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Wider contours and adaptive contours
Shev MacNamara, William McLean, Kevin Burrage · 2017-12-19 · via math.PR updates on arXiv.org

Contour integrals in the complex plane are the basis of effective numerical methods for computing matrix functions, such as the matrix exponential and the Mittag-Leffler function. These methods provide successful ways to solve partial differential equations, such as convection--diffusion models. Part of the success of these methods comes from exploiting the freedom to choose the contour, by appealing to Cauchy's theorem. However, the pseudospectra of non-normal matrices or operators present a challenge for these methods: if the contour is too close to regions where the norm of the resolvent matrix is large, then the accuracy suffers. Important applications that involve non-normal matrices or operators include the Black--Scholes equation of finance, and Fokker--Planck equations for stochastic models arising in biology. Consequently, it is crucial to choose the contour carefully. As a remedy, we discuss choosing a contour that is wider than it might otherwise have been for a normal matrix or operator. We also suggest a semi-analytic approach to adapting the contour, in the form of a parabolic bound that is derived by estimating the field of values. To demonstrate the utility of the approaches that we advocate, we study three models in biology: a monomolecular reaction, a bimolecular reaction and a trimolecular reaction. Modelling and simulation of these reactions is done within the framework of Markov processes. We also consider non-Markov generalisations that have Mittag-Leffler waiting times instead of the usual exponential waiting times of a Markov process.