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Monotone Flows and Rapid
Convergence for Nonlinear Partial
Differential Equations
SERIES IN MATHEMATICAL ANALYSIS AND
APPLICATIONS
Series in Mathematical Analysis and Applications (SIMAA) is edited by Ravi P. Agarwal, Florida
Institute of Technology, USA and Donal O'Regan, National University of Ireland, Galway, Ireland.
The series is aimed at reporting on new developments in mathematical analysis and
applications of a high standard and of current interest. Each volume in the series is devoted to a
topic in analysis that has been applied, or is potentially applicable, to the solutions of scientific,
engineering and social problems.
Volume 1
Method of Variation of Parameters for Dynamic Systems
V. Lakshmikantham and S.G. Deo
Volume 2
Integral and Integrodifferential Equations: Theory, Methods and Applications
edited by Ravi P. Agarwal and Donal O'Regan
Volume 3
Theorems of Leray-Schauder Type and Applications
Donal O'Regan and Radu Precup
Volume 4
Set Valued Mappings with Applications in Nonlinear Analysis
edited by Ravi P. Agarwal and Donal O'Regan
Volume 5
Oscillation Theory for Second Order Dynamic Equations
Ravi P. Agarwal Said R. Grace and Donal O'Regan
Volume 6
Theory of Fuzzy Differential Equations and Inclusions
V. Lakshmikantham and R.N. Mohapatra
Volume 7
Monotone Flows and Rapid Convergence for Nonlinear Partial Differential Equations
V. Lakshmikantham and S. Koksal
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Monotone Flows and Rapid
Convergence for Nonlinear Partial
Differential Equations
V. Lakshmikantham
and
s. Koksal
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manufacturer's guidelines.
P refac e ix
P a rt A 1
2 P a ra b o lic E q u a tio n s 45
2.1 Introduction.................................................................................... 45
2 .2 Comparison T h e o re m s................................................................. 46
2.3 Monotone Iterative Technique..................................................... 49
2.4 Generalized Quasilinearization .................................................. 55
2.5 Monotone Flows and Mixed Monotone S y ste m s...................... 62
2.6 Generalized Comparison Results (GCRs) for Weakly Coupled
S y s te m s .......................................................................................... 6 8
2.7 Stability and Vector Lyapunov Functions ............................... 72
2 .8 Notes and Comm ents.................................................................... 77
P a rt B 139
A p p e n d ix A 293
A.l Sobolev S p a c e s ........................................................... ................293
A .2 Elliptic Equations ..................................................... ................297
A.3 Parabolic E q u a tio n s .................................................. ................300
A.4 Impulsive Differential Equations ............................ ................305
A.5 Hyperbolic Equations .............................................. ................306
B ibliography 309
In d e x 317
Preface
An interesting and fruitful technique for proving existence results for non
linear problems is the method of lower and upper solutions. This method
coupled with the monotone iterative technique manifests itself as an effective
and flexible mechanism that offers theoretical as well as constructive exis
tence results in a closed set, generated by the lower and upper solutions. The
lower and upper solutions serve as rough bounds, which can be improved
by monotone iterative procedures. Moreover, the iteration schemes can also
be employed for the investigation of qualitative properties of solutions. The
ideas embedded in these techniques have proved to be of immense value and
have played a crucial role in unifying a wide variety of nonlinear problems.
Another fruitful idea of Chaplygin is to obtain approximate solutions of
nonlinear problems which are not only monotone but also converge rapidly
to the solution. Here strict lower and upper solutions and the assumption of
convexity are used for nonlinear initial value problems (IVPs). The method
of quasilinearization developed by Bellman and Kalaba, on the other hand,
uses the convexity assumption and provides a lower bounding monotone
sequence that converges to the assumed unique solution once the initial ap
proximation is chosen in an adroit fashion. If we utilize the technique of
lower and upper solutions combined with the method of quasilinearization
and employ the idea of Newton and Fourier, it is possible to construct con
currently lower and upper bounding monotone sequences whose elements
are the solutions of the corresponding linear problems. Of course, both
sequences converge rapidly to the solution. Furthermore, this unification
provides a framework to enlarge the class of nonlinear problems consider
ably to which the method is applicable. For example, it is not necessary to
impose the usual convexity assumption on the nonlinear function involved,
since one can allow much weaker assumptions. In fact, several possibilities
can be investigated with this unified methodology and consequently this
technique is known as generalized quasilinearization. Moreover, these ideas
are extended, refined and generalized to various other types of nonlinear
X PREFACE
problems.
In this monograph, we extend the foregoing group of ideas to partial
differential equations and provide a unified approach for studying elliptic,
parabolic and hyperbolic equations. The monograph is divided, for con
venience, into two parts: the first part describes the general methodology
systematically utilizing the classical approach and the second part exhibits
the development of the same basic ideas via variational techniques. In each
case, this methodology is applied to elliptic, parabolic and hyperbolic equa
tions so that one can understand and appreciate the intricacies involved in
the various extensions.
Some of the important features of the monograph are as follows: It is
the first monograph that
• attem pts to describe both the monotone iterative technique and gen
eralized quasilinearization in one unified way,
• incorporates the fundamental ideas of monotone flows and rapid con
vergence via variational techniques,
The unified approach that is employed in the book covers several known
and new results. We have only indicated, in the remarks, all the possible
special cases for some results and did not even mention in other situations
to avoid monotonous repetition.
We wish to express our immense thanks to Mrs. Donn Miller-Kermani
for her excellent and painstaking typing of the manuscript. We would like to
express our appreciation to Ms. Janie War die and the copy editor of Taylor
and Francis for all the help and cooperation in this project.
The second author would like to thank her parents, Nedret and Tekin,
her husband, Steve, and her son, Denis, for their endless support and faith
in her.
Elliptic Equations
1.1 Introduction
This chapter introduces the theory of lower and upper solutions coupled with
the monotone iterative technique and the method of generalized quasilin
earization for elliptic boundary value problems (BVPs), and therefore forms
the basis for the rest of the book, where the essential ideas are extended
to parabolic and hyperbolic initial boundary value problems (IBVPs), by
classical as well as variational approaches.
Section 1.2 begins by analyzing the different situations that occur when
the nonlinear term in semilinear elliptic BVPs is monotone increasing or
decreasing. This analysis leads to the consideration of lower and upper
solutions that are coupled in order to reach a common goal of obtaining
monotone sequences of the same type. We then discuss that if we desire the
constructed monotone sequences to converge rapidly in order to be more
useful, we need to profitably utilize the method of quasilinearization, which
not only offers monotone sequences but also assures rapid convergence. Of
course, we have to pay a price for this, namely, the nonlinear term needs
to be convex. After stating some typical known results in the two method
ologies we shall provide a unified framework that facilitates a variety of
characterizations, extensions and generalizations. Section 1.3 is devoted to
proving general results relative to the monotone iterative technique under
various types of coupled lower and upper solutions so that existing results are
covered, and new ones are generated. Necessary comparison results which
are proved are also useful in the development of the method of generalized
quasilinearization in Section 1.4. Some of the possible special cases which
are included in the unified framework are indicated in each case. Section
4 Chapter 1. Elliptic Equations
1.5 considers the weakly coupled system of semilinear elliptic BVPs when
the nonlinear functions involved are of mixed monotone type. Instead of
dealing with mixed monotone systems directly, we shall first prove a re
sult for monotone increasing systems and then derive the results for mixed
monotone systems as a simple consequence. This will be done by employing
the theory of reflection operators and expanding the given system suitably
to transform it into a monotone increasing system. Section 1.6 is dedicated
to the investigation of existence results in the sector generated by lower and
upper solutions for a weakly coupled system of BVPs in unbounded domains,
while Section 1.7 extends the monotone iterative technique for the systems
considered in Section 1.6.
( 1.2 .1)
where we assume that a,ij,bi,c € C Q[fi, i?], c(x) > 0 in Q, <j>€ C 1,Q[n, i?],
x R] and the ellipticity condition
(1.2 .2)
holds in Cl with 6 > 0. Moreover, we let p,q G C l,a[df2, R+] with p{x) > 0 ,
7 be the unit outer normal on dCl, and
(1.2.3)
1.2 Monotone Iterates: A Preview 5
We assume that an outer normal exists and the functions in question have
outer normal derivatives on dQ, We also assume that dQ belongs to C2,Q.
A well-known result in the monotone iterative technique is the following
theorem relative to the BVPs ( 1 .2 .1 ).
(1.2.4)
(1.2.5)
where
which forms two monotone sequences bounding the solutions of (1.2.1). The
iteration scheme in the present case is simply either
(1.2.6)
or
(1.2.7)
In this case, the following result is valid.
Note that we did not assume condition (^4i) of Theorem 1.2.1. In fact,
one can show that lower and upper solutions exist satisfying (A\) in this
case. We state this fact as a lemma.
and similarly,
with and
( 1.2 .8 )
is nonincreasing in for
The lower and upper solutions defined in (1.2.8) are known as coupled
lower and upper solutions of ( 1 .2 .1 ).
The monotone iterates resulting in the foregoing theorems that converge
m o n o to n ically in C 2 [Qj R] to so lu tio n s of (1.2.1) m ay n o t converge ra p id ly
enough. Hence the numerical procedures for approximating the solutions
which are close to the solution of the original problem may require a large
number of computations. If, on the other hand, the monotone iterates con
structed converge rapidly enough, for example quadratically, it would be
more effective from all aspects. The approach that we describe next takes
care of this situation which is popularly known as the method of quasilin
earization.
8 Chapter 1. Elliptic Equations
Then there exist monotone sequences {ctn (x)}, {(3n(x)} E C 2 a [Q,R] such
that a n —» p, Pn —>r in C 2 [Cl, i?]; p —r — u is the unique solution of ( 1 .2 . 1 )
satisfying ao(^) < u{x) < (3o(%) in ^ &nd the convergence is quadratic.
(1.2.9)
n — 0 ,1 ,2 ,__ We note the special choice of the iterates /3n.
A dual result when F ( x , u) is concave is also true, which we state below.
In this case, the iterates are constructed with a special choice for a n as
follows:
for
In the following sections, we shall describe the situation when F(x, u)
admits a splitting of a difference of two monotone functions or equivalently,
(1.3.1)
and
10 Chapter 1. Elliptic Equations
which is a contradiction.
If then
It then follows that using
Since c(x) —k(x) > 0, we have a contradiction. Hence the claim is true
and the proof is complete.
(1.3.2)
where (1.3.3)
we have
(1.3.4)
where
1.3 Monotone Iterative Technique 11
(1.3.5)
(1.3.6)
(1.3.7)
(1.3.8)
Whenever a < /? in fi, we note that the lower and upper solutions defined
in (1.3.5) and (1.3.8) also satisfy (1.3.7) and hence it is enough to consider
the cases (1.3.6) and (1.3.7), which is precisely what we plan to do.
We are now in a position to prove the first main result.
(1.3.9)
and
(1.3.10)
and
Similarly, we get
where
where
Hence, h i ( x ) E C a [fi, i?]. In a very similar way, we can show that h,2 ( x ) E
C a jT2,i?]. Consequently, there exist unique solutions a n,/?n E C'2 ,a[fi,i?] of
1.3 Monotone Iterative Technique 13
the BVPs (1.3.9) and (1.3.10) by Theorem A.3.1, provided that a/c, At €
[qo,A)] with ctk < Pk, successively, for k > 1 .
Therefore, our aim now is to show that
(1.3.11)
We first claim that a\ > ao in Cl. For this, let p = ao - oc\ so that
Bp < 0 on dfl and
using the monotone nature of f,g . Thus we get by Corollary 1.3.1, p < 0 in
Cl which yields a i < (3\ in Cl. As a result, it follows that
Assume that for some k > 1 , a k -i < < (3k < Pk-i in Cl. Then we
show that afc < OLk+1 < flk+\ < Pk in Cl. To do this, let p ~ ak+i — oik so
that Bp = 0 on dQ and because of the monotone character of /, g we get
Corollary 1 .3.1 then implies ctk < a^+i in Cl. Similarly, we can show that
Pk+1 £ Pk in Cl. Now to prove a^+i < Pk+i in Cl, consider (3 = a^+i —(3k+\
and note that Bp = 0 on dQ. Moreover,
using the assumption and monotone nature of f,g . Thus we have by Corol
lary 1 .3 . 1 , ctk+i < in and as a result, it follows that
(1.3.12)
14 Chapter 1. Elliptic Equations
and
exist uniformly in f2. We then see immediately that p and r are the solutions
of the semilinear BVPs
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CHAPTER XXV.
FOUND.
AN UNWILLING PRISONER.
A RESCUE.
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