On a price formation free boundary model by Lasry & Lions: The Neumann problem

We discuss local and global existence and uniqueness for the price formation free boundary model with homogeneous Neumann boundary conditions introduced by Lasry & Lions in 2007. The results are based on a transformation of the problem to the heat equation with nonstandard boundary conditions. The free boundary becomes the zero level set of the solution of the heat equation. The transformation allows us to construct an explicit solution and discuss the behavior of the free boundary. Global existence can be verified under certain conditions on the free boundary and examples of non-existence are given

Parabolic free boundary price formation models under market size fluctuations

In this paper we propose an extension of the Lasry-Lions price formation model which includes fluctuations of the numbers of buyers and vendors. We analyze the model in the case of deterministic and stochastic market size fluctuations and present results on the long time asymptotic behavior and numerical evidence and conjectures on periodic, almost periodic and stochastic fluctuations. The numerical simulations extend the theoretical statements and give further insights into price formation dynamics

Optimal bilinear control of Gross-Pitaevskii equations

A mathematical framework for optimal bilinear control of nonlinear Schr\"odinger equations of Gross-Pitaevskii type arising in the description of Bose-Einstein condensates is presented. The obtained results generalize earlier efforts found in the literature in several aspects. In particular, the cost induced by the physical work load over the control process is taken into account rather then often used $L^2$- or $H^1$-norms for the cost of the control action. Well-posedness of the problem and existence of an optimal control is proven. In addition, the first order optimality system is rigorously derived. Also a numerical solution method is proposed, which is based on a Newton type iteration, and used to solve several coherent quantum control problems.Comment: 30 pages, 14 figure

Wigner Functions versus WKB-Methods in Multivalued Geometrical Optics

We consider the Cauchy-problem for a class of scalar linear dispersive equations with rapidly oscillating initial data. The problem of high-frequency asymptotics of such models is reviewed,in particular we highlight the difficulties in crossing caustics when using (time-dependent) WKB-methods. Using Wigner measures we present an alternative approach to such asymptotic problems. We first discuss the connection of the naive WKB solutions to transport equations of Liouville type (with mono-kinetic solutions) in the prebreaking regime. Further we show that the Wigner measure approach can be used to analyze high-frequency limits in the post-breaking regime, in comparison with the traditional Fourier integral operator method. Finally we present some illustrating examples.Comment: 38 page

Continuous data assimilation for the three-dimensional Brinkman-Forchheimer-extended Darcy model

In this paper we introduce and analyze an algorithm for continuous data assimilation for a three-dimensional Brinkman-Forchheimer-extended Darcy (3D BFeD) model of porous media. This model is believed to be accurate when the flow velocity is too large for Darcy's law to be valid, and additionally the porosity is not too small. The algorithm is inspired by ideas developed for designing finite-parameters feedback control for dissipative systems. It aims to obtaining improved estimates of the state of the physical system by incorporating deterministic or noisy measurements and observations. Specifically, the algorithm involves a feedback control that nudges the large scales of the approximate solution toward those of the reference solution associated with the spatial measurements. In the first part of the paper, we present few results of existence and uniqueness of weak and strong solutions of the 3D BFeD system. The second part is devoted to the setting and convergence analysis of the data assimilation algorithm

Numerical simulations of X-rays Free Electron Lasers (XFEL)

We study a nonlinear Schr\"odinger equation which arises as an effective single particle model in X-ray Free Electron Lasers (XFEL). This equation appears as a first-principles model for the beam-matter interactions that would take place in an XFEL molecular imaging experiment in \cite{frat1}. Since XFEL is more powerful by several orders of magnitude than more conventional lasers, the systematic investigation of many of the standard assumptions and approximations has attracted increased attention. In this model the electrons move under a rapidly oscillating electromagnetic field, and the convergence of the problem to an effective time-averaged one is examined. We use an operator splitting pseudo-spectral method to investigate numerically the behaviour of the model versus its time-averaged version in complex situations, namely the energy subcritical/mass supercritical case, and in the presence of a periodic lattice. We find the time averaged model to be an effective approximation, even close to blowup, for fast enough oscillations of the external field. This work extends previous analytical results for simpler cases \cite{xfel1}.Comment: 14 page