CONFORMAL GEOMETRY AND DYNAMICS

An Electronic Journal of the American Mathematical Society

Volume 00, Pages 000000 (Xxxx XX, XXXX)
S 1088-4173(XX)0000-0
CONVERGENCE IN DISCRETE CAUCHY PROBLEMS
AND APPLICATIONS TO CIRCLE PATTERNS
D. MATTHES
Abstract. A lattice-discretization of analytic Cauchy problems in two di-
mensions is presented. It is proven that the discrete solutions converge to a
smooth solution of the original problem as the mesh size tends to zero. The
convergence is in C

and the approximation error for arbitrary derivatives

is quadratic in . In application, C

-approximation of conformal maps by

Schramms orthogonal circle patterns and lattices of cross-ratio minus one is
shown.
1. Introduction
In the ourishing eld of discrete dierential geometry, classical geometrical objects
are matched by discrete counterparts which inherit many qualitative features of the
smooth originals. Discretizations have been proposed for a large variety of surfaces,
coordinate systems and maps, see [BP2] for an overview.
Special attention has been devoted to circle packings in the plane and their relation
to conformal mappings. The fundamental question of quantitative approximation
has been intensively studied. As a key result in this context, Thurstons conjecture
on the convergence of hexagonal circle packings to the Riemann map was proven
by Rodin and Sullivan [RS] in 1987. Their result has been improved in many ways.
For instance, hexagonal packings were shown to converge in C

[HS], and the error

for the approximation and its derivatives was estimated [DHR].
An alternative approach to a discrete theory of conformal maps is provided by
circle patterns. Generally, a circle pattern with square-grid combinatorics is a
correspondence that assigns to any vertex of the Z
2
-lattice a circle in the complex
plane. As the collection of image circles inherits the square-grid combinatorics,
there is a natural notion of neighbors and elementary quadruples (circles assigned to
the corners of a Z
2
-square). One requires that the circles of an elementary quadruple
intersect in one point. Thus, each circle has four points of intersection with its
neighbors. The intersection points form a lattice with square-grid combinatorics on
their own.
Additional conditions are imposed to single out subclasses of more rigid patterns.
The most prominent subclass is provided by orthogonal circle patterns introduced
by Schramm [Sch], also called Schramm-patterns in the following. The additional
constraint is that neighboring circles intersect orthogonally.
2000 Mathematics Subject Classication. Primary 30G25 ; Secondary 35A10, 52C15.
Supported by the SFB 288 Dierential Geometry and Quantum Physics of the Deutsche
Forschungsgemeinschaft.
c 1997 American Mathematical Society
1
2 D. MATTHES
As a second possibility, one requires that the four points of intersection on each
circle have cross ratio minus one. In this situation, it is preferred to consider the
lattice of intersection points rather than the circles themselves. One obtains cross-
ratio-lattices or CR-mappings, which were rst investigated by Nijho et al [NQC].
Generalizing CR-mappings to immersions in three-space, a denition of discrete
isothermic surfaces was obtained by Bobenko and Pinkall [BP1].
In comparison to (especially hexagonal) packings, much less in known about the
approximation properties of circle patterns. The C
0
-convergence theorem in [Sch]
seems to be the only result in this direction so far. In this article, it is proven that
an arbitrary planar conformal map u : C C can be locally approximated
by a sequence of Schramm-patterns and CR-mappings. More precisely: intersect
the domain with a square grid of mesh size > 0, obtaining a discrete set

. A suitable circle pattern from the respective class can be dened on each

,
so that the circle centers (Schramm-pattern) or intersection points (CR-mapping)
approximate the values of u at corresponding sites with an error O(
2
). Moreover,
the convergence is in C

. This means that arbitrary partial derivatives of u are

uniformly approximated by the respective dierence quotients calculated from the
circle pattern, also with an error of order O(
2
).
The analytic background for the geometric convergence result is of interest on its
own. A discrete approximation theory for analytic Cauchy problems is developed
in this article. Its applications are not limited to geometrical questions. More-
over, a new proof of the Cauchy-Kovalevskaya theorem based on purely discrete
constructions is obtained as a by-product.
Consequently, the presented approach to circle patterns diers in nature from
Schramms where a boundary value problem was considered and techniques from
(discrete) elliptic theory played an important role. Instead, our proof combines
these two ingredients: the rst are methods which were developed for Cauchy prob-
lems associated with discrete hyperbolic equations. These have already been used to
show C

-convergence of discrete orthogonal coordinate systems [BMS]. The other

ingredient is an adaptation of fundamental ideas from the proof of the (abstract)
Cauchy-Kovalevskaya theorem [Nag],[Nir]. In particular, a discrete counterpart of
the scale of spaces of analytic functions is dened.
For deniteness, let us consider the Cauchy problem

t
u(t, x) = M
x
u(t, x) +f(u(t, x)), (1.1)
u(0, x) = u
0
(x).
The continuous solution u : C
d
is sought on R
2
, where M is a constant
d d-matrix, and f is an analytic function. For x-analytic data u
0
, there exists a
local solution to (1.1) by the Cauchy-Kovalevskaya theorem.
A variety of elliptic equations e.g., the nonlinear Poisson equation (
2
x
+
2
t
)u =
f(u) can be brought into the standard form (1.1). In the case of most interest
here, u is a conformal map. Identifying the (t, x)-plane with the complex numbers,
u(t, x) : C is holomorphic in z = x+it, and hence solves the Cauchy-Riemann-
equations, which is (1.1) with M = i and f 0.
Circle patterns are constructed which approximate u. These are characterized by
discrete functions v

on two-dimensional grids

of mesh-size > 0. The

crucial observation is that the v

solve a discrete equation similar to (1.1), where

CONVERGENCE IN DISCRETE CAUCHY PROBLEMS 3
derivatives are replaced by dierence quotients. The content of the developed ap-
proximation theory is that the discrete solutions v

converge to u in C

. Eventu-
ally, this leads to convergence of the corresponding circle patterns.
The article is organized as follows: in section 2, the theorem about discrete approxi-
mation of the Cauchy problem (1.1) is formulated. The theorem is proven in section
3. Its numerical applicability is discussed in section 4. Convergence theorems for
CR-mappings and Schramm-patterns are proven in sections 5 and 6, respectively.
Acknowledgments. The author would like to thank Alexander Bobenko and Yuri
Suris for many discussions and helpful advice. Further, the author is grateful to
Walter Craig for an entertaining introduction to the topic of abstract Cauchy-
Kovalevskaya theorems.
2. Discrete Approximation of the Cauchy Problem
As usual, a function f : D C
p
C
d
is called analytic, if it is complex dier-
entiable in its p arguments. Moreover, a function u : I

C
d
dened on the real
interval I

= [, +] is called analytic if it extends to a complex dierentiable

function on B

(I

) = x C[ dist(x, I

) for an appropriate choice of > 0.

By abuse of notation, there will be no distinction between u and and its uniquely
determined complex extension.
Consider problem (1.1) under the following assumptions: The d d-matrix M is
constant, f is an analytic function near u
0
(0), and the initial datum u
0
is analytic
on an interval I

. Solutions u = (u
(1)
, . . . , u
(d)
) : C
d
are sought on diamond-
shaped domains
= (r) = (t, x) R
2
: [x[ +[t[ r.
The Cauchy-Kovalevskaya-Theorem implies
Theorem 2.1. Problem (1.1) has a classical solution u on = (r) for a suitable
r < . This solution is x-analytic and t-smooth, i.e., of class C

.
Replace u by a function v

= (v

(1)
, . . . , v

(d)
) dened on the discrete set

(r) = (t, x) (r) : x +t Z,

which is the intersection of (r) with the 45-degree rotated standard lattice (Z)
2
of mesh size = /

2. For v

(r) C
d
, dierence quotients
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q
q a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a s s s s s s s
s s s s s s
-
x
6
t
-
v

Figure 1. A CR-mapping. Points of

(r) and

are marked
and , respectively. Initial data for v

are prescribed at the bold

marked sites.
4 D. MATTHES
(
x
v

)(t, x) =
1

_
v

(t, x +

2
) v

(t, x

2
)
_
(
t
v

)(t, x) =
1

_
v

(t +

2
, x) v

(t

2
, x)
_
,
are given on the dual lattice

(r) = (t, x) (r

2
) :

2
+x +t Z.
Higher dierence quotients
m
x

n
t
v

are dened on

m+n
(r) =
_

(r (m +n)

2
) if m +n is even,

(r (m+n)

2
) if m +n is odd.
Replace the Cauchy problem (1.1) by the discrete problem
(2.1)

t
v

(t, x) = M
x
v

(t, x) +f

(v

)(t, x) ((t, x)

)
v

(0, x) = v

0
(x) ((0, x)

)
v

2
, x) = v

+
(x) ((

2
, x)

)
For t 0, the nonlinearity f

(v

)(t, x) is of the form

f

(v

)(t, x) = F

(v

(t, x

2
), v

(t, x

2
), v

(t

2
, x)).
Theorem 2.2. Assume that u
0
is analytic on I

, that f is analytic on a neighbor-

hood D C
d
of u
0
(0) and F

is analytic on D D D C
3d
for each > 0.
Furthermore, assume that
(2.2) [F

(u
+
, u

, u

) f(
u
+
+u

2
)[ K( +[u
+
u

[)
2
holds for all u
+
, u

, u

D with K > 0 independent of .

Then there is some r < such that the solutions v

to problem (2.1) with

(2.3)
v

0
(x) = u
0
(x) ((0, x)

(r))
v

+
(x) = u
0
(x) +

2
_
M
x
u
0
(x) +f(u
0
(x))
_
((

2
, x)

(r))
are C

-convergent to a smooth function u on (r) with an error O(

2
). More
precisely, for arbitrary m, n 0, there are constants C
mn
> 0 so that
sup
(t,x)

m+n
(r)
[
m
x

n
t
u(t, x)
m
x

n
t
v

(t, x)[ C
mn

2
. (2.4)
The function u constitutes a classical solution to the Cauchy problem (1.1).
In particular, Theorem 2.2 implies the classical existence Theorem 2.1.
Example 2.3 (A Nonlinear Elliptic Problem). Rewrite the elliptic initial value
problem

2
t
(t, x) +
2
x
(t, x) = g((x, t)) (2.5)
(0, x) =
0
(x),
t
(0, x) =
+
(x) (2.6)
for the scalar function in the form of problem (1.1):
(2.7)
t
_
_
u
(1)
u
(2)
u
(3)
_
_
=
_
_
0 0 0
0 0 1
0 1 0
_
_

x
_
_
u
(1)
u
(2)
u
(3)
_
_
+
_
_
u
(3)
0
g(u
(1)
)
_
_
,
denoting u
(1)
= , u
(2)
=
x
and u
(3)
=
t
. For functions
0
,
+
analytic on
I

, the respective initial data u

0(1)
(x) =
0
(x), u
0(2)
=
x

0
(x), u
0(3)
=
+
(x) are
analytic, too. Assuming further that the nonlinearity g is analytic near
0
(0), a
solution to (2.7) exists on some = (r). The constraint
x
u
(1)
= u
(2)
propagates,
so := u
(1)
indeed solves (2.5).
CONVERGENCE IN DISCRETE CAUCHY PROBLEMS 5
In order to approximate (2.7) by a discrete problem (2.1), choose
F

(v
+
, v

, v

) =
1
2
(v
+
(3)
+v

(3)
, 0, g(v
+
(1)
) +g(v

(1)
))
as nonlinearity, independent of . The assumptions of Theorem 2.2 concerning
analyticity and boundedness of F

are obviously fullled. A Taylor expansion of g

around

V = (v
+
(1)
+v

(1)
)/2 proves the estimate (2.2):
1
2
(g(v
+
(1)
) +g(v

(1)
)) = g(

V ) +
1
2
(v
+
(1)
v

(1)
)g

V ) +O([v
+
v

[
2
),
Hence, the component v

(1)
of the discrete solutions to problem (2.1) converges to
the smooth solution on (r) with a suitable positive r < in the sense of (2.4).
3. Proof of Theorem 2.2
The proof consists of three parts: in the rst, a smooth solution u to (1.1) is
constructed as the limit of a suitable sequence of discrete solutions v

to (2.1).
Secondly, C
0
-approximation of u is shown, i.e., (2.4) for m = n = 0. Finally, an
induction argument yields (2.4) for arbitrary m, n.
The proof combines elements from discrete approximation theory for hyperbolic
PDE [BMS] with ideas from Walters proof [Wal] of the Cauchy-Kovalevskaya the-
orem, which is based on the classical papers [Nir], [Nag]. Recall the strategy of
the latter. A solution u to (1.1) is constructed such that u(t, x) is x-analytic on
the time-dependent domain B
(t)
(I
(t)
) for any t [T, +T]. The size parameters
(t), (t) decreases as [t[ increases. The motivation is that
x
is a bounded operator
between the spaces of analytic functions on B

(I

) and on B

(I

), respectively,
for any <

and

. The norm of
x
is determined by the classical Cauchy
estimate
sup
xB(I

)
[
x
u(x)[ (

)
1
sup
xB

(I

)
[u(x)[. (3.1)
Introducing suitable time-dependent norms | |
t
for u(t), an a priori estimate of
Gronwall type is derived from (3.1),
|u(t)|
t
|u
0
|
0
+
_
t
0
C(t, s)|u(s)|
s
ds. (3.2)
Eventually, (3.2) enables one to obtain the solution u as the xed point of a con-
tracting map.
Time-dependent norms for discrete functions are introduced in the following. To
prove approximation of u by v

, a discrete analogue of (3.2) is derived for the t-

norm of the dierence w

(t) := u(t) v

(t). More precisely, w

(t) at time t = n

2
is estimated in terms of w

(t

2
) and w

(t ), leading to the discrete Gronwall

estimate in (3.16). The crucial technical tool is a discrete version of the Cauchy
estimate (3.1), which is given in Lemma 3.1 below.
3.1. Notations. Let D() C denote the complex disc of radius centered at 0,
and for p > 1, D
p
() = D() D() C
p
is a p-dimensional poly-disc. Also,
recall that I

= [, +] and B

(I

) = z C [ dist(z, I

) .
The crucial quantity that determines most of the following constructions is r > 0,
the appropriate diameter of the domain (r), which has to be found. From r, one
denes
(t) = r [t[,
n
= r [n[

2
, (t) = 3r 2[t[,
n
= 3r [n[.
6 D. MATTHES
Discrete intervals containing m + 1 points are given by
I

m
=
_

m
2
, . . . , , 0, , . . . ,
m
2
if m is even

m
2
, . . . ,

2
,

2
, . . . ,
m
2
if m is odd
For a function v : I

m
C
d
, dene its dierence quotient,

2
-shift, restriction and
linear interpolation:

x
v : I

m1
C
d
, (
x
v)(x) =
1

_
v(x +

2
) v(x

2
)
_

x
v : I

m1
C
d
, (
x
v)(x) = v(x +

2
), (
1
x
v)(x) = v(x

2
)
v : I

m2
C
d
, (v)(x) = v(x)
Ev : I
2
m
C
d
, (Ev)(x) =
x x

v(x

+
) +
x

+
x

v(x

).
Here x

, x

+
I

m
are such that x

x < x

+
and x

+
= x

+ . The restriction
of a function u : (r) C
d
to the discrete domain

(r) is denoted by [u]

. For
the discrete function v :

(r) C
d
, let v
n
be its restriction to time t = n

2
, so
v
n
(x) = v(n

2
, x), which is dened on the interval I

n
where n

is the largest integer

with

2
n

n
.
In these notations, the problem (2.1) takes the convenient form (n > 0):
v

n+1
= v

n1
+
x
v

n
+f

n
(v

) (3.3)
f

n
(v

) = F

(
x
v

n
,
1
x
v

n
, v

n1
) (3.4)
where pointwise evaluation of the arguments is understood.
Without loss of generality, assume that [Mu[ [u[ for all u C
d
, and that
u
0
(0) = 0. Indeed, this can be achieved by a dilation of the t-axis and an ane
transformation of the values of u, respectively. For an appropriate choice of U > 0,
f is dened on D
d
(3U) and F

on D
3d
(3U), respectively.
3.2. Discrete norms and their properties. For > 0, dene a functional on
scalar discrete functions v : I

m
C by
|v|

=
n

k=0

k
k!
max
xI

mk
[
k
v(x)[.
For multi-component functions v = (v
(1)
, . . . , v
(p)
) : I

m
C
p
, let
|v|

= max
i=1,...,p
|v
(i)
|

.
These norms share several properties with the maximum-norm of analytic functions
over a complex domain.
Lemma 3.1. The functionals | |

provide a scale of norms on discrete functions.

For u : I

n
C
d
and 0

, one has |u|

|u|

. In addition, each | |

has
the following properties:
(1) Absolute bound: [u(x)[ |u|

for all x I

n
.
(2) Submultiplicativity: |u v|

|u|

|v|

for scalar functions u and v.

(3) Discrete Cauchy estimate: For > 0, |u|

+|
x
u|

|u|
+
.
(4) Restriction estimate: If u : I

C
d
extends analytically to B

(I

) and u

is its restriction to I

n
I

, then, provided <

,
(3.5) |u

(1 /

)
1
sup
B

(I

)
[u[
CONVERGENCE IN DISCRETE CAUCHY PROBLEMS 7
(5) Analyticity estimate: Let be given functions v

: I

n
C
d
with n

0 and |v

C for a sequence 0. Then there exists an analytic

u : I

C
d
, so that E
k
x
v
(k)
converges to
k
x
u uniformly for each k 0
and a suitable subsequence (k) 0 of . Moreover, u possesses a complex
extension to B

(I

) which is bounded by C.
This lemma is proven in the appendix.
A norm with properties (1) and (2) will be called submultiplicative norm in the
following. For an arbitrary submultiplicative norm, the following lemma holds:
Lemma 3.2. Let the analytic function f : D
p
(U) C satisfy
[f(u)[ C([u
(1)
[, . . . , [u
(p)
[)
for all u D
p
(U), with some function C 0 that is non-decreasing in each of its
arguments. Then for each > 1 and every discrete function v : I

n
C
p
with
|v|

U, the composition f(v) is well-dened on I

n
, and
(3.6) |f(v)|

C(|v
(1)
|

, . . . , |v
(p)
|

).
The constant depends on but not on the submultiplicative norm | |

.
This lemma is proven in the appendix. Two cases of particular interest are
|f(v)|

sup
D
p
(U)
[f[ (3.7)
|f(v
1
) f(v
2
)|

sup
D
p
(U)
[f

[ |v
1
v
2
|

(3.8)
which hold for all v, v
1
, v
2
with |v|

U/ and |v
1
|

, |v
2
|

U/(2), respec-
tively, with > 1 arbitrary and = ().
Estimate (3.7) follows immediately with C sup
D
p
(U)
[f[ in (3.6). To obtain (3.8),
consider the function

f(a, b) := f(a +b, a b) which is analytic in a, b D
p
(U/2),
and let C([a[, [b[) := sup
D
p
(U)
[f

[ [b[. Now let a = (v

1
+v
2
)/2 and b = (v
1
v
2
)/2.
3.3. Existence of a Continuous Solution. In the following, it will be shown
that for an appropriate r > 0 and small enough, discrete solutions v

exist on

(r), and a limiting function u can be dened on (r). In fact, r > 0 will be
dened so that the solutions v

on

(r) satisfy
|v

n
|
n
U,
n
=
n
+r = 4r n (3.9)
for all n with

2
[n[ r recall that v

n
(x) = v

(n

2
, x). Choose U > 0 suitable
and let F > 0 be an -independent bound for F

on D
3d
(3U). The basic idea is to
derive (3.9) inductively as follows:
M

n
:= |v

n+1
|
n
+|v

n
|
n
U(
1
2
+
n
2N
) (3.10)
To obtain (3.10) at n = 0, observe that the functions
u
0
and u
0
+

2
(M
x
u
0
+f(u
0
))
are analytic on a complex neighborhood of x = 0. It follows that if r and are
small enough, then the initial data (2.3) satises
|v

0
|
4r
, |v

+
|
4r

U
4
,
taking into account that u
0
(0) = 0 and using property (4) of Lemma 3.1.
8 D. MATTHES
Now suppose (3.10) holds at n 0. Then f

n
(v

) is dened on I

n
, and
M
n+1
|v

n
|
n+1
+|
x
v

n
|
n+1
. .
v

n1

n+1
+
+ |f

n
(v

)|
n+1
. .
F
+|v

n
|
n+1
M
n
+ F.
To estimate
x
v

and f

(v

), property (3) of Lemma 3.1 and inequality (3.7) were

employed, respectively.
In addition to [v

[ U, estimates on the dierence quotients follow:

[
x
v

[ max
n
(
1
n
|v

n
|
n
) U/(2r) (3.11)
[
t
v

[ [
x
v

[ +[f

(v

)[ U/r + F (3.12)
[
2
x
v

[ max
n
(2
2
n
|v

n
|
n
) U/(2r
2
). (3.13)
For each , let v

I
be the restriction of v

to points (x, t)

(r) with even time

coordinate, t = (2k)

2
. Note that v

I
is dened on a sublattice of (Z)
2
. Dene the
family v

of continuous functions obtained from x-t-linear interpolation of v

I
on
(r). By the estimates (3.11) and (3.12), this family is equicontinuous. Hence, the
Arzela-Ascoli theorem applies: there is a sequence

0 such that v

I
converges
to a smooth limit u
I
uniformly on (r). Moreover, by (3.13), it is possible to
choose the sequence

such that also

x
v

I
converges uniformly to
x
u
I
(cf. the
proof of property (5) in Lemma 3.1). The same procedure is applicable to v

II
, the
restriction to the odd time values t = (2k + 1)

2
; choose a subsequence

of

such that v

II
u
II
and
x
v

II

x
u
II
. Also, f

n
( v

I
) with even n converges to
f(u
I
) uniformly as can be deduced from the estimate (2.2) and respectively for
n odd, f

n
( v

II
) f(u
II
).
Since v

solves (3.3), it follows for all (t, x), (t

, x) (r),
v

I
(t

, x) = v

I
(t, x) +
_
t

t
(
x
v

II
(s, x) +f

(v

II
)(s, x)) ds +O(

).
Passing to the uniform limit as

0:
u
I
(t

, x) = u
I
(t, x) +
_
t

t
(
x
u
II
(s, x) +f(u
II
)(s, x)) ds.
The roles of u
I
and u
II
can be interchanged. Consequently, both functions are
dierentiable in time and satisfy

t
_
u
I
u
II
_
=
_
0 M
M 0
_

x
_
u
I
u
II
_
+
_
f(u
II
)
f(u
I
)
_
. (3.14)
By property (5) of Lemma 3.1, the estimates |v

n
|
n
U imply for xed t [r, r]
that u
I/II
(t, x) extend x-analytically to B
r+(t)
(I
(t)
), where they are bounded by
U. And since u
I/II
solve the equation (3.14), their analytic continuations do as well.
So u
I
and u
II
are smooth with respect to t, as any t-derivative can be expressed in
terms of x-derivatives and compositions with the analytic function f.
The pair (u
I
, u
II
) is the only solution to (3.14) of that smoothness. This is seen
as follows: In the proof of estimate (2.4) below, u could be any x-analytic and
t-smooth solution to the problem (1.1); no reference to the above construction is
made. In particular, estimate (2.4) applies to (u
I
, u
II
) in place of u and the system
(3.14) in place of equation (1.1), respectively. But only one smooth function can
satisfy (2.4) for all > 0.
CONVERGENCE IN DISCRETE CAUCHY PROBLEMS 9
For symmetry reasons, the unique solution (u
I
, u
II
) to (3.14) with initial conditions
u
I
(0, x) = u
II
(0, x) = u
0
(x) satises u
I
= u
II
=: u on (r). Hence, u solves (1.1)
with u(0, x) = u
0
(x) for x I
r
.
3.4. Approximation in C
0
. For shortness, let u

= [u]

be the restriction of the

smooth solution, and let w

= v

denote the deviation of v

from u. The idea

of the proof is to calculate -independent bounds on the expression
L
n
:= |w

n+1
|
n
+|w

n
|
n
(3.15)
which is dened for

2
[n[ r. Again, only n 0 is considered here, and the
treatment of n 0 is left to the reader. It will be shown that
(3.16) L
n
(1 +B

)L
n1
+C

3
and L
0
D

2
,
leading by the standard Gronwall estimate to
(3.17) L
n
(C

+D

)e
rB

2
which implies (2.4) for m 0 and n = 0.
To prove the estimate (3.16) at an instant of time t = n with n 1, express w

n+1
in terms of u

and v

at previous time steps:

L
n+1
|w

n1
+
x
w

n
|
n
+|w

n
|
n
(A)
+|f

n
(v

) f

n
(u

)|
n
(B)
+|(M
x
u

n
+f

n
(u

)) (
t
u

)
n
|
n
(C)
The three resulting expressions (A)-(C) as well as the initial conditions
L
0
= |w

0
|
0
+|w

1
|
0
(IC)
are estimated separately in the following.
(A) By property (3), and observing that
n
+ =
n1
,
(A) |w

n
|
n
+|
x
w

n
|
n
+|w

n1
|
n
|w

n
|
n+
+|w

n1
|
n
L
n1
.
(B) With the help of estimate (3.5), one concludes
|f

(v

) f

(u

)|
n
|F

(
x
v

n
,
1
x
v

n
, v

n1
) F

(
x
u

n
,
1
x
u

n
, u

n1
)|
n
sup [DF

[ max(|v

n
u

n
|
n
, |v

n1
u

n1
|
n
)
B

L
n1
.
The constant B

formally depends on via sup

D
3d
(U)
[DF

[. But the analytic

function F

is uniformly bounded on D
p
(U) independently of because of (2.2),
and so are its derivatives. Hence (B) B

L
n1
.
(C) Dene the functions
A

x
(t, x) =
x
u(t, x)
1

(u(t, x +

2
) u(t, x

2
)) (3.18)
A

t
(t, x) =
t
u(t, x)
1

(u(t +

2
, x) u(t

2
, x)) (3.19)
A

f
(t, x) = f(u(x, t)) F

(u(t, x +

2
), u(t, x

2
), u(x

2
, t)). (3.20)
10 D. MATTHES
For t [r, +r], all three functions possess an analytic extension for x B
(t)+r
(I
(t)
).
As u is smooth, one trivially has
[A

x
(x, t)[ C
x

2
and [A

t
(x, t)[ C
t

2
. (3.21)
Furthermore, because of estimate (2.2)
[A

f
(x, t)[ K( +[u(t, x +

2
) u(t, x

2
)[)
2
+sup[Df[

(u(t, x +

2
) +u(t, x

2
))/2 u(t, x)

C
f

2
.
Subtracting 0 = M
x
u + f(u)
t
u from the expression for (C),
(C) = |M
x
[u]

n
+f

n
([u]

)
t
[u]

n
[M
x
u +f(u)
t
u]

n
|
n
|
x
[u]

n
[
x
u]

n
|
n
+|
t
[u]

n
[
t
u]

n
|
n
+|f

n
([u]

) [f(u)]

n
|
n
|[A

x
]

n
|
n
+|[A

t
]

n
|
n
+ |[A

f
]

n
|
n
(C
x
+C
t
+C
f
)
2
= C

2
.
For the conclusive estimate, property (4) of Lemma 3.1 has been used.
(IC) Obviously, w

0
= 0 by (2.3). And v

1
= v

+
is the restriction of u

+
:= u
0
+

t
u
0
,
which is an x-analytic function on B
4r
(I
r

2
) and satises
[u

+
(x) u(

2
, x)[

2
8
sup
0<s</2
[
2
t
u(s, x)[.
Exploiting the estimate (3.5) yields
L
0
|w

1
|
r
D

2
.
3.5. Proof of Smooth Approximation. Since u is smooth on (r), derivatives
and dierence quotients may be interchanged at the cost of O(
2
):
sup

m+n
(r)
[
m
x

n
t
u
m
x

n
t
[u]

[ C
(1)
mn

2
.
This is a consequence of the more general formula (5.19) given in Lemma 5.5 in
section 5. Hence, to prove (2.4) for given m, n, it suces to show that
[
m
x

n
t
w

(x, t)[ C
(2)
mn

2
. (3.22)
Submultiplicative norms for functions v :

(r) R
d
are given by
|v|
(N)

nN
m=1,2,...

m+n
m!n!
sup
(x,t)

m+n
(r)
[
m
x

n
t
v(x, t)[.
Dene positive numbers
N
=
0
/(N +1), where
0
< r is suitably chosen later. It
is inductively shown that
|w

|
(N)
N
C
(3)
N

2
(3.23)
with appropriate constants C
(3)
N
. Obviously, (3.23) implies (3.22) with the choice
C
(2)
mn
= C
(3)
n
m!n!
(m+n)
n
.
Firstly, some properties of the norms are summarized. In contrast to the previously
considered norms | |

, which are dened for restrictions of v to intervals I

n
, the
| |
(N)

above involve the whole time-dependent function v at once. Apart from

that, each | |
(N)

constitutes a submultiplicative norm, so Lemma 3.2 applies, and

(3.7), (3.8) hold. Also, the discrete Cauchy estimate (property (3) of Lemma 3.1)
CONVERGENCE IN DISCRETE CAUCHY PROBLEMS 11
carries over. Furthermore, the restriction estimate (property (4)) reads as follows:
If u is a smooth function such that u(t) is x-analytic on B

(I) for all t [r, +r],

and 0 < < , then
|[ u]

|
(N)

max
nN
sup
|t|r
sup
xD(I)
[
n
t
u(t, x)[, (3.24)
where depends on the ratio / only.
For N = 0, inequality (3.23) follows from the previous discussion,
|w

|
(0)
0
max
n
|w

n
|
n
= O(
2
)
because
0
< r
n
. Now assume (3.23) for N 0. By denition of | |
(N)

, and
since v

solves the discrete equation (2.1),

|w

|
(N+1)
N+1
|w

|
(N)
N+1
+
N+1
N+1
|
t
w

|
(N)
N+1
|w

|
(N)
N+1
+
N+1
N+1
|
x
w

|
(N)
N+1
+
0
N
2
|f

(u

) f

(v

)|
(N)
N
+
0
N
2
|

|
(N)
N
The Cauchy estimate is applied to the the sum of the rst two terms, and inequality
(3.8) to the third term. The norm of

= M
x
[u]

+f

([u]

)
t
[u]

= [A

x
]

+ [A

t
]

+ [A

f
]

with A

x
, A

t
and A

f
dened as in (3.18)(3.20), is estimated using (3.24),
|

|
(N)
N
max
nN
sup
x,t
([
n
t
A

x
[ +[
n
t
A

t
[ +[
n
t
A

f
[) C
(4)
N

2
.
In conclusion,
|w

|
(N+1)
N+1
|w

|
(N)
N
+
0
N
2
sup [Df[ |w

|
(N)
N
+
0
N
2
C
(4)
N

2

_
(1 +
0
N
2
sup [Df[)C
(3)
N
+C
(4)
N
_

2
. (3.25)
As inequality (3.8) has been applied to estimate f

(u

) f

(v

), it needs to be
checked that |u

|
(N)
N
, |v

|
(N)
N
U. To verify the bound for v

, formally estimate
along the same lines as above
|v

|
(N+1)
N+1
|v

|
(N)
N+1
+
N+1
N+1
|
x
v

|
(N)
N+1
+
0
N
2
|f

(v

)|
(N)
N+1
|v

|
(N)
N
+
0
N
2
F |v

|
(0)
0
+
0
F

nN
1/n
2
.
For simplicity, assume that |v

|
(0)
0
<
1
2
U, possibly after diminishing r. As the sum

n=0
1/n
2
is nite, it can be achieved that |v

|
(N)
N
<
3
4
U for all N 0 by choosing

0
small enough. For <
N
so small that Q
N

2
< U/4,
|u

|
(N)
N
|v

|
(N)
N
+|w

|
(N)
N
U.
This justies estimate (3.25) and nishes the proof.
4. A Remark on Numerical Applicability
The iteration (3.3) solving the discrete problem (2.1) is tailored to numerical im-
plementation. Assume, the values of v

n1
and v

n
are known. Then:
v

n+1
(x) = v

n1
(x) +M(v

n
(x +

2
) v

n
(x

2
)) +f

n
(v

)(x). (4.1)
12 D. MATTHES
To investigate the eect of round-o errors, consider the perturbed quantity v

solving the modied equation

v

n
(x) = v

n+2
(x) +M( v

n+1
(x +

2
) v

n+1
(x

2
)) +f

n
( v)(x) +
n
(x).
Usually, only an absolute bound on the round-o error is known, [
n
(x)[ 10
q
.
One should think of q as the number of precise digits, which is xed a priori. To
estimate the deviation of v

from u, modify inequality (3.16) in the obvious way:

L
n
(1 +B

L
n+1
+C

3
+E

,
where E

bounds the error introduced by . In the worst case, some component of

takes values +10
q
and 10
q
interchangingly, so that
E

= |
n
|
n
10
q
exp(r/). (4.2)
As before, r is the diameter of the domain . The relation (4.2) predicts instability
of the discrete equation (4.1). A ner mesh size does not necessarily correspond
to a better approximation. One expects that there is an
0
> 0 depending on the
initial data u
0
and radius r > 0 such that the approximation error
decays like
2
for
0
,
grows dramatically like e
1/
for 0 and <
0
.
From (4.2) it is suggested that
0
r/q. The pictures in the following sections
were calculated with r 1, 0.1 and q 10.
5. Cross-Ratio-Equation
The cross-ratio of four mutually distinct complex numbers q
1
, . . . , q
4
C is
CR(q
1
, q
2
, q
3
, q
4
) =
(q
1
q
2
)(q
3
q
4
)
(q
2
q
3
)(q
4
q
1
)
.
Consider (R) as a subset of C, i.e, identify each point (t, x) (R) with the
complex number z = x +it C.
Denition 5.1 ([NQC]). A CR-mapping is a lattice-function

(R) C such
that for all z

(R) C
(5.1) CR
_

(z

+

2
),

(z

+i

2
),

(z

2
),

(z

2
)
_
= 1.
CR-mappings are suitable discrete analogues of holomorphic functions in the sense
that any holomorphic function can be locally approximated.
Theorem 5.2. Assume : (R) C is a holomorphic function with

(0) ,= 0.
Then there are positive constants r < R and C
mn
, so that for each > 0, a CR-
mapping

is dened on

(r) and approximates in C

:
sup
z

m+n
(r)
[
m
x

n
t

(z)
m
x

n
t
(z)[ C
mn

2
. (5.2)
Proof: As a rst step, an equation of type (2.1) is derived for an arbitrary CR-
mapping

(R) C. Denote by T

the shift operators

(T
+
h)(z) = h(z +

2
(i + 1)), (T

h)(z) = h(z +

2
(i 1)).
The edges

= (T
+

)/,

= (T

)/ (5.3)
CONVERGENCE IN DISCRETE CAUCHY PROBLEMS 13
Figure 2. An Airy function is approximated by a CRmapping.
naturally satisfy the closure condition

+ T
+

+ T

. (5.4)
Let further the function Q

be given as the quotient

(5.5) Q

.
In terms of these variables, the cross-ratio-equation (5.1) implies T
+
= (Q

)
1
T

,
and the following two formulas are obtained:
T

=
1 Q

1 +Q

, T
+

=
1 Q

1 +Q

T
+
Q

. (5.6)
Their compatibility condition T
+
(T

) = T

(T
+

) provides a discrete analogue

of the Cauchy-Riemann equation:
Q

(z +i

2
)
Q

(z i

2
)
=
1 +Q

(z +

2
)
1 Q

(z +

2
)

1 Q

(z

2
)
1 +Q

(z

2
)
for all z

(R). (5.7)
Now introduce v

(R) C by
(5.8) i exp(v

(z)) = Q

(z i

2
).
Expressing the relation (5.7) in terms of v

, one obtains

t
v

= i
x
v

+F

(v

) (5.9)
which is in the form of the discrete equation (2.1) with M = i and
F

(v
+
, v

, v

) =
1

2
(g(v
+
) g(v

)) (5.10)
g(V ) = log
_
i exp(V )
1 +i exp(V )
1 i exp(V )
_
. (5.11)
Note that v

is dened on

(R) instead of

(R). Except for a minor mix-up of

notations, this does obviously not aect any of the results.
Lemma 5.3. For any solution v

(r) C to (5.9), there exists a corresponding

CR-mapping

(r) C. It is uniquely determined by v

up to Euclidean
motions and a homothety.
14 D. MATTHES
Proof of Lemma 5.3. Let z be the bottom of

(r), i.e., z = ir

(r) with
r

2
< r

r. Assign

( z) an arbitrary, non-zero number A

C. Equation
(5.8) denes Q

from v

, and (5.6) denes

on

(r). Consistency is provided,

i.e. T
+
(T

) = T

(T
+

), because Q

solves (5.7). Let

= Q

. Assign
an arbitrary number

C to

( z), then dene

on

(r) according to (5.3).

Compatibility (5.4) is guaranteed because

solves (5.6). To verify that

is indeed
a CR-mapping, combine equations (5.6) and (5.4). Variations of A

correspond to
rigid rotations and dilations of the whole lattice

, variations of

to translations.

Proof of Theorem 5.2, continued: The continuous counterpart of v

is
(5.12) u(z) =
1
2

(z)

(z)
,
which is dened on some (R) with R > 0 small enough (since

(0) ,= 0 by
hypothesis). To justify this ansatz, dene
a

= (T
+
)/, b

= (T

)/ (5.13)
as analogues of

and

, respectively. By Taylor expansion, one nds

b

(z) = i exp(u(z +i

2
))a

(z) +O(
2
) (5.14)
T

(z) =
1 i exp(u(z +i

2
))
1 +i exp(u(z +i

2
))
i exp(u(z +i

2
))a

(z) +O(
2
), (5.15)
corresponding to (5.5) and (5.6), respectively. The Cauchy-Riemann equation for
u,
(5.16)
t
u = i
x
u,
corresponds to M = i and f 0 in problem (1.1). Since g(0) = g

(0) = g

(0) = 0
by (5.11), one easily veries [F

(v
+
, v

, v

)[ K[v
+
v

[, so the function F

in
(5.10) satises the estimate (2.2). Let v

be the solution to (5.9) with initial data

(2.3) obtained from the function u in (5.12). Theorem 2.2 yields approximation of
u by v

, according to estimate (2.4).

By Lemma 5.3, v

corresponds to a CR-mapping

. Fix

by choosing

( z) =
( z) and

( z) = (T
+
( z) ( z))/. It remains to be shown that approximation of
u by v

implies approximation of by

. Smooth approximation is again proven

with the help of suitable norms, which are in this case
|w

|
(N)
=

m+nN
1
m!n!
max
z

m+n
(r)
[
m
x

n
t
w

(z)[. (5.17)
This norm is submultiplicative, so Lemma 3.2 applies. The other essential ingredi-
ent is
Lemma 5.4. For v :

(r) C
d
, and N 0, one has
|v|
(N+1)
C
r
([v(z
1
)[ +[v(z
2
)[ +|
x
v|
(N)
+|
t
v|
(N)
), (5.18)
where z
1
, z
2

(r) are arbitrary points with 0 < [z

1
z
2
[ < .
Proof of Lemma 5.4. From the denition, it is clear that
|v|
(N+1)
max
z

(r)
[v(z)[ +|
x
v|
(N)
+|
t
v|
(N)
.
CONVERGENCE IN DISCRETE CAUCHY PROBLEMS 15
Write z
1
= (t
1
, x
1
), z
2
= (t
2
, x
2
) and let z = (t, x)

(r) be arbitrary. There

exist integers P and Q with t = t
i
+P and x = x
i
+ Q for either i = 1 or i = 2.
Naturally, [P[ +[Q[ 2r. Thus
[v(z)[ [v(z
i
)[ +
P

p=1
[
x
v(z
i
+p

2
)[ +
Q

q=1
[
t
v(z iq +i

2
)[
[v(z
i
)[ + 2r(|
x
v|
(N)
+|
t
v|
(N)
).
So (5.18) holds with C
r
= 1 + 2r.
Proof of Theorem 5.2, continued: At this point, it is sensible to introduce the
notion u

= O

(
p
) for a family of smooth functions u

: (r) C
d
, meaning that
| u

|
C
N
()
< C
N

p
for all N 0, with suitable constants C
N
> 0.
Lemma 5.5. Let u : (r) C
d
be an arbitrary smooth function. For natural
numbers m, n, one has
(5.19) [
m
x

n
t
u]

=
m
x

n
t
[ u]

+O

(
2
).
Moreover, for
x
,
t
R, dene u

(x, t) = u(x
x
, t
t
). Then
u

+
+ u

= 2 u +O

(
2
), (5.20)
u

+
u

= 2(
x

x
u +
t

t
u) +O

(
3
). (5.21)
The identity (5.19) is proven in the appendix. The derivation of the properties
(5.20), (5.21) is analogous.
It is clear from Theorem 2.2 and Lemma 5.5 that |[u]

|
(N)
= O(
2
) for arbitrary
N. It is now shown that this implies
|

|
(N)
= O(
2
). (5.22)
Introduce the functions g

, G

by
(5.23) (z) = exp(g

(z))( z), a(z) = exp(G

(z))a( z).
Combining the formulas in (5.6) yields the simple relation

= T
1

(T
+

) =
1
(
x
Q

)(T
1

, so
x
g

= (T
+
v

+v

).
Adopting the notion O

(
2
), and using the rules (5.20) and (5.21),

x
G

(z) =
T
+

T
+

(z) =

(z +
1+i
2

2
) +O

(
2
)
= 2u(z +
1+i
2

2
) +O

(
2
) = (T
+
u +u)(z) +O

(
2
).
Similar identities are derived for
t
g

and
t
G

, so that
|
x
(g

)|
(N)
+|
t
(g

)|
(N)
4|[u]

|
(N)
+O(
2
) = O(
2
).
As

( z) = a

( z) by construction, the asymptotic estimates (5.14), (5.15) yield

T

( z) = T

( z) + O(
2
). Hence also g

( z) = G

( z) = 0 and T

( z) =
T

( z) +O(
2
). Lemma 5.4 gives
|G

|
(N)
C
N
|[u]

|
(N)
.
By means of the composition estimate (3.8),
|

|
(N)
| exp(g

) exp(G

)|
(N)
[( z)[ = O(
2
),
16 D. MATTHES
and this implies (5.22). An analogous argument gives the respective approximation
of b

by

.
In the second step,

and are reconstructed from

and a

, b

, respectively.
By denition of these quantities,

(z) =

(z

2
)

(z +

2
),
x
[]

(z) = a

(z

2
) b

(z +

2
),

(z) =

(z i

2
) +

(z +

2
),
t
[]

(z) = a

(z i

2
) +b

(z +

2
).
By construction of

, one has

( z) = ( z), and also T

+

( z) = T
+
( z) + O(
2
)
because

( z) = a

( z) + O(
2
). Applying Lemma 5.4 to []

and

gives |[]

|
(N)
= O(
2
) and thus the desired nal result (5.2).
6. Schramms Orthogonal Patterns
In [Sch], Schramm-patterns (or orthogonal circle patterns) are proposed as discrete
analogues of conformal maps. A Schramm-pattern C

assigns to each vertex (x, t)

(Z)
2
a circle C

(x, t) in R
2
C. The dening condition is that circles
belonging to neighboring vertices intersect orthogonally, and circles assigned to
opposite corners of an (Z)
2
-square are tangent. So C

(x, t) and C

(x

, t

) intersect
orthogonally and are tangent, respectively, if [x x

[ +[t t

[ = and if [x x

[ =
[t t

[ = . For the formal denition, refer to the original article.

The theory developed here allows for an easy proof of local C

-approximation of
conformal maps. The obtained local result diers in nature from the C
0
-convergence
theorem presented in [Sch], which deals with global boundary value problems.
For notational simplicity, the domain for an orthogonal circle pattern C

is

(r) =

(r) (Z)
2
,
containing half of the grid points of

(r). In obvious analogy to

k
(r), the sets

mn
(r)

m+n
(r) are introduced so that the central dierence quotient
m
x

n
t

of a function

on

(r) is naturally evaluated on

mn
(r). Note that

mn
and

nm
do not coincide in general.
Figure 3. An Airy function is approximated by a Schramm-pattern.
By the results in [Sch], a pattern C

is up to rigid motions determined by its

radius function

, which assigns to each point (t, x) (Z)

2
the radius of the circle
C

(t, x).
CONVERGENCE IN DISCRETE CAUCHY PROBLEMS 17
Theorem 6.1. Given a conformal map : (R) C with
x
(0) ,= 0, there is
a positive r < R, and there exists a family of orthogonal circle patterns C

dened
on

(r) for all > 0 small enough, whose radii functions

are convergent to the

metric factor = [
x
[ of in C

,
sup
(x,t)

mn
(r)
[
m
x

n
t

(x, t)
m
x

n
t
(x, t)[ C
mn

2
. (6.1)
Proof. The function log is harmonic, i.e., satises Laplaces equation

2
x
(log ) +
2
t
(log ) = 0. (6.2)
In terms of u
(1)
=
x
(log ) and u
(2)
=
t
(log ), harmonicity reads

t
_
u
(1)
u
(2)
_
=
_
0 1
1 0
_

x
_
u
(1)
u
(2)
_
. (6.3)
For the radius function

of a Schramm-pattern, an exponential Laplace equation

has been derived in [Sch]. In our notations,
(6.4)
(
2
x

)(
2
t

)(
2
x

)(
2
t

)
(

)
2
=
(
2
x

) + (
2
t

) + (
2
x

) + (
2
t

)
(
2
x

)
1
+ (
2
t

)
1
+ (
2
x

)
1
+ (
2
t

)
1
.
Recall that
x
and
t
denote the

2
-shift in the x- and t-direction, respectively, so
that
2
x
and
2
t
are shifts by . Equation (6.4) is satised by a positive function

(r) R
+
if and only if it is the radius function of a Schramm-pattern.
Introduce functions v

(1)
, v

(2)
by
exp(v

(1)
) = (
x

)/(
1
x

), exp(v

(2)
) = (
t

)/(
1
t

). (6.5)
Since

is given on

(r), v

(1)
and v

(2)
are a priori dened on dierent subsets of

(r). However, the domains of the dierence quotients

t
v

(1)
and
x
v

(2)
coincide,
and the same is true for
x
v

(1)
and
t
v

(2)
. Equation (6.4) and the compatibility
condition
x
v

(2)
=
t
v

(1)
imply formally

t
_
v

(1)
v

(2)
_
=
_
0 1
1 0
_

x
_
v

(1)
v

(2)
_
+
_
0
G

_
, (6.6)
with G

=
1

2
log(H

/H

)
H

(v
+
, v

, v

) = e
v
+
(1)
+e
v

(1)
+e
v

(2)
e
(v
+
(1)
v

(1)
v

(2)
)
.
Suppose v

(r) R
2
is a solution to (6.6), then the equations (6.5) are com-
patible. From the components v

(1)
and v

(2)
, a solution

(r) R
+
to (6.5)
can be constructed and is uniquely determined up to a global scalar factor. (Note
that v

(1)
and v

(2)
are dened at more points than needed to calculate

. Actually,
any solution v

to (6.6) corresponds to two independent Schramm-pattern.)

sat-
ises the exponential Laplace equation (6.4), hence is the radius function of some
Schramm-pattern C

on

(r).
H is an analytic function with respect to v
+
, v

, v

and . Keeping the values of

the vs xed, a simple calculation shows that
_
d
d
_
k

=0
log(H

/H

) =
_
0 for k = 0, 1, 2
(v
+
(1)
v

(1)
) h(v) for k = 3
,
18 D. MATTHES
where h is some analytic expression of the vs. Hence [G

[ K[v
+
v

[, implying
the estimate (2.2) for F. Now let v

be the solution to (6.6) with the restrictions

of u as initial data in (2.3). Theorem 2.2 applies and yields convergence of v

to u
on a suitable (r).
Make the respective solution

of (6.5) unique by choosing

(0, 0) = (0, 0).

From estimates completely analogous to those used in the proof of Theorem 5.2
(reconstruction of

from v

) one obtains C

-convergence of

to .
The radius function

(r) R
+
is accompanied by a function

(r) C,
such that C

(x, t) is the circle of radius

(x, t) > 0 around the center

(x, t) C.
Theorem 6.2. Under the hypotheses of Theorem 6.1 and for every > 0 small
enough, there exists a Schramm-pattern C

on

(r), such that the circle centers

converge to the conformal map in C

:
sup
(x,t)

mn
(r)
[
m
x

n
t

(x, t)
m
x

n
t
(x, t)[ C
mn

2
. (6.7)
Proof. As pointed out before, the radius function alone determines the pattern C

and hence

up to a rigid motion. Formulas for the reconstruction of and

from and

, respectively, are now derived.

Introduce the real-valued function on (R) by
(6.8)

= exp(i),
where

(x, t) :=
x
(x, t) is holomorphic with respect to the complex variable
z = x +it. The Cauchy-Riemann equations for

read

x
=
t
log = u
(2)
(6.9)

t
=
x
log = u
(1)
, (6.10)
with u dened as before, u
(1)
=
x
(log ), u
(2)
=
t
(log ).
Analogous quantities and relations are now given for an arbitrary Schramm-pattern
C

. Dene the real functions

and d

on

1,0
(r) by

= d

exp(i

), (6.11)
with d

(x, t) denoting the euclidian distance between the circle centers

(x+

2
, t)
and

(x +

2
, t), and

(x, t) the slope of their connecting line to the x-axis.

In Fig. 4, two pieces of a Schramm-pattern are displayed. From the left sketch, it
is clear that
(
++

0+
,
+0

00
) = (,
0+
,
++
) (
00
,
+0
, )
= arctan
_

++

0+
_
arctan
_

00

+0
_
.
Introducing v

by the formulas (6.5),

= g

(
t
v

(1)
,
1
t
v

(1)
) (6.12)
g

(v
+
, v

) =
1

_
arctanexp(v
+
) arctanexp(v

)
_
.
From the sketch on the right, it follows that
(
+0

00
,
00

0
) = (
4
,
00
,
3
) (
1
,
00
,
2
)
= arctan
_

00
_
arctan
_

0+

00
_
.
CONVERGENCE IN DISCRETE CAUCHY PROBLEMS 19

oo

+o

o+

++

oo

o

+o

o+

3

4
Figure 4. Relations between centers of adjacent circles.
Expressed in terms of

and v

, this yields:

= g

(
t
v

(2)
,
1
t
v

(2)
). (6.13)
With formulas (6.12), (6.13) at hand, the argument of the proof for Theorem 6.1 is
continued. Let

(r) R
+
be the radius function approximating the conformal
factor of , and v

the corresponding quantity approximating u. Further, let

be
the function of center positions of the unique Schramm-pattern determined by the
radius function

2, which also satises the side conditions

(0) = (0)
and

(0,

2
) = (0,

2
).
The same norms (5.17) are used as in the proof of Theorem 5.2. To prove C

-
convergence of

to , observe that each g

is analytic and satises

[g

(v
+
, v

) (v
+
+v

)/2[ K( +[v
+
v

[)
2
.
Restating (6.10) in the form (recall the notion O

(
2
) from section 5)

t
[w]

(x, t) =
1
2
(u(x, t +

2
) +u(x, t

2
)) +O

(
2
),
one obtains, using Lemma 3.2,
|
t
([w]

)|
(N)
|g

(
t
v

,
1
t
v

)
1
2
(
t
v

,
1
t
v

)| +|O

(
2
)|
(N)
K( +|
t
v

|
(N)
)
2
+|[u]

|
(N)
+O(
2
).
Similarly, |
x
([]

)|
(N)
= O(
2
). Now Lemma 5.4 gives |[]

|
(N)
= O(
2
).
Completely analogous estimates hold for the approximation of and

dened by

t
= exp(i ) (6.14)

=

d

exp(i

). (6.15)
Equations (6.12),(6.13) change in the obvious way, and the choice

2
, 0) = (

2
, 0)
implies that

(0,

2
) = /2 + (0,

2
) + O(
2
). Another application of Lemma 5.4
yields |

[]

|
(N)
= O(
2
) and |

[ ]

|
(N)
= O(
2
).
Since the distance between the centers of two orthogonally intersecting circles with
radii
1
and
2
is
d =
_

2
1
+
2
2
=
1
_
1 + (
2
/
1
)
2
,
20 D. MATTHES
the quantities d

and

d

are given by
d

=
_
1+exp(2v

(1)
)
2
(
1
x

),

d

=
_
1+exp(2v

(2)
)
2
(
1
t

). (6.16)
Now observe that
1
=
_

2
=
_

1
x

2
+x
2
2
+O

(
2
) =
_
1+(x/
1
x
)
2
2
(
1
x
) +O

(
2
)
=
_
1+exp(2u
(1)
)
2
(
1
x
) +O

(
2
).
Hence, with Lemma 3.2 it follows
|
x
(

[]

)|
(N)
C
N
(|

[]

|
(N)
+|

[]

|
(N)
) +O(
2
),
|
t
(

[]

)|
(N)
C
N
(|

[]

|
(N)
+|

[ ]

|
(N)
) +O(
2
).
An application of Lemma 5.4 nishes the argument.
7. Appendix
Proof of Lemma 3.1. As a nite sum of norms, | |

is seen to constitute a norm

itself. The absolute bound is trivial.
Submultiplicativity: For two functions u, v : I

n
C,
|uv|

=
n

k=0

k
k!
sup
xI

nk
[
k
x
(uv)(x)[

kn

k
k!
k

=0
_
k

_
sup
xI

n
[

x
u(x)[ sup
yI

nk+
[
k
x
v(y)[

=0
n

m=0

+m
! m!
sup
xI

n
[

x
u(x)[ sup
yI

nm
[
m
x
v(y)[
|u|

|v|

.
Discrete Cauchy estimate: For u : I

n
C
d
,
|u|

+|
x
u|

=
n

k=0

k
k!
max
xI

nk
[
k
x
u(x)[ +
n1

k=0

k
k!
max
xI

nk1
[
k+1
x
u(x)[

k=0

k
k!
(1 +
k

) max
xI

nk
[
k
x
u(x)[

n+1

k=0
( +)
k
k!
max
xI

nk
[
k
x
u(x)[ = |u|
+
because for k = 0, 1, . . ., one has 1 +k/ (1 +/)
k
.
Restriction estimate: With the classical Cauchy estimate
sup
xI
[
k
x
u(x)[ k!(1/

)
k
sup
xB

(I)
[u(x)[
1
The reason formulas (6.16) are employed instead of the symmetric representation d =
q

2
1
+
2
2
is that the former is an analytic expression in , u on some D(U) with arbitrarily
large U as 0, whereas the latter has a singularity at
1
=
2
= 0.
CONVERGENCE IN DISCRETE CAUCHY PROBLEMS 21
it follows that
|[u]

=
n

k=0

k
k!
sup
xI

nk
[
k
x
[u]

(x)[
n

k=0

k
k!
sup
xI
[
k
x
u(x)[

_
n

k=0
(/

)
k
_
sup
xB

(I)
[u(x)[.
Analyticity estimate: For simplicity, assume that all n

are odd. |v

C implies
[
s
v

(x)[ Cs!
s
for all x I

n
and all s n

. Hence, for xed s 0 and

small enough, the sequence of interpolated functions E
s
x
v

is equicontinuous.
At s = 0, the Arzela-Ascoli theorem yields a subsequence (0) 0 of so that
Ev
(0)
converges uniformly to a continuous function u. From here, proceed in-
ductively: Assume that E
s
x
v
(s)
converges uniformly to
s
x
u. Apply the Arzela-
Ascoli theorem at s +1 to obtain an innite subsequence (s +1) of (s) for which
E
s+1
x
v
(s+1)
converges uniformly to some u
(s+1)
. To show that u
(s+1)
is indeed
the s + 1-st derivative of u, consider the identity
(
s
x
u
(s+1)
)(x) = (
s
x
u
(s+1)
)(0) +

0j<J
(
s+1
x
u
(s+1)
)(

2
+j)
with arbitrary x = J I

s
. This implies for the interpolated functions
(E
s
x
u
(s+1)
)(x) = (E
s
x
u
(s+1)
)(0) +
_
x
0
(E
s+1
x
u
(s+1)
)(z) dz +O(

)
at arbitrary x I. Pass to the limit

0 on both sides. u
(s+1)
is seen to be the
x-derivative of
s
x
u, so u C
s
(I). From the theorem on dominated convergence, it
follows for x I

s=0

s
s!
[
s
x
u(x)[ C.
So u possesses a convergent Taylor expansion around all x I, with convergence
radius , and the analytic extension is bounded by C.
Proof of Lemma 3.2. As [u
(i)
()[ |u|

< U/ by hypothesis and property (1),

the composition g(u) is a well-dened function on the respective I

n
. The estimate
(3.6) is derived as follows: Since g : D
p
(U) C
d
is analytic, it has a power series
representation
g(u) =

N
p
0

g(0)
!
u

, u

p
j=1
u
j
j
, (7.1)
where = (
1
, . . . ,
p
) denotes a multi-index. For the coecients in (7.1), the
Cauchy integral representation yields
[

g(0)[
!
=
1
(2)
p

_
|1|=m1
d
1

_
|p|=mp
d
p
g(
1
, . . . ,
p
)

1+1
1

p+1
p

F(m
1
, . . . , m
p
)
m
1
1
m
p
p
,
22 D. MATTHES
the m
i
being arbitrary numbers with 0 < m
i
< U. Choosing m
i
= |u
(i)
|

, it
follows from submultiplicativity and the basic norm properties of | |

that
|g(u)|

g(0)
!

|u

F(m
1
, . . . , m
p
)

_
_
u
(1)

m1
_
1

_
u
(p)

mp
_
p
_

||
F(|u
(1)
|

, . . . , |u
(p)
|

).
This proves the claim and also shows that := (1 1/)
p
is independent of the
norm | |

.
Proof of Lemma 5.5. One starts with the representation

m
x

n
t
[u]

(x, t) =
1

m+n
_
[

2
,+

2
]
m
d
m

_
[

2
,+

2
]
n
d
n

m
x

n
t
u(x +

, t + )
of arbitrary partial dierence quotients, where = (
1
, . . . ,
m
) = (
1
, . . . ,
n
) and
the notations

=

m
i=1

i
and =

n
j=1

j
have been used. Then,
(
m
x

n
t
[u]

m
x

n
t
u)(x, t) =
_
d d

m+n
_
1
0
ds
()

m
x

n
t
u(x +s

, t +s )
=
_
d d

m+n
_
1
0
ds
_

()

m
x

n
t
u(x, t)
. .
A(x,t)
+s
_
1
0
ds

2
()

m
x

n
t
u(x +s

, t +s

s )
. .
B(x,t)
_
.
Above,
()
= (

)
x
+ ( )
t
. The integral over A vanishes because
_
d
m

_
d
n

()
f = 0
for an arbitrary , -independent function f. As B(x, t) is an (x, t)-smooth func-
tion, one concludes (5.19).
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-
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E-mail address: matthes@mathematik.uni-mainz.de
Institut f ur Mathematik, Johannes Gutenberg Universit at Mainz, Staudingerweg 9,
55128 Mainz, Germany.