In this paper, we study the fluid-dynamic limit for the one-dimensional Broadwell model of the nonlinear Boltzmann equation in the presence of boundaries. We consider an analogue of Maxwell's diffusive and reflective boundary conditions. The boundary layers can be classified as either compressive or expansive in terms of the associated characteristic fields. We show that both expansive and compressive boundary layers (before detachment) are nonlinearly stable and that the layer effects are localized so that the fluid dynamic approximation is valid away from the boundary. We also show that the same conclusion holds for short time without the structural conditions on the boundary layers. A rigorous estimate for the distance between the kinetic solution and the fluid-dynamic solution in terms of the mean-free path in theL∞-norm is obtained provided that the interior fluid flow is smooth. The rate of convergence is optimal.

Simple, efficient, and accurate finite difference methods are introduced for 3D unsteady viscous incompressible flows in the vorticity–vector potential formulation on nonstaggered grids. Two different types of methods are discussed. They differ in the implementation of the normal component of the vorticity boundary condition and consequently the enforcement of the divergence free condition for vorticity. Both second-order and fourth-order accurate schemes are developed. A detailed accuracy test is performed, revealing the structure of the error and the effect of how the convective terms are discretized near the boundary. The influence of the divergence free condition for vorticity to the overall accuracy is studied. Results on the cubic driven cavity flow at Reynolds number 500 and 3200 are shown and compared with that of the MAC scheme.

We are concerned with the convergence of Lax-Wendroff type schemes with high resolution to the entropy solutions for conservation laws. These schemes include the original Lax-Wendroff scheme proposed by Lax and Wendroff in 1960 and its two step versions–the Richtmyer scheme and the MacCormack scheme. For the convex scalar conservation laws with algebraic growth flux functions, we prove the convergence of these schemes to the weak solutions satisfying appropriate entropy inequalities. The proof is based on detailed L p estimates of the approximate solutions, H −1 compactness estimates of the corresponding entropy dissipation measures, and some compensated compactness frameworks. Then these techniques are generalized to study the convergence problem for the nonconvex scalar case and the hyperbolic systems of conservation

We consider finite difference schemes based on the impulse density variable. We show that the original velocity—impulse density formulation of Oseledets is marginally ill-posed for the inviscid flow, and this has the consequence that some ordinarily stable numerical methods in other formulations become unstable in the velocity—impulse density formulation. We present numerical evidence of this instability. We then discuss the construction of stable finite difference schemes by requiring that at the numerical level the nonlinear terms be convertible to similar terms in the primitive variable formulation. Finally we give a simplified velocity—impulse density formulation which is free of these complications and yet retains the nice features of the original velocity—impulse density formulation with regard to the treatment of boundary. We present numerical results on this simplified formulation for the driven cavity flow on both the staggered and non-staggered grids.

In this ar ti cle, the authors de vel oped an al ter na tive meth od ol ogy to cal cu late theoption- adjusted spread for the mortgage- backed se cu ri ties us ing par tial dif fer ential equa tion tech nique. The nu meri cal im ple men ta tion is dis cussed in de tail, includ ing the con ver gence and er ror analy sis. This ap proach pro vides us a fast andac cu rate way to pric ing MBS.