A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. The proof is based on a careful study of the discretization matrices and on an abstract convergence result due to Barles and Souganides.

A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. The proof is based on a careful study of the discretization matrices and on an abstract convergence result due to Barles and Souganides.

We prove the convergence at a large scale of a non-local first order equation to an anisotropic mean curvature motion. The equation is an eikonal-type equation with a velocity depending in a non-local way on the solution itself, which arises in the theory of dislocation dynamics. We show that if an anisotropic mean curvature motion is approximated by equations of this type then it is always of variational type, whereas the converse is true only in dimension two.

We study a Lagrangian numerical scheme for solution of a nonlinear drift diffusion equation on an interval. The discretization is based on the equation’s gradient flow structure with respect to the Wasserstein distance. The scheme inherits various properties from the continuous flow, like entropy monotonicity, mass preservation, metric contraction and minimum/ maximum principles. As the main result, we give a proof of convergence in the limit of vanishing mesh size under a CFL-type condition. We...

An equilibrium triangular block-element, proposed by Watwood and Hartz, is subjected to an analysis and its approximability property is proved. If the solution is regular enough, a quasi-optimal error estimate follows for the dual approximation to the mixed boundary value problem of elasticity (based on Castigliano's principle). The convergence is proved even in a general case, when the solution is not regular.

We present a convergence analysis of a cell-based finite volume (FV) discretization scheme applied to a problem of control in the coefficients of a generalized Laplace equation modelling, for example, a steady state heat conduction. Such problems arise in applications dealing with geometric optimal design, in particular shape and topology optimization, and are most often solved numerically utilizing a finite element approach. Within the FV framework for control in the coefficients problems ...

We present a convergence analysis of a cell-based finite volume (FV) discretization scheme applied to a problem of control in the coefficients of a generalized Laplace equation modelling, for example, a steady state heat conduction. Such problems arise in applications dealing with geometric optimal design, in particular shape and topology optimization, and are most often solved numerically utilizing a finite element approach. Within the FV framework for control in the coefficients problems ...

A discontinuous Galerkin finite element method for an optimal control problem related to semilinear parabolic PDE's is examined. The schemes under consideration are discontinuous in time but conforming in space. Convergence of discrete schemes of arbitrary order is proven. In addition, the convergence of discontinuous Galerkin approximations of the associated optimality system to the solutions of the continuous optimality system is shown. The proof is based on stability estimates at arbitrary time...

In the recent literature, the phenomenon of phase separation for binary mixtures of Bose–Einstein condensates can be understood, from a mathematical point of view, as governed by the asymptotic limit of the stationary Gross–Pitaevskii system $-\Delta u+u^3+\beta u{v}^2=\lambda u,-\Delta v+v^3+\beta u^{2}v=\mu v,u,v\in H_0^1\left(\Omega \right),u,v>0$, as the interspecies scattering length $\beta$ goes to $+\infty$. For this system we consider the associated energy functionals $J_{\beta },\beta \in (0,+\infty )$, with $L^2$-mass constraints, which limit $J_{\infty }$ (as $\beta \to +\infty$) is strongly irregular. For such functionals, we construct multiple critical points via a common...

Using the min-plus version of the spectral radius formula, one proves: 1) that the unique eigenvalue of a min-plus eigenvalue problem depends continuously on parameters involved in the kernel defining the problem; 2) that the numerical method introduced by Chou and Griffiths to compute this eigenvalue converges. A toolbox recently developed at I.n.r.i.a. helps to illustrate these results. Frenkel-Kontorova models serve as example. The analogy with homogenization of Hamilton-Jacobi equations is emphasized....

Using the min-plus version of the spectral radius formula, one proves: 1) that the unique eigenvalue of a min-plus eigenvalue problem depends continuously on parameters involved in the kernel defining the problem; 2) that the numerical method introduced by Chou and Griffiths to compute this eigenvalue converges. A toolbox recently developed at I.n.r.i.a. helps to illustrate these results. Frenkel-Kontorova models serve as example. The analogy with homogenization of Hamilton-Jacobi equations...

A sequence of optimal control problems for systems governed by linear hyperbolic equations with the nonhomogeneous Neumann boundary conditions is considered. The integral cost functionals and the differential operators in the equations depend on the parameter k. We deal with the limit behaviour, as k → ∞, of the sequence of optimal solutions using the notions of G- and Γ-convergences. The conditions under which this sequence converges to an optimal solution for the limit problem are given.

A discrete-time financial market model with finite time horizon is considered, together with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Existence of unique optimal consumption-investment strategies as well as their convergence to the limit strategy is shown.

This paper characterizes completely the behavior of the logarithmic barrier method under a standard second order condition, strict (multivalued) complementarity and MFCQ at a local minimizer. We present direct proofs, based on certain key estimates and few well–known facts on linear and parametric programming, in order to verify existence and Lipschitzian convergence of local primal-dual solutions without applying additionally technical tools arising from Newton–techniques.