We investigate time dependent parabolic problems of diiusion type on open subsets of R N+1 and on networks, where the domains are possibly unbounded or non-cylindrical. The coeecients are assumed to be continuous and may be singular or degenerate at the boundary. We are looking for solutions which belong locally to suitable Sobolev spaces and vanish at the boundary. The well-posedness of the ho...

In this paper, Lagrange interpolation in Chebyshev-Gauss-Lobatto nodes is used to develop a procedure for finding discrete and continuous approximate solutions of a singular boundary value problem. At first, a continuous time optimization problem related to the original singular boundary value problem is proposed. Then, using the Chebyshev- Gauss-Lobatto nodes, we convert the continuous time op...

Of concern in this paper is the numerical solution of Cauchy-type singular integral equations of the first kind at a discrete set of points. A quadrature rule based on Lagrangian interpolation, with the zeros of Jacobi polynomials as nodes, is developed to solve these equations. The problem is reduced to a system of linear algebraic equations. A theoretical convergence result for the approximat...

This paper deals with the two-dimensional problem of elastic wave scattering from a finite crack at the interface between a coated material layer and its substrate. By adopting the Fourier transform method and introducing the crack opening displacement function, the boundary value problem is simplified for numerically solving a system of Cauchy-type singular integral equations by means of Jacob...

We employ a hyperbolic tangent function to construct nonlinear transformations which are useful in numerical evaluation of weakly singular integrals and Cauchy principal value integrals. Results of numerical implementation based on the standard Gauss quadrature rule show that the present transformations are available for the singular integrals and, in some cases, give much better approximations...

We study singular perturbations of a class of stochastic control problems under assumptions motivated by models of financial markets with stochastic volatilities evolving on a fast time scale. We prove the convergence of the value function to the solution of a limit (effective) Cauchy problem for a parabolic equation of Hamilton-Jacobi-Bellman type. We use methods of the theory of viscosity sol...

The paper is devoted to singular perturbation problems with a finite number of scales where both the dynamics and the costs may oscillate. Under some coercivity assumptions on the Hamiltonian, we prove that the value functions converge locally uniformly to the solution of an effective Cauchy problem for a limit Hamilton-Jacobi equation and that the effective operators preserve several propertie...

Of concern in this paper is the numerical solution of Cauchy-type singular integral equations of the first kind at a discrete set of points. A quadrature rule based on Lagrangian interpolation, with the zeros of Jacobi polynomials as nodes, is developed to solve these equations. The problem is reduced to a system of linear algebraic equations. A theoretical convergence result for the approximat...

Abstract. In this paper we study the solution of singular integral equations by iterative methods. We show that discretization of singular integral operators obtained by domain splitting yields a system of algebraic equations that has a structure suitable for iterative solution. Numerical examples of Cauchy type singular integral equations are used to illustrate the proposed approach. This pape...