In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are introduced. Then we prove the convergence of different algorithms and present simulation results for different types of BSDEs.

We prove a posteriori error estimates of optimal order for linear Schrödinger-type equations in the L∞(L2)- and the L∞(H1)-norm. We discretize only in time by the Crank-Nicolson method. The direct use of the reconstruction technique, as it has been proposed by Akrivis et al. in [Math. Comput.75 (2006) 511–531], leads to a posteriori upper bounds that are of optimal order in the L∞(L2)-norm, but of suboptimal order in the L∞(H1)-norm. The optimality in the case of L∞(H1)-norm is recovered by using an auxiliary initial- and boundary-value problem.

This paper is concerned with the dual formulation of the interface problem consisting of a linear partial differential equation with variable coefficients in some bounded Lipschitz domain Ω in $\mathbb{R}^n$ (n ≥ 2) and the Laplace equation with some radiation condition in the unbounded exterior domain Ωc := $\mathbb{R}^n\backslash\bar\Omega$. The two problems are coupled by transmission and Signorini contact conditions on the interface Γ = ∂Ω. The exterior part of the interface problem is rewritten using a Neumann to Dirichlet mapping (NtD) given in terms of boundary integral operators. The resulting variational formulation becomes a variational inequality with a linear operator. Then we treat the corresponding numerical scheme and discuss an approximation of the NtD mapping with an appropriate discretization of the inverse Poincaré-Steklov operator. In particular, assuming some abstract approximation properties and a discrete inf-sup condition, we show unique solvability of the discrete scheme and obtain the corresponding a-priori error estimate. Next, we prove that these assumptions are satisfied with Raviart-Thomas elements and piecewise constants in Ω, and continuous piecewise linear functions on Γ. We suggest a solver based on a modified Uzawa algorithm and show convergence. Finally we present some numerical results illustrating our theory.

We consider linear elliptic systems which arise in coupled elastic continuum mechanical models. In these systems, the strain tensor εP := sym (P-1∇u) is redefined to include a matrix valued inhomogeneity P(x) which cannot be described by a space dependent fourth order elasticity tensor. Such systems arise naturally in geometrically exact plasticity or in problems with eigenstresses. The tensor field P induces a structural change of the elasticity equations. For such a model the FETI-DP method is formulated and a convergence estimate is provided for the special case that P-T = ∇ψ is a gradient. It is shown that the condition number depends only quadratic-logarithmically on the number of unknowns of each subdomain. The dependence of the constants of the bound on P is highlighted. Numerical examples confirm our theoretical findings. Promising results are also obtained for settings which are not covered by our theoretical estimates.

We study the linearized water-wave problem in a bounded domain (e.g. a finite pond of water) of ${\mathbb R}^3$, having a cuspidal boundary irregularity created by a submerged body. In earlier publications the authors discovered that in this situation the spectrum of the problem may contain a continuous component in spite of the boundedness of the domain. Here, we proceed to impose and study radiation conditions at a point ${\mathcal O}$ of the water surface, where a submerged body touches the surface (see Fig. 1). The radiation conditions emerge from the requirement that the linear operator associated to the problem be Fredholm of index zero in relevant weighted function spaces with separated asymptotics. The classification of incoming and outgoing (seen from ${\mathcal O}$) waves and the unitary scattering matrix are introduced.

In several practically interesting applications of electromagnetic scattering theory like, e.g., scattering from small point-like objects such as buried artifacts or small inclusions in non-destructive testing, scattering from thin curve-like objects such as wires or tubes, or scattering from thin sheet-like objects such as cracks, the volume of the scatterers is small relative to the volume of the surrounding medium and with respect to the wave length of the applied electromagnetic fields. This smallness typically causes problems when solving direct scattering problems due to the need to discretize the objects and also when solving inverse scattering problems because small objects have very little effect on electromagnetic fields. In this paper we consider an asymptotic representation formula for scattered electromagnetic waves caused by low volume objects contained in some otherwise homogeneous three-dimensional bounded domain, assuming only that the scatterers are measurable and well-separated from the boundary of the domain. The formula yields a very general asymptotic model for electromagnetic scattering due to low volume objects that can either be used to simulate the corresponding electromagnetic fields or as the foundation of efficient reconstruction methods for inverse scattering problems with low volume scatterers. Our analysis extends results originally obtained in [Y. Capdeboscq and M.S. Vogelius, A general representation formula for boundary voltage perturbations caused by internal conductivity inhomogeneities of low volume fraction. Math. Model. Numer. Anal. 37 (2003) 159–173] for steady state voltage potentials to time-harmonic Maxwell's equations.

Data assimilation refers to any methodology that uses partial observational data and the dynamics of a system for estimating the model state or its parameters. We consider here a non classical approach to data assimilation based in null controllability introduced in [Puel, C. R. Math. Acad. Sci. Paris335 (2002) 161–166] and [Puel, SIAM J. Control Optim.48 (2009) 1089–1111] and we apply it to oceanography. More precisely, we are interested in developing this methodology to recover the unknown final state value (state value at the end of the measurement period) in a quasi-geostrophic ocean model from satellite altimeter data, which allows in fact to make better predictions of the ocean circulation. The main idea of the method is to solve several null controllability problems for the adjoint system in order to obtain projections of the final state on a reduced basis. Theoretically, we have to prove the well posedness of the involved systems associated to the method and we also need an observability property to show the existence of null controls for the adjoint system. To this aim, we use a global Carleman inequality for the associated velocity-pressure formulation of the problem which was previously proved in [Fernández-Cara et al., J. Math. Pures Appl.83 (2004) 1501–1542]. We present numerical simulations using a regularized version of this data assimilation methodology based on null controllability for elements of a reduced spectral basis. After proving the convergence of the regularized solutions, we analyze the incidence of the observatory size and noisy data in the recovery of the initial value for a quality prediction.

We study numerically the semiclassical limit for the nonlinear Schrödinger equation thanks to a modification of the Madelung transform due to Grenier. This approach allows for the presence of vacuum. Even if the mesh size and the time step do not depend on the Planck constant, we recover the position and current densities in the semiclassical limit, with a numerical rate of convergence in accordance with the theoretical results, before shocks appear in the limiting Euler equation. By using simple projections, the mass and the momentum of the solution are well preserved by the numerical scheme, while the variation of the energy is not negligible numerically. Experiments suggest that beyond the critical time for the Euler equation, Grenier's approach yields smooth but highly oscillatory terms.