We propose a variational analysis for a Black and Scholes equation with stochastic volatility. This equation gives the price of a European option as a function of the time, of the price of the underlying asset and of the volatility when the volatility is a function of a mean reverting Orstein-Uhlenbeck process, possibly correlated with the underlying asset. The variational analysis involves weighted Sobolev spaces. It enables to prove qualitative properties of the solution, namely a maximum principle and additional regularity properties. Finally, we make numerical simulations of the solution, by finite element and finite difference methods.

We present one- and two-dimensional central-upwind schemesfor approximating solutions of the Saint-Venant system with source terms due to bottom topography. The Saint-Venant system has steady-state solutionsin which nonzero flux gradients are exactly balanced by the source terms. It is a challenging problem to preservethis delicate balance with numerical schemes.Small perturbations of these states are also very difficultto compute. Our approach is based on extending semi-discrete central schemes forsystems of hyperbolic conservation laws to balance laws.Special attention is paid to the discretization of the sourceterm such as to preserve stationary steady-statesolutions. We also prove that the second-order version of our schemes preserves the nonnegativity of the height of the water.This important feature allows one to compute solutions for problemsthat include dry areas.

In this article, we show the convergence of a class of numerical schemes for certain maximal monotone evolution systems; a by-product of this resultsis the existence of solutions in cases which had not been previouslytreated. The order of these schemes is 1/2 in general and 1 when the only non Lipschitz continuous term is the subdifferential of the indicatrix of a closed convex set. In the case of Prandtl'srheological model, our estimates in maximum norm do not dependon spatial dimension.

This paper is devoted to the spectral analysis of a non elliptic operator A , deriving from the study of superconducting micro-strip lines.Once a sufficient condition for the self-adjointness of operator A has been derived, we determine its continuous spectrum. Then, we show that A is unbounded from below and that it has a sequence of negative eigenvalues tending to -∞. Using the Min-Max principle, a characterization ofits positive eigenvalues is given. Thanks to this characterization, some conditions on the geometrical (large width) and physical (large dielectric permittivityin modulus) properties of the strip that ensure the existence of positive eigenvalues are derived. Finally, we analyze the asymptotic behavior of the eigenvaluesof A as the dielectric permittivity of the strip goes to -∞.

For a nonconforming finite element approximation of an elliptic model problem, we propose a posteriori error estimates in the energy norm which use as an additive term the “post-processing error” between the original nonconforming finite element solution and an easy computable conforming approximation of that solution.Thus, for the error analysis, the existing theory from the conformingcase can be used together with some simple additional arguments.As an essential point, the property is exploited that the nonconformingfinite element space contains as a subspace a conforming finite element space of first order. This property is fulfilled for many knownnonconforming spaces. We prove local lower and global upper a posteriori error estimates for an enhanced error measure which is the discretization error in the discrete energy norm plus the error of the best representation of the exact solution by a function in the conforming space used for thepost-processing. We demonstrate that the idea to use a computed conforming approximation ofthe nonconforming solution can be applied also to derive an a posteriorierror estimate for a linear functional of the solution which representssome quantity of physical interest.

Let Φ : H → R be a C 2 function on a real Hilbert space and ∑ ⊂ H x R the manifold defined by ∑ := Graph (Φ). We study the motion of a material point with unit mass, subjected to stay on Σ and which moves under the action of the gravity force(characterized by g>0), the reaction force and the friction force ( $\gamma>0$ is the friction parameter). For any initial conditions at time t=0, we prove the existence of a trajectory x(.) defined on R +. We are then interested in the asymptotic behaviour of the trajectories when t → +∞. More precisely, we prove the weak convergence of the trajectories when Φ is convex. When Φ admits a strong minimum, we show moreover that the mechanical energy exponentially decreases to its minimum.

We show that the Maxwell equations in the low frequency limit, in a domain composed of insulatingand conducting regions, has a saddle point structure, wherethe electric field in the insulating region is the Lagrangemultiplier that enforces the curl-free constraint on the magnetic field.We propose a mixed finite element techniquefor solving this problem, and we show that, under mild regularityassumption on the data, Lagrange finite elements can be usedas an alternative to edge elements.