Interesting result on discrete adjoints: They show that discrete adjoint for scalar conservation law converges pointwise everywhere except at shocks, provided the numerical dissipation increases as the grid is refined. The number of points across the shock must increase as the grid is refined.
http://link.aip.org/link/?SNA/48/882/1&agg=rss
Convergence of Linearized and Adjoint Approximations for Discontinuous Solutions of Conservation Laws. Part 1: Linearized Approximations...