Partial Differential Equations: Theory, Control and Approximation

Mean field theory has raised a lot of interest in the recent years (see in particular the results of Lasry-Lions in 2006 and 2007, of Gueant-Lasry-Lions in 2011, of Huang-Caines-Malham in 2007 and many others). There are a lot of applications. In general, the applications concern approximating an infinite number of players with common behavior by a representative agent. This agent has to solve a control problem perturbed by a field equation, representing in some way the behavior of the average infinite number of agents. This approach does not lead easily to the problems of Nash equilibrium for a finite number of players, perturbed by field equations, unless one considers averaging within different groups, which has not been done in the literature, and seems quite challenging. In this paper, the authors approach similar problems with a different motivation which makes sense for control and also for differential games. Thus the systems of nonlinear partial differential equations with mean field terms, which have not been addressed in the literature so far, are considered here.

The Richards equation models the water flow in a partially saturated underground porous medium under the surface. When it rains on the surface, boundary conditions of Signorini type must be considered on this part of the boundary. The authors first study this problem which results into a variational inequality and then propose a discretization by an implicit Euler’s scheme in time and finite elements in space. The convergence of this discretization leads to the well-posedness of the problem.

The authors consider a simple transport equation in one-dimensional space and the linearized shallow water equations in two-dimensional space, and describe and implement a multilevel finite-volume discretization in the context of the utilization of the incremental unknowns. The numerical stability of the method is proved in both cases.

Turbulent dynamical systems involve dynamics with both a large dimensional phase space and a large number of positive Lyapunov exponents. Such systems are ubiquitous in applications in contemporary science and engineering where the statistical ensemble prediction and the real time filtering/state estimation are needed despite the underlying complexity of the system. Statistically exactly solvable test models have a crucial role to provide firm mathematical underpinning or new algorithms for vastly more complex scientific phenomena. Here, a class of statistically exactly solvable non-Gaussian test models is introduced, where a generalized Feynman-Kac formulation reduces the exact behavior of conditional statistical moments to the solution to inhomogeneous Fokker-Planck equations modified by linear lower order coupling and source terms. This procedure is applied to a test model with hidden instabilities and is combined with information theory to address two important issues in the contemporary statistical prediction of turbulent dynamical systems: the coarse-grained ensemble prediction in a perfect model and the improving long range forecasting in imperfect models. The models discussed here should be useful for many other applications and algorithms for the real time prediction and the state estimation.

The authors consider a free interface problem which stems from a gas-solid model in combustion with pattern formation. A third-order, fully nonlinear, self-consistent equation for the flame front is derived. Asymptotic methods reveal that the interface approaches a solution to the Kuramoto-Sivashinsky equation. Numerical results which illustrate the dynamics are presented.

There are many computational tasks in which it is necessary to sample a given probability density function (or pdf for short), i.e., to use a computer to construct a sequence of independent random vectors x _i (i=1,2,…), whose histogram converges to the given pdf. This can be difficult because the sample space can be huge, and more importantly, because the portion of the space where the density is significant, can be very small, so that one may miss it by an ill-designed sampling scheme. Indeed, Markov-chain Monte Carlo, the most widely used sampling scheme, can be thought of as a search algorithm, where one starts at an arbitrary point and one advances step-by-step towards the high probability region of the space. This can be expensive, in particular because one is typically interested in independent samples, while the chain has a memory. The authors present an alternative, in which samples are found by solving an algebraic equation with a random right-hand side rather than by following a chain; each sample is independent of the previous samples. The construction is explained in the context of numerical integration, and it is then applied to data assimilation.

Making use of the periodic unfolding method, the authors give an elementary proof for the periodic homogenization of the elastic torsion problem of an infinite 3-dimensional rod with a multiply-connected cross section as well as for the general electro-conductivity problem in the presence of many perfect conductors (arising in resistivity well-logging). Both problems fall into the general setting of equi-valued surfaces with corresponding assigned total fluxes. The unfolding method also gives a general corrector result for these problems.

The authors prove the global null controllability for the 1-dimensional nonlinear slow diffusion equation by using both a boundary and an internal control. They assume that the internal control is only time dependent. The proof relies on the return method in combination with some local controllability results for nondegenerate equations and rescaling techniques.

This paper is devoted to various considerations on a family of sharp interpolation inequalities on the sphere, which in dimension greater than 1 interpolate between Poincaré, logarithmic Sobolev and critical Sobolev (Onofri in dimension two) inequalities. The connection between optimal constants and spectral properties of the Laplace-Beltrami operator on the sphere is emphasized. The authors address a series of related observations and give proofs based on symmetrization and the ultraspherical setting.

The main goal of this article is to discuss the numerical solution to a nonlinear wave equation associated with the first of the celebrated Painlevé transcendent ordinary differential equations. In order to solve numerically the above equation, whose solutions blow up in finite time, the authors advocate a numerical methodology based on the Strang’s symmetrized operator-splitting scheme. With this approach, one can decouple nonlinearity and differential operators, leading to the alternate solution at every time step of the equation as follows: (i) The first Painlevé ordinary differential equation, (ii) a linear wave equation with a constant coefficient. Assuming that the space dimension is two, the authors consider a fully discrete variant of the above scheme, where the space-time discretization of the linear wave equation sub-steps is achieved via a Galerkin/finite element space approximation combined with a second order accurate centered time discretization scheme. To handle the nonlinear sub-steps, a second order accurate centered explicit time discretization scheme with adaptively variable time step is used, in order to follow accurately the fast dynamic of the solution before it blows up. The results of numerical experiments are presented for different coefficients and boundary conditions. They show that the above methodology is robust and describes fairly accurately the evolution of a rather “violent” phenomenon.

We introduce and analyze a multiscale finite element type method (MsFEM) in the vein of the classical Crouzeix-Raviart finite element method that is specifically adapted for highly oscillatory elliptic problems. We illustrate numerically the efficiency of the approach and compare it with several variants of MsFEM.

In this paper, the exact synchronization for a coupled system of wave equations with Dirichlet boundary controls and some related concepts are introduced. By means of the exact null controllability of a reduced coupled system, under certain conditions of compatibility, the exact synchronization, the exact synchronization by groups, and the exact null controllability and synchronization by groups are all realized by suitable boundary controls.

There is a need for very fast option pricers when the financial objects are modeled by complex systems of stochastic differential equations. Here the authors investigate option pricers based on mixed Monte-Carlo partial differential solvers for stochastic volatility models such as Heston’s. It is found that orders of magnitude in speed are gained on full Monte-Carlo algorithms by solving all equations but one by a Monte-Carlo method, and pricing the underlying asset by a partial differential equation with random coefficients, derived by Itô calculus. This strategy is investigated for vanilla options, barrier options and American options with stochastic volatilities and jumps optionally.

The (continuous) finite element approximations of different orders for the computation of the solution to electronic structures was proposed in some papers and the performance of these approaches is becoming appreciable and is now well understood. In this publication, the author proposes to extend this discretization for full-potential electronic structure calculations by combining the refinement of the finite element mesh, where the solution is most singular with the increase of the degree of the polynomial approximations in the regions where the solution is mostly regular. This combination of increase of approximation properties, done in an a priori or a posteriori manner, is well-known to generally produce an optimal exponential type convergence rate with respect to the number of degrees of freedom even when the solution is singular. The analysis performed here sustains this property in the case of Hartree-Fock and Kohn-Sham problems.

The purpose of this paper is to study the asymptotic behavior of the positive solutions of the problem as p→+∞, where Ω is a bounded domain, and b(x) is a nonnegative function. The authors deduce that the limiting configuration solves a parabolic obstacle problem, and afterwards fully describe its long time behavior.

In the recent biomechanical theory of cancer growth, solid tumors are considered as liquid-like materials comprising elastic components. In this fluid mechanical view, the expansion ability of a solid tumor into a host tissue is mainly driven by either the cell diffusion constant or the cell division rate, with the latter depending on the local cell density (contact inhibition) or/and on the mechanical stress in the tumor.

For the two by two degenerate parabolic/elliptic reaction-diffusion system that results from this modeling, the authors prove that there are always traveling waves above a minimal speed, and analyse their shapes. They appear to be complex with composite shapes and discontinuities. Several small parameters allow for analytical solutions, and in particular, the incompressible cells limit is very singular and related to the Hele-Shaw equation. These singular traveling waves are recovered numerically.