Online parameter identification in time-dependent differential equations from time course observations related to the physical state can be understood as a non-linear inverse and ill-posed problem and appears in a variety of applications in science and engineering. The feature as well as the challenge of online identification is that sensor data have to be continuously processed during the operation of the real dynamic process in order to support simulation-based decision making. In this paper we present an online parameter identification method that is based on a non-linear parameter-to-output operator and, as opposed to methods available so far, works both for finite- and infinite-dimensional dynamical systems, e.g., both for ordinary differential equations and time-dependent partial differential equations. A further advantage of the method suggested is that it renders typical restrictive assumptions such as full state observability, linear parametrisation of the underlying model and data differentiation or filtering unnecessary. Assuming existence of a solution for exact data, a convergence analysis based on Lyapunov theory is presented. Numerical illustrations given are by means of online identification both of aerodynamic coefficients in a 3DoF-longitudinal aircraft model and of a (distributed) conductivity coefficient in a heat equation.

Motivated by the aim of modelling the mechanical behaviour of biological gels (such as collagen gels) which have a fibrous microstructure, we consider the extensional flow of a thin two-dimensional film of incompressible, transversely isotropic viscous fluid. Neglecting inertia, and the effects of gravity and surface tension, leading-order equations are derived from a perturbation expansion of the full flow problem in powers of the (small) inverse aspect ratio. The existence and uniqueness of the solution of the reduced system of equations for small times is then proven. Special cases, in which the solution may be determined explicitly, are considered and we discuss the physical interpretation of the results.

We study the growth of a tissue construct in a perfusion bioreactor, focussing on its response to the mechanical environment. The bioreactor system is modelled as a two-dimensional channel containing a tissue construct through which a flow of culture medium is driven. We employ a multiphase formulation of the type presented by G. Lemon, J. King, H. Byrne, O. Jensen and K. Shakesheff in their study (Multiphase modelling of tissue growth using the theory of mixtures. J. Math. Biol. 52(2), 2006, 571–594) restricted to two interacting fluid phases, representing a cell population (and attendant extracellular matrix) and a culture medium, and employ the simplifying limit of large interphase viscous drag after S. Franks in her study (Mathematical Modelling of Tumour Growth and Stability. Ph.D. Thesis, University of Nottingham, UK, 2002) and S. Franks and J. King in their study (Interactions between a uniformly proliferating tumour and its surrounding: Uniform material properties. Math. Med. Biol. 20, 2003, 47–89).

The novel aspects of this study are: (i) the investigation of the effect of an imposed flow on the growth of the tissue construct, and (ii) the inclusion of a mechanotransduction mechanism regulating the response of the cells to the local mechanical environment. Specifically, we consider the response of the cells to their local density and the culture medium pressure. As such, this study forms the first step towards a general multiphase formulation that incorporates the effect of mechanotransduction on the growth and morphology of a tissue construct.

The model is analysed using analytic and numerical techniques, the results of which illustrate the potential use of the model to predict the dominant regulatory stimuli in a cell population.

In this paper I consider a system of equations describing two stratified fluids flowing in closed, slightly inclined ducts. In the framework of the shallow water approximation with turbulent friction acting on the wall and at the interface, I investigate a special class of periodic travelling waves containing stable moving jumps, namely, roll waves and periodic slug flows. The modulation equations of roll waves and slugs are derived and a nonlinear stability criterion is obtained. As for plug flow, only a gas–liquid system is considered. The stability criterion is expressed in terms of an integro-differential relation. For self-similar cross-section, this criterion is simplified to a relation for a function of one variable only.

In both modern stochastic analysis and more traditional probability and statistics, one way of characterizing a static or dynamic probability distribution is through its quantile function. This paper is focused on obtaining a direct understanding of this function via the classical approach of establishing and then solving differential equations for the function. We establish ordinary differential equations and power series for the quantile functions of several common distributions. We then develop the partial differential equation for the evolution of the quantile function associated with the solution of a class of stochastic differential equations, by a transformation of the Fokker–Planck equation. We are able to utilize the static formulation to provide elementary time-dependent and equilibrium solutions.

Such a direct understanding is important because quantile functions find important uses in the simulation of physical and financial systems. The simplest way of simulating any non-uniform random variable is by applying its quantile function to uniform deviates. Modern methods of Monte–Carlo simulation, techniques based on low-discrepancy sequences and copula methods all call for the use of quantile functions of marginal distributions. We provide web resources for prototype implementations in computer code. These implementations may variously be used directly in live sampling models or in a high-precision benchmarking mode for developing fast rational approximations also for use in simulation.

We wish to express our sincere condolences to the family of Vladimir Entov, who died on April 10th 2008. Professor Entov was an Editor of the European Journal of Applied Mathematics from 1994 to 2007. He was a brilliant scientist and a staunch supporter of this journal, and will be greatly missed by his many friends and colleagues around the world.

Sam Howison, Andrew Lacey, and Michael Ward

Co-Editors in Chief, European Journal of Applied Mathematics

This work is devoted to the identification of parameters in a problem of pollution modeled by a semi-linear parabolic equation. We use the notion of sentinels introduced by J. L. Lions, (Lions, J. L. 1992 Sentinelles pour les systèmes distribués à données incomplètes. Masson, Paris.) re-visited in a more general framework. We prove the existence of such sentinels by solving a problem of null controllability with constraint on the control. The key of our results is an observability inequality of Carleman type adapted to the constraint.

In this article, we present a simplified means of pricing Asian options using partial differential equations (PDEs). We first provide a concise derivation of the well-known similarity reduction and exact Laplace transform solution. We then analyse the problem afresh as a power series in the volatility-scaled contract duration, with a view to obtaining an asymptotic solution for the low-volatility limit, a limit which presents difficulties in the context of the general Laplace transform solution. The problem is approached anew from the point of view of asymptotic expansions and the results are compared with direct, high precision, inversion of the Laplace transform and with numerical results obtained by V. Linetsky and J. Vecer. Our asymptotic formulae are little more complicated than the standard Black–Scholes formulae and, working to third order in the volatility-scaled expiry, are accurate to at least four significant figures for standard test problems. In the case of zero risk-neutral drift, we have the solution to fifth order and, for practical purposes, the results are effectively exact. We also provide comparisons with the hybrid analytic and finite-difference method of Zhang.

A model focusing on key components involved in tumour invasion is studied. Tumour cell migration is based on cell motility and haptotaxis, i.e., the directed migratory response of tumour cells up gradients of cell-adhesion molecules. Individual cell processes are modelled according to cell age and several tumour phenotypes are incorporated. Global existence and uniqueness of nonnegative solutions to the corresponding coupled system of nonlinear partial differential equations are shown.

We study a scale of two-component composite structures of equal proportions with infinitely many microlevels. The structures are obtained recursively and we find that their effective conductivities are power means of the local conductivities.

A system of differential equations describing the joint motion of thermo-elastic porous body and slightly compressible viscous thermofluid occupying pore space is considered. Although the problem is correct in an appropriate functional space, it is very hard to tackle due to the fact that its main differential equations involve non-smooth oscillatory coefficients, both big and small, under the differentiation operators. The rigorous justification under various conditions imposed on physical parameters is fulfilled for homogenization procedures as the dimensionless size of the pores tends to zero, while the porous body is geometrically periodic. As a result, we derive Biot's system of equations of thermo-poroelasticity, a similar system, consisting of anisotropic Lamé equations for a thermoelastic solid coupled with acoustic equations for a thermofluid, Darcy's system of filtration, or acoustic equations for a thermofluid, according to ratios between physical parameters. The proofs are based on Nguetseng's two-scale convergence method of homogenization in periodic structures.

We deal with a variational approach to the inverse crack problem, that is the detection and reconstruction of cracks, and other defects, inside a conducting body by performing boundary measurements of current and voltage type. We formulate such an inverse problem in a free-discontinuity problems framework and propose a novel method for the numerical reconstruction of the cracks by the available boundary data. The proposed method is amenable to numerical computations and it is justified by a convergence analysis, as the error on the measurements goes to zero. We further notice that we use the Γ-convergence approximation of the Mumford–Shah functional due to Ambrosio and Tortorelli as the required regularization term.

A mathematical model is developed for mud cake growth and fluid invasion around a horizontal wellbore during drilling. The non-axisymmetry of the invasion front is addressed for the case of water based drilling mud and isotropic rock formation. It is shown that the invasion profile may lose convexity due to gravitation even though the filtrate density is the same as that of the pore fluid in the rock.

We consider a single-species structured population with distributed maturity and spatial diffusion in a cylindrical domain subject to Neumann and Robin boundary conditions. We first establish the threshold property of the reaction–diffusion system with distributed delay and non-local interaction in a corresponding lower-dimensional domain, so that the system approaches either an extinction state or a stable spatially varying pattern. We then investigate the transition from the extinction state to the stable pattern of the system in the cylindrical domain.

This paper is concerned with some non-linear propagation phenomena for reaction–advection–diffusion equations with Kolmogrov–Petrovsky–Piskunov (KPP)-type non-linearities in general periodic domains or in infinite cylinders with oscillating boundaries. Having a variational formula for the minimal speed of propagation involving eigenvalue problems (proved in Berestycki, H., Hamel, F. & Nadirashvili, N. (2005) The speed of propagation for KPP type problems (periodic framework). J. Eur. Math. Soc. 7, 173–213), we consider the minimal speed of propagation as a function of diffusion factors, reaction factors and periodicity parameters. There we study the limits, the asymptotic behaviours and the variations of the considered functions with respect to these parameters. One of the sections deals with homogenization problem as an application of the results in the previous sections in order to find the limit of the minimal speed when the periodicity cell is very small.

We prove the existence and uniqueness of pulsating waves for the motion by mean curvature of an n-dimensional hypersurface in an inhomogeneous medium, represented by a periodic forcing. The main difficulty is caused by the degeneracy of the equation and the fact the forcing is allowed to change sign. Under the assumption of weak inhomogeneity, we obtain uniform oscillation and gradient bounds so that the evolving surface can be written as a graph over a reference hyperplane. The existence of an effective speed of propagation is established for any normal direction. We further prove the Lipschitz continuity of the speed with respect to the normal and various stability properties of the pulsating wave. The results are related to the homogenisation of mean curvature flow with forcing.

In technical applications, uncertainties are a topic of increasing interest. During the last years the Polynomial Chaos of Wiener (Amer. J. Math. 60(4), 897–936, 1938) was revealed to be a cheap alternative to Monte Carlo simulations. In this paper we apply Polynomial Chaos to stationary and transient problems, both from academics and from industry. For each of the applications, chances and limits of Polynomial Chaos are discussed. The presented problems show the need for new theoretical results.

We study the geodesic interpolating spline with a biharmonic regulariser for solving the landmark image registration problem. We show existence of solutions, discuss uniqueness and show how the problem can be efficiently solved numerically. The main advantage of the geodesic interpolating spline is that it provides a diffeomorphism and we show this is preserved under our numerical approximation.

Ion channels are proteins with a narrow hole down their middle that control a wide range of biological function by controlling the flow of spherical ions from one macroscopic region to another. Ion channels do not change their conformation on the biological time scale once they are open, so they can be described by a combination of Poisson and drift-diffusion (Nernst–Planck) equations called PNP in biophysics. We use singular perturbation techniques to analyse the steady-state PNP system for a channel with a general geometry and a piecewise constant permanent charge profile. We construct an outer solution for the case of a constant permanent charge density in three dimensions that is also a valid solution of the one-dimensional system. The asymptotical current–voltage (I–V) characteristic curve of the device (obtained by the singular perturbation analysis) is shown to be a very good approximation of the numerical I–V curve (obtained by solving the system numerically). The physical constraint of non-negative concentrations implies a unique solution, i.e., for each given applied potential there corresponds a unique electric current (relaxing this constraint yields non-physical multiple solutions for sufficiently large voltages).

A model of cell-growth, describing the evolution of the age–size distribution of cells in different phases of cell-growth, is studied. The model is based on that used in several papers by Basse et al. and is composed of a system of partial differential equations, each describing the changes in the age–size distribution of cells in a specific phase of cell-growth. Here, the ‘age’ of a cell is considered to be the time spent in its current phase of cell-growth, while ‘size’ is considered to be the DNA content of the cell. The existence of steady age–size distributions (SASDs), where the age–size distributions retain the same shape but are scaled up or down as time increases, is investigated and it is shown that SASDs exist. A speculative discussion of the stability of these SASDs is also included, but their stability is not conclusively proved.