On a discrete scheme for time fractional fully nonlinear evolution equations
Yoshikazu Giga, Qing Liu, Hiroyoshi Mitake

TL;DR
This paper presents a new discrete numerical scheme for solving second order fully nonlinear parabolic PDEs with Caputo's fractional derivatives, proving its convergence within viscosity solutions framework.
Contribution
The paper introduces a resolvent-type discrete scheme for fractional nonlinear PDEs and establishes its convergence, advancing numerical methods for fractional evolution equations.
Findings
Scheme converges in viscosity solutions framework
Provides a resolvent-type approximation for fractional PDEs
Enhances numerical analysis for nonlinear fractional evolution equations
Abstract
We introduce a discrete scheme for second order fully nonlinear parabolic PDEs with Caputo's time fractional derivatives. We prove the convergence of the scheme in the framework of the theory of viscosity solutions. The discrete scheme can be viewed as a resolvent-type approximation.
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On a discrete scheme for time fractional
fully nonlinear evolution equations
Yoshikazu Giga, Qing Liu, Hiroyoshi Mitake
Graduate School of Mathematical Sciences, University of Tokyo 3-8-1 Komaba, Meguro-ku, Tokyo, 153-8914, Japan
Department of Applied Mathematics, Faculty of Science, Fukuoka University, Fukuoka 814-0180, Japan.
Graduate School of Mathematical Sciences, University of Tokyo 3-8-1 Komaba, Meguro-ku, Tokyo, 153-8914, Japan
Abstract.
We introduce a discrete scheme for second order fully nonlinear parabolic PDEs with Caputo’s time fractional derivatives. We prove the convergence of the scheme in the framework of the theory of viscosity solutions. The discrete scheme can be viewed as a resolvent-type approximation.
Key words and phrases:
Approximation to solutions; Caputo’s time fractional derivatives; Second order fully nonlinear equations; Viscosity solutions.
2010 Mathematics Subject Classification:
35R11, 35A35, 35D40.
The work of YG was partially supported by Japan Society for the Promotion of Science (JSPS) through grants KAKENHI #26220702, #16H03948, #18H05323, #17H01091. The work of QL was partially supported by the JSPS grant KAKENHI #16K17635 and the grant #177102 from Central Research Institute of Fukuoka University. The work of HM was partially supported by the JSPS grant KAKENHI #16H03948.
1. Introduction
In this paper, we are concerned with the second order fully nonlinear PDEs with Caputo’s time fractional derivatives:
[TABLE]
where is a given constant, is an unknown function and and , respectively, denote its spatial gradient and Hessian of . We always assume that , which denotes the space of all bounded uniformly continuous functions in . We denote Caputo’s time fractional derivative by , i.e.,
[TABLE]
where is the Gamma function.
We assume that is a continuous degenerate elliptic operator, that is,
[TABLE]
for all and , where denotes the space of real symmetric matrices. Moreover, throughout this work we assume that is locally bounded in the sense that
[TABLE]
Studying differential equations with fractional derivatives is motivated by mathematical models that describe diffusion phenomena in complex media like fractals, which is sometimes called anomalous diffusion (see [11] for instance). It has inspired further research on numerous related topics. We refer to a non-exhaustive list of references [10, 14, 2, 3, 7, 15, 1, 13, 9, 4] and the references therein.
Among these results, the authors of [2, 1] mainly study regularity of solutions to a space-time nonlocal equation with Caputo’s time fractional derivative in the framework of viscosity solutions. More recently, unique existence of a viscosity solution to the initial value problem with Caputo’s time fractional derivatives has been established in the thesis of Namba [12] and independently and concurrently by Topp and Yangari [15]. The main part of [12] on this subject has been published in [7, 13]. For example, a comparison principle, Perron’s method, and stability results for (1.1) in bounded domains with various boundary conditions have been established in [7, 13]. Similar results for whole space has been established in [15] for nonlocal parabolic equations.
Motivated by these works, in this paper we introduce a discrete scheme for (1.1)–(1.2), which will be explained in detail in the subsection below.
1.1. The discrete scheme
Our scheme is naturally derived from the definitions of Riemann integral and Caputo’s time fractional derivative. We first observe that
[TABLE]
for and . If is smooth in and is small, then we can approximately think that
[TABLE]
Note that and
[TABLE]
where we set
[TABLE]
Thus,
[TABLE]
where we set
[TABLE]
Since is a non-increasing function, we easily see that
[TABLE]
which implies monotonicity of the scheme (see Proposition 2.1).
Inspired by this observation, for any fixed , we below define a family of functions by induction. Set , where satisfies
[TABLE]
Let for be the viscosity solution of
[TABLE]
Let us emphasize here that the equation (1.7) is an (degenerate) elliptic problem with the elliptic operator strictly monotone in . In fact, for any the elliptic equation is of the form
[TABLE]
where and . We can obtain such a unique viscosity solution to (1.7) with for any under appropriate assumptions on .
Define the function by
[TABLE]
Our main result of this paper is to show the convergence of to the unique viscosity solution of (1.1)–(1.2).
We remark that our scheme can be regarded as a resolvent-type approximation. Recall the implicit Euler scheme for the differential equation:
[TABLE]
which is given by
[TABLE]
This is a typical scheme by approximating by a function piecewise linear in time with time grid length . The resulting equation is a resolvent type equation for if is given. It is elliptic if the original equation is parabolic.
1.2. Main Results
We first give an abstract framework on the convergence of .
Theorem 1.1** (Scheme convergence).**
Assume that (1.3) and the following two conditions hold.
- (H1)
For any , there exists a viscosity solution to (1.8) for any . Moreover, if are, respectively, a subsolution and a supersolution of (1.8) with any fixed , then in . 2. (H2)
Let and be, respectively, a sub- and a supersolution of (1.1). Assume and are bounded in for any . If in , then in .
Let be given by (1.9) for any , where initial data is assumed to fulfill (1.6). Then, locally uniformly in as , where is the unique viscosity solution to (1.1)–(1.2).
We obtain the following corollary of Theorem 1.1 under more explicit sufficient conditions of (H1) and (H2).
Corollary 1.2**.**
Assume that (1.3) and the following two conditions hold.
- (F1)
There exists a modulus of continuity such that
[TABLE]
for all , , and satisfying
[TABLE] 2. (F2)
There exists a modulus of continuity such that
[TABLE]
*for all , , and . *
Then, the conclusion of Theorem 1.1 holds.
Remark 1*.*
The assumption (F2) can be removed in the presence of periodic boundary condition, that is, and are periodic with the same period. Recall that in a bounded domain or with the periodic boundary condition, (H1) is established in [5] and (H2) is available in [7, Theorem 3.1] [13, Theorem 3.4] under (F1).
The comparison result in (H1) under (F1), (F2) in an unbounded domain is due to [8]. Existence of solutions in this case can be obtained by Perron’s method. In fact, thanks to (1.3) with , we can take large such that and are, respectively, a supersolution and a subsolution of (1.8). We then can prove the existence of solutions by adopting the standard argument in [5, 6]. In addition, as shown in [15], (H2) is also guaranteed by (F1) and (F2).
Our results above apply to a general class of nonlinear parabolic equations. We refer the reader to [5, Example 3.6] for concrete examples of that satisfy our assumptions, especially the condition (F1).
Finally, it is worthwhile to mention that the idea for a discrete scheme in this paper can be adopted to handle a more general type of time fractional derivatives as in [3, 4], provided that the comparison theorems can be obtained. In this paper, we choose Caputo’s time fractional derivatives to simplify the presentation.
This paper is organized as follows. In Section 2, we give the monotonicity and boundedness of discrete schemes. Section 3 is devoted to the proof of Theorem 1.1.
2. Preparations
We first recall the definition of viscosity solutions to (1.1).
Definition 1** (Definition of viscosity solutions).**
For any , a function (resp., ) is called a viscosity subsolution (resp., supersolution) of (1.1) if for any one has
[TABLE]
whenever attains a local maximum (resp., minimum) at .
We call a viscosity solution of (1.1) if is both a viscosity subsolution and a supersolution of (1.1).
Remark 2*.*
Our definition essentially follows [13, Definition 2.2]. In fact, since
[TABLE]
for any , our definition is thus the same as [13, Definition 2.2]. A similar definition of viscosity solutions is cocurrently and independently proposed in [15, Definition 2.1] for general space-time nonlocal parabolic problems.
Another possible way to define sub- or supersolutions is to separate the term in (2.1) into two parts like (2.2) and replace in one or both of the parts by . See [15, Definition 2.1] and [7, Definition 2.5]. Such definitions are proved to be equivalent to Definition 1. We refer to [15, Lemma 2.3] and [13, Proposition 2.5] for proofs. Note that the original definition of viscosity solutions in [12, 7] looks stronger but it turns out that it is the same [12, Lemma 2.9, Proposition 3.6].
For any , define to be
[TABLE]
for , and satisfying , where denotes the greatest integer less than or equal to .
A locally bounded function is said to be a subsolution (resp., supersolution) of
[TABLE]
if for any , (resp., ) is a viscosity subsolution (resp, supersolution) of
[TABLE]
By definition, it is clear that given by (1.9) is a solution of (2.4).
Proposition 2.1** (Monotonicity).**
Fix . Assume that (H1) holds. Let , for all be, respectively, a subsolution and supersolution to (2.4). Then, in for all .
Proof.
Due to the positiveness (1.5) of , one can easily see that the scheme is monotone by iterating the comparison principle in (H1) for elliptic problems. ∎
We next discuss below the boundedness of the scheme.
Lemma 2.2** (Barrier).**
For any , let for all and with . Then,
[TABLE]
Proof.
We have
[TABLE]
for all and . Noting that
[TABLE]
we can plug these estimates into (2.5) to deduce the . ∎
Lemma 2.3** (Uniform boundedness).**
Assume that (1.3) and (H1) hold. Let be given by (1.9) for any fixed . Then,
[TABLE]
Proof.
We define
[TABLE]
for any , where and is given in Lemma 2.2. In light of Lemma 2.2, we have
[TABLE]
for all . Combining with on , by Proposition 2.1, we get for all . Symmetrically, we get for all , which implies the conclusion. ∎
3. Convergence of discrete schemes
Let be the function defined by (1.9). By Lemma 2.3 and (1.6), we can define the half-relaxed limit of as follows:
[TABLE]
for all .
By the definition of Riemann integral and the operator , we have the following.
Lemma 3.1**.**
Let be given by (2.3). Then for any , we have
[TABLE]
Proposition 3.2** (Sub- and supersolution property).**
Let and be the functions defined by (3.1). Then and are, respectively, a subsolution and supersolution to (1.1).
Proof.
We only prove that is a subsolution to (1.1) as we can similarly prove that is a supersolution to (1.1).
Take a test function and so that takes a strict maximum at with . By adding to (we still denote it by ), we may assume that as uniformly for all .
We first claim that there exists , so that and as ,
[TABLE]
Indeed, by definition of , there exists , and so that
[TABLE]
We next take such that
[TABLE]
Also, by Lemma 2.3 again, there exists so that
[TABLE]
Then, we can also easily check that as .
Set . Then we have in . Since is a viscosity solution to (1.7) with and , in light of (3.2), we obtain
[TABLE]
Set . In light of (3.3), we have
[TABLE]
for all . Hence,
[TABLE]
Noting that
[TABLE]
we obtain
[TABLE]
We therefore obtain
[TABLE]
By Lemma 3.1 and the continuity of , sending yields
[TABLE]
Proposition 3.3** (Initial consistency).**
Assume that (1.3) and (H1) hold. Let and be the functions defined by (3.1). Then in .
Proof.
Fix any . Since and (1.6) holds, for any we can find a bounded smooth function such that and for all and all small. We claim that
[TABLE]
is a supersolution of (2.4) with small, where is given in (1.3) with
[TABLE]
Indeed, for any , applying Lemma 2.2, we deduce that for all ,
[TABLE]
for all . We thus can adopt Proposition 2.1 to obtain that for all and with , which implies that
[TABLE]
for all and . We thus have
[TABLE]
which implies, by letting , that . The proof for the part on is symmetric and therefore omitted here. ∎
Proof of Theorem 1.1.
If (H2) holds, then the conclusion of the theorem is a straightforward result of Propositions 3.2 and 3.3. ∎
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