Existence and A p p r o x i m a t i o n of weak Solutions of the Stefan Proble~w-fs Nonmonotone N~hqi~earities Joseph W.

Jerome

Abstract C o n s i d e r the equation, in the d i s t r i b u t i o n sense, for the

t e m p e r a t u r e in a t w o - p h a s e m u l t i d i m e n s i o n a l Stefan p r o b l e m

(i)

%--~ - V.(k(u) ~u

Vu) + g(u) =f

on a space-time domain D =

(O,T) x ~ w i t h s p e c i f i e d initial and

b o u n d a r y conditions and e n t h a l p y d i s c o n t i n u i t y across the free boundary. Here the c o n d u c t i v i t y c o e f f i c i e n t k is a p o s i t i v e R except

f u n c t i o n w i t h compact range, d e f i n e d and c o n t i n u o u s on at O, and g is a Lipschitz body h e a t i n g function,

frequently

e n c o u n t e r e d in w e l d i n g problems, w h i c h is not assumed monotone. (We may take g such that g(u)u ~ 0). are e m p l o y e d in sequence of n o n l i n e a r

Implicit two level time d i s c r e t i z a t i o n s t r a n s f o r m e d versions of (i), giving a e l l i p t i c b o u n d a r y value p r o b l e m s a G a l e r k i n method. on D

(finite)

(for each ?t) w h i c h are solved by

A s u b s e q u e n c e of the step functions c o n s t r u c t e d

is shown to converge w e a k l y to a w e a k s o l u t i o n of the If, in addition, g is monotone, the

t r a n s f o r m e d equation.

entire sequence is strongly convergent to the unique solution.

R e s e a r c h s u p p o r t e d by a grant from the Science R e s e a r c h Council, at O x f o r d U n i v e r s i t y C o m p u t i n g Laboratory, Oxford, OXl 3PL. 19 Parks Road,

149

Introduction from the dimensions.

The m a t h e m a t i c a l Stefan It is flexible

model discussed i n an a r b i t r a r y cover

in this

paper

arises

two-phase

problem

number o f s p a c e

enough to

a number of s i t u a t i o n s

in which such free boundary problems ice and the welding of metals. distribution
(l)

arise s such as the melting of we consider u of the form,

In particular,

diffusion

equations

for the temperature

+ g(u) = f,

~u - V . ( k ( u ) V u )

on a time-space in R N, N ~ and g with compact

domain D = (OpT)x fit where number, and continuous

fl k

is a bounded open set is a positive functions of g2 function

i, T is a fixed positive range, defined

on R I except at k = O, gl and g2 less than on

is the sum of two Lipschitz eigenvalue

continuous

on R I, with g l ( k ) k ~ the smallest

0 and the Lipschitz function

constant

of -A on ~ with eigenfunctions

vanishing

3fl; f is a given L'(D) f(., t)~n2 (~). The discontinuity convenience. electrical determine number b. exists, phases.

such that, for each t e(O,T),

of the diffusion

coefficient g

at O corresponds as

to the change of phase at this temperature; The presence e.g., of the function a body heating term; Also specified

we have chosen O for may be interpreted it arises from effect.

in welding problems,

resistivity

and is termed a local joule heating function u~

are a time independent solution,

function w, whose boundary values and a positive and piecewise smooth, ~u of k ~-~ normal continuous

those of u, and an initial When a classical surface

then b cos(~, I t ) represents In this case, u = o on S.

the discontinuity

to the bounding

S of the time profiles

D 1 and D 2 of the two

The problem

(I) is a generalization

of the classical

Stefan problem,

(2)

~u

- v.(k(u)Vu)

f,

for which the notion of a weak solution was introduced by Oleinik [ 1 6 7 . She demonstrated by Douglas, continuous that (2) is satisfied classically in D 1 and D2, when later , the latter N = i, by the unique weak solution. Cannon and Hill ~ S ] a n d the continuity curve in this case. weak or generalised solution formulation embeds boundary finite of demonstrating These results were refined by Friedman [ 8 , 9 ]

of the solution and the fact that S is a

Oleinik's distribution difference

and initial conditions, solution. method,

thereby generalizing

the usual notion of a via an explicit

Kamenomostskaja [ii],

proved the existence

of unique weak solutions

150

(2) for general N and tee mean square convergence defined by the difference transformed (3) (2) by v = K(u) u = | k(X)dX, Jo AV = f. scheme.

of the step functions

Both Oleinik and Kamenomostskaja

giving an equation of the form,

(4)

~ -

Here the enthalpy H is a discontinuous (i) dH 1 ~.f = k(K- I (k)) ,

function at 0 and satisfies,

X # O,

(5)

(ii) (iii)

H(O+)
H(O-) ~

H(O-)
0 .

= b,

In the case where

is a piecewise

constant

function with values

0 < k I for I < O, and 0 < k 2 for I > O, then H is a piecewise linear 1 function, with jump b at O, satisfying H'(X) = ~ for I < 0 and H'(X) = ~ for I > O. 2 a sequence The method of Oleinik was of quasi-linear parabolic 1 to smooth H, whose to the solution to a free results timeadditional wherein of yielding solutions of (2). equations,

were shown to converge uniformly, The difference Friedman [ 8 3

for N=I,

scheme of Kamenomostskaja

was based on (4),

treating
boundary.

H and v as a pair, with no direct reference later refined the existence for the m u l t i d i m e n s i o n a l In particular, Friedman

Kamenomostskaja dependent regularity bounded v boundary

Stefan problem by use of a also d e m o n s t r a t e d

smoothing method.

he was able to treat

boundary conditions. and stability of v: This

~ V [ v ( x , t ) ] ~ 2 is an essentially improved the result of ~ i i ~ , function for general

function of t. conditions.

was known only to be a bounded m e a s u r a b l e

By employing (6) involving

the transformation, v = B ~ = H-I(~),

the inverse function H "I, Brezis C 3 ] reformulated

(4) as

(7)
Brezis

~-~

- AB~ = f.
boundary conditions, permitting multiBrezis thus

assumed homogeneous the standard form

plication by E = (-A) -I, which commutes with obtained

(s)

~-~.

+ Be = Ef linear, self-adjoint, monotone operator on

where E is a bounded,

151

L~(D) and B is strictly monotone, existence A slightly more general whose proof, method. A recent numerical employ one-step weak formulation and explicit elements. analysis problem

coercive

and hemicontinuous. by Lions C12,

The

of a unique weak solution of (8) is demonstrated is discussed following E 3 ] , uses the constructive

in [ 3 ] . p.196]

Faedo-Galerkin

of the multidimensional Ciavaldini

Stefan Both implicit the

problem has been carried out by Ciavaldini [ 4 ] and Meyer ~ 1 3 ] . time discretizations; of (8) by a quadrature is a consequence implicit discretizes rule prior to employing finite of the monotone

time approximations Stability Meyer,

together with triangular

formulation smooths

of the problem. finite difference restriction for quasilinear

in the spirit of Oleinik and Friedman, time approximations defined via prolongation and

(4) prior to employing operators.

together with

approximations, Stability

is assured by the maximum principle

parabolic

equations. to

In this paper we apply implicit one -step time discretization (I) as transformed existence L2-convergence nonlinear existence by (3). Our results demonstrate both the unique if g is monotone) of solutions

for this more general problem as well as the of a sequence Novel from the solution of the unsmoothed at each time-step. on the in for these, depending

to a solution, constructed

of step functions,

elliptic boundary value problems and convergence Complete

existence proofs have been developed

of Gailerkin approximations.

Space limitWe mention stimulof (i).

ations require us to present only the summary of our major results section one. proofs will appear elsewhere. the generalized formulation in closing that the paper of A t t h e y E 2 ] ation for problems a variational various involving This and other topics are contained inequality formulation approaches, including served as our initial

in the papers of [ 1 5 D including by Duvaut K 6 ] a n d a summary of by Tayler equations,

that of integral

[183
w

Results Let ~

of Existence

and iConvergence. Lipschitz domainCl4] in R N, N ~ I )

be a bounded uniformly D = (O,T) x ~.

and, for T > O, let conditions

Suppose that

(I) is given on D, If boundary w

with k, g and f as described

in the introduction.

and initial data are specified For b > o prescribed,

in the form of functions let H be given by (5) and

an~ u ~ in the Sobolev space HI(~), is given by (3).

let W = K (w) and U o = K (u o) where K

152

consider

the transform

of

(i),

effected
= f

by

(3),

(1.1)

~H(v) ~-

Av + G(v) keR.

w h e r e G(X) = g ( K - I ( x ) ) ,

The i n i t i a l

and b o u n d a r y

conditions

are

specified (1.2)
Here HI(~)

precisely v(.

by ,0) = Uo,
have their

v(.

,t) - WeH~

(~), for each te(O,T).

. The s e n s e in

and H~(~)

usual of

meaning s (1.1)

w h i c h we s h a l l

construct

a solution

i s made p r e c i s e

by t h e

following Definition

definition

of weak

solution. function v on D is said to be a ~) the identity

A bounded measurable ~ vanishes ID ~ H ( v ) W ~ (O,Z)x~D ~

weak solution such that (1.31

of the Stefan problem,

if, for e~ch ~e C~([O,T]X (O,T) x ~ ,

on {T} x ~ and on

~-~ + v A~ - G ( v ) ~ , f ~ ] d x d t d~ + (O}xD1 H(Uo)r x = 0

holds. Theorem values (1.31 .

This definition I.i W(x)

is due to O l e i n i k C l 6 ~ . for which in the divergence theorem holds

Let D be a domain that Uo(X ) ~ o ~ o on ~ . if exists g a.e. Then,

and suppose

~ and that W has L 2 ( ~ ) ve L~(O,T; HI(~))

trace

under the previously function.

stated hypotheses satisfying

on k, g and f, there v is unique

a function

is a monotone

The hypotheses ~ and H(Uo)

on W and U

is well-defined

ensure that H(W) is well defined on o on ~. These conditions are necessitated by (51, remains undefined on . at O. w With and this related The conditions

by the fact that H, as defined hypotheses u O. values

by (6). It to is necessary, v by

on W and U ~ impose corresponding following in (i.i) Brezis s of

However, of H(o)

and Lions ~12~,

we shall permit

to lie in the interval E O , b 3 (1.3)

interpretation,

the solution

is in fact a pair ~ , v ~

to construct

the

approximate

solutions

of

(1.3),

transform

v = V + W, Since (i.i), (1.41 The implicit

~H(V + W) - AV

V~ H~(~). we have from

-AW is well-defined

in the sense of distributions,

+ G(V

+ W)

+ AW.

~t difference

scheme

is based upon

(1.4) and the equation

153

(l.S) Suppose that a positive , H-l,

V(.

, O) = U ~ - W. and set At = T/H. elliptic

integer M is specified the sequence given by

For m = l, ...

consider

of nonlinear

boundary value problems (1.6)

E H ( V m + W) - H(Vm_ I + W)~/At
= fm + AW,

- A V m + G(V m + W)

(1.7) Here fm

V ~ = U ~ - W. is the L2(~) function f(. of , mat). (1.6) and (1.7) are sought recursively for is

The sense in which solutions

made precise by the following variational the basis for the Galerkin procedure. m = I, ... , M-l, the relation (i.8) ~V V m . V* + (t ~ ) I

formulation,

which provides

We seek,

functions Vme Ho(~ ) satisfying,

for all ~e H1(~),o

I [ H ( V m + W) + G(V m + W ) A t 7 *

= (t~)l For each m = I, ... Theorem 1.2

I [ f m At + H(Vm_ I + W ) I 0 - ~ 7 W . (1.8) represents , M-l,

7~. of (1.6).

, M-l,

the weak formulation

For each m = I, ...

there

is a solution V m of (1.8) Moreover, if

in HI^(~), unique if g u M V M = V (x,t) represents VM(x,t) which is hold. LZ(D) (i.5), w (strongly) If g

is a monotone

function.

the step function on D defined by, xe~, mat ~ t < (m+l)At, m = O,I,...,M-I, is a subsequence of Theorem solution of I in

= Vm(X),

then {VH}I is a subset of L'(O,T; convergent v = V + W is a solution of

H1o(~)) and there

in L 2(D) t o a function V such that the hypotheses {VM}7 is (strongly)convergent

(I.3) provided function,

is a monotone

to a function V such that v = V + W is the unique

i.e. the unique weak solution of the Stefan problem. Discussion

The method of proof of the existence the c o n s t r u c t i o n (topological) of an operator

o

of a solution of (1.8) where H-I(G)

involves

T:H~(~)

+ H~I(~),

is the

dual of HI(~),

of the form, i + (t-A-~.-) J'[H(y+W) + G(y+W)At] z, f~

(2.1) <Ty,

z) = ~'7y.Vz ~2

154

and the verification that T is surjective; simply defines a member of H-I(~).

the right hand side of (1.8)

Given FeH-I(~), a sequence of smoothed problems

Tj yj

is solved by a minimization technique introduced less generally in KT~; Tj is obtained from T by smoothing the enthalpy H. The sequence {yj} is bounded in Hl(~) and a subsequence converges appropriately to a solution y of Ty = F. z of, pTTpz = pTF, The same smoothing technique shows that
y

may be approximated by Galerkin approximations of the unsmoothed problem, i.e., solutions (2.2)

where P is a projection in H~(~) onto a finite dimensional subspace. For finite element subspaces with local bases, the L 2 rate of convergence is not known without further hypotheses on y; eigenfunction subspaces, however, yieldO(n -I/N) order of L 2 convergence if g is a monotone function. ago as 1970 E I O ~ . This was pointed out for linear problems as long It requires H 2 regularity of W and F however. L'(O, T; Hi(n)) , is

Stability, or the verification that { v M } ~ c due to Raviart ~17~.

effected by special arguments using a generalized Gronwall inequality in L2(D) ensuring a convergent subsequence, v = V + W is a solution of (1.3). It is also shown that {vM}7 is relatively compact say, with limit V. We note in closing that the hypothesis, (O~T) ~ W ~-~ do by VW.V~

that D is a domain for which the divergence theorem holds, may be eliminated if it is agreed to replace +

~ WAr

155

References i. 2. 3. S. Agmon, Lectures on Elliptic Boundary Value Problems, Princeton, New Jersey, 1965. Van Nostrand,

D.R. Atthey, A finite difference scheme for melting problems, J. Inst. Math.Appl. 13 (1974), 353-366. H. Brezis, On some degenerate non linear parabolic equations, in Nonlinear Functional Analysis (F.E. Browder, editor) Part I, American Mathematical Society, Proceedings of Symposia in Pure Mathematics, Vol. 18, Providence, R.I., 1970, pp. 28-38. J.F. Ciavaldini, Resolutlon Numerique d'un Probleme de Stefan a Deux Phases, Thesis, University of Rennes, France, 1972. J. Douglas, J.R. Cannon and C.D. Hill, A multi-boundary Stefan problem and the disappearance of phases, J.Math.Mech. 17 (1967), 21-35. G. Duvaut, The solution of a two-phase Stefan problem by a variational inequality,in Moving Boundary Problems in Heat Flow and Diffusion (J.R. Ockendon and W.R. Hodgkins, editors), Clarendon Press, Oxford, 1975, pp. 173-181. S.D. Fisher and J.W. Jerome, Minimum Norm Extremals in Function Spaces with Applications to Classical and Modern Analysis, Springer Lecture Series in Mathematics, Heidelberg, 1975. A. Friedman, The Stefan problem in several space variables, Amer. Math. Soc. 133 (1968), 51-87. Trans. free
J

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9. iO.

A Friedman, One dimensional Stefan problems with nonmonotonic boundary, Trans. Amer. Math. Soc. 133 (1968), 89-114. J.W. Jerome, On n-widths in Sobolev spaces and applications to elliptic boundary value problems, J. Math. Anal. Appl. 29 (1970), 201-215. S.L. Kamenomostskaja, 489-514.

ii. 12. 13. 14. 15. 16. 17.

On the Stefan problem, Mat. Sb. 53 (1961),

J.L. Lions, Quelques M~thodes de Resolution des Problemes aux Limites non Lin6aires, Dunod, Paris, 1969. G.H. Meyer, Multidimensional IO (1973), 522-538. Stefan Problems, SIAM J.Numer.Anal.

C.B. Morrey, Multiple Integrals in the Calculus of Variations, Springer-Verlag, New York, 1966. J.R. Ockendon and W.R. Hodgkins (editors), Moving Boundary Problems in Heat Flow and Diffusion, Clarendon Press, Oxford, 1975. O.A. Oleinik, A method of solution of the general Stefan problem, Soviet Math. Dokl. i (1960), 1350-1354. P.A.Raviart,
llnealres 11-183.
9 # .

Sur l'approximation
et non llnealres,
~ 9 .

de certaines equatlons d'evolutlon

(9) 46 ( 1 9 6 7 ) ,

J.Math. Pures Appl.

156

18.

A.B. Tayler, The mathematical formulation of Stefan problems in Moving Boundary Problems, in Heat Flow and Diffusion, loc.cit., pp. 120-137.