A new method for data assimilation: the back and forth nudging algorithm

In this paper, we propose an improvement to the Back and Forth Nudging algorithm for handling diffusion in the context of geophysical data assimilation. We detail the Diffusive Back and Forth Nudging algorithm, in which the sign of the diffusion term is changed in the backward integrations. We study the convergence of this algorithm, in particular for linear transport equations.