École des ponts – rapport d’activité de recherche 2005 – CERMICS

1 École des ponts – rapport d’activité de recherche 2005 – CERMICS

ACTIVITY REPORT

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CERMICS

Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique

2 ECOLE NATIONALE DES PONTS ET CHAUSSÉES

CENTRE D'ENSEIGNEMENT ET DE RECHERCHE EN MATHÉMATIQUES ET CALCUL SCIENTIFIQUE

CERMICS ENPC laboratory hosting joint project-teams with INRIA Laboratoire de l'ENPC participant à des projets communs avec l'INRIA

Ecole nationale des ponts et chaussées INRIA 6 et 8, avenue Blaise Pascal 2004, route des Lucioles Cité Descartes - Champs-sur-Marne B.P. 93 77455 Marne-la-Vallée Cedex 2 06902 Sophia Antipolis Cedex Tél: 01 6415 3572 Fax: 01 6415 3586 Tél: 04 9238 7900 Fax: 04 9238 7740

Director: Serge PIPERNO Vice-Director: Jean-François DELMAS

(leader: R. Monneau) devoted to mathematical 14 researchers modelling of material behaviour at the 11 associate researchers (5 researchers of cristalline level. INRIA, 3 of University of Marne-la-Vallée, and 2 of University Nice - Sophia Antipolis) It can be pointed out that three teams are or 13 external collaborators take part to joint project-teams with INRIA: the 34 PhD students team «Molecular and multi-scale simulations» hosts INRIA project team MICMAC (leader: C. Le 2 administrative assistants Bris), the team «Applied Probability» hosts INRIA 5 post-docs, 1 engineer project-team MATHFI (leader: A. Sulem) and 7 invited researchers CAIMAN has the same contours for INRIA and 10 internship students ENPC.

CERMICS is a laboratory of ENPC, formerly joint Staff changes. In 2005, Serge Piperno, has with INRIA, and hosting INRIA project-teams. It been nominated at the direction of the is located mainly at ENPC in Champs-sur-Marne laboratory and joined the laboratory at and for a small part at INRIA Sophia Antipolis. Champs-sur-Marne (in the team «Fluid The scientific activity of CERMICS covers several Dynamics»). In this context, the project-team domains in scientific computing, modelling, and CAIMAN, will be reformulated and redesigned, optimization. in order to fit the aims chosen and proposed by INRIA and UNSA researchers. A new INRIA-UNSA Three teams deal with modelling and scientific project-team should be proposed soon. B. computing: «Fluid Mechanics» (leader: A. Ern), Lapeyre, the former director, is now only half- «Molecular and multiscale simulations» (leader: time in the laboratory. J.-F. Delmas was E. Cancès), and «CAIMAN» (joint project-team nominated as vice-director of the laboratory. with INRIA Sophia Antipolis and UNSA; leader: S. Finally, returning from a post-doctoral stay at Piperno). Three other teams cover several Montréal (Canada), Tony Lelièvre joined the important domains of applied mathematics: laboratory in a permanent researcher position. «Optimization and Systems» (leader G. Cohen), «Applied Probability» (leader: J.-F. Delmas) with Publications and prizes. The CERMICS applications of probability theory to numerical laboratory has sustained a high scientific models and methods, and «PDE and materials» activity: over sixty articles have been accepted or published in journals, approximately forty (University of Nice) and E. Vanden-Eijnden presentations in conferences have been made (Courant Institute, New York). Also, concerning and three books have been published. Tony laser control of molecular processes, the team Lelièvre was awarded two scientific prizes for focused on the very practical issues of the his PhD thesis defended last year: the 2005 laboratory implementations of closed loop ENPC PhD prize and the 2005 ParisTech PhD optimal control, in collaboration with the group prize in the category “contribution to progress of H. Rabitz (Princeton University) Finally, in in scientific knowledge”. laser control of molecular processes, the so- called monotonically convergent search Industrial impact. The activities of industrial procedures were studied in collaboration with Y. transfer in the laboratory are strongly linked to Maday and J. Salomon (Paris 6), H. Rabitz research activities. Scientific results are mostly (Princeton) and Y.Ohtsuki (Tohoku Univ. Japan). obtained in collaboration with Research and Concerning polymeric fluids, a joint study has Development Departments of large industrial been conducted by C. Le Bris, B. Jourdain and T. firms through research contracts (Alcan, EdF, Lelièvre, in collaboration with Felix Otto CEA, EADS, Calyon, Suez, etc). An emerging part (University of Bonn). of our financial supports is granted by the The “EDP and materials” team has ongoing “Agence Nationale de la Recherche” (ANR), the collaborations with the universities of Santiago french equivalent of the American NFS, which (Chile) and Tokyo (Japan), and the Royal proposes scientific program calls and grants. Institute of Technology in Stockholm (Sweden). The overall research contracts have reached a Recently H. Ibrahim started a PhD thesis on the record in 2005, not far form 450kE for ENPC study of dislocations density models with scale (100kE via INRIA) which should be compared to effects. He is co-directed by M. Jazar (Beyrouth last year’s 360kE (for ENPC). Expectations for University). next year meet a similar level. The “optimization and systems” team works on topics pertaining to stochastic optimization, in Teaching and supervising. Teaching is an particular on problems with constraints in important activity of CERMICS members, both at probability in collaboration with R. Henrion and ENPC and other first rank engineering schools W. Roemisch (Berlin). (Ecole Polytechique) and in graduate courses (M2R) around Paris. At ENPC, the members of Cermics are strongly contributing to the mathematical and computer engineering department, in the first year (scientific RESEARCH TEAMS computing, probabilities, analysis) as well as in the second year (modelling-implementation- simulation, frequency analysis, non-linear analysis, etc). Moreover, a third year in mathematical finance has been set up. In Applied probabilities addition to organizing and giving courses, the (A. Alfonsi, M. Ben Alaya, S. Blunck, M. Ciuka, J.- global activity of the laboratory also includes F. Delmas, J. Foki, J. Guyon, B. Jourdain, B. accompanying and supervising students Lapeyre, R Laviollette, J.Lelong, N. Moreni, S. throughout their education, for their projects, Scotti, E. Voltchkova, A. Zanette) internships, as well as PhD theses (more than thirty PhD students). This team is interested in the study of pricing algorithms in mathematical finance, of links International collaborations. The different between PDEs and stochastic processes and teams in Cermics have many national and their applications in physics, chemistry and international collaborations with other scientific biology. This research enables us to collaborate centres and institutions meeting the highest with banks and other firms such as Calyon, CAI, standards. The main international relations are CDC, EDF, GDF, PSA, Société Générale, Summit, listed in the following. Sita, PSA, etc. The fluid dynamics team has collaboration links Mathematical finance. The department is also with the University of Heidelberg, EPFL, involved with INRIA (A. Sulem) and the Politecnico di Milano, and the University of University of Marne la Vallée (V. Bally, D. Texas A&M. Lamberton and M.-C. Quenez) in an INRIA The “Molecular and multi-scale simulations” project-team named MathFi. In particular we are team worked on the design of domain developing the software PREMIA dedicated to decomposition methods as an alternative to option pricing. This is done with the diagonalization for Kohn-Sham calculations, in contribution of S. Blunck, M. Ciuka, E. Volchkova collaboration with W. Hager (University of and A .Zanette, and trainees from ENPC and Florida). In numerical statistical physics, the ENSTA. The version 7 of PREMIA has been calculation of free energy differences has been released in February. The next version examined from both mathematical and developed during the year 2005 includes pricing numerical viewpoints by C. Le Bris, T. Lelièvre interest rate derivatives, pricing credit risk and G. Stoltz, in collaboration with M. Rousset derivatives, pricing and hedging of equity in jump models, calibration in jump models as well as pricing equity in Black-Sholes and Heston sweep a large range from physical modelling to models. In 2005, N. Moreni defended is PhD in design and analysis of numerical methods. A December on “Monte Carlo methods and particular emphasis is put on their validation on options pricing”, he is now working at Banca realistic configurations and their algorithmic - IMI. The thesis of A. Alfonsi on numerical possibly parallel - implementation. schemes in finance, of J. Guyon on Euler's Our research activities are mainly devoted to scheme convergence and bifurcating Markov wave propagation and complex fluid dynamics. chains for the detection of aging in cells, J. Concerning wave propagation problems, we Lelong on stochastic algorithms and calibration, propose numerical methods based on finite R. Laviolette on energy derivatives, and S. Scotti volumes or discontinuous finite elements. These on error calculus in finance are in progress. The kind of approaches allow great modularity and team has been working on the elaboration of a can achieve high-accuracy with many kinds of 3rd year formation at ENPC in Mathematical meshes (unstructured grids, non-conforming finance. This formation started in September grids, locally refine grids,...). Our methods are 2005, with links to the research Master in mainly developed for problems solved in the Applied Mathematics of UMLV. time domain with explicit time-schemes. We are Monte Carlo methods. B. Lapeyre has left the also considering extensions towards implicit direction of CERMICS to take the direction of the time schemes with possible acceleration using Doctoral Formation Department. He is working domain decomposition, or towards the on stochastic algorithms, with applications in frequency domain. Current applications relate to finance. The ANR ADAP'MC, in collaboration heterogeneous electromagnetism, acoustics, with ENST, Ecole Polytechnique and University of propagation of acoustic waves in a non-uniform Dauphine, is starting on adaptive Monte-Carlo steady compressible flow (aero-acoustics) and methods. geophysics. Concerning fluid dynamics, we are Physics and chemistry. B. Jourdain is working working on Schwartz-type domain decom- in collaboration with the team “Molecular and position algorithms, with optimized interface multi-scale simulations”, C. Le Bris and T. conditions for Euler or Navier-Stokes equations Lelièvre on models for polymers fluid, coupling solved using finite volume methods on deterministic PDE at macroscopic level and tetrahedral unstructured meshes. We also apply stochastic differential equation at microscopic the non-dissipative discontinuous Galerkin level. They prove results on existence and methods developed for wave propagation uniqueness for solutions in such new models. problems for the numerical investigation of The collaboration with E. Cancès and M. El aero-acoustic instabilities in shear flows. Makrini concerns also Monte Carlo methods in Discontinuous Galerkin methods. 2005 has quantum chemistry. been a year of further development of activities Biology. J.-F. Delmas visited UBC at Vancouver around Discontinuous Galerkin methods for in autumn, starting collaboration on branching wave propagation problems, and of processes. He is also developing an activity in confirmation of a large room for improvement statistics and biology in collaboration with in their use. Concerning development, the basic Necker Hospital and University of Orléans. J. method (based on Lagrange polynomials) for Foki is starting a PhD on detection of language which the convergence was proved, has been for babies in collaboration with program PILE. implemented in three space dimensions in P0, P1 and P2 versions (the first two being parallel). The solvers have been tested in the context of CAIMAN the propagation of an electromagnetic wave emitted from a cellular phone in head tissues (S. Barrère, M. Benjemaa, M. Bernacki, A. (ARC INRIA HEADEXP). This software is an initial Bouquet, A. Catella, V. Dolean, H. Fahs, L. prototype, since very promising developments Fezoui, H. Fol, N. Glinsky-Olivier, S. Lanteri, L. have been initiated after a phase of prospective Ouknine, R. Perrussel, S. Piperno, M. Poret, F. testing in two-space dimensions of a generic Rapetti, G. Scarella, S. Sorrès; external associate solver of arbitrary accuracy. Concerning researchers: J. Virieux (Geosciences Azur), C. algorithmic potential of the methods, further Dedeban (FT R&D) ) developments concern a solver with locally- adapted spatial accuracy and of a version with Caiman is a joint project-team with INRIA (the locally adapted time step, which is one of the French National Research Institute in Computer main accomplishments of this year. It is now Science and Automatics), the CNRS (French possible to partially overcome the problem of National Centre of Scientific Research) and the the low stability limit of the energy-conserving Nice-Sophia Antipolis University (NSAU), leap-frog time-scheme (which limits the step to through the Dieudonné Laboratory (UMR 6621). a value related to the smallest element in the Global objectives. The team aims at proposing mesh) by using a time-adaptive recursively new, efficient solutions for the numerical defined Verlet method. A locally implicit time simulation of physical phenomena related to scheme was also proposed. wave propagation (electro-magnetism, Applications. These numerical methods have acoustics, aero-acoustics, seismics, etc) and been applied to other domains with wave complex flows in interaction (fluid-structure propagation in a heterogeneous medium. In interactions, real gases,...). Scientific activities aero-acoustics, we have solved the linearized analysis has been presented for such methods. Euler equations around a non-uniform steady- Moreover, a simple and direct link can be made state. In the PhD thesis of M. Bernacki, we have between these operators and the so-called used a non-dissipative discontinuous Galerkin numerical fluxes which are often employed to time domain method, for which the global formulate DG methods, especially in energy variation in the solution is strongly engineering practice. related to the nature of the supporting flow, The second topic concerning finite elements is hence making possible the numerical simulation the stabilization of continuous finite element or numerical limitation of Kelvin-Helmholtz methods by penalizing the jumps of the instabilities. In elasto-dynamics, we have gradient of the discrete solution. A. Ern, in studied the two-dimensional P-SV wave collaboration with E. Burman (EPFL) who has propagation in a heterogeneous vertical linearly recently developed such methods, have derived elastic and isotropic medium. The numerical a general error analysis for the approximation methods proposed allow for the simulation of of Friedrichs' systems by such methods. The complex phenomena, involving free surfaces or advantage of stabilized continuous finite arbitrary non-planar faults, like the dynamic element methods with respect to DG methods is rupture of a complex geometrical fault. that on a given mesh, the former require less memory than the latter. The third topic concerning finite elements is the analysis of nonconforming finite element Fluid dynamics approximations of convection-diffusion (K. Djadel, A. Ern, S. Meunier, A. Stephansen, P. equations. The goal is to derive (quasi)-optimal Sochala, P. Tardif d'Hamonville) error estimates uniformly in the cell Peclet numbers. For this purpose, two stabilization Our research group investigates four topics: (i) techniques have been proposed and analyzed finite element methods, (ii) a posteriori error by A. Ern and L. El Alaoui: subgrid viscosity and estimates and adaptive meshing, (iii) transport face penalty. One important motivation for in porous media, and (iv) hydrology and using nonconforming finite elements is that hydraulics. In 2005, one PhD student (P. owing to a direct link with finite volume box Sochala) and one post-doctorate researcher (K. schemes, they allow for a conservative Djadel) have joined the research group, while reconstruction of the diffusive flux at the one PhD student (L. El Alaoui) and one post- element scale. doctorate researcher (H. Beaugendre) have left. A posteriori error estimates and adaptive L. El Alaoui is currently post-doctorate mesh generation. A first important issue researcher in the Department of Mathematics at analyzed by A. Ern, L. El Alaoui and E. Burman is Imperial College (London, UK), and H. the robustness of the a posteriori error Beaugendre is currently "Maitre de conferences" estimates for nonconforming approximations of in the Department of Mathematics at the convection-diffusion equations. More precisely, University of Bordeaux I. the first semi-robust error estimator in a Finite Element Methods. Our research in finite nonconforming setting has been proposed, that element methods deals with Discontinuous is, the ratio of the constants in the lower and Galerkin (DG) methods, continuous finite upper bounds for the ratio of the error indicator element methods stabilized by penalizing the to the actual error scales only as the square root jumps of the gradient of the discrete solution, of the Peclet number and not as the Peclet and nonconforming finite elements (e.g., number. This represents a sizeable Crouzeix--Raviart). A. Ern, in collaboration with improvement for the sharpness of the estimates J.-L. Guermond (Texas A&M), has derived a for convection-dominated flows. Furthermore, unified analysis of DG methods for Friedrichs' A. Ern, in collaboration with M. Braack systems. Such systems, which have been (Heidelberg University) and S. Perotto introduced by Friedrichs in 1958, are systems of (Politecnico di Milano), has investigated adaptive first-order Partial Differential Equations (PDE's) modelling techniques (coupled to adaptive endowed with symmetry and positivity meshing techniques) driven by a posteriori error properties. Examples include advection-reaction analysis. Given (say) two models, an inaccurate equations, advection-diffusion-reaction one and an accurate one, the goal is to equations in mixed form, the linear elasticity equilibrate modelling and discretization errors equations in the mixed stress-pressure- by solely using information retrieved from the displacement form, and the Maxwell equations discrete solution and that of a suitable discrete in the so-called diffusive regime, to cite a few dual problem. Two applications are explored: examples. Friedrichs' systems encompass both cross-diffusion effects in multi-component hyperbolic-type and elliptic-type PDE's and, as combustive flows (with M. Braack) and changing such, are particularly well-suited to provide a the space dimension to improve or coarsen the general basis for a unified analysis of DG model (with S. Perotto). methods. To design a DG method merely Transport in porous media. The main involves two ingredients: an interface operator application in view is the transport of to control the jumps of the discrete solution at radionucleides leaking from radioactive waste interfaces and a boundary operator to enforce storage in deep geological layers. This is boundary conditions weakly. A general error currently an important issue in France since the materials, and magneto-hydrodynamics. National Agency ANDRA is due to report on the Electronic structure calculations. We have feasability of radioactive waste underground continued our studies of the existing algorithms storage by the end of 2005. In our research used for electronic structure calculations, and group, two research topics are investigated. The our enterprise consisting in designing new, goal of A. Stephansen's PhD thesis (supported efficient and rigorously founded algorithms. The by ANDRA) is to develop and analyze DG questions that we have investigated include: the methods to approximate transport equations in design of domain decomposition methods as an media with strong heterogeneities and alternative to diagonalization for Kohn-Sham anisotropies and then to design robust error calculations (E. Cancès, C. Le Bris, in indicators to adapt the mesh in transient collaboration with W. Hager, University of problems. Part of her work is carried in Florida, M. Barrault, EDF, and Guy Bencteux, collaboration with P. Zunino (Politecnico di EDF), the improvement of numerical strategies Milano) Second, the goal of S. Meunier's PhD for the Diffusion Monte Carlo method (E. thesis (supported by EDF) is to derive space- Cancès, B. Jourdain, T. Lelièvre and A. Scemama, time a posteriori error indicators for coupled in collaboration with M. Caffarel, CNRS thermo-hydro-mechanics problems and to Toulouse, and M. Rousset, University of Nice), implement them in EdF's software (Code_Aster). and the computation of the first excited state in Such couplings are important in near-field the framework of multi-configuration methods calculations near waste repositories and may (E. Cancès, H. Galicher and M. Lewin). This work affect the amount of pollutants released into the is supported by Electricité de France (EDF) and environment. Finally, P. Tardif d'Hamonville has the Commissariat à l'Energie Atomique (CEA). In now started the final year of his PhD thesis, parallel with the above numerical works, we which is carried in collaboration with L. have pursued in our enterprise to put the Dormieux (LMSGC Laboratory at ENPC). P. Tardif models and the techniques on a sound d'Hamonville has achieved finite element mathematical basis. We have also devoted a simulations to evaluate diffusion and dispersion huge effort to a pedagogic endeavour that we tensors in 3D sphere networks and, thus, to consider crucial. The twofold purpose is to both assess quantitatively the impact of pore attract to the field of computational chemistry morphology and advection velocity on these more mathematicians, and introduce the tensors. chemists to a growing and important Hydraulics and hydrology. A new collaboration mathematical literature devoted to the models has been started with the CETMEF. The goal of and techniques they use. Two state of the art K. Djadel's post-doctorate research is to design review articles have been published in order to and analyze DG methods to approximate the provide the community with a reliable account shallow-water equations. Targeted applications of all recent developments in the field both from include waves propagating on dry beds to a mathematical and a numerical viewpoint. In simulate floods or dam breaks. Furthermore, a addition, lecture notes from a course on the new PhD thesis has been started in 2005. The mathematical and numerical analysis of the goal of P. Sochala's thesis (funded by ENPC) is to models from computational chemistry, at the develop numerical algorithms to simulate the DEA (M2) level, have been published. coupling between subsurface and surface flows. Numerical statistical physics. Molecular One application in view is the simulation of dynamics is often used in statistical physics for overland flow caused by heavy rainfall along the computing ensemble averages. The bottom line surface of hill slopes. Finally, the collaboration for this is the assumed ergodicity of the with the CEREVE laboratory at ENPC and the Hamiltonian dynamics in the micro-canonical QHAN Research Unit at CEMAGREF on hill slope ensemble. Ensemble averages are thus hydrology has been pursued. A post-doctorate expressed as averaged long time limits of research project on dynamics and hysteresis integrals calculated along the actual trajectory. effects in the movement of shallow watertables Based on a theoretical result concerning the has been launched and is scheduled to start in convergence of the numerical averages toward early 2006. the exact result, we were able to propose a new method to accelerate this convergence. This scientific program is a collaboration with Molecular and multi-scale François Castella, Philippe Chartier and Erwan Faou from INRIA Rennes. It is supported by the simulations ACI simulation moléculaire (scientific leader: C. (E. Cancès, G. Bencteux, A. Deleurence, M. El Le Bris). A systematic comparison of some Makrini, H. Galicher, A. Gloria, C. Le Bris, T. sampling techniques in the canonical ensemble Lelièvre, M. Lewin, F. Lodier, A. Orriols, C. Patz, has also been performed (E. Cancès and G. A. Scemama, G. Stoltz) Stoltz, in collaboration with F. Legoll, Lami). The comparison comprises both deterministic The scientific activity of the molecular and algorithms, such as thermostatted molecular multi-scale simulation team covers several dynamics simulations, and stochastic fields: electronic structure calculations, algorithms, such as discretizations of the numerical statistical physics, laser control of Langevin dynamics. The techniques are molecular processes, multi-scale simulation of compared in terms of accuracy, efficiency, time behaviour of the flows. This is in particular computational cost. The results obtained could in order to understand questions related to contribute to change the landscape of sampling return to equilibrium, and dissipation of energy techniques in the years to come. Finally, the in such problems. For polymeric fluids, the calculation of free energy differences has been study has been conducted by C. Le Bris and T. examined from both mathematical and Lelièvre, in collaboration with Benjamin Jourdain numerical viewpoints by C. Le Bris, T. Lelièvre (CERMICS) and Felix Otto (University of Bonn). and G. Stoltz, in collaboration with M. Rousset On the other hand, for suspensions, as a follow (University of Nice) and E. Vanden-Eijnden up to the study of well-posedness of the (Courant Institute). Another related work on the problem, the long time limit has been various discretization schemes used for investigated by C. Le Bris and E. Cancès. It simulating constrained stochastic differential should also be noticed that C. Le Bris gave in equations should follow. the summer 2005 a series of lectures on the Laser control of molecular processes. Our modelling of complex fluids at the Peking interest focuses on the very practical issues of University in Beijing, China. This could be the the laboratory implementations of closed loop first step in a long term collaboration with this optimal control. This is done in collaboration institution. with the group of H. Rabitz (Princeton Magneto-hydrodynamics. In collaboration with University) and made possible by a PICS CNRS- J.-F. Gerbeau (Inria, REO), and in association NSF grant. Of particular interest is for instance with Alcan (formerly Aluminium Péchiney), C. Le the description of the most important Bris, T. Lelièvre and A. Orriols have pursued parameters to be used in the optimization of their efforts for the numerical simulation of the laser field. This is in particular important to electrolytic cells for the industrial production of shed some light on the intimate physical Aluminium. A comprehensive series of tests mechanism underlying the control process. A have been performed to validate the approach numerical strategy for identifying these on test cases closer to the actual industrial parameters has been tested. A publication of situation. The purpose of these test cases was the promising results obtained should come twofold. First, we identified pertinent cost shortly. Different from the experimental functions and commands for a control problem algorithms, the so-called monotonically aiming at optimizing the motion and position of convergent search procedures were also studied a moving interface between two liquids. Second, in collaboration with Y. Maday and J. Salomon we were able to compare some well known (Paris 6), H. Rabitz (Princeton) and Y.Ohtsuki results in the literature obtained by linear (Tohoku Univ. Japan). An important step ahead stability analysis performed on simplified was the illustration of a special relationship systems and those obtained by a fully nonlinear between the monotonic algorithms and the approach. In addition to this, J.-F. Gerbeau, C. Lyapounov schemes. Le Bris and T. Lelièvre have completed the Multi-scale simulation of solids. As was the writing of a book presenting a complete account case for many years now, our research program of the past decade of efforts, and comparing the in the multi-scale simulation of solids divides approach and the simulation strategy with those into a theoretical part and a more numerical of competitors. one. On the theoretical side, in collaboration with Xavier Blanc (of Laboratory Jacques-Louis Lions, Paris) and Pierre-Louis Lions (Collège de Optimization and systems France), C. Le Bris has continued to address the (J.P. Chancelier, G. Cohen, M. de Lara, A. question of how to define ground state energies Dallagi, J.F. Pommaret, B. Seck, C. Strugarek; for some microscopic systems composed of an external associate researchers: L. Andrieu (EDF), infinite number of particles. P. Carpentier (ENSTA)) On the numerical front, C. Le Bris, in collaboration with X. Blanc and F. Legoll, have This team is involved in research about published the mathematical and numerical optimization (mostly in a stochastic setting), analysis of a prototypical model for simulations system simulation and control. in materials science. The model under study Stochastic optimization. Our main concern is couples an atomistic description of the sample with devising numerical methods for solving with a macroscopic continuum description. The such problems. Numerical resolution most of PhD work of Antoine Gloria deals with the the time implies "discretization". In this context, homogenization theory. Starting from the discretization means two distinct processes: in modelling of foams, he has focused on some addition to the classical Monte Carlo sampling theoretical questions related to the (or any other quadrature methodology) to homogenization of elliptic operators. approximate expectations, one needs to Multi-scale simulation of fluids. The subject properly translate the "information" constraints of this activity covers two different applications into a finite scheme. Those information and settings. The first one is the modelling of constraints are a fundamental ingredient of polymeric fluid flows, the second is that of stochastic decision problems: they correspond suspensions. In both contexts, our focus in to the rule of the game which specifies "what do 2005 has been the understanding of the long- you know about random inputs or outputs prior to making decisions", and this question arises at observations; this idea of looking for solutions every stage in a dynamic setting. At least, as a finite linear combinations of "elements" can "causality" is required (that is, the future is as well be applied to all other "variables" known only statistically whereas past involved in the problem, e.g. state, as well as realizations may possibly be observed). Most of control, variables in stochastic optimal control the time, such informational constraints amount problems, and dual variables, or more generally, to saying that decisions are feedbacks over Lagrange multipliers of any other constraints "observations" or that they are random variables involved). This very general point of view which are "measurable" with respect to sigma- (presently investigated in the team, in particular algebras generated by those observations. in A. Dallagi's thesis work) raises several issues: Finally, apart from the problem of expectation How to choose the primal and dual bases in a approximation, and sometimes prior to it, a way which exploits any priori knowledge one careful numerical treatment of those might have of the solution? How to coordinate "measurability" constraints is required. convergence of finite to infinite dimensional Serious difficulties arise when information primal and dual bases so that finite dimensional constraints can be affected by past decisions, problems are well-defined and behaved at each for, in this case, decision making must not only iteration stage, and so that asymptotic care about the direct influence of decisions on properties are also adequately ensured? From a the cost function, but also on the indirect (or more practical point of view, given the size of "dual") effect which consists in trying to reveal an available collection of Monte Carlo samples, as much information as possible to next what is a reasonable size for the collection of decision makers, possibly at the price of finite elements? Indeed, it may seem a priori sacrificing some immediate performance in that the largest this collection is, the best the terms of the cost function. These problems "fitting power" of the true solution is (or else, involving dual effect are known to be very tricky the least the bias of approximation is). But, on for a long time (Witsenhausen's counterexample the other hand, if the number of coefficients to in 1968) and one past contribution of the team tune is too large with respect to the size of the (about to be published in the open literature) Monte Carlo sample collection (which is used in has been to study the largest possible class of the approximation of expectations), then one problems for which dual effect is absent. In the may expect that the variance of best coefficient past (K. Barty's thesis), the information issue value estimation will be poor: that is, as in the was handled through the technique of "scenario more classical problem of conditional trees", but unlike what is generally found in the expectation estimation, there is an optimal literature, those scenario trees were not trade-off between variance and bias for a given postulated a priori as a fuzzy translation of (but asymptotically large) sample collection. information constraints. We have tried to These are some of the issues presently propose techniques starting from the initial investigated. continuous problem formulation and ending In parallel, in a joint work by C. Strugarek, K. with the construction of such discretizations Barty and J.S. Roy (EDF), other ideas around using quantization ideas. A first asymptotic kernel approximation are investigated. Here, convergence theorem was given in which, again, kernels (whose window widths asymptotically go attention is paid to the convergence of the to zero at a certain rate as iteration stage goes information structures (also known as sigma- to infinity) are kinds of Dirac approximations algebras) in addition to that of Monte Carlo centred around successively generated Monte approximations. In the last two years, others Carlo samples in a scheme which is closer to paths have been followed because it has been "stochastic gradient" techniques, so as to realized that, not only scenario trees do not asymptotically construct an approximation of seem at all to be a necessary road towards an the solution which is not dependent on a appropriate discrete representation of particular finite element basis choice. In C. informational constraints, but they may also Strugarek's thesis work, other topics pertaining carry some serious drawbacks (which can only to stochastic optimization are also investigated be revealed by the study of asymptotic rates of (as a non exhaustive list, let us mention issues convergence, a topic we have only started to about decomposition and coordination of touch recently). Those new ways of tackling the stochastic optimization problems, problems issue of discretization can be arranged in the with constraints in probability --- joint work following categories: one is inspired by the so- with R. Henrion and W. Roemisch (Berlin) --- a called Nadaraya-Watson or "kernel" technique topic initiated in our group by L. Andrieu's for conditional expectation estimation, for thesis, etc.). which a new discretized (computer friendly) Risk aspects are also considered by Michel De approximation can be devised. A second one is Lara with two collaborations: participation to derived from the observation that this kernel ANR RiskAttitude (economy and risk); contract technique can be considered as a particular with EDF and thesis supervision of Babacar Seck instance of a more general technique that we on the relationships between risk handling in call a "particle finite element" method (the idea engineering problems and their translation in is to search for solutions in a finitely generated economics (utility functions, risk aversion). linear subspace of functions (feedbacks) of (on) Simulation and optimal control. J.-P. Chancelier and G. Cohen have successfully such as hash tables or linked lists, are also completed their work on simulation and optimal present in NSP. The whole Scilab syntax is control of tunnel ventilation. After it has been covered by the NSP interpreter with some identified that a key parameter for this problem extensions. Note however, that a large effort is the atmospheric pressure difference at the remains to be done to provide all the functions two ends of a tunnel, a quantity that can hardly and functionality already present in Scilab. be measured with sufficient accuracy by direct Algebraic analysis of PDE systems. J.F. means, a dynamic estimation algorithm has Pommaret is involved in research in control been devised to provide an on-line monitoring theory and its generalizations, foundations of of this critical quantity using other mechanics and thermo-dynamics, computer measurements (in particular air speed in the algebra for partial differential equations. These tunnel which is easier to measure). This works deal with the formal/local study of algorithm has been successfully tested through systems of partial differential equations and simulations using various scenarios of groups of transformations, both with their variations of the actual pressure difference. applications to engineering sciences. During the Then, through another intensive campaign of last months, the emphasis has been put on the simulations, it has been proved that 80% of the difficult concept of "identifiability", namely the energy consumption by the "accelerators" possibility to recover the coefficients- (electric fans) can be saved by using this on-line parameters of a control system through the pressure difference estimation within the knowledge of a certain minimum number of control loop (obviously, the pressure difference trajectories to be determined by an effective can contribute for free to cleaning the tunnel algorithm. from pollution generated by cars and lorries Mathematical methods for sustainable provided one does not try to fight against the management of renewable ressource and airflow generated by this pressure difference in biodiversity. M. De Lara is developing many trying to blow the air in the wrong direction at collaborations on this general theme: any time). Unfortunately, this "lab success" is mathematical epidemiology of infectious not likely to be translated in a real operational diseases (with the laboratory GEMI - “Génétique success as long as our partner, the CETU et évolution des maladies infectieuses”, UMR (Centre d’Etudes des Tunnels, Lyon) is not ready CNRS-IRD-Montpellier); economic interpretation to pursue those developments through real of sustainable development, invariance and implementations. environmental preferences (ACI MEDD); Max-plus algebra. Jointly with J.P. Quadrat sustainable management of biodiversity under (INRIA, Metalau team) and S. Gaubert (INRIA, uncertainty and global dynamics (French Maxplus team), G. Cohen pursued his Institute for Biodiversity). He is also the investigation of max-plus algebra and coordinator of the project MOOREA (Methods geometry. In the max-plus algebra, truly and Optimization Tools in Applied Ecology) and invertible matrices are a very small class; organized two meetings in 2005. matrices admitting a pseudo-inverse are called regular and are a wider class with many other characterizations and geometric properties. A PDE and materials paper around this topic is in preparation. (A. Blanchet, A. El Hajj, M. El Rhabi, N. Forcadel, Another topic, in continuity with the work and H. Ibrahim, C. Imbert, A. Ghorbel, R. Monneau) publications of previous years around max-plus convex functions and separation theorems, is The PDE and Materials team is interested in the an attempt to extend duality theory of modelling of the physics of materials, and in the constrained optimization to max-plus convex theoretical and numerical analysis of these optimization. models and their simulations. At the present Scilab Scientific Computing Software. J.P. time, our group concentrates its efforts on the Chancelier, one of the main Scilab authors, is study of the dynamics of line defects in crystals, now involved in a new software project called called dislocations (typical length of a NSP. NSP means "New Scilab Project". It aims at micron).These dislocations are responsible of implementing a new interpreter and running the macroscopic plastic behaviour of metals, environment for the Scilab language. This and the understanding of plasticity at a project goes back to 1998 but substantial microscopic level is one of our main motivations efforts for development started in 2003 when in this direction of research. Our activity is the Scilab Consortium was created. It is a GPL included in an ACI "Young scientists" contract of project, distinct from Scilab, based on the C the French Ministry of Research (2003-2006), language with Unix (Linux) and Gtk2 as its main called "Modelling and mathematical analysis of targets. Internal objects are written in C using a dislocation dynamics". We work in particular in C based system of classes. Gtk2 (2.4) is almost collaboration with the laboratory of the study of fully interfaced. All of the internal Scilab data microstructure LEM at the ONERA. This part of types are implemented, i.e. they can be our activity mainly focuses on the complicated internally created and manipulated through dynamics of interacting dislocations lines. Let libraries. Some Matlab data types such as cells us cite in particular the works in progress of N. are natively implemented, and extra data types, Forcadel (PhD student, 2nd year) on the link between dislocation dynamics and mean GLINSKY-OLIVIER Nathalie curvature motion, and A. Ghorbel (PhD student, JOURDAIN Benjamin 3rd year) on a 1D model of interacting LAPEYRE Bernard (half-time) dislocations. LE BRIS Claude Dislocation dynamics. In 2005, we have LELIEVRE Tony extended our research to the study of MONNEAU Régis dislocations density models in connection with PIPERNO Serge elasto-visco-plasticity of metals. This project is POMMARET Jean-François a part of the "Pluriformations Program" with the University of Marne-la-Vallée. In this Researchers participating in joint teams framework, let us cite the PhD thesis of A. El Hajj (2nd year), co-directed with M. Cannone. BALLY Vlad (UMLV) Recently H. Ibrahim started a PhD thesis on the DOLEAN Victorita (UNSA) study of dislocations density models with scale FEZOUI Loula (INRIA) effects. He is co-directed by M. Jazar (Beyrouth KAMMERER-QUENEZ Marie-Claire (UMLV) University). We also welcomed recently M. El KOHATSU-HIGA Arturo (INRIA) Rhabi on a post-doc position working on the LAMBERTON Damien (UMLV) link between these models and the mechanics, LANTERI Stéphane (INRIA) in connection with S. Forest of the Center of LEGOLL Frédéric (LAMI) Materials (ENSMP). Part of our objectives is to RAPETTI Francesca (UNSA) establish the connection between the dynamics SULEM Agnès (INRIA) of a finite number of dislocations lines and the TURINICI Gabriel (INRIA) dynamics of dislocation densities, based on non-linear homogenization tools. We are at the External collaborators very beginning of this project working with C. Imbert (at partial time in CERMICS) and E. Rouy ANDRIEU Maetitia (EdF) (Lyon University). BARLES Guy (Univ. Tours) Free boundary problems. A. Blanchet and R. BEN ALAYA Mohamed (Univ. Paris 13) Monneau are also members of an ACI NIM BOULEAU Nicolas (ENPC) contract on "PDE and finance". A. Blanchet CANNONE Marco (UMLV) defended his PhD, entitled "Monotonicity CARLINI Elisabetta (Univ. La Sapienza) formula applied to free boundary problems and CARPENTIER Pierre (ENSTA) modelling in biology", and was co-directed by J. CHAUVEAU Didier (Univ. Orléans – MAPMO) Dolbeault from Paris IX - Dauphine University. DEDEBAN Claude (FT R\&D, La Turbie) His thesis presents regularity properties for FOREST Samuel (Centre des Matériaux, ENSMP) partial differential equations of parabolic type. IMBERT Cyril (Univ. Montpellier) In the main part of his thesis, he studies the ROUY Elisabeth (Centrale Lyon) free boundary for parabolic obstacle problems VIRIEUX Jean (Geosciences Azur, UNSA) with variable coefficients. This problem was naturally motivated by the modelling of PhD Students American options in finance. He proves fine regularity results for the solution and for the ALFONSI Aurélien free boundary. In the second part of his thesis BENCTEUX Guy he studies the Keller-Segel system modelling BENJEMAA Mondher aggregation of cells in biology, proving in BERNACKI Marc particular the existence of solutions without BLANCHET Adrien blow-up when the initial mass of cells is less BOUQUET Antoine than an optimal threshold. Let us more CATELLA Adrien generally mention that our team continues its DALLAGI Anes international collaborations, in particular with DELEURENCE Amélie Chile, Sweden, Japan and Italy. EL ALAOUI Linda EL HAJJ Ahmad EL MAKRINI Mohamed FAHS Hassan FOKI Julien CERMICS members FOL Hugo FORCADEL Nicolas GALICHER Hervé GHORBEL Amin Researchers GLORIA Antoine GUYON Julien CANCES Eric IBRAHIM Hassan CHANCELIER Jean Philippe LAVIOLETTE Ralf COHEN Guy LELONG Jérôme DE LARA Michel LODIER François DELMAS Jean-François MEUNIER Sébastien ERN Alexandre MORENI Nicola S. Piperno organized the "Mathematics and ORRIOLS Antonin Computer Science Department opening week" at PORET Maud INRIA Sophia Antipolis for the students of Ecole SCOTTI Simone Nationale des Ponts et Chaussées. SECK Babacar SOCHALA Pierre STEPHANSEN Annette Lectures STOLTZ Gabriel STRUGAREK Cyrille Probability and statistics TARDIF D'HAMONVILLE Pierre ENPC A. ALFONSI, J. GUYON, B.JOURDAIN, T. LELIEVRE Post-doctoral students Mathematical finance ANDRIEU Leatitia ENPC BARTY Kengy A. ALFONSI J. GUYON, B.JOURDAIN CIUKA Marian DJADEL Karim Preliminary lessons for the course of EL RHABI Mohamed Statistics LEWIN Mathieu ENPC PERRUSSEL Ronan A. ALFONSI SCARELLA Gilles SCEMAMA Antony Sensitivity and error calculations, application to finance Internship students Master 2, university Paris I and university Paris VI BASQUIN Stéphane (Institut Galilée) N. BOULEAU CATELLA Adrien (M2R UNSA, ESSI) CHEIKH-ALI Majd, (2nd year ENSTA) Epistemology ELFASSY Jérôme (1st year project, ENPC) ENPC FAHS Hassan (M2R Maths Univ. Saint-Etienne) N. BOULEAU, B. WALLISER ET K. CHATZIS FOKI Julien (M2R, Univ. Orléans) HENARD Olivier (1st year project ENPC) Analysis JEANGIRARD Eric (1st year project ENPC) ENPC OUKNINE Lahcen (M2R Maths NSAU) E. CANCÈS, A. ERN, R. MONNEAU WANG Xin (ENSTA, 2nd year) Fourier analysis and spectral theory Visiting Researchers ENPC E. CANCÈS BURMAN Eric (EPFL) BOUDJERADA Rachida (Univ. Boumedienne, Algiers) Molecular simulation : theoretical and FALCONE Maurizio (Univ. Roma la Sapienza) numerical aspects PATZ Carsten (University of Stuttgart) Master Mathématiques de la Modélisation, PEROTTO S.(Politecnico di Milano, Italy) University Paris 6 WEISS S. Georg, (Tokyo University, Japan) E. CANCÈS, G. TURINICI ZANETTE Antonino (Trieste Univ., Italy) Numerical analysis and optimization Administrative Assistants Course on lecture of G. Allaire and P.-L. Lions, Ecole Polytechnique BARRERE Sabine E. CANCÈS BERTE Sylvie ELOUALI Khadija Scientific Computing ENPC E. CANCÈS, A. ERN, G. TURINICI

Differentiable optimization ENSTA TEACHING P. CARPENTIER

Optimization of large systems Organization ENSTA P. CARPENTIER

A. Ern chairs the First Year Department at ENPC. Numerical methods for stochastic This department supervises the whole course optimization, program for the first year studies at ENPC. Master Mathématiques, Informatique et Applications, PARIS 1 P. CARPENTIER Propédeutique, Ecole Polytechnique. B. LAPEYRE Numerical methods for financial models Research Master Applied Mathematics, UMLV Numerical methods for option pricing and J.-P CHANCELIER, B.JOURDAIN hedging, Postgraduate study course in mathematical Stochastic control: continuous time, engineering, EPFL. discretization schemes and control of Markov B. LAPEYRE chains Master Mathématiques, Informatique et Monte-Carlo methods in finance, Applications (spécialité Mod. et Méth. Math. en Formation Cycle of College de l'Ecole Economie et Finance), Paris I Polytechnique, J.P. CHANCELIER. B. LAPEYRE

Acoustics, computer science and music Projects and courses in Finance Applied ENSMP mathematics specialization J.P. CHANCELIER, B. D'ANDREA Ecole Polytechnique, B. LAPEYRE, B.JOURDAIN Automatic control ENSMP Monte-Carlo methods in finance J.P. CHANCELIER, B. D'ANDREA ENPC and Research Master Applied Mathematics, UMLV On stochastic models for engineers B. LAPEYRE and B. JOURDAIN ENPC J.P. CHANCELIER, M. DE LARA, J.F. DELMAS Modelling, Implementation, Simulation ENPC Scilab course B. LAPEYRE, C. LE BRIS ENPC J.P. CHANCELIER, M. DE LARA. Multiscale systems Master Mathématiques de la Modélisation, Probabilistic Tools for Finance Université Paris 6 ENPC C. LE BRIS M. DE LARA Multi-scale systems Mathematics for Environmental Decision, Cours de la majeure SEISM, Ecole Polytechnique Master EDDEE (Economics of Sustainable C. LE BRIS Development, Environment and Energy) M. DE LARA Non-probabilistic methods in mathematical finance Statistics ENPC ENPC T. LELIEVRE, O. BOKANOWSKI J.F. DELMAS, B. JOURDAIN, J. GUYON Non Linear Analysis and Applications Introduction to probability and statistics ENPC ENSTA R. MONNEAU J.F. DELMAS, J. LELONG, J. GUYON Mathematical Methods for Free Boundary Computational Mechanics Master Problems ENPC Master Paris IX Dauphine University A. ERN, 12h R. MONNEAU

Probabilities and Applications Integral equations, Fluid-structure ENPC interaction B. JOURDAIN, T. LELIÈVRE Mastére de Mécanique Numérique, ENSMP S. PIPERNO Monte-Carlo methods in finance, Research Master Probability and Applications, Algebraic analysis of control systems defined University Paris VI by partial differential equations B. JOURDAIN European intensive course FAP/CTS, ENPC, J.F. POMMARET Parallel scientific computing, Mastère de Mécanique Numérique, ENS des Numerical analysis Mines de Paris. ESIEE S. LANTERI G. STOLTZ

Introduction to probabilities, systems. I. General theory SIAM J. Numer. Anal. PUBLICATIONS J. GUYON Euler scheme and tempered distributions Stochastic Processes and Their Applications. Articles in press (and accepted for publication) B. JOURDAIN, Probabilistic Interpretation via Spatial Derivation of Some Nonlinear Parabolic Evolution Equations Monte Carlo and Quasi-Monte Carlo Methods M. BERNACKI, L. FEZOUI, S. LANTERI, S. PIPERNO, 2004 H. Niederreiter and D. Talay (Eds.), Parallel unstructured mesh solvers for Springer-Verlag heterogeneous wave propagation problems Applied Mathematics Modelling B. JOURDAIN, C. LE BRIS, T. LELIEVRE, F. OTTO, Long-time asymptotics of a multi-scale model M. BERNACKI, S. LANTERI, S. PIPERNO, for polymeric fluid flows Time-domain parallel simulation of Archive for Rational Mechanics and Analysis heterogeneous wave propagation on unstructured grids using explicit, non-diffusive, R. MONNEAU, A. BLANCHET, J. DOLBEAULT, discontinuous Galerkin methods On the continuity of the time derivative of the J. Computational Acoustics. solution to the parabolic obstacle problem with variable coefficients A. BLANCHET Journal de Mathématiques Pures et Appliquées On the regularity of the free boundary in the parabolic obstacle problem. Application to R. MONNEAU, O. ALVAREZ, P. HOCH, Y. LE American options BOUAR, Nonlinear Analysis Series A: Theory, Methods & Dislocation dynamics: short time existence and Applications uniqueness of the solution Archive for Rational Mechanics and Analysis. E.CANCES, B.JOURDAIN, T.LELIEVRE, Quantum Monte Carlo simulations of fermions. R. MONNEAU, A. EL SOUFI, M. JAZAR, A mathematical analysis of the fixed-node Gamma-convergence argument for the blow-up approximation of a non-local semilinear parabolic equation M3AS with Neumann boundary conditions Annales de I.H.P., Analyse non linéaire. M. CHANE-YOOK, S. CLERC, S. PIPERNO, Space charge and potential distribution around R. MONNEAU, a spacecraft in an isotropic plasmic Some Remarks on the Asymptotic Inversibility of environment. the Linearized Operator of Nonlinear Elasticity in Journal of Geophysical Research the Context of the Displacement Approach Z. Angew. Math. Mech. M. DE LARA. Mum, why do you keep on growing? Impacts of C. STRUGAREK, W. ROEMISH, H. HEITSCH environmental variability on optimal growth and Stability of multistage stochastic programs reproduction allocation strategies SIAM Journal on Optimization Journal of Mathematical Biology C. STRUGAREK L. EL ALAOUI, A. ERN, On the Fortet-Mourier metric for the stability of Nonconforming finite element methods with Stochastic Optimization Problems, an example subgrid viscosity applied to advection-- SPEPS (http://hera.rz.hu- diffusion--reaction equations berlin.de/speps/artikel/FortetMourier.pdf) Num. Methods Partial Differential Equations

A. ERN, J. PROFT, Multi-algorithmic methods for coupled hyperbolic-parabolic problems Published articles Int. J. Numer. Anal. Model.

A. ERN, J.-L. GUERMOND, A. ALFONSI, D. BRIGO, Evaluation of the condition number in linear New Families of Copulas Based on Periodic systems arising in finite element Functions. Communications in Statistics approximations Theory and Methods, Vol.34, No.7, pp1437- ESAIM Math. Mod. Numer. Anal. 1447 (2005)

A. ERN, J.-L. GUERMOND, A. ALFONSI, E. CANCES, G. TURINICI, B. DI Discontinuous Galerkin methods for Friedrichs' VENTURA, W. HUISINGA, Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems E CANCÈS, F. CASTELLA, Ph. CHARTIER, E. FAOU, ESAIM Proceedings, Vol. 14 (Sept. 2005), C. LE BRIS, F. LEGOLL, G. TURINICI, CEMRACS 2004 - Math. and appl. to biology and Long-time averaging for integrable Hamiltonian medicine (2005) dynamics Numerische Mathematik 100, pp. 211-232 A. ALFONSI, (2005) On the discretization schemes for the CIR (and Bessel squared) processes E CANCÈS, I.CATTO Y. GATI, C. LE BRIS, Monte Carlo Methods and Applications Vol. 11, Well-posedness of a multiscale model for N4, pp.355-384 (2005) concentrated suspensions SIAM MM S 4, pp. 1041-1958 (2005) X. BLANC, C. LE BRIS, Définition d'énergies d'interfaces à partir de N. CANOUET, L. FEZOUI, S. PIPERNO, modèles atomiques Discontinuous Galerkin Time-Domain solution Comptes Rendus de l'Académie des Sciences, of Maxwell's equations on locally-refined Série 1, 340, pp.535-540 (2005) nonconforming Cartesian grids, COMPEL, vol.24, n°4, pp. 1381-1401 (2005) X. BLANC, E. CANCÈS, Nonlinear instability of density-independent G. COHEN, S. GAUBERT, J.P. QUADRAT. orbital-free kinetic energy functionals L'algèbre des sandwichs Journal of Chemical Physics 122, 214106 (2005) Pour La Science, 328 (2005)

X. BLANC, C. LE BRIS, F. LEGOLL, G. COHEN, S. GAUBERT, J.-P. QUADRAT, I. Analysis of a prototypical multiscale method SINGER coupling atomistic and continuum mechanics Max-plus convex sets and functions M2AN 39, pp. 797-826 (2005) in: G.L. Litvinov, V.P. Maslov (Eds.), “Idempotent Mathematics and Mathematical Physics'', AMS N. BOULEAU Contemporary Mathematics, Providence, RI, Théorème de Donsker et formes de Dirichlet USA, pp. 105-129 (2005) Bull. Sci. Math. 129, pp. 369-380 (2005) G. CONSTANTIN DE MAGNY, C. PAROISSIN, B. N. BOULEAU CAZELLES, JF. DELMAS, M. DE LARA, J.-F. Differential calculus for Dirichlet forms, the GUEGAN. measure valued gradient preserved by image Modelling environmental impacts of plankton Journal of Functional Analysis, 225, pp. 63-73 reservoirs on cholera population dynamics (2005) ESAIM Proceedings, Vol. 14, pp. 156-173 (2005)

N. BOULEAU M. DE LARA. Improving Monte Carlo simulations by Dirichlet On drift, diffusion and geometry. forms doi:10.1016/j.geomphys.2005.06.012, Journal Comptes Rendus de l'Académie des Sciences, of Geometry and Physics, Volume 56, Issue 8, Série 1, 341, pp. 303-306 (2005) August 2006, Pages 1215-1234.

N. BOULEAU J.F. DELMAS, P. VOGT Dirichlet forms in simulation Non linear Neumann's condition for the heat Monte Carlo Methods and Appl. Vol 11, n°4, pp. equation: a probabilistic representation using 385-396 (2005) catalytic super Brownian motion Annales de l'Inst. H. Poincaré, Vol. 41 (5), pp. T.Z. BOULMEZAOUD, M. EL RHABI, 817-849 (2005) A mortar spectral method for 3D Maxwell's equations A.S. DICKINSON, A. ERN, V. VESOVIC, IMA Journal of Numerical Analysis 25(3), pp Transport properties of H--N$_2$ mixtures 577-610 (2005) Mol. Phys., 103 (14), 1895--1904 (2005)

D. BRIGO, A. ALFONSI, M. EL RHABI, H. FENNIRI, G. GELLE, G. Credit default swap calibration and derivatives DELAUNAY, pricing with the SSRD stochastic intensity model Blind Separation of rotating machines signals Finance and Stochastics, Vol. 9, No. 1, pp 29-42 using PMI criterion and Minimal Distortion (2005) Principle Mechanical Systems and Signal Processing 19 E. BURMAN, A. ERN, (6), pp. 1282-1292 (2005) Stabilized Galerkin approximation of convection-diffusion-reaction equations: A. ERN, A.S. DICKINSON, V. VESOVIC, discrete maximum principle and convergence A compact formulation for multi-component Math. Comp., 74(252), pp. 1637--1652 (2005) transport coefficients in gas mixtures Chem. Phys., 310, 311--319 (2005) Efficient pricing of Asian options by the PDE approach A. ERN, J. PROFT, Journal of Computational Finance, volume 8(2), A posteriori discontinuous Galerkin error pp 55-64 (2005) estimates for transient convection-diffusion equations T. LELIEVRE, J.P. CROISILLE, A. ERN, J. PROFT Appl. Math. Letters, 18, 833--841 (2005) Analysis and simulation of a coupled hyperbolic/parabolic model problem L. FEZOUI, S. LANTERI, S. LOHRENGEL, S. Journal of Numerical Mathematics, volume PIPERNO, 13(2), pp. 81-156 (2005) Convergence and Stability of a Discontinuous Galerkin Time-Domain method for the 3D M. MIRRAHIMI, G. TURINICI, P. ROUCHON, heterogeneous Maxwell equations on Reference Trajectory Tracking for Locally unstructured meshes Designed Coherent Quantum Controls M2AN, vol.39, n°6, pp. 1149-1176 (2005) J. Phys. Chem. A 109, pp. 2631-2637 (2005)

A. GALLEGOS, R. CARBO-DORCA, F. LODIER, E M. MIRRAHIMI, G. TURINICI, P. ROUCHON, CANCÈS, A. SAVIN, Lyapunov control of bilinear Schrodinger Maximal probability domains in linear molecules equations Journal of Computational Chemistry 26, Automatica 41, pp. 1987-1994 (2005) pp.455-460 (2005) R. MONNEAU, J. DOLBEAULT, P. FELMER, J. GUYON, A. BIZE, G. PAUL, E. STEWART, J.F. Symmetry and non-uniformly elliptic operators DELMAS, F. TADDEI, Differential and Integral equations 18 (2), 141- Statistical Study of Cellular Aging 154 (2005) ESAIM Proceedings, Vol. 14, pp. 124-155 (2005) R. MONNEAU, H. SHAHGHOLIAN, B. JOURDAIN, C. LE BRIS T. LELIEVRE Non-convexity of level sets in convex rings for Coupling PDEs and SDEs: the illustrative semilinear elliptic problems example of the multiscale simulation of Indiana Univ. Math. J., 54 (2), 465-471 (2005) viscoelastic flows in Multiscale Methods in Science and R. MONNEAU, F. HAMEL, J.-M. ROQUEJOFFRE, Engineering, B. Engquist, P. Lötstedt, O. Existence and qualitative properties of Runborg, eds., Lecture Notes in Computational multidimensional conical bistable fronts Science and Engineering 44, Springer, pp 151- Disc. Cont. Dynam. Systems 13, pp. 1069-1096 170 (2005) (2005)

B. JOURDAIN, C. LE BRIS T. LELIEVRE R. MONNEAU, O. ALVAREZ, P. CARDALIAGUET, An elementary argument regarding the long- Existence and uniqueness for dislocation time behaviour of the solution to a stochastic dynamics with nonnegative velocity differential equation Interfaces and Free Boundaries, 7 (4), pp. 415- Annals of Craiova University, Mathematics and 434 (2005) Computer Science series, volume 32, pp 39-47 (2005) J. SALOMON, C.M. DION, G. TURINICI, Optimal molecular alignment and orientation B. JOURDAIN, S. MELEARD, W.A. WOYCZYNSKI, through rotational ladder climbing Probabilistic approximation and inviscid limits J. Chem. Phys. 123, 144310 (2005) for 1-D fractional conservation laws Bernoulli, 11(4), pp 689-714 (2005) G. STOLTZ, Shock waves in an augmented one-dimensional B. JOURDAIN, S. MELEARD, W.A. WOYCZYNSKI, chain A probabilistic approach for nonlinear equations Nonlinearity 19, 1967-1985 (2005) involving the fractional Laplacian and a singular operator Potential Analysis, 23(1), pp 55-81 (2005) Books C. LE BRIS, P.-L. LIONS, From atoms to crystals: a mathematical journey Bull. of the AMS 42, pp. 291-363 (2005) S. CAMPBELL, J.P. CHANCELIER, R. NIKOUKHAH, C. LE BRIS, Modelling and Simulation in Scilab/Scicos, Computational chemistry from the perspective Springer. 2005 of numerical analysis Acta Numerica 14, pp. 363-344 (2005) A. ERN, Aide-mémoire des éléments finis, T. LELIEVRE, F. DUBOIS Dunod, collection L'Usine Nouvelle (Paris, 2005). C. LE BRIS, A. ERN, J.-P. CROISILLE, F. DUBOIS, R. LUCE, J.-F. Systèmes multiéchelles: modélisation et MAITRE simulation Numerical methods for fluids, 19 December Mathématiques et Applications 47, Springer 2005, CNAM, Paris (2005) B. LAPEYRE Participation to the organizing committee of the workshop “Optimisation Frameworks and their Lecture Notes Application to Industry” "Confront & Share Methods: Efficiencies and Limits" EDF, 19-21 October 2005, Paris. E. CANCÈS, A. ERN R. MONNEAU Analysis, 1st year, ENPC Co-organization of a fall school and of Workshop «Moving boundaries», December X. CHATEAU, L. DORMIEUX, A. ERN 2005, Lyon. Computational mechanics, 2nd year, ENPC

J.F.DELMAS, B.JOURDAIN Stochastic models, (accepted for publication in the SMAI collection applied mathematics), 2nd Conference communications year ENPC,

J.F. DELMAS M. BERNACKI, S. LANTERI, S. PIPERNO, Statistics, 1st year ENPC, Stabilization of Kelvin-Helmholtz instabilities in three-dimensional linearized Euler equations J.F. DELMAS using a non-dissipative time-domain Introduction to probability and statistics, Course Discontinuous Galerkin method, Seventh and Exercises, 1st year ENSTA International Conference on Mathematical and Numerical Aspects of Wave Propagation, Brown A. ERN University, Rhode Island, USA, June 20-24, st Scientific computing, 1 year, ENPC 2005.

B.JOURDAIN M. BERNACKI, L. FEZOUI, S. LANTERI, S. PIPERNO, Probability and statistics, 1st year ENPC, Parallel Discontinuous Galerkin unstructured mesh solvers for the calculation of 3D heterogeneous wave propagation problems, DCABES and ICPACE Joint Conference on Scientific program organization Distributed Algorithms for Science and Engineering, University of Greenwich (UK), CMS Press, pp. 65-68, August 25th-27th 2005. C. LE BRIS IMA, Minneapolis, Thematic year Mathematics of N. BOULEAU Materials and Macromolecules: Multiple Scales, Dirichlet forms methods in finance. Disorder, and Singularities, Aug. 2004-Jul. 2005 International Symposium on Stochastic Analysis, Random Fields and Applications, Ascona, June C. LE BRIS 2005. CRM - Montreal, Thematic year les mathématiques de la modélisation multiéchelle E. CANCÈS et stochastique, Sept. 2004-Aug. 2005 International conference on High-dimensional partial differential equations, CRM Montréal, August 2005

A. DALLAGI Conference/seminar organization Finite element method in information constraint approximation, International Conference on Optimization frameworks for Industrial A. ERN applications (ICOPI), EDF Clamart, October 19- Minisymposium on Mixed and Discontinuous 21, 2005. Finite Elements for Flows in Porous Media, SIAM Geoscience Conference, June 07-10 2005, A. DALLAGI Avignon, France Méthodes pour l'approximation de contraintes de mesurabilité dans les problèmes de A. ERN commande optimale stochastique, Congrès Numerical methods for shallow-water National d'Analyse Numérique, SMAI, Evian, may equations, ENPC, 21 November 2005, France 2005. M. DE LARA Opening Session: On New Caledonia Abore reef C. LE BRIS ecosystem modelling for sustainable Workshop on Atomic Motion to macroscopic management First South Pacific Conference on models, IMA, Minneapolis, April 2005 Mathematics, Nouméa, New Caledonia, august 29th- September 2nd (2005) C. LE BRIS (cancelled due to airlines strike) International Conference Broad-Minded M. DE LARA Modelling in Continuum Physics, in honour of First DIVERSITAS Open Science Conference: Gianfranco Capriz on his 80th birthday, Rome, "Integrating biodiversity science for human October 2005 well-being", 9-12 November 2005, Oaxaca, Mexico Biodiversity and productivity in C. LE BRIS stochastic environments: a mathematical look at Workshop on Multiscale Analysis and the insurance hypothesis. Computation, IPAM-UCLA, Los Angeles, November 2005 M. DE LARA Mathematics for the Management and T. LELIÈVRE Preservation of Renewable Natural Resources in The Montreal scientific computing days, the Fishery and Forestry Industry Universidad de February 2005 Concepción, Chile, April 4th-8th, 2005 T. LELIÈVRE J.F. DELMAS SIAM Dynamical System 2005 conference, Fragmentation associated to Lévy processes, Snowbird, May 2005 30th Conference on Stoch. Proc. and their Appl., Santa Barbara (USA), June 2005 T. LELIÈVRE Computational stochastic differential equations, A. ERN Bedlewo, September 2005 A non-conforming subgrid stabilisation for convection-diffusion equations, SIAM T. LELIÈVRE Geoscience Conference, June 07-10 2005, SCPDE 2005 Conference, Hong Kong, December Avignon, France 2005

A. ERN R. MONNEAU, A. GHORBEL Discontinuous Galerkin methods for Friedrichs' Equation d'Hamilton-Jacobi non-locale systems ,SIAM Geoscience Conference, Avignon, modélisant la dynamique des dislocations, acte France, June 07-10 2005, du congrès Tendances des Applications Mathématiques en Tunisie, Algérie, Maroc 2005, A. ERN (invited plenary speaker), Ed. ENIT-LAMSIN, 322-328 (2005). Discontinuous Galerkin methods for Friedrichs' systems, ENUMATH Conference, Santiago, Spain R. MONNEAU, O. ALVAREZ, E. CARLINI, P. HOCH, July 18-22 2005, Y. LE BOUAR Dislocation dynamics described by non-local A. GHORBEL Hamilton-Jacobi equations, Materials Science & Poster communication in the 2nd conference on Engineering: A , Volumes 400-401, 25 pages TAM-TAM'05 (Trends in Applied Mathematics in 162-165, July 2005. Tunisia, Algeria, Morocco) in Tunis (TUNISIA), April 26tth-28th 2005. R. MONNEAU, A. BLANCHET, J. DOLBEAULT On the one-dimensional parabolic obstacle J. GUYON problem with variable coefficients, Elliptic and University of Technology, Quantitative Methods Parabolic Problems: A Special Tribute to the in Finance 2005 Conference, Sydney, December Work of Haim Brezis Series: Progress in 2005. Nonlinear Differential Equations and Their Applications, Vol. 63, pages 59-66, C. Bandle et C. LE BRIS, A. GLORIA al. (Eds.), Birkhäuser (2005). IMA Workshop Effective Theories for Materials and Macromolecules, Minneapolis, June 2005 S. PIPERNO, Fully explicit DGTD methods for wave C. LE BRIS, propagation on time-and-space locally refined Foundations of computational mathematics grids, Seventh International Conference on international conference, Santander (Spain), July Mathematical and Numerical Aspects of Wave 2005 Propagation, Brown University, RI, USA, June 20- 24, 2005. C. LE BRIS ICMS `Dynamical Problems in Mathematical G. SCARELLA, O. CLATZ, S. LANTERI, G. BEAUME, Materials Science' conference, keynote speaker, S. OUDOT, J.-P. PONS, S. PIPERNO, P. JOLY, J. Edinburgh (UK), July 2005 WIART, Realistic numerical modelling of human head symmetric systems. I. general theory, tissues exposure to electromagnetic waves from CERMICS Research Report n°2005-276 mobiles phones, Seventh International Conference on Mathematical and Numerical L. EL ALAOUI, A. ERN Aspects of Wave Propagation, Brown University, Nonconforming finite element methods with RI, USA, June 20-24, 2005. subgrid viscosity applied to advection- diffusion-reaction equations, A. STEPHANSEN CERMICS Research Report n°2005-278 A posteriori error analysis of discontinuous Galerkin schemes for linear first-order PDEs, A. ERN, J-L. GUERMOND, G. CAPLAIN Admos’05, Barcelona, Spain, September 8-10 An intrinsic criterion for the bijectivity of Hilbert operators related to Friedrichs' systems, G. STOLTZ CERMICS Research Report n°2005-281 "Multiscale Modelling in Soft Matter and Bio- Physics", seminar IPAM-UCLA, September L. EL ALAOUI, A. ERN, E. BURMAN A priori and a posteriori analysis of G. STOLTZ nonconforming finite elements with face penalty "Time acceleration methods in molecular for advection-diffusion equations dynamics", seminar IPAM-UCLA, October CERMICS Research Report n°2005-289

C. STRUGAREK A. ERN, J.L. GUERMOND Conférence sur l’optimisation en finance, Discontinuous Galerkin methods for Friedrichs' Coimbra, Portugal, July 5th -8th 2005 systems. Part II. Second-Order elliptic PDE'S, CERMICS Research Report n°2005-290 S. STRUGAREK Stochastic gradient learning for closed loop A. GLORIA, control problems, COUCH (Conférence sur An analytical framework for the numerical l’optimisation dans l’incertain), Heidelberg, homogenization of monotone elliptic operators Germany, September 28th-30th 2005 and quasiconvex energies, INRIA Research Report RR-5791 S. STRUGAREK, J.-S. ROY, K. BARTY Poster on “Functional Stochastic Gradient B. JOURDAIN, A. ZANETTE Algorithm with kernels”, Congrès national A Moments and Strike Matching Binomial d'analyse numérique, SMAI, Evian may 2005 Algorithm for Pricing American Put Options, INRIA Research Report 5569 G. TURINICI Conference ``Optimal Control of Coupled T. LELIEVRE, M. EL MAKRINI, B. JOURDAIN Systems of PDE'', Oberwolfach, Germany, April Diffusion Monte Carlo method: numerical 2005 analysis in a simple case. CERMICS Research Report n° 2005-293 G. TURINICI MIC 2005 Conference, Innsbruck, February S. PIPERNO, 2005 Symplectic local time-stepping in non- dissipative DGTD methods applied to wave propagation problems, CERMICS Research Report n°2005-282 Research reports (published also as INRIA Research Report RR n°5643).

S. PIPERNO, R. ABRAHAM and J.F. DELMAS DGTD methods using modal basis functions and Feller property and infinitesimal generator of symplectic local time stepping: application to the exploration process. wave propagation problems, CERMICS Research Report n° 2005-295 CERMICS Research Report n°2005-292 (published also as INRIA Research Report RR R. ABRAHAM and J.F. DELMAS n°5749), Fragmentation associated to Lévy processes using snake. G. TURINICI, CERMICS Research Report n° 2005-291 Equivalence between local tracking procedures and monotonic algorithms in quantum control, E. BURMAN, A. ERN INRIA Research Report RR-5564. Continuous interior penalty hp-finite element methods for transport operators, CERMICS Research Report n°2005-275

A. ERN, J.L. GUERMOND Discontinuous Galerkin methods for Friedrichs' CONTRACTS Mesoscopic models for rubbers (Michelin) Expertise in the parallelization of structured T. LELIEVRE, E. CANCES, C. LE BRIS grid schemes on clusters (FT R&D) S. PIPERNO, S. LANTERI, A. BOUQUET (INRIA PREMIA software : pricing and hedging contract). procedures library (financed by a consortium of banks), Evaluation of MAXDGk for a coupled A. ALFONSI, J.F. DELMAS, J. GUYON, B. Vlasov/Maxwell software (CEA/CESTA) JOURDAIN, B. LAPEYRE S. LANTERI, S. PIPERNO, L. FEZOUI (INRIA contract). Modelling of the dependence between the electricity price and the demand in electricity Numerical methods for the frequency domain (EDF) solution of Maxwell equations (EADS) A. ALFONSI S. LANTERI, S. PIPERNO, H. FOL (INRIA contract). Atom-to-continuum multiscale numerical Coupled DGEM/BEM solution of the frequency simulation of materials (EDF), domain Maxwell equations (FT R&D) E. CANCÈS, C. LE BRIS S. LANTERI, S. PIPERNO, H. FOL (INRIA contract). Study on scale transfer in materials simulations Quantitative Seismic Hazard Assessment (QSHA, (CEA), ANR project of program "Catastrophes E. CANCÈS, G. STOLTZ telluriques et Tsunamis") N. GLINSKY-OLIVIER, S. LANTERI, S. PIPERNO, M. From Risk Constraints in Stochastic BENJEMAA Optimization Problems to Utility Functions, responsible (EDF) PhD fellowship of A. Stephansen (ANDRA) M. DE LARA A. STEPHANSEN, A. ERN Environment and re-Emergence of Infectious PhD fellowship of S. Meunier (EDF) Diseases in the Amazonian Basin (ANR), S. MEUNIER, A. ERN. M. DE LARA

Discontinuous Galerkin methods for Saint- Risk Attitude : economy and risk, participation Venant equations (CETMEF) (ANR), A. ERN, S. PIPERNO, K. DJADEL. M. DE LARA

Box schemes and Discontinuous Galerkin Economic Interpretation of Sustainable methods for flows in porous media (GDR Development, Invariance and Environmental MOMAS) Preferences, (ACI Modélisation économique du A. ERN. développement durable), M. DE LARA PAI Procope : Adaptive modelling in flow simulations, collaboration with the University of Development of Deterministic and Stochastic Heidelberg Methods for Theoretical Ecology and Fisheries A. ERN. Management, (ACI Écologie quantitative). M. DE LARA Modelisation and numerical analysis of dislocation dynamics (ACI JC 1025 Jeunes Optimal control of a ventilated tunnel (CETU) chercheurs, MENRT) G. COHEN, J.P. CHANCELIER. R. MONNEAU. Data classification (Sita), EDP method in market finance (ACI Nouvelles J.F. DELMAS Interfaces des Mathematiques) A. BLANCHET, R. MONNEAU. Statistics using Scilab (PSA), J.F. DELMAS, J.P. CHANCELIER Collaboration contract France-Chile ECOS- CONYCIT C02E06, ENPC Modelling and statistical study for the program R. MONNEAU. PILE (EADS foundation) J. FOKI, D. CHAUVEAU, J.F. DELMAS Contract with Centre des Matériaux d'Evry (ENSMP) From Risk Constraints in Stochastic M. EL RHABI, R. MONNEAU. Optimization Problems to Utility Functions (EDF) B. SECK, M. DE LARA Numerical simulation of aluminum electrolysis (Alcan-Pechiney) C. LE BRIS, T. LELIEVRE, A. ORRIOLS. refinement controlled by a posteriori error DISSEMINATION estimates, McGill University, Montreal, Canada (February 4th)

A. ERN International seminars given Discontinuous Galerkin methods for Friedrichs' systems, Politecnico di Milano, Italy (February 24th) A. BLANCHET Conference CIMPA on mathematical finance, A. ERN Jordan, September 12th-22nd, 2005. Discontinuous Galerkin methods for Friedrichs' systems, Heidelberg University, Heidelberg, A. BLANCHET Germany (march 3rd) International conference on free boundary problem, Coimbra, Portugal, June 7th-12th, A. ERN 2005. Discontinuous Galerkin methods for Friedrichs' systems, EPFL, Lausanne, Switzerland (May 16th) N. BOULEAU Propagation through financial models of the A. ERN error due to the Euler scheme, ZIF, Bielefeld, Discontinuous Galerkin methods for Friedrichs' Germany (June) systems, University of Bergamo, Bergamo, Italy (November 18th) N. BOULEAU Chaire Galilée (Cattedra Galileiana) Course on B. LAPEYRE Dirichlet forms methods (12 hours lecture), Workshop on High-dimensional Partial Scuola Normale, Pisa, Italy (September) Differential Equations in Sciences and Engineering, N. BOULEAU "Linear and semi-linear high dimensional Examples of approximations yielding Dirichlet problems in finance", august 7th-12th, 2005, forms, German-Japanese Symposium on Dirichlet forms, Bielefeld and Bonn, Germany B. LAPEYRE (November) “Developments in Quantitative Finance”, Invitation to the week "Monte-Carlo methods in E. CANCÈS, C. LE BRIS finance", May 16-20, 2005, Isaac Newton School in Bangalore, India (February) Institute for Mathematical Sciences.

E. CANCÈS C. LE BRIS, G. STOLTZ Seminar of the Mathematics department IMA Lake Arrowhead retreat, IPAM-UCLA (December) (Minneapolis), IPAM-UCLA (Los Angeles) Tuebingen University. C. LE BRIS Seminar of the Mathematics department E. CANCÈS, C. LE BRIS Universita di Pavia, Peking University, University Interdisciplinary seminar of Sandia National of California San Diego, Ecole Polytechnique Labs, Albuquerque, USA Fédérale de Lausanne

M. DE LARA T. LELIEVRE Strategies and trajectories of coral reef fish Les journées montréalaises de calcul larvae optimising self-recruitment, Universidad scientifique (February) de Concepción, Chile (April) T. LELIEVRE J.F. DELMAS Applied Math Seminar, Courant Institute of Fragmentation of continuous random trees, Mathematical Sciences (March) University of Vancouver, Canada (November) T. LELIEVRE J.F. DELMAS Computational and Applied Mathematics More on the fragmentation of continuous Colloquium Series, Penn State University (March) random trees, CMS Winter meeting'', Victoria, Canada (December) T. LELIEVRE Applied Analysis & Computation Seminar, A. ERN University of Massachusetts (April) Discontinuous Galerkin methods for Friedrichs' systems, Journées d'analyse numérique et T. LELIEVRE optimisation, Rabat, Morocco (December) Séminaire dynamique moléculaire, Freie Universität, Berlin (November) A. ERN Adaptive multi-modelling and local mesh R. MONNEAU Free Boundary Problems, Coimbra, Portugal Réflexions autour de la résolution numérique (June) des problèmes d’optimisation stochastique sous contrainte d’information. Séminaire Parisien R. MONNEAU d'Optimisation, IHP, Paris (December 5th) Ecole CIMPA, Irbid, Jordan (September) M. DE LARA J.F. POMMARET Séminaire Théorie des jeux, IHP On Three Serbian Academy of Sciences, Belgrade, Invited Relationships between Agents in the Intrinsic series of conferences "An introduction to the Witsenhausen Model for Discrete Stochastic Galois theory for partial differential equations" Control and the Sequential Character of Systems (may) with Perfect Memory (June)

A. STEPHANSEN M. DE LARA Analisi a posteriori dell'errore degli schemi DG Seminaire parisien d'optimisation. On per la diffusione anisotropa, Politecnico di Information Problems in Stochastic Control Milano, Italy (October 14th) (October)

G. STOLTZ K. DJADEL Seminar ``Materials and Simulation Process Méthode de Galerkin Discontinu appliquée au Centre'', Caltech (November) système de Saint-Venant, ENPC (November)

G. TURINICI K. DJADEL Seminar IMATI-CNR Pavia (may) Méthode de Galerkin Discontinu appliquée au systéme de Saint-Venant, LACA, University Paris G. TURINICI 13 (December) Seminar of the Mathematics department): IMA, University of Minnesota (Minneapolis). K. DJADEL Methodes de Galerkin Discontinu, MACS, Université de Valenciennes et du Hainaut- Cambrésis (December) National seminars given A. ERN A course on the theory and practice of finite elements, CFD School (Ecole de printemps MFN), A. ALFONSI, Roscoff, France (June) Schémas de discrétisation pour les processus de Cox-Ingersoll-Ross (et carrés de Bessel), A. ERN Journées de Probabilités, Nancy The obstacle problem in watertable-ground interaction, CEA-EDF-INRIA Summer School N. BOULEAU (September 12-15) Calculs d’erreur et information de Fisher, University of Marne-la-Vallée (January) A. ERN Analyse d'une méthode d'éléments finis non- N. BOULEAU conformes pour les problèmes d'advection- Propagation de l’erreur due au schéma d’Euler à diffusion, Journées du GDR MOMAS, CIRM, travers les modèles financiers, Université de France (November 28-30) Marne-la-Vallée (April) A. ERN N. BOULEAU Approximations par éléments finis non- Formes de Dirichlet, principe d’invariance et conformes des équations de convection- schéma d’Euler, Université d’Orléans, journée diffusion, Université de Bordeaux 1, Bordeaux, Probabilités du Val de Loire (June) France (March 17th

E. CANCÈS A. ERN Séminaire de Mathématiques Appliquées du Les incertitudes en modélisation et en Collège de France (March) simulation numérique, INERIS Seminar, Verneuil, France (September 30th) E. CANCÈS Vortices in Bose-Einstein condensates, Les N. FORCADEL Treilles, France (July) Seminars at Montpellier University and Tours University. E CANCÈS Seminar of the Chemistry department: IRSAMC J. GUYON (Toulouse) Institut Elie Cartan, Journes de probabilités, Nancy (September) G. COHEN Systems and Optimization Working Group, J. GUYON S. PIPERNO, S. LANTERI, L. FEZOUI, MATHFI seminar, Université de Marne-la-Vallée Méthodes de Galerkine Discontinu pour (February) l'électromagnétisme temporel, Séminaire CEA, CESTA (April) J. GUYON Seminar of numerical probability, statistics of J.F. POMMARET processes and finance, Univ. Paris VI (April) INRIA, Sophia Antipolis, seminar on "Introduction à la théorie de Galois J. GUYON différentielle" (October) Bachelier seminar, Institut Henri Poincaré (June) G. SCARELLA, O. CLATZ, S. LANTERI, G. BEAUME, J. GUYON S. OUDOT, J.-P. PONS, S. PIPERNO, P. JOLY, J. OMEGA seminar, INRIA Sophia Antipolis WIART, (September) Modélisation numérique réaliste des effets (thermiques) sur les tissus de la tête des ondes J. GUYON électromagnétiques émises par les téléphones Seminar of probability, statistics and biology, mobiles, Journée Scientifique sur la Université Paris V (October) Modélisation Electromagnétique, ONERA CERT, Toulouse (March) J. GUYON HSBC Capital Markets Research, Paris G. STOLTZ (November) Seminar CEA/DAM/DPTA/PMC (june)

B.JOURDAIN C. STRUGAREK Introduction aux méthodes particulaires Talk at “Groupe de Travail en Probabilités probabilistes, ISITV, Toulon (February 17th) Appliquées” of university Paris 6, (December)

B.JOURDAIN, S. STRUGAREK, J.-S. ROY, K. BARTY Introduction aux méthodes particulaires Gradient perturbé dans un espace de Hilbert, probabilistes, theoretical physics center, Théorie et Applications, Exposé à EDF Clamart Marseille (June 15th) (April)

T. LELIEVRE S. STRUGAREK, J.-S. ROY, K. BARTY Seminar ENS, Rennes (December) Seminar Sydoco (INRIA), on Functional Stochastic Gradient for Optimal Control T. LELIÈVRE Problems (June 8th) Workshop on moving interfaces, CEA (May) G. TURINICI R. MONNEAU Seminar SUPELEC (April) Lyon University (April)

R. MONNEAU Exposé au Collège de France (April) Missions and visits R. MONNEAU Laboratoire Modélisation et Calcul, Grenoble (June) E. CANCÈS, A. GLORIA, C. LE BRIS, G. STOLTZ IPAM-UCLA, Los Angeles, Program “Bridging R. MONNEAU timescales and lengthscales in biophysics and CMAP, Ecole Polytechnique, Palaiseau material sciences”, Invitation and working (November) groups, Sept.-Dec. 2005

S. PIPERNO A. DALLAGI INRIA-Industry Meeting at INRIA Rocquencourt Visit to Prof. T. Pennanen (HKKK, Helsinki, (February) Finland) for cooperation on finite element approximation methods in stochastic S. PIPERNO optimization, December 2005. France Telecom R&D in Issy-les-Moulineaux (December) J.-F. DELMAS Visit to UBC at Vancouver in autumn, starting S. PIPERNO collaboration on branching processes, October «Interactions fluide-structure: couplages et to December 2005. algorithmiques de résolution» at Forum IPSI - Formation et Information en Analyse des B. LAPEYRE Structures (June) Visit to EPFL, Lausanne, Switzerland, February 2005 C. LE BRIS discontinuous Galerkin methods with Scientific collaboration in University of Montreal subgridding, UNSA. and New-York, March 2005 A. CATELLA, C. LE BRIS High order DG method on tetrahedral meshes Visit at University of Minneapolis, invitation at for the solution of time domain Maxwell IMA, April 2005 equations: implicit time-schemes and iterative solution algorithms, UNSA C. LE BRIS Working groups in University of Minneapolis, A. DALLAGI April/May 2005 Méthodes particulaires en commande optimale stochastique, Univ. Paris 1. C. LE BRIS Courses and working groups in University of A. DELEURENCE, Minneapolis, June 2005 Analyse mathématique et numérique de quelques modèles de simulation multi-échelle C. LE BRIS en sciences des matériaux, ENPC. Scientific collaboration at University of Montréal, August 2005 A. EL HAJJ Analysis and numerical analysis of elasto-visco- R. MONNEAU plastic models with dislocations ENPC (co- Max Planck Institute, Leipzig, Germany, one direction: R. Monneau of CERMICS and M. week, June 2005 Cannone of UMLV).

R. MONNEAU M. EL MAKRINI, Univ. Libanaise, Hadath, Lebanon, one week, Simulation de défaut dans les cristaux, ENPC. July 2005 H. FAHS, C. PATZ DG methods on non-conformal tetrahedral Working group with Professor MIELKE and meshes for the time-domain solution of participation to a «Dynamics of phase Maxwell equations, UNSA. transitions» Workshop, WIAS Institute (Berlin, Germany), September/December 2005 J. FOKI Fidelity test, Analysis of correlation between C. STRUGAREK different signals, ENPC. Invited by Dr. René Henrion and Pr. Werner Römisch, Humboldt University and Weierstrass H. FOL, Institute of Berlin, Germany, November 20th to DG methods on tetrahedral meshes for the December 5th, 2005 solution of Maxwell equations in the frequency domain, UNSA.

N. FORCADEL Mathematical analysis of dislocations models SUPERVISION ACTIVITY with mean curvatures terms, ENPC H. GALICHER Couplage de modèles classiques et quantiques Ongoing PHD Theses pour la simulation des matériaux à l'échelle moléculaire, Univ. Paris 6.

A. GHORBEL A. ALFONSI Numerical analysis of dislocations dynamics, Credit risk, calibration and discretization of ENPC. financial models, ENPC. A. GLORIA, G. BENCTEUX Méthodes numériques multiéchelles en élasticité Méthode de decomposition de domaine pour les non linéaire, ENPC. calculs ab initio en sciences des matériaux, ENPC. J. GUYON Euler scheme for SDE, Bifurcating auto- M. BENJEMAA, regressive models, ENPC. Numerical simulation of dynamical rupture in seisms using finite volumes methods on H. IBRAHIM unstructured meshes, UNSA. Mathematical analysis of dislocations density dynamics with scale effects, ENPC (co-direction: A. BOUQUET, R. Monneau and Mustapha Jazar of Univ. Adaptation of fictitious domain methods to libanaise). A. BLANCHET R. LAVIOLETTE Monotonicity formula applied to free boundary Options pricing for energy derivatives in models problems and modelling in biology, Univ. Paris with jumps (ENS Cachan) Dauphine (co-direction R. Monneau of CERMICS and Jean Dolbeault of Univ. Paris Dauphine). J. LELONG Stochastic Algorithms and calibration problems L. EL ALAOUI in Finance (UMLV) A priori and a posteriori error analysis for nonconforming mixed finite element methods, S. MEUNIER ENPC. Space-time error indicators for thermo-hydro- mechanics in Code_Aster, ENPC (Cifre fellowship N. MORENI granted by EdF) Path integrals and Monte-Carlo methods in finance, University Paris 6. A. ORRIOLS Algorithmes d'optimisation et de contrôle M. PORET, d'interface libre. Application à la production Auto-adaptive moving meshes methods for industrielle d'aluminium, ENPC. hyperbolic systems in one and two space dimensions, ENPC. S. SCOTTI Dirichlet forms methods in finance, ENPC and Univ. of Pisa (Prof. M. Pratelli) B. SECK HOSTED SEMINARS From Risk Constraints in Stochastic Optimi- zation Problems to Utility Functions, ENPC.

A. SIRI-JEGOUSSE Working group of Mathfi team Whright Fisher models and non-homogeneous coalescing process, ENPC M. JEANBLANC (Evry university). Couverture de P. SOCHALA produits soumis au risque de défaut. Numerical methods for coupling subsurface and surface flows, ENPC. L. DENIS (Le Mans university). Estimation du risque VaR associé à un processus de volatilité A. STEPHANSEN inconnue et comportant des sauts. A posteriori error analysis applied to reactive transport in porous media, ENPC. C. TUDOR (Paris 1 university). Martingale structure for anticipating integrals. G. STOLTZ Problèmes de transfert d'échelle en simulation O. ZEITOUNY (Rouen university). La probabilité des matériaux, ENPC. de ruine en présence d'investissements risqués.

C. STRUGAREK L. NGUYEN NGOC (Créteil university). Quelques Bornes pour la valorisation d'options exotiques martingales liées aux processus de Levy et leurs couvertes par un porte-feuille mixte d'actifs de applications. production et d'actifs financiers d'électricité, ENPC. J. GUYON (CERMICS). La densité du schéma d'Euler : vitesse de convergence dans l'espace P. TARDIF D'HAMONVILLE de Schwarz. Numerical evaluation of advective and diffusive transport in multi-phase porous media, ENPC. A. CISSE (INRIA). Présentation des produits dérivés de crédit.

A. ALFONSI (CERMICS). Etude de schémas de discrétisation pour le processus de Cox- Defended PHD Theses Ingersoll-Ross.

M. BEN ALAYA (Paris 13 university). Sur une M. BARRAULT, extension des lois max-semistables. Development of efficient methods for the computation of electronic structures, ENPC. A. SCHIED (Technishe Université Berlin). Some recent results on optimal portfolios. M. BERNACKI, Finite volume schemes with centered numerical H. PHAM (Paris 7 university). Discrétisation et fluxes: application to aeroacoustics, ENPC. simulation de l'équation de Zakai. Working group on dislocations K. YOSHIDA (Tokyo university). Asymptotic methods in statistics and their applications to finance. M. CANNONE (LAMA, université Marne-la- Vallée). Perte de régularité pour données B. JOTTREAU (UMLV). Optimisation de grandes dans quelques EDP non linéaires portefeuille dans un marché soumis au risque de défaut. Ph. HOCH (CEA). Équations de Hamilton-Jacobi sur maillages structurés et non-structurés C. HILLAIRET (university Paul Sabatier Toulouse). Equilibres sur un marché financier avec S. JAFFARD (LAMA, université Paris XII). Analyse asymétrie d'information. multifractale des signaux

E. VOLTCHKOVA (Evry university and CERMICS). G. CARLIER (CEREMADE, université Paris- Un schéma aux différences finies pour Dauphine). Introduction au transport de masse. l'évaluation d'options dans les modèles à sauts. L. CORRIAS (Université d'Evry). Analyse d'un N. BOULEAU (ENPC). Propagation dans les système de type Keller-Segel : existence globale modèles financiers de l'erreur dûe au schéma et unicité des solutions, profil asymptotique en d'Euler. temps.

F. CHAABANE (Sciences faculty of Bizerte, S. DEL PINO (LAN, université Paris VI). Schémas Tunisia). Théorèmes limites avec poids pour les d'ordre arbitrairement élevé pour les systèmes martingales vectorielles à temps continu. hyperboliques à coefficients constants.

A. SELLAMI (Paris VI University). Quantization H. ZAAG (ENS Ulm). Régularité $L^p$ pour deux based filtering methods using first order modèles de chémotaxie et d'angiogénèse approximation. F. FILBET (Université Paul Sabatier) Discrétisation B. JOURDAIN (CERMICS). Arbre binomial centré de modèles d'edp pour le chimiotactisme sur le Strike pour le Put américain. S. MISCHLER (Université Paris-Dauphine). V. LEMAIRE (UMLV). Schéma adapté pour Modèles de sélection-mutation l'estimation du régime stationnaire d'un système dissipatif. M. FALCONE (Università di Roma la Sapienza). Numerical approximation of growing sandpiles D. BELOMESTNY (WIAAS Berlin), Efficient calibration of jump-diffusion LIBOR market model.

E. CLEMENT (UMLV). Approximation faible d'EDS Seminar of the team Caiman

A. GLOTER (UMLV). Propriété LAMN pour l'observation d'une diffusion intégrée. Ph. DELORME, Ch. PEYRET - ONERA/DSNA/PARA, Calcul hp-optimal en M. ZERVOS (King's College London). Optimal aéroacoustique timing of investment decisions. V.-M. CRUZ-ATIENZA - UMR Géosciences Azur J. LELONG (CERMICS). Théorème central limite (CNRS-UNSA-IRD-UPMC) Simulation de la pour Robbins Monro avec projection. rupture dynamique en 3D de failles non- planaires Application au séisme de Landers M. ROSENBAUM (UMLV). Estimation de la (1993, Mw = 7.3) persistence de la volatilité dans un modèle de diffusion. L. NICOLAS (CEGELY, Ecole Centrale de Lyon, UMR CNRS 5005), Modélisation de l'interaction J.P. CHANCELIER (CERMICS), MAXPLUS des champs électromagnétiques et des "CONTROLE STOCHASTIQUE" A policy iteration systèmes vivants algorithm for fixed point problems with nonexpansive operators. J. BLUM (Université de Nice-Sophia Antipolis, Laboratoire de Mathématiques J.A. Dieudonné), J.P. CHANCELIER, A. SULEM, H. MESSAOUD, Sur quelques méthodes d'assimilation de Application to impulse control problems, INRIA- données pour l'environnement Rocquencourt. V. DOLEAN (Université de Nice-Sophia Antipolis, Laboratoire de Mathématiques J.A. Dieudonné), Optimized Schwarz methods for the Maxwell system Boussinesq en présence de forts gradients. R. PERRUSSEL Institut Camille Jordan, Ecole Présentation du modèle H-S en éléments finis. Centrale de Lyon, Méthode multiniveau algébrique pour les éléments finis d'arête

SOFTWARE Scientific computing seminar

F. MURAT (Laboratoire JLL, université Paris VI). J. P. CHANCELIER Introduction aux solutions renormalisées Development of Nsp, experimental re- implementation of Scilab (Presentation to the F. MURAT (Laboratoire JLL, université Paris VI). Steering Committee of Scilab, 18 january 2006). Approximation par éléments finis d'équations linéaires elliptiques du deuxième ordre sous forme divergence avec second membre dans L1 Applied probability team and team Mathfi Francois Murat - Laboratoire JLL, PREMIA (version 7), option pricing software.

D. HILHORST (Laboratoire de Mathématiques, université Paris XI). Sur un modèle mathématique pour l'invasion de bactéries dans des blessures LIST OF ACRONYMS M. VOHRALIK (Laboratoire de Mathématiques, université Paris XI). Couplages volumes finis- ACI Action Concertée Incitative éléments finis pour des équations de transport. ANDRA : Agence nationale pour la gestion des déchets radioactifs A. ORRIOLS (CERMICS). Parallélisation du code ANR : Agence nationale de la Recherche Mistral, solveur par éléments finis d'un CEMAGREF : Centre national du machinisme problème de MHD bifluide tridimensionnel. agricole, du génie rural, des eaux et des forêts CEREVE : Centre d'Enseignement et de M. LEWIN (INRIA). Une nouvelle méthode pour le Recherche Eau, Ville, Environnement calcul d'états excités électroniques. CETMEF : Centre d'Etudes Techniques Maritimes et Fluviales F. PASCAL (CMLA, ENS Cachan). Supraconver- EPFL : Ecole Polytechnique Fédérale de Lausanne gence de la méthode des volumes finis. GDR : Groupement de Recherche INERIS : Institut National de l'Environnement R. BRIZZI (CMAP, Ecole Polytechnique). Une Industriel et des Risques méthode d'éléments finis multi-échelles pour LMSGC : Laboratoire des matériaux et des l'homogénéisation numérique. structures du génie civil MOMAS : Modélisations mathématiques et Y. CAPDEBOSCQ (Université de Versailles Saint- simulations numériques liées aux problèmes de Quentin). Tomographie d'impédance et gestion des déchets nucléaires d'élasticité d'objets de petit volume. PAI : Programme d'Actions Intégrées du Ministère des Affaires Extérieures M. FERNANDEZ (INRIA), Interaction fluide- QHAN : Qualité et fonctionnement hydrologique structure dans les écoulements sanguins: vers des systèmes aquatiques un couplage semi-implicite. du groupement d'Antony UMLV : Marne-la-Vallée University M. MOUBACHIR (INRIA). UNSA : Nice – Sophia Antipolis University Contrôle et identification de surfaces mobiles.

F. BOUCHUT (ENS Ulm). Volumes finis équilibrés pour les équations de type Saint-Venant : autour du schéma de reconstruction hydrostatique.

K. DJADEL (CERMICS) Méthodes de Galerkin discontinu appliquées aux équations de Saint- Venant

J.M. HERVOUET (LNHE, EDF) Equations de Saint- Venant : simulation numérique avec la méthode des éléments finis. Applications à EDF.

A. OUAHSINE (UTC Compiègne) Traitement Numérique des équations de Saint-Venant et de