Full Text

University of
Michigan
Analytical and Numerical methods

for a Mean curvature flow equation with applications to
financial Mathematics and image processing
Alireza Zavareh
Thesis for the Master of Science degree (two years)

In Mathematical Modeling and Simulation
30 credits point (30 ECTS credits)
February 2012
Blekinge Tekniska Hogskola (BTH), Sweden

University of Michigan (UofM), USA
Supervisor: Professor Nail H. Ibragimov, BTH
Co-supervisor: Assis. Prof. Arash Fahim, UofM
Examiner: Assoc. Prof. Claes Jogréus, BTH

Contact Information

Alireza Zavareh: alirezazavareh10@gmail.com
Prof. Nail Ibragimov: nailhib@gmail.com
Assis. Prof. Arash Fahim: fahimara@umich.edu
Assoc. Prof. Claes Jogréus: claes.jogreus@bth.se

1

Dedicated to my dear family
and
my lovely son, Arsalan

2

Abstract

This thesis provides an analytical and two numerical methods for solving a
parabolic equation of two-‐dimensional mean curvature flow with some applications.
In analytical method, this equation is solved by Lie group analysis method, and in
numerical method, two algorithms are implemented in MATLAB for solving this
equation. A geometric algorithm and a step-‐wise algorithm; both are based on a
deterministic game theoretic representation for parabolic partial differential
equations, originally proposed in the genial work of Kohn-‐Serfaty [1].

Keywords: Mean curvature flow, Lie group analysis, Parabolic equation,
Deterministic game theoretic

3

Acknowledgements

It gives me great pleasure to express my sincere and heartfelt thanks to all of
those who helped me during my research to complete this thesis.

Firstly, I would like to thank to Professor Nail Ibragimov, for his motivational
advice during my studies of his five courses on Lie group analysis and his valuable
help on the analytical part of this thesis. I also owe my deepest gratitude to Assis.
Professor Arash Fahim for his guidance, patience and profound knowledge, which
enabled me to successfully complete my work at the university of Michigan.

Secondly, I would like to show special thanks to Professor Peter J. Olver for his
useful help during discussions about Lie methods and his suggestion to check the
obtained symmetries by Maple.

Furthermore, I am grateful to Assoc. Professor Claes Jogréus, Professor Elisabeth
Rakus-‐Andersson, Assis. Professor Raisa Khamitova, Dr. Mattias Eriksson and all
other teachers and managers in Blekinge Tekniska Hogskola for their help, during
my studies in Karlskrona, Sweden.

Last but not least, I would like to express my sincere thanks with heartfelt
feeling to Zahra Zavareh, Afrouz Shirian, Alireza Niki, Sharif Zahiri, Amir Eskandari,
Damoon Rastegar, Hossein Keshavarz, Salli Baker and all of my friends for their
support and encouragement during my studies.

4
List of figure

Figure 1. Motion with constant velocity
Figure 2. Motion by curvature
Figure 3. Paul’s quandary – if he tries to go north, Carol will send him south.
Figure 4. Left. Paul can exit from a well-‐chosen concentric circle in just one step.
Right. The construction can be repeated
Figure 5. Motion by curvature for Rectangle (𝜀 = 2.5)
Figure 7. Motion by curvature for convex polygon (𝜀 = 2.5)
Figure 9. Motion by curvature for nonconvex initial boundary
Figure 10. Motion by curvature for nonconvex initial Boundary With a Montacarlo
method
Figure 11. Numerical solution vs. Analytical solution
Figure 12. Processing of the 2-‐D image by mean curvature flow
Figure 13. The heart ventricle in open phase – visualized from the result of acquis-‐
ition (left) and after the 3-‐D image processing by mean curvature flow (right)
Figure 14. Extraction of the chromosomes from the 3-‐D image by mean curvature
flow

5
Table of Contents
Contact information. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1
Abstract. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
Acknowledgments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
List of figure. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
Table of contents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
Chapter 1-‐ Deterministic control interpretation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.2 Motion with constant velocity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.3 Motion by curvature. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.4 Paul-‐Carol game interpretation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.5 Implementation of the geometric algorithm. . . . . . . . . . . . . . . . . . . . . . . . 11
1.6 Deterministic control interpretation of fully nonlinear PDEs. . . . . . . .15
1.7 Mean curvature flow equation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
1.8 Applications in financial Mathematics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
1.9 Applications in image processing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .18
Chapter 2-‐ Lie Group Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.2 Lie symmetries of the mean curvature equation . . . . . . . . . . . . . . . . . . . 23
2.3 Invariant solution. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
Conclusion and further work . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29

6

Chapter 1
Deterministic control interpretation

1.1 Introduction
When the velocity of the moving surface depends only on the normal
direction, the level-‐set description of the motion is a first-‐order PDE (a
Hamilton-‐Jacobi equation), but when the velocity depends on curvature, the
level-‐set description is a second-‐order parabolic or elliptic PDE. From [1] we see
that for geometric evolutions, the first and second-‐order cases are actually quite
similar.
I write sections 1.2, 1.3 and 1.4 from reference [1], and in order to have a
clear explanation, I have not changed these explanations.
1.2 Motion with constant velocity

At the first we consider the evolution of a region Ω in the plane that the
boundary moves inward with constant velocity 1 (Figure 1).
7

Figure 1. Motion with constant velocity [1]
This evolution is completely characterized by the arrival time

𝑢 𝑥 = 𝑡𝑖𝑚𝑒 𝑡ℎ𝑎𝑡 𝑡ℎ𝑒 𝑚𝑜𝑣𝑖𝑛𝑔 𝑏𝑜𝑢𝑛𝑑𝑎𝑟𝑦 𝑝𝑎𝑠𝑠𝑒𝑠 𝑡ℎ𝑟𝑜𝑢𝑔ℎ 𝑥.

This function solves the stationary Hamilton-‐Jacobi equation

| 𝛻𝑢 | = 1 in Ω (1)
with 𝑢 = 0 at the boundary. Equation (1) is characterized by the optimization

𝑢 𝑥 = min!∈!! 𝑑𝑖𝑠𝑡(𝑥, 𝑧). (2)

1.3 Motion by curvature

Now we consider the evolution of a convex region Ω in the plane as its
boundary moves with velocity equal to its curvature (Figure 2). If the initial
region Ω is convex then it stays convex, so the evolution is again characterized by
its arrival time 𝑢.
8

Figure 2. Motion by curvature [1]
−𝑑𝑖𝑣 (𝛻𝑢/|𝛻𝑢|) is the curvature of a level set of 𝑢, and the velocity of the moving
front is 1/|𝛻𝑢|, so the arrival time of motion by curvature solves
|𝛻𝑢|𝑑𝑖𝑣 (𝛻𝑢/|𝛻𝑢| ) + 1 = 0 in Ω (3)
with 𝑢 = 0 at the boundary. This PDE is to motion by curvature as eikonal

equation (1) is to motion with constant velocity.
1.4 Paul-‐Carol game interpretation

Both evolutions are similar in the sense that motion by curvature also has a
deterministic control interpretation, similar to (2). It involves a game with two
players, Paul and Carol, and a small parameter ℇ. Paul is initially at some point
𝑥 ∈ Ω; he wants to exit as soon as possible, and Carol tries to delay his exit as
long as possible. This game has the following rules:
.
Paul chooses a direction, i.e. a unit vector 𝑣 = 1.
. Carol can either accept or reverse Paul’s choice, i.e. she chooses 𝑏 = ±1.
. Paul then moves distance 2𝜀 in the possibly-‐reversed direction, i.e. from 𝑥
to 𝑥 + 2𝜀bv.
.
This cycle repeats until Paul reaches 𝜕Ω.
9
For example, if Paul is near the top of the rectangle, one might think he should
choose 𝑣 pointing north. But that’s a bad idea, because if he does so, Carol will
reverse him and he’ll have to go south (Figure 3).

Figure 3. Paul’s quandary – if he tries to
go north, Carol will send him south. [1]

Can Paul exit? Yes indeed. This is easiest to see when 𝜕Ω is a circle of radius R.
The midpoints of secants of length 2 2𝜀 trace a concentric circle, whose radius
is smaller by approximately 𝜀 ! /𝑅. Paul can exit in one step if and only if he starts
on or outside this concentric circle (Figure 4, left). This construction can be
repeated of course, producing a sequence of circles from which he can exit in a
fixed number of steps (Figure 4, right).

Figure 4. Left. Paul can exit from a well-‐chosen concentric circle
in just one step. Right. The construction can be repeated [1]

Aside from the scale factor of 𝜀 ! they are shrinking with normal velocity
10
1/𝑅 = curvature. We have determined Paul’s optimal strategy: if Ω = 𝐵! (0)
and his present position is 𝑥 then his optimal 𝑣 is perpendicular to 𝑥. And we
have linked his minimum exit time to motion by curvature. This calculation is
fundamentally local, so it is not really limited to balls. It suggests that Paul’s
scaled arrival time,

𝑢! 𝑥 =
minimum number of steps Paul needs to exit starting
𝜀 ! . (4)
from 𝑥, assuming Carol behaves optimally.
converges as 𝜀 → 0 to the arrival-‐time function of motion by curvature.
The circle was too easy. To analyze more general domains a key tool, from [1],
is the dynamic programming principle:
𝑢! 𝑥 = min ! !! max!!±! 𝑢! (𝑥 + 2𝜀𝑏𝑣+𝜀 ! . (5)
1.5 Implementation of the geometric algorithm

In this thesis I have implemented the geometric algorithm described above,
in MATLAB for general region Ω, in both convex and nonconvex initial boundary
condition. All codes are available. Contact me if needed.
As a result of running this program for some different initial boundaries, we
get the figures 5-‐9, and figure 10 is from [2] with a Montecarlo method.
As we see in figures 5-‐8, in motion by curvature, when the initial boundary is
convex, it stays convex, and also, in figures 9 and 10, we see that even if the
initial boundary is not convex, after some time steps, the boundary becomes
convex and after some more time steps it will become circle.

11

12



13

Figure 9. Motion by curvature for
nonconvex initial boundary
Figure 10. Motion by curvature for nonconvex initial
Boundary With a Montacarlo method [2]
14
1.6 Deterministic control interpretations of fully
nonlinear PDEs
The preceding discussion seems strongly linked to the geometric character of
the problem. In particular Paul’s value function 𝑢! converged to the level-‐set
description of a geometric motion. Now we consider the following deterministic
game, from [1], approach to a large class of fully-‐nonlinear parabolic and elliptic
equations. To explain the main idea consider a final-‐value problem of the form

𝑣! + 𝑓 𝐷! , 𝐷 ! ! = 0 for 𝑡 < 𝑇, with 𝑣 = 𝜙 at 𝑡 = 𝑇 (6)

on all ℝ! . We assume the PDE is parabolic, in the sense that
𝑓 𝑝, Γ ≤ f(p, Γ ! ) if Γ ≤ Γ ! as symmetric matrices. (7)

The game still has two players, whom we call Helen and Marks (for a reason to
be explained later). There’s a marker, that’s initially at position 𝑥 ∈ ℝ! at time T.
At each time step
1. Helen chooses a vector 𝑝 ∈ ℝ! and a symmetric 𝑛×𝑛 matrix Γ; then (after
hearing Helen’s choice) Mark chooses a vector 𝑤 ∈ ℝ! .
!!
2. Helen pays penalty 𝜀𝑝. 𝑤 + !
Γ𝑤, 𝑤 − 𝜀 ! 𝑓 𝑝, Γ .
3. The marker moves from 𝑥 to 𝑥 + 𝜀𝑤 and the clock steps from 𝑡 to 𝑡 + 𝜀 ! .
The game continues this way until the final time 𝑇, when Helen collects a bonus
𝜙 𝑥 𝑇 . Her goal is maximize her bonus minus accumulated penalties. Mark
does all he can against her. Helen’s value function 𝑣! 𝑥, 𝑡 now satisfies the
dynamic programming principle
𝑣! 𝑥 + 𝜀𝑤, 𝑡 + 𝜀 ! − 𝜀𝑝. 𝑤
𝑣! 𝑥, 𝑡 = max!,! min! !! (8)
− Γ𝑤, 𝑤 + 𝜀 ! 𝑓(𝑝, Γ)
!
with the final-‐time condition 𝑣! 𝑥, 𝑇 = 𝜙 𝑥 .
15
1.7 Mean curvature flow equation
In this part of the thesis I solve the following Mean curvature flow equation
from [2], by applying the algorithm explained above.
!".! ! !"!
𝑢! − ∆𝑢 + !" !
= 0 (9)
with 𝑢(0, 𝑥) = 𝑔(𝑥) (10)

If we rewrite the equation (9) for 2-‐D , when 𝑥 = 𝑥, 𝑦 𝜖ℝ! and
𝑔 𝑥 = 𝑥 ! + 𝑦 ! − 1, which means the initial boundary is a circle of radius 1, we
get the following equation
𝑢2𝑥 𝑢𝑥𝑥+2𝑢𝑥𝑢𝑦𝑢𝑥𝑦+𝑢2𝑦𝑢𝑦𝑦
𝑢! − 𝑢!! − 𝑢!! + = 0 (11)
𝑢2𝑥 +𝑢2𝑦

! !
with 𝑢 0, 𝑥, 𝑦 = 𝑥 + 𝑦 − 1 (12)

By comparing equations (6) and (11) we have

𝑢2𝑥 𝑢𝑥𝑥+2𝑢𝑥𝑢𝑦𝑢𝑥𝑦+𝑢2𝑦𝑢𝑦𝑦
𝑓 𝐷! , 𝐷 ! !
= −𝑢!! − 𝑢!! + (13)
𝑢2𝑥 +𝑢2𝑦

I have applied the algorithm described above, in MATLAB, to solve
equation (11) with the initial boundary (12). In this program, I have calculated
the first and second derivatives, in (13), by finite difference method. In figure 11,
I have compared the Numerical solution, which I got by this algorithm, versus
the Analytical solution, which I got by Lie Group Analysis method, to be
described in chapter 2, both with the same initial boundary (12), in some
different time steps.

16

Figure 11. Numerical solution vs. Analytical solution
Circles: Analytical solution
*: Numerical solution

1.8 Application in financial Mathematics
Mean curvature flow equations have some applications in Portfolio

optimization, Hedging and Super hedging in financial Mathematics. In reference
[2] we can find some models of Portfolio optimization, Vasicek model, CEV-‐SV
model and Heston model, which are related to the mean curvature problem.
Also the game interpretation described in section 1.6, which has two players,
is closely related to the well-‐known fact that European options can be perfectly
hedged in a binomial tree market. In this financial interpretation, with 𝜀 > 0,

 𝑥 = the stock price
 −𝑝 = the amount of stocks in Helen’s hedge portfolio
!!
 (𝜀𝑝. 𝑤 + !
Γ𝑤, 𝑤 − 𝜀 ! 𝑓 𝑝, Γ ) = Helen’s portfolio or loss on the hedge
17
portfolio
 𝑣! 𝑥, 𝑡 = time-‐t value of the option with payoff 𝜙 at time 𝑇
We have:
𝜀!
𝑣! 𝑥! , 𝑡! + (𝜀𝑝. 𝑤 + Γ𝑤, 𝑤 − 𝜀 ! 𝑓 𝑝, Γ ) = 𝜙(𝑥 𝑇 )
2
1.9 Application in image processing

Numerical approximation of a nonlinear equation of mean curvature
flow has some applications in image processing. Using the level set
equation to initial image yields the silhouettes smoothing. In figures 12-‐
14, from reference [5], we see some examples related to image processing.

Figure 12. Processing of the 2-‐D image by mean curvature flow [5]

18

Figure 13. The heart ventricle in open phase – visualized from the
result of acquisition (left) and after the 3-‐D image processing
by mean curvature flow (right) [5]

19

Figure 14. Extraction of the chromosomes from the 3-‐D image by mean curvature flow [5]

20

Chapter 2
Lie Group Analysis

2.1 Introduction
In this chapter, in section 2.2, I will calculate Lie point symmetries of the mean
curvature equation (11). By using the symmetries of the equation, I will find
invariant solutions of this equation in section 2.3. I follow the notations used in
reference [3] and apply the method described in references [3] and [4].
Let 𝐺 be a one-‐parameter group of transformations of independent variables

𝑥 = 𝑥 ! , 𝑥 ! , … , 𝑥 ! and dependent variable 𝑢, of the form:
!
𝑥 = 𝑓 ! (𝑥, 𝑢, 𝑎), 𝑢 = 𝑔(𝑥, 𝑢, 𝑎). (14)
By expanding functions 𝑓 ! and 𝑔 into Taylor’s series near 𝑎 = 0, we obtain the
infinitesimal transformations
!
𝑥 ≈ 𝑥 ! + 𝜉 ! 𝑎, 𝑢 ≈ 𝑢 + 𝜂𝑎, (15)
with the initial conditions
21
𝑓 ! |!!! = 𝑥 ! , 𝑔|!!! = 𝑢. (16)
Now, the generator of the group 𝐺 is
! !
𝑋 = 𝜉 ! 𝑥, 𝑢 !! !
+ 𝜂 𝑥, 𝑢 !!
(17)
that
!! ! !!
𝜉 ! = !!
|!!! , 𝜂 = !! |!!! . (18)
Transformations (14) can be obtained from infinitesimal transformation (15)

and also from the generator (17), by deriving the following system of ordinary
differential equations, which are called the Lie equations:
!
𝑑! ! ! !
𝑑! = 𝜉 ! (𝑥 , 𝑢 ), 𝑥 |!!! = 𝑥 ! , (19)
that
𝑑! !
𝑑! = 𝜂(𝑥 , 𝑢), 𝑢|!!! = 𝑢. (20)
Now, consider the equation
𝐹 𝑥, 𝑢 = 0. (21)
Let G be a Lie transformation group, generated by the operator (17). After
prolongation, it is written as following formula
! ! ! !
𝑋 = 𝜉 ! 𝑥, 𝑢 + 𝜂 𝑥, 𝑢 + 𝜁! !! + 𝜁!! !! !! + ⋯, (22)
!! ! !! ! !! !!
where the first-‐order prolongation formula is
22
𝜁! = 𝐷! 𝜂 − 𝑢! 𝐷! 𝜉 ! , (23)
and the higher-‐order prolongation formula is written as
𝜁!! …!! = 𝐷!! 𝜁!! …!!!! − 𝑢!!! …!!!! 𝐷!! (𝜉 ! ). (24)
Group 𝐺 is called a group of the symmetries of the differential equation
2.2 Lie symmetries of the mean curvature flow

equation
Consider the mean curvature flow equation (11) as follows
𝑢!! 𝑢!! + 2𝑢! 𝑢! 𝑢!" + 𝑢!! 𝑢!!

𝑢! − 𝑢!! − 𝑢!! + = 0,
𝑢!! + 𝑢!!
then
!! !!! !!! !!
! !! !! !! !! !!! ! !
!! ! !! ! ! ! !"
= 0. (25)
!!! !!!
!
We know 𝑢!! + 𝑢!! ≠ 0, therefore we can write our mean curvature flow
equation as following
𝑢! 𝑢!! + 𝑢! 𝑢!! − 𝑢!! 𝑢!! − 𝑢!! 𝑢!! + 2𝑢! 𝑢! 𝑢!" = 0, (26)
with the initial boundary
𝑢 0, 𝑥, 𝑦 = 𝑥 ! + 𝑦 ! − 1. (27)
Let
𝐹 ≡ 𝑢! 𝑢!! + 𝑢! 𝑢!! − 𝑢!! 𝑢!! − 𝑢!! 𝑢!! + 2𝑢! 𝑢! 𝑢!" = 0.
23
For equation (15), we find the maximal Lie algebra of symmetries
𝜕 𝜕
𝑋 = 𝜉 ! 𝑡, 𝑥, 𝑦, 𝑢 + 𝜉 ! 𝑡, 𝑥, 𝑦, 𝑢
𝜕𝑡 𝜕𝑥
𝜕 𝜕
+𝜉 ! 𝑡, 𝑥, 𝑦, 𝑢 + 𝜂 𝑡, 𝑥, 𝑦, 𝑢 . (28)
𝜕𝑦 𝜕𝑢
According to the prolongation formula (22), prolongation of 𝑋 is
𝜕 𝜕 𝜕 𝜕
𝑋 = 𝜉! + 𝜉! + 𝜉! + 𝜂
𝜕𝑡 𝜕𝑥 𝜕𝑦 𝜕𝑢
! ! ! ! ! !
+𝜁! + 𝜁! + 𝜁! + 𝜁!! + 𝜁!! + 𝜁!" , (29)
!!! !!! !!! !!!! !!!! !!!"
which by applying formulas (23) and (24) we have
𝜁! = 𝐷! 𝜂 − 𝑢! 𝐷! 𝜉 ! , 𝜁!" = 𝐷! 𝜁! − 𝑢!" 𝐷! (𝜉 ! ).
Then
𝜁! = 𝐷! 𝜂 − 𝑢! 𝐷! 𝜉 ! − 𝑢! 𝐷! 𝜉 ! − 𝑢! 𝐷! 𝜉 !
= 𝜂! + 𝑢! 𝜂! − 𝑢! 𝜉!! − 𝑢!! 𝜉!! − 𝑢! 𝜉!! − 𝑢! 𝑢! 𝜉!! − 𝑢! 𝜉!! − 𝑢! 𝑢! 𝜉!!
𝜁! = 𝐷! 𝜂 − 𝑢! 𝐷! 𝜉 ! − 𝑢! 𝐷! 𝜉 ! − 𝑢! 𝐷! 𝜉 !
= 𝜂! + 𝑢! 𝜂! − 𝑢! 𝜉!! − 𝑢! 𝑢! 𝜉!! − 𝑢! 𝜉!! − 𝑢!! 𝜉!! − 𝑢! 𝜉!! − 𝑢! 𝑢! 𝜉!!
𝜁! = 𝐷! 𝜂 − 𝑢! 𝐷! 𝜉 ! − 𝑢! 𝐷! 𝜉 ! − 𝑢! 𝐷! 𝜉 !
= 𝜂! + 𝑢! 𝜂! − 𝑢! 𝜉!! − 𝑢! 𝑢! 𝜉!! − 𝑢! 𝜉!! − 𝑢! 𝑢! 𝜉!! − 𝑢! 𝜉!! − 𝑢!! 𝜉!!
𝜁!! = 𝐷! 𝜁! − 𝑢!" 𝐷! (𝜉 ! ) − 𝑢!! 𝐷! (𝜉 ! ) − 𝑢!" 𝐷! (𝜉 ! ),
𝜁!! = 𝐷! 𝜁! − 𝑢!" 𝐷! (𝜉 ! ) − 𝑢!" 𝐷! (𝜉 ! ) − 𝑢!! 𝐷! (𝜉 ! ),
𝜁!" = 𝐷! 𝜁! − 𝑢!" 𝐷! (𝜉 ! ) − 𝑢!! 𝐷! (𝜉 ! ) − 𝑢!" 𝐷! (𝜉 ! ).
Let us write the determining equation as following
24
𝑋 𝐹 |!≡! = 0,
so the determining equation is written as
[𝜁! 𝑢2𝑥 + 𝑢2𝑦 + 𝜁2 2𝑢𝑡 𝑢𝑥 − 2𝑢𝑦𝑦 𝑢𝑥 + 2𝑢𝑦 𝑢𝑥𝑦 + 𝜁3 2𝑢𝑡 𝑢𝑦 − 2𝑢𝑥𝑥 𝑢𝑦 +
2𝑢𝑥 𝑢𝑥𝑦 − 𝜁22 𝑢2𝑦 − 𝜁33 𝑢2𝑥 + 2𝜁23 𝑢𝑥 𝑢𝑦 ]𝐹≡0 = 0. (30)
By substituting 𝜁! , 𝜁! , 𝜁! , 𝜁!! , 𝜁!! and 𝜁!" , after simplification, it is clear that
the left-‐hand side of the equation (19) is a polynomial in the variables 𝑢! , 𝑢! ,
𝑢! , 𝑢!! , 𝑢!! , 𝑢!" , 𝑢!" , 𝑢!" , …, which all coefficients should be equal to zero.
Therefore, we have the following linear system of partial differential equations:
𝜂! = 0, 𝜂! = 0, 𝜂! = 0
1 1
𝜉 ! ! − 𝜉 ! ! = 0, 𝜉 ! ! + 𝜉 ! ! = 0, 𝜉 ! ! − 𝜉 ! ! = 0
2 2
𝜉 ! ! = 0, 𝜉 ! ! = 0, 𝜉 ! ! = 0, 𝜉 ! ! = 0, 𝜉 ! !! = 0, 𝜉 ! !! = 0
By solving the previous system of equations, we obtain
!
𝜉 ! 𝑡, 𝑥, 𝑦, 𝑢 = −𝑓! 𝑢 𝑦 + 𝑓! 𝑢 𝑥 + 𝑓! (𝑢),
!
!
𝜉 ! 𝑡, 𝑥, 𝑦, 𝑢 = 𝑓! 𝑢 𝑥 + ! 𝑓! 𝑢 𝑦 + 𝑓! (𝑢),
𝜉 ! 𝑡, 𝑥, 𝑦, 𝑢 = 𝑓! 𝑢 𝑡 + 𝑓! (𝑢),
𝜂 𝑡, 𝑥, 𝑦, 𝑢 = 𝑓! (𝑢),
where 𝑓! 𝑢 , 𝑓! 𝑢 , … , 𝑓! 𝑢 can be any arbitrary function of 𝑢. After

specialization, we get twelve symmetries that are written in the following table:
25
𝜕 𝜕
𝑋! = 𝑋! = 𝑢
𝜕𝑢 𝜕𝑢
𝜕 𝜕
𝑋! = 𝑋! = 𝑢
𝜕𝑡 𝜕𝑡
𝜕 𝜕
𝑋! =
𝜕𝑥
𝑋! = 𝑢
𝜕𝑥
𝜕 𝜕
𝑋! = 𝑋! = 𝑢
𝜕𝑦 𝜕𝑦
𝜕 𝜕
𝑋! = 𝑦 − 𝑥
𝜕𝑥 𝜕𝑦
𝜕 𝜕

𝑋!" = 𝑦𝑢 − 𝑥𝑢
𝜕𝑥 𝜕𝑦

1 𝜕 1 𝜕 𝜕
𝑋!! = 𝑥 + 𝑦 + 𝑡
2 𝜕𝑥 2 𝜕𝑦 𝜕𝑡
1 𝜕 1

𝜕 𝜕
𝑋!" = 𝑥𝑢 + 𝑦𝑢 + 𝑡𝑢
2 𝜕𝑥 2 𝜕𝑦 𝜕𝑡

2.3 Invariant solution
Linear combination of the symmetries 𝑋! and 𝑋! , in section 2.1, is written as

𝜕 𝜕
𝑋1 + (0.5)𝑋2 = + (0.5) (31)
𝜕𝑢 𝜕𝑡

We write the characteristic equation of the equation (31) as following

𝑑𝑢 = 2𝑑𝑡, (32)

by solving the characteristic equation, we obtain

𝑢 − 2𝑡 = 𝑐𝑜𝑛𝑠𝑡𝑎𝑛𝑡, (33)

and solving the characteristic equation of the symmetry 𝑋! is
26
!" !"
=− (34)
! !
which gives

𝑥 ! + 𝑦 ! = 𝑐𝑜𝑛𝑠𝑡𝑎𝑛𝑡. (35)

According to (19) and (20), 𝑢 − 2𝑡 is a function of 𝑥 ! + 𝑦 ! , so

𝑢 − 2𝑡 = 𝜑 𝑥 ! + 𝑦 ! , 36

or
𝑢 = 2𝑡 + 𝜙 𝑟 , (37)

where
𝑟 = 𝑥 ! + 𝑦 ! . (38)

By rewriting equation (15) in variables 𝑡, 𝑟 and 𝜙, as a function of 𝑟, we obtain the
following first-‐order ordinary differential equation
𝜙 ! 𝑟 − 2𝑟 = 0, (39)

which gives
𝜙 𝑟 = 𝑟 ! + 𝑐. (40)
After substitution (23) and (25) in (22), we obtain the invariant solution to the
equation (15) as follows

𝑢 𝑡, 𝑥, 𝑦 = 2𝑡 + 𝑥 ! + 𝑦 ! + 𝑐. (41)
Due to the initial boundary (15), we have
𝑥 ! + 𝑦 ! + 𝑐 = 𝑥 ! + 𝑦 ! − 1,
hence
𝑐 = −1
Therefore, we obtain the following particular solution to the 2-‐D mean curvature
flow equation (11)

𝒖 𝒕, 𝒙, 𝒚 = 𝟐𝒕 + 𝒙𝟐 + 𝒚𝟐 − 𝟏
27
As we see, the solution to the motion by curvature, if the initial boundary be a
circle, is a circle of the radius that is depended on the time 𝑡. In figure 11, in
section 1.7, I have compared this solution versus the Numerical solution, which I
got by implementation of the deterministic control interpretation algorithm.

Conclusion and further work
In conclusion, in motion by curvature, when the initial boundary is a circle, it
remains circle, that in each time step it’s radius is depended on the time 𝑡. As a
result of the numerical method described in section 1.5, figures 5-‐9, which I got
by implementation of the geometric algorithm, in motion by curvature, even if the
initial boundary is not convex, after some time steps, the boundary will be convex
and after some more time steps it will become circle.
In this thesis I have worked on 2-‐D mean curvature flow equations, further
work can be working in higher-‐dimension mean curvature flow equations. In Lie
method also, I have worked on 2-‐D problem which initial boundary is circle; so
further work can be 2-‐D problems with non-‐circle initial boundary, and also
working on higher-‐dimension problems.
28
Bibliography
[1] Kohn, R.V. and Serfaty, S., A deterministic-‐ control-‐based approach to motion
by curvature, Comm. Pure Appl. Math. 59 (2006) 344–407
[2] Arash Fahim, Nizar Touzi and Xavier warin, A Monte Carlo method for
fully nonlinear parabolic PDEs with applications to financial mathematics,
arXiv:0905.1863 [math.PR]

[3] Nail H. Ibragimov, A Practical Course in Differential Equations and Mathe-‐
matical Modelling, ALGA Publications, Karlskrona, Sweden, 2006 or Higher
Education Press and World Scientific, 2009, ISBN 978-‐7-‐04-‐027603-‐9.
[4] Peter J. Olver, Application of Lie Groups to Differential Equations, Springer-‐
Verlag, New York, 1986.
[5] Angela Handlovicova, Karol Mikula, Alessandro Sarti, Numerical solution

of parabolic equations related to level set formulation of mean curvature flow,
Comput Visual Sci 1: 179–182 (1998)

29

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University of

Analytical and Numerical methods

Thesis for the Master of Science degree (two years)

Blekinge Tekniska Hogskola (BTH), Sweden

Alireza Zavareh: alirezazavareh10@gmail.com

Prof. Nail Ibragimov: nailhib@gmail.com

Assis. Prof. Arash Fahim: fahimara@umich.edu

Assoc. Prof. Claes Jogréus: claes.jogreus@bth.se

1.2 Motion with constant velocity

This evolution is completely characterized by the arrival time

This function solves the stationary Hamilton-­‐Jacobi equation

1.3 Motion by curvature

|𝛻𝑢|𝑑𝑖𝑣 (𝛻𝑢/|𝛻𝑢| ) + 1 = 0 in Ω (3)

with 𝑢 = 0 at the boundary. This PDE is to motion by curvature as eikonal

1.4 Paul-­‐Carol game interpretation

𝑢! 𝑥 = min ! !! max!!±! 𝑢! (𝑥 + 2𝜀𝑏𝑣+𝜀 ! . (5)

1.5 Implementation of the geometric algorithm

Figure 5. Motion by curvature for Rectangle (𝜀 = 2.5)

Figure 6. Motion by curvature for Rectangle (𝜀 = 0.4)

Figure 10. Motion by curvature for nonconvex initial

Boundary With a Montacarlo method [2]

with the final-­‐time condition 𝑣! 𝑥, 𝑇 = 𝜙 𝑥 .

with 𝑢(0, 𝑥) = 𝑔(𝑥) (10)

1.8 Application in financial Mathematics

Mean curvature flow equations have some applications in Portfolio

1.9 Application in image processing

Let 𝐺 be a one-­‐parameter group of transformations of independent variables

with the initial conditions

Now, the generator of the group 𝐺 is

Transformations (14) can be obtained from infinitesimal transformation (15)

Now, consider the equation

where the first-­‐order prolongation formula is

𝜁!! …!! = 𝐷!! 𝜁!! …!!!! − 𝑢!!! …!!!! 𝐷!! (𝜉 ! ). (24)

2.2 Lie symmetries of the mean curvature flow

Consider the mean curvature flow equation (11) as follows

𝑢!! 𝑢!! + 2𝑢! 𝑢! 𝑢!" + 𝑢!! 𝑢!!

equation as following

with the initial boundary

𝐹 ≡ 𝑢! 𝑢!! + 𝑢! 𝑢!! − 𝑢!! 𝑢!! − 𝑢!! 𝑢!! + 2𝑢! 𝑢! 𝑢!" = 0.

According to the prolongation formula (22), prolongation of 𝑋 is

which by applying formulas (23) and (24) we have

= 𝜂! + 𝑢! 𝜂! − 𝑢! 𝜉!! − 𝑢!! 𝜉!! − 𝑢! 𝜉!! − 𝑢! 𝑢! 𝜉!! − 𝑢! 𝜉!! − 𝑢! 𝑢! 𝜉!!

= 𝜂! + 𝑢! 𝜂! − 𝑢! 𝜉!! − 𝑢! 𝑢! 𝜉!! − 𝑢! 𝜉!! − 𝑢!! 𝜉!! − 𝑢! 𝜉!! − 𝑢! 𝑢! 𝜉!!

= 𝜂! + 𝑢! 𝜂! − 𝑢! 𝜉!! − 𝑢! 𝑢! 𝜉!! − 𝑢! 𝜉!! − 𝑢! 𝑢! 𝜉!! − 𝑢! 𝜉!! − 𝑢!! 𝜉!!

𝜁!! = 𝐷! 𝜁! − 𝑢!" 𝐷! (𝜉 ! ) − 𝑢!! 𝐷! (𝜉 ! ) − 𝑢!" 𝐷! (𝜉 ! ),

𝜁!! = 𝐷! 𝜁! − 𝑢!" 𝐷! (𝜉 ! ) − 𝑢!" 𝐷! (𝜉 ! ) − 𝑢!! 𝐷! (𝜉 ! ),

𝜁!" = 𝐷! 𝜁! − 𝑢!" 𝐷! (𝜉 ! ) − 𝑢!! 𝐷! (𝜉 ! ) − 𝑢!" 𝐷! (𝜉 ! ).

Let us write the determining equation as following

[𝜁! 𝑢2𝑥 + 𝑢2𝑦 + 𝜁2 2𝑢𝑡 𝑢𝑥 − 2𝑢𝑦𝑦 𝑢𝑥 + 2𝑢𝑦 𝑢𝑥𝑦 + 𝜁3 2𝑢𝑡 𝑢𝑦 − 2𝑢𝑥𝑥 𝑢𝑦 +

2𝑢𝑥 𝑢𝑥𝑦 − 𝜁22 𝑢2𝑦 − 𝜁33 𝑢2𝑥 + 2𝜁23 𝑢𝑥 𝑢𝑦 ]𝐹≡0 = 0. (30)

By solving the previous system of equations, we obtain

where 𝑓! 𝑢 , 𝑓! 𝑢 , … , 𝑓! 𝑢 can be any arbitrary function of 𝑢. After

Conclusion and further work

[5] Angela Handlovicova, Karol Mikula, Alessandro Sarti, Numerical solution

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This function solves the stationary Hamilton-‐Jacobi equation

1.4 Paul-‐Carol game interpretation

with the final-‐time condition 𝑣! 𝑥, 𝑇 = 𝜙 𝑥 .

Let 𝐺 be a one-‐parameter group of transformations of independent variables

where the first-‐order prolongation formula is