In this thesis, we develop partial differential equation (PDE) based numerical methods to solve certain optimal stochastic control problems in finance. The value of a stochastic control problem is normally identical to the viscosity solution of a Hamilton-Jacobi-Bellman (HJB) equation or an HJB variational inequality. The HJB equation corresponds to the case when the controls are bounded while the HJB variational inequality corresponds to the unbounded control case. As a result, the solution to the stochastic control problem can be computed by solving the corresponding HJB equation/variational inequality as long as the convergence to the viscosity solution is guaranteed. We develop a unified numerical scheme based on a semi-Lagrangian timestepping for solving both the bounded and unbounded stochastic control problems as well as the discrete cases where the controls are allowed only at discrete times. Our scheme has the following useful properties: it is unconditionally stable; it can be shown rigorously to converge to the viscosity solution; it can easily handle various stochastic models such as jump diffusion and regime-switching models; it avoids Policy type iterations at each mesh node at each timestep which is required by the standard implicit finite difference methods. In this thesis, we demonstrate the properties of our scheme by valuing natural gas storage facilities---a bounded stochastic control problem, and pricing variable annuities with guaranteed minimum withdrawal benefits (GMWBs)---an unbounded stochastic control problem. In particular, we use an impulse control formulation for the unbounded stochastic control problem and show that the impulse control formulation is more general than the singular control formulation previously used to price GMWB contracts.

In this thesis, we develop partial differential equation (PDE) based numerical methods to solve certain optimal stochastic control problems in finance. The value of a stochastic control problem is normally identical to the viscosity solution of a Hamilton-Jacobi-Bellman (HJB) equation or an HJB variational inequality. The HJB equation corresponds to the case when the controls are bounded while the HJB variational inequality corresponds to the unbounded control case. As a result, the solution to the stochastic control problem can be computed by solving the corresponding HJB equation/variational inequality as long as the convergence to the viscosity solution is guaranteed. We develop a unified numerical scheme based on a semi-Lagrangian timestepping for solving both the bounded and unbounded stochastic control problems as well as the discrete cases where the controls are allowed only at discrete times. Our scheme has the following useful properties: it is unconditionally stable; it can be shown rigorously to converge to the viscosity solution; it can easily handle various stochastic models such as jump diffusion and regime-switching models; it avoids Policy type iterations at each mesh node at each timestep which is required by the standard implicit finite difference methods. In this thesis, we demonstrate the properties of our scheme by valuing natural gas storage facilities---a bounded stochastic control problem, and pricing variable annuities with guaranteed minimum withdrawal benefits (GMWBs)---an unbounded stochastic control problem. In particular, we use an impulse control formulation for the unbounded stochastic control problem and show that the impulse control formulation is more general than the singular control formulation previously used to price GMWB contracts.

Fundação Carlos Chagas Filho de Amparo a Pesquisa do Estado do Rio de Janeiro / Em suma, esta tese propõe uma metodologia de acompanhamento de interfaces móveis que baseia-se no método dos conjuntos de nível aqui chamado de método das curvas de nível, uma denominação baseada nas aplicações em que as interfaces são representadas por curvas acoplado a uma implementação semi-Lagrangeana, para problemas em meios porosos. Embora esta técnica possa, em princípio, ser aplicada a qualquer problema físico que apresente uma interface móvel, nesta tese são focados escoamentos em meios porosos consolidados e saturados por um ou dois fluidos imiscíveis e incompressíveis. Adicionalmente, um método iterativo paralelizável para a resolução de sistemas de equações lineares definidos em redes, que podem ser reduzidos à forma das equações fundamentais de equilíbrio, é empregado na determinação dos campos de velocidade associados aos escoamentos em meios porosos. O cenário semi-Lagrangeano acoplado ao método das curvas de nível é comparado com a implementação utilizando o bem conhecido esquema up-wind. Um exaustivo estudo realizado revela a superioridade da metodologia proposta frente à concorrente utilizando o up-wind. Finalmente, o método das curvas de nível com implementação semi-Lagrangeana (método semi-Lagrangeano das curvas de nível), e o método iterativo para a determinação do campo de velocidades são aplicados no estudo de problemas transientes em meios porosos que apresentam instabilidades dos tipos Saffman-Taylor e Rayleigh-Taylor. Este estudo envolve uma análise de estabilidade linear, a introdução de diversas perturbações trigonométricas na interface e a sua evolução não-linear. / Briefy, this thesis proposes a method for capturing moving interfaces based on the level set method coupled to a Semi-Lagrangian implementation for problems in porous media. Although this method could, in principle, be applied to any physical problem with moving interfaces, we foccus, in this thesis, on flows inside a consolidated porous media saturated by one or two imiscible and incompressible fluids. Besides, a parallelizable iterative method for solving linear systems defined on a network that can be reduced to the fundamental equilibrium equations, is employed to determine the velocity field associated with the flow in a porous medium. The semi-Lagrangian scheme coupled with the level set method is compared with the well-known implementation with the up-wind scheme. An exhaustive study is performed and reveals the superiority of the proposed scheme in relation to the competing one using the up-wind method. Finally, the level set method with semi-Lagrangian implementation and the iterative method for determining the velocity field are applied to the study of transient problems in porous media which present Saffman-Taylor and Rayleigh-Taylor instabilities. This study involves the application of a linear stability analysis, the introduction of several trigonometric perturbations to the interface and its non-linear evolution.

Made available in DSpace on 2014-12-17T14:57:51Z (GMT). No. of bitstreams: 1 SidneyOL.pdf: 4301786 bytes, checksum: 9f7a7a0d30a925198ccebaa046c885a4 (MD5) Previous issue date: 2009-02-09 / Coordena??o de Aperfei?oamento de Pessoal de N?vel Superior / This work proposes a computational methodology to solve problems of optimization in structural design. The application develops, implements and integrates methods for structural analysis, geometric modeling, design sensitivity analysis and optimization. So, the optimum design problem is particularized for plane stress case, with the objective to minimize the structural mass subject to a stress criterion. Notice that, these constraints must be evaluated at a series of discrete points, whose distribution should be dense enough in order to minimize the chance of any significant constraint violation between specified points. Therefore, the local stress constraints are transformed into a global stress measure reducing the computational cost in deriving the optimal shape design. The problem is approximated by Finite Element Method using Lagrangian triangular elements with six nodes, and use a automatic mesh generation with a mesh quality criterion of geometric element. The geometric modeling, i.e., the contour is defined by parametric curves of type B-splines, these curves hold suitable characteristics to implement the Shape Optimization Method, that uses the key points like design variables to determine the solution of minimum problem. A reliable tool for design sensitivity analysis is a prerequisite for performing interactive structural design, synthesis and optimization. General expressions for design sensitivity analysis are derived with respect to key points of B-splines. The method of design sensitivity analysis used is the adjoin approach and the analytical method. The formulation of the optimization problem applies the Augmented Lagrangian Method, which convert an optimization problem constrained problem in an unconstrained. The solution of the Augmented Lagrangian function is achieved by determining the analysis of sensitivity. Therefore, the optimization problem reduces to the solution of a sequence of problems with lateral limits constraints, which is solved by the Memoryless Quasi-Newton Method It is demonstrated by several examples that this new approach of analytical design sensitivity analysis of integrated shape design optimization with a global stress criterion purpose is computationally efficient / Neste trabalho prop?e-se uma metodologia computacional para resolver problemas de Otimiza??o de Forma para projeto estrutural. A aplica??o ? particularizada para problemas bidimensionais em estado plano de tens?es, de modo a minimizar a massa atendendo um crit?rio de tens?o. Para atender ao crit?rio param?trico de tens?es ? proposto um crit?rio global de tens?o de von Mises, dessa maneira, amplia-se o crit?rio local de tens?es sobre o dom?nio, visando ? obten??o de programas mais seguros. O problema ? aproximado pelo M?todo dos Elementos Finitos utilizando elementos triangulares da base Lagrangiana padr?o com seis n?s, tendo uma estrat?gia de gera??o autom?tica de malhas baseada em um crit?rio geom?trico do elemento. O modelo geom?trico do contorno material ? definido por curvas param?tricas B-splines. Estas curvas possuem caracter?sticas vantajosas para implementa??o do processo de otimiza??o de forma, que se utiliza dos pontos-chave para determinar o m?nimo do problema. A formula??o do problema de otimiza??o faz uso do M?todo Lagrangiano Aumentado, que transforma o problema de otimiza??o com restri??o, em problema irrestrito. A solu??o da fun??o Lagrangiana Aumentada ? alcan?ada pela determina??o da an?lise das sensibilidades anal?ticas em rela??o aos pontos-chave da curva B-spline. Como conseq??ncia, o problema de otimiza??o reduz-se ? solu??o de uma seq??ncia de problemas de limites laterais do tipo caixa, o qual ? resolvido por um m?todo de proje??o de segunda ordem que usa o m?todo de Quase-Newton projetado sem mem?ria. S?o demonstrados v?rios exemplos para o M?todo de Otimiza??o de Forma integrado a An?lise da Sensibilidade Anal?tica sob o crit?rio global de tens?o de von Mises

Fundação Carlos Chagas Filho de Amparo a Pesquisa do Estado do Rio de Janeiro / Em suma, esta tese propõe uma metodologia de acompanhamento de interfaces móveis que baseia-se no método dos conjuntos de nível aqui chamado de método das curvas de nível, uma denominação baseada nas aplicações em que as interfaces são representadas por curvas acoplado a uma implementação semi-Lagrangeana, para problemas em meios porosos. Embora esta técnica possa, em princípio, ser aplicada a qualquer problema físico que apresente uma interface móvel, nesta tese são focados escoamentos em meios porosos consolidados e saturados por um ou dois fluidos imiscíveis e incompressíveis. Adicionalmente, um método iterativo paralelizável para a resolução de sistemas de equações lineares definidos em redes, que podem ser reduzidos à forma das equações fundamentais de equilíbrio, é empregado na determinação dos campos de velocidade associados aos escoamentos em meios porosos. O cenário semi-Lagrangeano acoplado ao método das curvas de nível é comparado com a implementação utilizando o bem conhecido esquema up-wind. Um exaustivo estudo realizado revela a superioridade da metodologia proposta frente à concorrente utilizando o up-wind. Finalmente, o método das curvas de nível com implementação semi-Lagrangeana (método semi-Lagrangeano das curvas de nível), e o método iterativo para a determinação do campo de velocidades são aplicados no estudo de problemas transientes em meios porosos que apresentam instabilidades dos tipos Saffman-Taylor e Rayleigh-Taylor. Este estudo envolve uma análise de estabilidade linear, a introdução de diversas perturbações trigonométricas na interface e a sua evolução não-linear. / Briefy, this thesis proposes a method for capturing moving interfaces based on the level set method coupled to a Semi-Lagrangian implementation for problems in porous media. Although this method could, in principle, be applied to any physical problem with moving interfaces, we foccus, in this thesis, on flows inside a consolidated porous media saturated by one or two imiscible and incompressible fluids. Besides, a parallelizable iterative method for solving linear systems defined on a network that can be reduced to the fundamental equilibrium equations, is employed to determine the velocity field associated with the flow in a porous medium. The semi-Lagrangian scheme coupled with the level set method is compared with the well-known implementation with the up-wind scheme. An exhaustive study is performed and reveals the superiority of the proposed scheme in relation to the competing one using the up-wind method. Finally, the level set method with semi-Lagrangian implementation and the iterative method for determining the velocity field are applied to the study of transient problems in porous media which present Saffman-Taylor and Rayleigh-Taylor instabilities. This study involves the application of a linear stability analysis, the introduction of several trigonometric perturbations to the interface and its non-linear evolution.

Submitted by Renata Lopes (renatasil82@gmail.com) on 2016-12-22T13:25:11Z No. of bitstreams: 1 vahidnikoofard.pdf: 794368 bytes, checksum: 26feb8d15d2757f79f8d7dfb69b610c2 (MD5) / Approved for entry into archive by Diamantino Mayra (mayra.diamantino@ufjf.edu.br) on 2017-01-31T10:20:21Z (GMT) No. of bitstreams: 1 vahidnikoofard.pdf: 794368 bytes, checksum: 26feb8d15d2757f79f8d7dfb69b610c2 (MD5) / Made available in DSpace on 2017-01-31T10:20:21Z (GMT). No. of bitstreams: 1 vahidnikoofard.pdf: 794368 bytes, checksum: 26feb8d15d2757f79f8d7dfb69b610c2 (MD5) Previous issue date: 2015-06-30 / CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Esta tese é composta por assuntos distintos entre si de teorias quânticas de campos onde alguns deles são descritos em espaços não-comutativos (NC). Em primeiro lugar, analisamos a dinâmica de uma partícula livre sobre uma 2-esfera e através da dinâmica das suas equações de movimento, obtivemos as perturbações NCs neste espaço de fase. Este modelo sugere uma origem para o Zitterbewegung do elétron. Depois disso, consideramos umaversãoNCdasegundaleideNewtonparaestemodelo, quefoiobtidocomestecenário geométrico aplicado a este modelo. Em seguida, discutimos um formalismo alternativo relacionado à não-comutatividade chamado DFR onde o parâmetro NC é considerado uma coordenada e demonstramos exatamente que ela tem obrigatoriamente um momento conjugado neste espaço de fase DFR, diferentemente do que alguns autores da atual literatura sobre DFR afirmam. No próximo assunto, usando o formalismo de solda que, em poucaspalavras,colocapartículascomquiralidadesopostasnomesmomultipleto,soldamos algumas versões NCs de modelos bem conhecidos como modelos de Schwinger quirais e modelos (anti) auto duais no espaço-tempo de Minkowski estendido. Em outro assunto estudado aqui, também construímos a versão NC do modelo de Jackiw-Pi com um grupo de calibre arbitrário e usamos o mapeamento bem conhecido de Seiberg-Witten para obter este modelo NC em termos de variáveis comutativos. Finalmente, utilizamos o formalismo de campos e anticampos (ou método BV) para construir a ação de Batalin-Vilkovisky (BV) do modelo Jackiw-Pi estendido e após o prEntendiocedimento de fixação de calibre chegamos a uma ação completa, pronta para quantização. / This thesis is composed of distinct aspects of quantum field theories where some of them are described in noncommutative (NC) spaces. Firstly, we have analyzed the dynamics of a free particle over a 2-sphere and through the dynamics of the equations of motion we have derived its NC perturbations in the phase-space. This model suggests an origin for Zitterbewegung feature of the electron. After that we have considered the NC version of Newton’s second law for this model, which was obtained with the geometricalscenarioappliedtothismodel. Thenwehavediscussedtheso-calledDoplicher– Fredenhagen–Roberts (DFR) alternative formalism concerning noncommutativity where the NC parameter has a coordinate role and we showed exactly that it has a conjugated momentum in the DFR phase-space, differently of what some authors of the current DFR-literature claims. In the next issue, using the soldering formalism which, in few words, put opposite chiral particles in the same multiplet, we have soldered some NC versions of well known models like the chiral Schwinger model and (anti)self dual models in the extended Minkowski spacetime. Changing the subject, we have constructed the NC spacetime version of Jackiw-Pi model with an arbitrary gauge group and we used the well known Seiberg-Witten map to obtain the NC model expressed in terms of commutative variables. Finally, we have used the field-antifield (or BV method) formalism to construct the Batalin-Vilkovisky (BV) action of the extended Jackiw-Pi model and after the gauge fixing procedure we have arrived at a quantized-ready action for this model.

Dans une première partie, nous proposons une méthodologie innovante pour la comparaison d'images en ingénierie de réservoir. L'objectif est de pouvoir comparer des cubes sismiques obtenus par simulation avec ceux observés sur un champ pétrolier, dans le but de construire un modèle représentatif de la réalité. Nous développons une formulation fondée sur du filtrage, de la classification statistique et de la segmentation d'images. Ses performances sont mises en avant sur des cas réalistes. Dans une seconde partie, nous nous intéressons aux méthodes de recalage d'images utilisées en imagerie médicale pour mettre en correspondance des images. Nous introduisons deux nouveaux modèles de recalage fondés sur l'élasticité non linéaire, où les formes sont appréhendées comme des matériaux de type Saint Venant-Kirchhoff et Ciarlet-Geymonat. Nous justifions théoriquement l'existence de solutions ainsi que la résolution numérique. Le potentiel de ces méthodes est illustré sur des images médicales. / In a first part, we propose an innovative methodology for image matching in the context of reservoir simulation. In order to build a model consistent with data collected on the field, we need to evaluate the error between seismic cubes obtained by simulation and seismic cubes acquired in the oil field. Using image processing tools, we develop a new formulation of the error. The application of this new formulation on synthetic reservoir cases demonstrates its efficiency. In a second part, we address the issue of designing two theoretically well-motivated registration models capable of handling large deformations since they are based on nonlinear elasticity. The shape to be matched are viewed as Ciarlet-Geymonat materials for the first model and as Saint-Venant Kirchhoff materials for the second one. We investigate the efficiency of the proposed matching model for the registration of mouse brain gene expression data to a neuroanatomical mouse atlas.

<p align='justify'>L’adaptation des surfaces pour des fonctions prédéterminées par le choix des matériaux métalliques ou des couches minces ayant des propriétés mécaniques avancées peut potentiellement permettre de réaliser des nouvelles applications à petites échelles. Concevoir de telles applications utilisant des nouveaux matériaux nécessite en premier lieu la connaissance des propriétés mécaniques des matériaux ciblés à l’échelle microscopique et nanoscopique. Une méthode souvent appliquée pour caractériser les matériaux à petites échelles est la nanoindentation, qui peut être vue comme une mesure de dureté à l’échelle nanoscopique.</p><p><p align='justify'>Ce travail présente une contribution relative à l'interprétation des résultats de la nanoindentation, qui fait intervenir un grand nombre de phénomènes physiques couplés à l'aide de simulations numériques. A cette fin une approche interdisciplinaire, adaptée aux phénomènes apparaissant à petites échelles, et située à l’intersection entre la physique, la mécanique et la science des matériaux a été utilisée. Des modèles numériques de la nanoindentation ont été conçus à l'échelle atomique (modèle discret) et à l'échelle des milieux continus (méthode des éléments finis), pour étudier le comportement du nickel pur. Ce matériau a été choisi pour ses propriétés mécaniques avancées, sa résistance à l'usure et sa bio-compatibilité, qui peuvent permettre des applications futures intéressantes à l'échelle nanoscopique, particulièrement dans le domaine biomédical. Des méthodes avancées de mécanique du solide ont été utilisées pour prendre en compte les grandes déformations locales du matériau (par la formulation corotationelle), et pour décrire les conditions de contact qui évoluent au cours de l'analyse dans le modèle à l'échelle des milieux continus (traitement des conditions de contact unilatérales et tangentielles par une forme de Lagrangien augmenté).</p><p><p align='justify'>L’application des modèles numériques a permis de contribuer à l’identification des phénomènes qui gouvernent la nanoindentation du nickel pur. Le comportement viscoplastique du nickel pur pendant nanoindentation a été identifié dans une étude expérimentale-numérique couplée, et l'effet cumulatif de la rugosité et du frottement sur la dispersion des résultats de la nanoindentation a été montré par une étude numérique (dont les résultats sont en accord avec des tendances expérimentales).</p> <p><p align='justify'>Par ailleurs, l’utilisation de l’outil numérique pour une autre application à petites échelles, la manipulation des objets par contact, a contribué à la compréhension de la variation de l’adhésion électrostatique pendant micromanipulation. La déformation plastique des aspérités de surface sur le bras de manipulateur (en nickel pur) a été identifiée comme une source potentielle d’augmentation importante de l'adhésion pendant la micromanipulation, qui peut potentiellement causer des problèmes de relâche et de précision de positionnement, observés expérimentalement.</p><p><p align='justify'>Les résultats présentés dans cette thèse montrent que des simulations numériques basées sur la physique du problème traité peuvent expliquer des tendances expérimentales et contribuer à la compréhension et l'interprétation d'essais couramment utilisé pour la caractérisation aux petites échelles. Le travail réalisé dans cette thèse s’inscrit dans un projet de recherche appelé "mini-micro-nano" (mµn), financé par la Communauté Française de Belgique dans le cadre de "l'Action de Recherche Concertée", convention 04/09-310.</p> / Doctorat en Sciences de l'ingénieur / info:eu-repo/semantics/nonPublished

Dans cette thèse, nous nous étudions des algorithmes d’optimisation non linéaire. D’une part nous proposons des techniques de détection rapide de la non-réalisabilité d’un problème à résoudre. D’autre part, nous analysons le comportement local des algorithmes pour la résolution de problèmes singuliers. Dans la première partie, nous présentons une modification d’un algorithme de lagrangien augmenté pour l’optimisation avec contraintes d’égalité. La convergence quadratique du nouvel algorithme dans le cas non-réalisable est démontrée théoriquement et numériquement. La seconde partie est dédiée à l’extension du résultat précédent aux problèmes d’optimisation non linéaire généraux avec contraintes d’égalité et d’inégalité. Nous proposons une modification d’un algorithme de pénalisation mixte basé sur un lagrangien augmenté et une barrière logarithmique. Les résultats théoriques de l’analyse de convergence et quelques tests numériques montrent l’avantage du nouvel algorithme dans la détection de la non-réalisabilité. La troisième partie est consacrée à étudier le comportement local d’un algorithme primal-dual de points intérieurs pour l’optimisation sous contraintes de borne. L’analyse locale est effectuée sans l’hypothèse classique des conditions suffisantes d’optimalité de second ordre. Celle-ci est remplacée par une hypothèse plus faible basée sur la notion de borne d’erreur locale. Nous proposons une technique de régularisation de la jacobienne du système d’optimalité à résoudre. Nous démontrons ensuite des propriétés de bornitude de l’inverse de ces matrices régularisées, ce qui nous permet de montrer la convergence superlinéaire de l’algorithme. La dernière partie est consacrée à l’analyse de convergence locale de l’algorithme primal-dual qui est utilisé dans les deux premières parties de la thèse. En pratique, il a été observé que cet algorithme converge rapidement même dans le cas où les contraintes ne vérifient l’hypothèse de qualification de Mangasarian-Fromovitz. Nous démontrons la convergence superlinéaire et quadratique de cet algorithme, sans hypothèse de qualification des contraintes. / This thesis is devoted to the study of numerical algorithms for nonlinear optimization. On the one hand, we propose new strategies for the rapid infeasibility detection. On the other hand, we analyze the local behavior of primal-dual algorithms for the solution of singular problems. In the first part, we present a modification of an augmented Lagrangian algorithm for equality constrained optimization. The quadratic convergence of the new algorithm in the infeasible case is theoretically and numerically demonstrated. The second part is dedicated to extending the previous result to the solution of general nonlinear optimization problems with equality and inequality constraints. We propose a modification of a mixed logarithmic barrier-augmented Lagrangian algorithm. The theoretical convergence results and the numerical experiments show the advantage of the new algorithm for the infeasibility detection. In the third part, we study the local behavior of a primal-dual interior point algorithm for bound constrained optimization. The local analysis is done without the standard assumption of the second-order sufficient optimality conditions. These conditions are replaced by a weaker assumption based on a local error bound condition. We propose a regularization technique of the Jacobian matrix of the optimality system. We then demonstrate some boundedness properties of the inverse of these regularized matrices, which allow us to prove the superlinear convergence of our algorithm. The last part is devoted to the local convergence analysis of the primal-dual algorithm used in the first two parts of this thesis. In practice, it has been observed that this algorithm converges rapidly even in the case where the constraints do not satisfy the Mangasarian-Fromovitz constraint qualification. We demonstrate the superlinear and quadratic convergence of this algorithm without any assumption of constraint qualification.

L’objectif de ce mémoire est d’introduire une nouvelle méthode smoothed particle hydrodynamics (SPH) implicite purement lagrangienne, pour la résolution des équations de Navier- Stokes incompressibles bidimensionnelles en présence d’une surface libre. Notre schéma de discrétisation est basé sur celui de Kéou Noutcheuwa et Owens [19]. Nous avons traité la surface libre en combinant la méthode multiple boundary tangent (MBT) de Yildiz et al. [43] et les conditions aux limites sur les champs auxiliaires de Yang et Prosperetti [42]. Ce faisant, nous obtenons un schéma de discrétisation d’ordre $\mathcal{O}(\Delta t ^2)$ et $\mathcal{O}(\Delta x ^2)$, selon certaines contraintes sur la longueur de lissage $h$. Dans un premier temps, nous avons testé notre schéma avec un écoulement de Poiseuille bidimensionnel à l’aide duquel nous analysons l’erreur de discrétisation de la méthode SPH. Ensuite, nous avons tenté de simuler un problème d’extrusion newtonien bidimensionnel. Malheureusement, bien que le comportement de la surface libre soit satisfaisant, nous avons rencontré des problèmes numériques sur la singularité à la sortie du moule. / The objective of this thesis is to introduce a new implicit purely lagrangian smoothed particle hydrodynamics (SPH) method, for the resolution of the two-dimensional incompressible Navier-Stokes equations in the presence of a free surface. Our discretization scheme is based on that of Kéou Noutcheuwa et Owens [19]. We have treated the free surface by combining Yildiz et al. [43] multiple boundary tangent (MBT) method and boundary conditions on the auxiliary fields of Yang et Prosperetti [42]. In this way, we obtain a discretization scheme of order $\mathcal{O}(\Delta t ^2)$ and $\mathcal{O}(\Delta x ^2)$, according to certain constraints on the smoothing length $h$. First, we tested our scheme with a two-dimensional Poiseuille flow by means of which we analyze the discretization error of the SPH method. Then, we tried to simulate a two-dimensional Newtonian extrusion problem. Unfortunately, although the behavior of the free surface is satisfactory, we have encountered numerical problems on the singularity at the output of the die.