial inequalities with the understanding that the same inequalities hold between their corresponding components. Let Mn×n denote the set of n × n matrices with real element. Write

E = [0, a]× Rn, E0= [−d0, 0]× Rn, D = [−d0, 0]× [−d, d]

where a > 0, d0 ∈ R+, R+ = [0, +∞) and d = (d1, . . . , dn) ∈ Rn+. For a function z : E0∪ E → R and for a point (t, x) ∈ E we define a function z(t,x) : D → R as follows: z(t,x)(τ, y) = z(t + τ, x + y), (τ, y) ∈ D. The maximum norm in the space C(D,R) is denoted by k · kD. Write

Σ = E × C(D, R) × Rn× Mn×n

and suppose that F : Σ → R and ϕ : E0 → R are given functions. We consider the problem consisting of the functional differential equation

(1) tz(t, x) = F ( t, x, z(t,x), ∂xz(t, x), ∂xxz(t, x) ) and the initial condition

(2) z(t, x) = ϕ(t, x) on E0

where x = (x1, . . . , xn) and

xz = (∂x1z, . . . , ∂xnz), ∂xxz =

xixjz

i,j=1,...,n.

Differential equations with deviated variables and differential integral equations can be obtained as particular cases of (1) by suitable definitions of the operator F.

Existence and uniqueness results for classical or generalized solutions for (1), (2) are given in [2], [3], [4], [5].

We are interested in establishing a method of approximation of classical solutions to problem (1), (2) by means of solutions of associated difference functional problems and in estimating of the difference between the exact and approximate solutions. The results presented in [6], [10] - [12] [17], [18] are not applicable to (1), (2).

The paper is organized as follows. In Section 2 we propose a general method for the investigation of the stability of difference schemes generated by initial problems

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for nonlinear functional differential equations. We prove a theorem on error estimates of approximate solutions to functional difference equations of the Volterra type with unknown function of several variables. The error of an approximate solution is estimated by a solution of an initial problem for a nonlinear differential equation.

In Section 3 we apply the above general idea to the investigation of the convergence of difference schemes for (1), (2). Numerical examples are given in the last part of the paper.

We use in the paper general ideas for finite difference equations which were introduced in [9], [15], [16].

2. Stability of difference functional problems. For any two sets U and W we denote by F(U, W ) the class of all functions defined on U and taking values in W. If f : U → W and V ⊂ U then f |V is the restriction of f to the set V. Let N and Z be the sets of natural numbers and integers respectively. We define a mesh on E0∪ E in the following way. Suppose that (h0, h0) = h, h0 = (h1, . . . , hn), stand for steps of the mesh. For (r, m) ∈ Z1+n where m = (m1, . . . , mn), we define nodal points as follows:

t(r)= rh0, x(m)= (x(m1 1). . . , x(mn n)) = (m1h1, . . . , mnhn).

Let us denote by H the set of all h such that there are K0∈ Z and K = (K1, . . . , Kn) ∈ Zn satisfying the conditions: K0h0= d0 and (K1h1, . . . , Knhn) = d. Write

R1+nh = { (t(r), x(m)) : (r, m) ∈ Z1+n} and

Eh= E ∩ R1+nh , E0.h= E0∩ R1+nh , Dh= D ∩ R1+nh . Let N0∈ N be defined by the relations: N0h0≤ a < (N0+ 1)h0 and

Eh0 = { (t(r), x(m)) ∈ Eh: 0 ≤ r ≤ N0− 1 }.

Set L = (L1, . . . , Ln) where Li= max{ 1, Ki} for i = 1, . . . , n and h= { (t(r), x(m)) : −K0≤ r ≤ 0, −L ≤ m ≤ L }.

For functions w : Ωh→ R and z : E0.h∪ Eh→ R we write w(r,m)= w(t(r), x(m)) on hand z(r,m)= z(t(r), x(m)) on E0.h∪Eh. If z : E0.h∪Eh→ R and (t(r), x(m)) ∈ Eh

then the function zhr,mi: Ωh→ R is given by

zhr,mi(τ, y) = z(t(r)+ τ, x(m)+ y), (τ, y) ∈ Ωh. Then zhr,mi is the restriction of z to the set

[t(r)− d0, t(r)] × [x(m)− b, x(m)+ b]

∩ R1+nh

where b = (L1h1, . . . , Lnhn) and this restriction is shifted to the set Ωh.

Suppose that the operator Fh: Eh0 × F(Ωh,R) → R is given. For (t(r), x(m), w) Eh0 × F(Ωh,R) we write

Fh[ w ](r,m)= Fh(t(r), x(m), w).

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Given ϕh∈ F(E0.h,R), we consider the functional difference equation

(3) z(r+1,m) = Fh[ zhr,mi](r,m)

with the initial boundary condition

(4) z(r,m)= ϕ(r,m)h on E0.h.

It is clear that there exists exactly one solution zh: E0.h∪ Eh→ R of (3), (4).

Suppose that the functions vh : E0.h∪ Eh → R and ˜α, ˜γ : H → R+ satisfy the conditions v(r+1,m)h − Fh[ (vh)hr,mi](r,m)

≤ ˜γ(h) on E0h

ϕ(r,m)h − vh(r,m)

≤ ˜α(h) on E0.h and lim

h→0˜α(h) = 0, lim

h→0˜γ(h) = 0.

The function vh satisfying the above relations is considered as an approximate so- lution of (3), (4). We give a theorem on the estimate of the difference between the exact and approximate solutions of (3), (4).

Write

Yh= {(t(r), x(m)) ∈ Ωh: r = 0, −1 ≤ mi≤ 1 for i = 1, . . . , n }.

For a function w : Ωh→ R we put

kw |Dh kh= max { |w(r,m)| : (t(r), x(m)) ∈ Dh}, kw |Yh kh= max { kw(r,m)k : (t(r), x(m)) ∈ Yh}.

For z : E0.h∪ Eh→ R we define the seminorms kzkh.r= sup

|z(i,m)| : −K0≤ i ≤ r, m ∈ Zn

, 0≤ r ≤ N0. Set

Ah=

t(0), t(1), . . . t(N0) . For β : Ah→ R we write β(i)= β(t(i)) on Ah.

The following assumption will be needed throughout the paper.

Assumption H[σ]. The function σ : [0, a] × R+ → R+ of the variables (t, p) satisfies the conditions:

1) σ is continuous and it is nondecreasing with respect to the both variables, 2) σ(t, 0) = 0 for t ∈ [0, a] and the function ˜ω(t) = 0 for t ∈ [0, a] is the maximal

solution of the Cauchy problem

ω0(t) = σ( t, ω(t)), ω(0) = 0.

We give a theorem on the estimate of the difference between the exact and approximate solutions to problem (3), (4).

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Theorem 2.1 Suppose that Fh: Eh0 × F(Ωh,R) → R, ϕh: E0.h→ R and 1) uh: E0.h∪ Eh→ R is the solution of (3), (4),

2) vh: E0.h∪ Eh→ R and there are α0, γ : H→ R+ such that (5) vh(r+1,m)− Fh[ (vh)hr,mi](r,m)

≤ h0γ(h) on Eh0 and lim

h→0γ(h) = 0, (6) ϕ(r,m)h − vh(r,m)

≤ α0(h) on E0.h and lim

h→0α0(h) = 0.

3) there exists σ : [0, a] × R+→ R+ such that Assumption H[σ] is satisfied and (7) Fh[ w ](r,m)− Fh[ ¯w ](r,m)

≤ k(w − ¯w) |Yh kh +h0σ( t(r),k(w − ¯w)|Dh kh).

on Eh0 × F(Ωh,R).

Then

(8) kuh− vhkh.r ≤ ω(t(r), h) f or 0≤ r ≤ N0,

where ω( · , h) : [0, a] → R+ is the maximal solution of the Cauchy problem ω0(t) = σ(t, ω(t)) + γ(h), ω(0) = α0(h).

Proof Let us denote by βh: Ah→ R+ the solution of the difference problem β(r+1)= β(r)+ h0σ( t(r), β(r)) + h0γ(h), 0≤ r ≤ N0− 1,

β(0)= α0(h).

It follows easily that

(9) kuh− vhkh.r≤ βh(r) for 0 ≤ r ≤ N0. The function ω( · , h) is convex on [0, a]. Then we have

ω(t(r+1), h)≥ ω(t(r), h) + h0σ( t(r), ω(t(r), h) ) + h0γ(h), 0≤ r ≤ N0− 1.

This gives

βh(r)≤ ω(t(r), h) for 0≤ r ≤ N0.

The above inequality and (9) imply (8). This proves the theorem. 

Remark 2.2 If all the assumption of Theorem 2.1 are satisfied then there is α : H → R+ such that

(10) kuh− vhkh.r ≤ α(h) for 0 ≤ r ≤ N0 and lim

h→0α(h) = 0.

It follows from (8) that the above condition is satisfied with α(h) = ω(a, h).

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Remark 2.3 Suppose that σ(t, p) = L0p on [0, a]× R+ where L0 ∈ R+. Then assumption (7) has the form

Fh[ w ](r,m)− Fh[ ¯w ](r,m)

≤ k(w − ¯w) |Yh kh+ h0L0k(w − ¯w)|Dh kh on Eh0 × F(Ωh,R). Then assertion (10) has the form

kuh− vhkh.r ≤ ˜α(h) for 0≤ r ≤ N0 where

(11) ˜α(h) = α0(h) exp

L0a+ γ(h)exp

L0a]− 1 L0

if L0> 0, and

(12) ˜α(h) = α0(h) + aγ(h) if L0= 0.

The above estimates are important in applications.

3. Difference schemes for parabolic functional differential equations.

We formulate a difference method for initial value problem (1), (2). Write Γ = { (i, j) ∈ N2: 1 ≤ i, j ≤ n, i 6= j }

and suppose that we have defined the sets Γ+, Γ ⊂ Γ such that Γ+∪ Γ = Γ, Γ+∩ Γ = ∅. In particular, it may happens that Γ+ = ∅ or Γ = ∅. Moreover we assume that (i, j) ∈ Γ+ when (j, i) ∈ Γ+.

For 1 ≤ i ≤ n we define ei = (0, . . . , 0, 1, 0, . . . , 0) ∈ Rn with 1 standing on the i−th place. We consider the difference operators δ+i and δi , 1 ≤ i ≤ n, defined by

δ+i z(r,m)= 1 hi

z(r,m+ei)− z(r,m) ,

δiz(r,m)= 1 hi

z(r,m)− z(r,m−ei) . Let δ0and (δ1, . . . , δn) = δ be difference operators given by

δ0z(r,m)= 1 h0

z(r+1,m)− z(r,m) ,

δiz(r,m)= 1 2hi

z(r,m+ei)− z(r,m−ei)

, 1≤ i ≤ n.

We apply the difference operators δ(2)=

δi j

i,j=1,...,n

defined in the following way

δiiz(r,m)= δi+δiz(r,m), i = 1, . . . , n,

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and

δijz(r,m)=1 2

δ+i δjz(r,m)+ δiδj+z(r,m)

for (i, j) ∈ Γ,

δijz(r,m)=1 2

δ+i δj+z(r,m)+ δiδjz(r,m)

for (i, j) ∈ Γ+. In the same way we define the difference expressions

δw(0,θ)= (δ1w(0,θ), . . . , δnw(0,θ)), δ(2)w(0,θ)=

δijw(0,θ)

i,j=1,...,n, where w : Ωh→ R and θ = (0, . . . , 0) ∈ Rn.

We need the following discrete version of the operator (t, x) → z(t,x). Suppose that z : E0.h∪ Eh → R and (t(r), x(m)) ∈ Eh. Then z[r,m] : Dh → R is a function defined by

z[r,m](τ, y) = z(t(r)+ τ, x(m)+ y), (τ, y) ∈ Dh. The maximum norm in the space F(Dh,R) is denoted by k · kDh.

Equation (3) contains the functional variable z(t,x) which is an element of the space C(D, R). Since solutions of difference equations are functions defined on the mesh then we need an interpolating operator Th: F(Dh,R) → C(D, R).

Given ϕ : E0.h→ R and the operator Th: F(Dh,R) → C(D, R). We approximate classical solutions of (1), (2) with solutions of the difference functional equation (13) δ0z(r,m)= F t(r), x(m), Thz[r,m], δz(r,m), δ(2)z(r,m)

with the initial condition

(14) z(r,m)= ϕ(r,m)h on E0.h.

It is clear that there exists exactly one solution uh: E0.h∪ Eh→ R of (13), (14).

We claim that the difference method (13), (14) is a particular case of (3), (4).

Let Fh: Eh0 × F(Ωh,R) → R be defined by

(15) Fh[ w ](r,m)= w(0,θ)+ h0F t(r), x(m), Thw, δw(0,θ), δ(2)w(0,θ)

with the above defined δw(0,θ)and δ(2)w(0,θ). It is clear that (13), (14) is equivalent to (3), (4) with Fhdefined by (15).

4. Convergence of difference methods. Our basic assumptions on F and Th are the following.

Assumption H[F ]. The function F : Σ → R of the variables (t, x, w, q, s) where q = (q1, . . . , qn), s = [sij]i,j=1,...,n

is continuous and

1) the partial derivatives

qF = ∂q1F, . . . , ∂qnF

, ∂sF =

sijF

i,j=1,...,n

exist on Σ and ∂qf ∈ C(Σ, Rn), ∂sF∈ C(Σ, Mn×n),

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2) for each P = (t, x, w, q, s) ∈ Σ the matrix ∂sF (P ) is symmetric and (16) sijF (P )≥ 0 for (i, j) ∈ Γ+,

(17) sijF (P )≤ 0 for (i, j) ∈ Γ,

(18) 1 − 2h0

Xn i=1

1

h2isiiF (P ) + h0

X

(i,j)∈Γ

1 hihj

sijF (P ) ≥ 0,

(19) 1

hi

siiF (P ) Xn j=1j6=i

1 hj

sijF (P ) 1

2

qiF (P )

≥ 0, 1 ≤ i ≤ n,

3) there is σ : [0, a] × R+→ R+ such that Assumption H[σ] is satisfied and

(20)

F (t, x, w, q, s) − F(t, x, ¯w, q, s)

≤ σ( t, kw − ¯wkD) on Σ.

Assumption H[Th]. The interpolating operator Th : F(Dh,R) → C(D, R) satisfies the conditions:

1) for w, ¯w∈ F(Dh,R) we have

kThw− Thw¯kD≤ kw − ¯wkDh, 2) if ˜w is of class C2 then there is β : h → R+ such that

kThw˜h− ˜wkD≤ β(h) and limh

→0β(h) = 0, where ˜whis the restriction of ˜w to the set Dh.

Remark 4.1 An example of Th satisfying Assumption H[Th] can be found in [9], Chapter V.

Now we prove a theorem on the convergence of the method (13), (14).

Theorem 4.2 Suppose that Assumption H[F ] is satisfied and 1) there is ˜c > 0 such that hi≤ ˜chj for i, j = 1, . . . , n,

2) uh: E0.h∪ Eh→ R is a solution of (13), (14) and there is α0: H → R+ such that

(21) ϕ(r,m)− ϕ(r,m)h

≤ α0(h) on E0.h and lim

h→0α0(h) = 0,

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3) v : E0∪E → R is a classical solution of (1), (2) and v is of class C2on E0∪E and the function ∂xxv is bounded on E0∪ E.

Then there is α : H → R such that (22) (vh− uh)(r,m)

≤ α(h) on Ehand lim

h→0α(h) = 0, where vh is the restriction of v to the set E0.h∪ Eh.

Proof We apply Theorem 2.1 to prove (22). Suppose that Fh is given by (15). It follows that uh: E0.h∪ Eh→ R satisfies (3), (4) and there is γ : H → R+ such that condition (5) is satisfied. From (21) we conclude that condition (6) holds.

Now we consider the difference Fh[w] − Fh[ ¯w] where w, ¯w∈ F(Ωh,R). Write Λ(r,m)h = h0

hF t(r), x(m), Th[w |Dh], δw(0,θ), δ(2)w(0,θ)

−F t(r), x(m), Th[ ¯w|Dh], δw(0,θ), δ(2)w(0,θ)

. It follows from Assumption H[F ] that there are

S˜h: Eh0 → Rn+, S˜h= ( ˜Sh.1, . . . , ˜Sh.n), S¯h: Eh0 → Rn+, S¯h= ( ¯Sh.1, . . . , ¯Sh.n), and

Qh: Eh0 → Mn×n, Qh= Qh.ij



i,j=1,...,n

such that

Q(r,m)h.ij ≥ 0 for (i, j) ∈ Γ, Xn

i=1

Q(r,m)h.ii ≤ 1 on Eh0

and

Fh[w](r,m)− Fh[ ¯w](r,m)= Λ(r,m)h + 1 −

Xn i=1

Q(r,m)h.ii 

(w − ¯w)(0,θ)

+ Xn i=1

S˜h.i(r,m)(w − ¯w)(0,ei)+ Xn i=1

S¯h.i(r,m)(w − ¯w)(0,−ei)

+ X

(i,j)∈Γ

Q(r,m)h.ij 

(w − ¯w)(0,ei−ej)+ (w − ¯w)(0,−ei+ej)

+ X

(i,j)∈Γ+

Q(r,m)h.ij 

(w − ¯w)(0,ei+ej)+ (w − ¯w)(0,−ei−ej) . Moreover we have

Xn i=1

Q(r,m)h.ii + Xn i=1

S˜h.i(r,m)+ Xn i=1

S¯h.i(r,m)+ 2 X

(i,j)∈Γ

Q(r,m)h.ij = 0

where (t(r), x(m)) ∈ Eh0.

The above relations and (20) imply (7). Thus we see that all the assumptions of Theorem 2.1 are satisfied and the assertion (22) follows. 

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Remark 4.3 Suppose that all the assumption of Theorem 4.2 are satisfied and σ(t, p) = L0p on [0, a]× R+

where L0∈ R+. Then we have

(uh− vh)(r,m)

≤ ˜α(h) on Eh

where ˜α : H → R+ is given by (11), (12).

Remark 4.4 Results presented in the paper can be extended on weakly coupled differential functional systems.

5. Numerical examples. Put h = (h0, h1, h2) and t(r)= rh0, (x(m1), y(m2)) = (m1h1, m2h2) where r ∈ N, (N1, N2) ∈ Z2. Write

h= {(t(r), x(m1), y(m2)) : 0 ≤ r ≤ N0, (−N1+ r, −N2+ r) ≤ (m1, m2) ≤ (N1− r, N2− r)}

where N0h0= a, (N1h1, N2h2) = (b1, b2) and N1> N0, N2> N0.

Example 5.1 Put n = 2. Consider the differential equation with deviated variables (23) tz(t, x, y) = ∂xxz(t, x, y) + ∂yyz(t, x, y) + ∂xyz(t, x, y)

+1 2sin

xxz(t, x, y) + ∂yyz(t, x, y) + 2∂xyz(t, x, y) +z(t, 0.5x, 0.5y) − z(0.5t, x, y) + (x − y − t2)z(t, x, y) and the initial condition

(24) z(0, x, y) = 1 (x, y)∈ (−b1, b1) × (−b2, b2),

where b1> 0, b2> 0. The function v(t, x, y) = exp[t(x− y)] is the solution of (23), (24). Let zh: Ωh→ R denote the function which is obtained by using the difference scheme for (23), (24). Write

M (r) = [2(N1− r) + 1][2(N2− r) + 1]

and

(25) ε(r)h = 1 M (r)

NX1−r ν=−N1+r

NX2−r µ=−N2+r

(zh− vh)(r,ν,µ)

, 0 ≤ r ≤ N0,

where vh is the restriction of v to the set Ωh. The numbers ε(r)h are the arithmetical means of the errors with fixed t(r).

In the table we give experimental values of the function εh for the following parameters: a = 0.3, b1= b2= 15, h0= 10−3, h1= h2= 5 · 10−2.

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Table I t(r)

0.12 0.14 0.16 0.18 0.20 0.22 0.24 0.26 0.28 0.30

ε(r)h 0.007703351393 0.007604331355 0.006870163962 0.005711592060 0.004392285379 0.003172335124 0.002226460011 0.001608708800 0.001262877956 0.001262935748

The results shown in the table are consistent with our mathematical analysis.

Example 5.2 Consider the differential integral equation (26) tz(t, x, y) = arctanh

xxz(t, x, y) + ∂yyz(t, x, y)− ∂xyz(t, x, y) +2z(t, x, y) +1

4 Z x

−x

Z y

−y

z(t, ξ, η) dηdξi

+ z(t, x, y) + cos x cos y.

and the initial condition

(27) z(0, x, y) = 0, (x, y)∈ [−b1, b1] × [−b2, b2].

The solution of the above problem is known, it is v(t, x, y) = et− 1) cos x cos y.

Let zh: Ωh→ R denote the function which is obtained by using the difference scheme for (26), (27). We consider the errors εhdefined by (25) for the above problem.

In the Table II we give experimental values of the function εh for the following parameters: a = 0.3, b1= b2= 15, h0= 10−3, h1= h2= 5 · 10−2.

Table II t(r)

0.12 0.14 0.16 0.18 0.20 0.22 0.24 0.26 0.28 0.30

ε(r)h 0.009864483038 0.013089607365 0.015369589723 0.022974892126 0.028555330021 0.028097648984 0.041702538920 0.056714130083 0.031326660304 0.016250286891

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The errors presented in Table II are larger than the errors from Table I. This is due to the fact that we have differential equation with deviated argument in Example 5.1 and we approximate the unknown function at the points

(t(r), 0.5x(m1), 0.5y(m2)) and (0.5t(r), x(m1), y(m2)).

In Example 5.2 we have differential integral equation and the function z is ap- proximated on the set

{ t(r)} ×

−x(m1), x(m1)

×

−y(m2), y(m2) .

Difference methods considered in the paper have the following property: a large number of previous values z(i,m)must be preserved because they are needed to com- pute an approximate solution with t = t(r+1).

Acknowledgement. The numerical computations reported in the paper were performed at the Academic Computer Center TASK in Gda´nsk.

References

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Anna Baranowska

Gdansk University of Technology, Department of Mathematical and Numerical Analysis Narutowicza 11/12, 80 - 952 Gda´nsk, Poland

E-mail: anbar@mif.pg.gda.pl

(Received: 14.05.2007)

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