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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
321

Level set methods for higher order evolution laws / Levelset-Verfahren für Evolutionsgleichungen höherer Ordnung

Stöcker, Christina 12 March 2008 (has links) (PDF)
A numerical treatment of non-linear higher-order geometric evolution equations with the level set and the finite element method is presented. The isotropic, weak anisotropic and strong anisotropic situation is discussed. Most of the equations considered in this work arise from the field of thin film growth. A short introduction to the subject is given. Four different models are discussed: mean curvature flow, surface diffusion, a kinetic model, which combines the effects of mean curvature flow and surface diffusion and includes a further kinetic component, and an adatom model, which incorporates in addition free adatoms. As an introduction to the numerical schemes, first the isotropic and weak anisotropic situation is considered. Then strong anisotropies (non-convex anisotropies) are used to simulate the phenomena of faceting and coarsening. The experimentally observed effect of corner and edge roundings is reached in the simulation through the regularization of the strong anisotropy with a higher-order curvature term. The curvature regularization leads to an increase by two in the order of the equations, which results in highly non-linear equations of up to 6th order. For the numerical solution, the equations are transformed into systems of second order equations, which are solved with a Schur complement approach. The adatom model constitutes a diffusion equation on a moving surface. An operator splitting approach is used for the numerical solution. In difference to other works, which restrict to the isotropic situation, also the anisotropic situation is discussed and solved numerically. Furthermore, a treatment of geometric evolution equations on implicitly given curved surfaces with the level set method is given. In particular, the numerical solution of surface diffusion on curved surfaces is presented. The equations are discretized in space by standard linear finite elements. For the time discretization a semi-implicit discretization scheme is employed. The derivation of the numerical schemes is presented in detail, and numerous computational results are given for the 2D and 3D situation. To keep computational costs low, the finite element grid is adaptively refined near the moving curves and surfaces resp. A redistancing algorithm based on a local Hopf-Lax formula is used. The algorithm has been extended by the authors to the 3D case. A detailed description of the algorithm in 3D is presented in this work. / In der Arbeit geht es um die numerische Behandlung nicht-linearer geometrischer Evolutionsgleichungen höherer Ordnung mit Levelset- und Finite-Elemente-Verfahren. Der isotrope, schwach anisotrope und stark anisotrope Fall wird diskutiert. Die meisten in dieser Arbeit betrachteten Gleichungen entstammen dem Gebiet des Dünnschicht-Wachstums. Eine kurze Einführung in dieses Gebiet wird gegeben. Es werden vier verschiedene Modelle diskutiert: mittlerer Krümmungsfluss, Oberflächendiffusion, ein kinetisches Modell, welches die Effekte des mittleren Krümmungsflusses und der Oberflächendiffusion kombiniert und zusätzlich eine kinetische Komponente beinhaltet, und ein Adatom-Modell, welches außerdem freie Adatome berücksichtigt. Als Einführung in die numerischen Schemata, wird zuerst der isotrope und schwach anisotrope Fall betrachtet. Anschließend werden starke Anisotropien (nicht-konvexe Anisotropien) benutzt, um Facettierungs- und Vergröberungsphänomene zu simulieren. Der in Experimenten beobachtete Effekt der Ecken- und Kanten-Abrundung wird in der Simulation durch die Regularisierung der starken Anisotropie durch einen Krümmungsterm höherer Ordnung erreicht. Die Krümmungsregularisierung führt zu einer Erhöhung der Ordnung der Gleichung um zwei, was hochgradig nicht-lineare Gleichungen von bis zu sechster Ordnung ergibt. Für die numerische Lösung werden die Gleichungen auf Systeme zweiter Ordnungsgleichungen transformiert, welche mit einem Schurkomplement-Ansatz gelöst werden. Das Adatom-Modell bildet eine Diffusionsgleichung auf einer bewegten Fläche. Zur numerischen Lösung wird ein Operatorsplitting-Ansatz verwendet. Im Unterschied zu anderen Arbeiten, die sich auf den isotropen Fall beschränken, wird auch der anisotrope Fall diskutiert und numerisch gelöst. Außerdem werden geometrische Evolutionsgleichungen auf implizit gegebenen gekrümmten Flächen mit Levelset-Verfahren behandelt. Insbesondere wird die numerische Lösung von Oberflächendiffusion auf gekrümmten Flächen dargestellt. Die Gleichungen werden im Ort mit linearen Standard-Finiten-Elementen diskretisiert. Als Zeitdiskretisierung wird ein semi-implizites Diskretisierungsschema verwendet. Die Herleitung der numerischen Schemata wird detailliert dargestellt, und zahlreiche numerische Ergebnisse für den 2D und 3D Fall sind gegeben. Um den Rechenaufwand gering zu halten, wird das Finite-Elemente-Gitter adaptiv an den bewegten Kurven bzw. den bewegten Flächen verfeinert. Es wird ein Redistancing-Algorithmus basierend auf einer lokalen Hopf-Lax Formel benutzt. Der Algorithmus wurde von den Autoren auf den 3D Fall erweitert. In dieser Arbeit wird der Algorithmus für den 3D Fall detailliert beschrieben.
322

Magnetic Tomography / On the Nullspace of the Biot-Savart Operator and Point Sources in Field and Domain Reconstruction / Magnetische Tomographie / Über den Nullraum des Biot-Savart Operators und Punktquellen für Feld- und Gebietsrekonstruktion

Kühn, Lars 27 May 2005 (has links)
No description available.
323

Qualidade em Educação: relação entre o PDE- Escola e a evolução do índice de desenvolvimento da educação básica nas escolas públicas de Maceió / Quality in education: relationship between the PDE-School and the evolution of the development of basic education in the public schools of Maceió

Azevedo, Jacy de Araújo 31 July 2013 (has links)
This dissertation examines the relationship between PDE-School and the evolution of the Index of Basic Education Development (IDEB) in Maceió, in the years 2007 to 2011 The IDEB was instituted as an index that measures the quality of Brazilian education, and PDE-school constitutes a management strategic planning process, aimed at providing financial support school units, and is coordinated by the school's leadership and developed in a participatory manner by the school community, with the goal of improving the management of the school improve the quality of education it offers and ensure greater efficiency and effectiveness in the processes it develops. In this research, we sought to answer the following question: schools that are receiving PDE-School feature are raising your IDEB? Thus, the work was characterized by a qualitative approach, with the object of study of the evolution of the relationship IDEB with PDE-School. The methodology used to collect data was the analysis of bibliographic and documentary analysis. Systematization of data as a parameter had drawn up by the MEC / INEP, among them, laws, decrees, orders, manuals, reports and plans. The organization of the study was structured into four sections: the first deals with the State Reform and its impact on Brazilian Educational Policy, in 1990; the second, the issue of quality in education policy in Brazil; the third addresses the PDE-School and IDEB: concepts and implementation in the school context, and the fourth section discusses the Education Policy in Maceio elements for analysis of PDE-School and IDEB. This work shows to be relevant to the area of policy and management education, the extent of explicit contradictions own educational policy and quality of education within the school units. The results demonstrated that it can not join the rising IDEB Public Schools Maceió, in the years 2007-2011, the receipt and application of resources of the PDE-School. / A presente dissertação analisa a relação entre o PDE-Escola e a evolução do Índice de Desenvolvimento da Educação Básica (IDEB) em Maceió, nos anos de 2007 a 2011. O IDEB foi instituído como um índice que mede a qualidade da educação brasileira, e o PDE-Escola se constitui em um processo gerencial de planejamento estratégico, que visa dar suporte financeiro as unidades escolares, e é coordenado pela liderança da escola e desenvolvido, de maneira participativa, pela comunidade escolar, com o objetivo de aprimorar a gestão da escola, melhorar a qualidade do ensino que oferece e garantir maior eficiência e eficácia nos processos que desenvolve. Nesta pesquisa, buscou-se responder a seguinte questão: as escolas que estão recebendo o recurso PDE-Escola estão elevando o seu IDEB? Assim, o trabalho caracterizou-se por uma pesquisa de abordagem qualitativa, tendo como objeto de estudo a relação da evolução do IDEB com o PDE-Escola. A metodologia utilizada para a coleta de dados foi a de análise de bibliografias e análise documental. As sistematizações dos dados tiveram como parâmetro os documentos elaborados pelo MEC/INEP, dentre eles, leis, decretos, portarias, manuais, relatórios e planos. A organização do estudo foi estruturada em quatro seções: a primeira trata da Reforma do Estado e seus impactos na Política Educacional Brasileira, nos anos de 1990; a segunda, a questão da qualidade nas Políticas Educacionais no Brasil; a terceira aborda o PDE-Escola e o IDEB: concepções e implantação no contexto escolar, e a quarta sessão trata da Política Educacional em Maceió: elementos para análise do PDE-Escola e do IDEB. Esse trabalho mostra-se relevante para a área da política e gestão da educação, na medida em explicita contradições da própria política educacional e qualidade da educação no âmbito das unidades escolares. Os resultados demonstraram que não se pode associar a elevação do IDEB das escolas públicas de Maceió, nos anos de 2007 a 2011, ao recebimento e aplicação dos recursos do PDE-Escola.
324

Contrôle de la dynamique de la leucémie myéloïde chronique par Imatinib / Control of the dynamics of chronic myeloid leukemia by Imatinib

Benosman, Chahrazed 18 November 2010 (has links)
Dans ce travail de recherche, nous sommes intéresses par la modélisation de l'hématopoïèse. Les cellules souches hématopoïétiques (CSH) sont des cellules indifférenciées de la moelle osseuse, possédant la capacité de se renouveler et de se différencier (pour la production des globules rouges, globules blancs et les plaquettes). Le processus de l'hématopoïèse souvent révèle des irrégularités qui causent les maladies hématologiques. En modélisant la leucémie myéloide chronique (LMC), une maladie hématologique fréquente, nous représentons l'hématopoïèse des cellules normales et cancéreuses par un système d'équations différentielles ordinaires (EDO). L'homéostasie des cellules normales et différente de l'homéostasie des cellules cancéreuses, et dépend de quelques lignées des cellules normales et cancéreuses. Nous analysons la dynamique globale du modèle pour obtenir les conditions de régénération de l'hématopoïèse ou bien la persistance de la LMC. Nous démontrons aussi que la coexistence des cellules normales et cancéreuses ne peut avoir lieu pour longtemps. Imatinib est un traitement de base de la LMC, avec un dosage variant de 400 à 1000 mg par jour. Certains patients présentent des réponses différentes à la thérapie, pouvant être hématologique, cytogénétique et moléculaire. La thérapie échoue dans deux cas: le patient demande un temps plus long pour réagir, alors il s'agit d'une réponse suboptimale; ou bien le patient résiste après une bonne réponse initiale. Pour déterminer le dosage optimal, nécessaire à la réduction des cellules cancéreuses, nous représentons les effets de la thérapie par un problème de contrôle optimal. Notre but est de minimiser le cout du traitement et le nombre des cellules cancéreuses. La réponse suboptimale, la résistance et le rétablissement sont alors obtenus suivant l'influence de l'imatinib sur les taux de division et de mortalité des cellules cancéreuses. Nous étudions par ailleurs l'hématopoïèse selon un modèle structuré en age, décrivant l'évolution des CSH normales et cancéreuses. Nous démontrons que le taux de division des CSH cancéreuses joue un rôle important dans la détermination du contrôle optimal. En contrôlant la croissance des cellules normales et cancéreuses avec compétition inter spécifique, nous démontrons que le dosage optimal dépend de l'homéostasie des CSH cancéreuses. / Modelling hematopoiesis represents a feature of our research. Hematopoietic stem cells (HSC) are undifferentiated cells, located in bone marrow, with unique abilities of self-renewal and differentiation (production of white cells, red blood cells and platelets).The process of hematopoiesis often exhibits abnormalities causing hematological diseases. In modelling Chronic Myeloid Leukemia (CML), a frequent hematological disease, we represent hematopoiesis of normal and leukemic cells by means of ordinary differential equations (ODE). Homeostasis of normal and leukemic cells are supposed to be different and depend on some lines of normal and leukemic HSC. We analyze the global dynamics of the model to obtain the conditions for regeneration of hematopoiesis and persistence of CML. We prove as well that normal and leukemic cells can not coexist for a long time. Imatinib is the main treatment of CML, with posology varying from 400 to 1000 mg per day. Some affected individuals respond to therapy with various levels being hematologic, cytogenetic and molecular. Therapy fails in two cases: the patient takes a long time to react, then suboptimal response occurs; or the patient resists after an initial response. Determining the optimal dosage required to reduce leukemic cells is another challenge. We approach therapy effects as an optimal control problem to minimize the cost of treatment and the level of leukemic cells. Suboptimal response, resistance and recovery forms are obtained through the influence of imatinib onto the division and mortality rates of leukemic cells. Hematopoiesis can be investigated according to age of cells. An age-structured system, describing the evolution of normal and leukemic HSC shows that the division rate of leukemic HSC plays a crucial role when determining the optimal control. When controlling the growth of cells under interspecific competition within normal and leukemic HSC, we prove that optimal dosage is related to homeostasis of leukemic HSC.
325

Modélisation et identification de paramètres pour les empreintes des faisceaux de haute énergie. / Modelling and parameter identification for energy beam footprints

Bashtova, Kateryna 05 December 2016 (has links)
Le progrès technologique nécessite des techniques de plus en plus sophistiquées et précises de traitement de matériaux. Nous étudions le traitement de matériaux par faisceaux de haute énergie : un jet d’eau abrasif, une sonde ionique focalisée, un laser. L’évolution de la surface du matériau sous l’action du faisceau de haute énergie est modélisée par une EDP. Cette équation contient l’ensemble des coefficients inconnus - les paramètres de calibration de mo- dèle. Les paramètres inconnus peuvent être calibrés par minimisation de la fonction coût, c’est-à-dire, la fonction qui décrit la différence entre le résultat de la modélisation et les données expérimentales. Comme la surface modélisée est une solution du problème d’EDP, cela rentre dans le cadre de l’optimisation sous contrainte d’EDP. L’identification a été rendue bien posée par la régularisation du type Tikhonov. Le gradient de la fonction coût a été obtenu en utilisant les deux méthodes : l’approche adjointe et la différen- ciation automatique. Une fois la fonction coût et son gradient obtenus, nous avons utilisé un minimiseur L-BFGS pour réaliser la minimisation.Le problème de la non-unicité de la solution a été résolu pour le problème de traitement par le jet d’eau abrasif. Des effets secondaires ne sont pas inclus dans le modèle. Leur impact sur le procédé de calibration a été évité. Ensuite, le procédé de calibration a été validé pour les données synthétiques et expérimentales. Enfin, nous avons proposé un critère pour distinguer facilement entre le régime thermique et non- thermique d’ablation par laser. / The technological progress demands more and more sophisticated and precise techniques of the treatment of materials. We study the machining of the material with the high energy beams: the abrasive waterjet, the focused ion beam and the laser. Although the physics governing the energy beam interaction with material is very different for different application, we can use the same approach to the mathematical modeling of these processes.The evolution of the material surface under the energy beam impact is modeled by PDE equation. This equation contains a set of unknown parameters - the calibration parameters of the model. The unknown parameters can be identified by minimization of the cost function, i.e., function that describes the differ- ence between the result of modeling and the corresponding experimental data. As the modeled surface is a solution of the PDE problem, this minimization is an example of PDE-constrained optimization problem. The identification problem was regularized using Tikhonov regularization. The gradient of the cost function was obtained both by using the variational approach and by means of the automatic differentiation. Once the cost function and its gradient calculated, the minimization was performed using L-BFGS minimizer.For the abrasive waterjet application the problem of non-uniqueness of numerical solution is solved. The impact of the secondary effects non included into the model is avoided as well. The calibration procedure is validated on both synthetic and experimental data.For the laser application, we presented a simple criterion that allows to distinguish between the thermal and non-thermal laser ablation regimes.
326

Level set methods for higher order evolution laws

Stöcker, Christina 20 February 2008 (has links)
A numerical treatment of non-linear higher-order geometric evolution equations with the level set and the finite element method is presented. The isotropic, weak anisotropic and strong anisotropic situation is discussed. Most of the equations considered in this work arise from the field of thin film growth. A short introduction to the subject is given. Four different models are discussed: mean curvature flow, surface diffusion, a kinetic model, which combines the effects of mean curvature flow and surface diffusion and includes a further kinetic component, and an adatom model, which incorporates in addition free adatoms. As an introduction to the numerical schemes, first the isotropic and weak anisotropic situation is considered. Then strong anisotropies (non-convex anisotropies) are used to simulate the phenomena of faceting and coarsening. The experimentally observed effect of corner and edge roundings is reached in the simulation through the regularization of the strong anisotropy with a higher-order curvature term. The curvature regularization leads to an increase by two in the order of the equations, which results in highly non-linear equations of up to 6th order. For the numerical solution, the equations are transformed into systems of second order equations, which are solved with a Schur complement approach. The adatom model constitutes a diffusion equation on a moving surface. An operator splitting approach is used for the numerical solution. In difference to other works, which restrict to the isotropic situation, also the anisotropic situation is discussed and solved numerically. Furthermore, a treatment of geometric evolution equations on implicitly given curved surfaces with the level set method is given. In particular, the numerical solution of surface diffusion on curved surfaces is presented. The equations are discretized in space by standard linear finite elements. For the time discretization a semi-implicit discretization scheme is employed. The derivation of the numerical schemes is presented in detail, and numerous computational results are given for the 2D and 3D situation. To keep computational costs low, the finite element grid is adaptively refined near the moving curves and surfaces resp. A redistancing algorithm based on a local Hopf-Lax formula is used. The algorithm has been extended by the authors to the 3D case. A detailed description of the algorithm in 3D is presented in this work. / In der Arbeit geht es um die numerische Behandlung nicht-linearer geometrischer Evolutionsgleichungen höherer Ordnung mit Levelset- und Finite-Elemente-Verfahren. Der isotrope, schwach anisotrope und stark anisotrope Fall wird diskutiert. Die meisten in dieser Arbeit betrachteten Gleichungen entstammen dem Gebiet des Dünnschicht-Wachstums. Eine kurze Einführung in dieses Gebiet wird gegeben. Es werden vier verschiedene Modelle diskutiert: mittlerer Krümmungsfluss, Oberflächendiffusion, ein kinetisches Modell, welches die Effekte des mittleren Krümmungsflusses und der Oberflächendiffusion kombiniert und zusätzlich eine kinetische Komponente beinhaltet, und ein Adatom-Modell, welches außerdem freie Adatome berücksichtigt. Als Einführung in die numerischen Schemata, wird zuerst der isotrope und schwach anisotrope Fall betrachtet. Anschließend werden starke Anisotropien (nicht-konvexe Anisotropien) benutzt, um Facettierungs- und Vergröberungsphänomene zu simulieren. Der in Experimenten beobachtete Effekt der Ecken- und Kanten-Abrundung wird in der Simulation durch die Regularisierung der starken Anisotropie durch einen Krümmungsterm höherer Ordnung erreicht. Die Krümmungsregularisierung führt zu einer Erhöhung der Ordnung der Gleichung um zwei, was hochgradig nicht-lineare Gleichungen von bis zu sechster Ordnung ergibt. Für die numerische Lösung werden die Gleichungen auf Systeme zweiter Ordnungsgleichungen transformiert, welche mit einem Schurkomplement-Ansatz gelöst werden. Das Adatom-Modell bildet eine Diffusionsgleichung auf einer bewegten Fläche. Zur numerischen Lösung wird ein Operatorsplitting-Ansatz verwendet. Im Unterschied zu anderen Arbeiten, die sich auf den isotropen Fall beschränken, wird auch der anisotrope Fall diskutiert und numerisch gelöst. Außerdem werden geometrische Evolutionsgleichungen auf implizit gegebenen gekrümmten Flächen mit Levelset-Verfahren behandelt. Insbesondere wird die numerische Lösung von Oberflächendiffusion auf gekrümmten Flächen dargestellt. Die Gleichungen werden im Ort mit linearen Standard-Finiten-Elementen diskretisiert. Als Zeitdiskretisierung wird ein semi-implizites Diskretisierungsschema verwendet. Die Herleitung der numerischen Schemata wird detailliert dargestellt, und zahlreiche numerische Ergebnisse für den 2D und 3D Fall sind gegeben. Um den Rechenaufwand gering zu halten, wird das Finite-Elemente-Gitter adaptiv an den bewegten Kurven bzw. den bewegten Flächen verfeinert. Es wird ein Redistancing-Algorithmus basierend auf einer lokalen Hopf-Lax Formel benutzt. Der Algorithmus wurde von den Autoren auf den 3D Fall erweitert. In dieser Arbeit wird der Algorithmus für den 3D Fall detailliert beschrieben.
327

Non-Smooth Optimization by Abs-Linearization in Reflexive Function Spaces

Weiß, Olga 11 March 2022 (has links)
Nichtglatte Optimierungsprobleme in reflexiven Banachräumen treten in vielen Anwendungen auf. Häufig wird angenommen, dass alle vorkommenden Nichtdifferenzierbarkeiten durch Lipschitz-stetige Operatoren wie abs, min und max gegeben sind. Bei solchen Problemen kann es sich zum Beispiel um optimale Steuerungsprobleme mit möglicherweise nicht glatten Zielfunktionen handeln, welche durch partielle Differentialgleichungen (PDG) eingeschränkt sind, die ebenfalls nicht glatte Terme enthalten können. Eine effiziente und robuste Lösung erfordert eine Kombination numerischer Simulationen und spezifischer Optimierungsalgorithmen. Lokal Lipschitz-stetige, nichtglatte Nemytzkii-Operatoren, welche direkt in der Problemformulierung auftreten, spielen eine wesentliche Rolle in der Untersuchung der zugrundeliegenden Optimierungsprobleme. In dieser Dissertation werden zwei spezifische Methoden und Algorithmen zur Lösung solcher nichtglatter Optimierungsprobleme in reflexiven Banachräumen vorgestellt und diskutiert. Als erste Lösungsmethode wird in dieser Dissertation die Minimierung von nichtglatten Operatoren in reflexiven Banachräumen mittels sukzessiver quadratischer Überschätzung vorgestellt, SALMIN. Ein neuartiger Optimierungsansatz für Optimierungsprobleme mit nichtglatten elliptischen PDG-Beschränkungen, welcher auf expliziter Strukturausnutzung beruht, stellt die zweite Lösungsmethode dar, SCALi. Das zentrale Merkmal dieser Methoden ist ein geeigneter Umgang mit Nichtglattheiten. Besonderes Augenmerk liegt dabei auf der zugrundeliegenden nichtglatten Struktur des Problems und der effektiven Ausnutzung dieser, um das Optimierungsproblem auf angemessene und effiziente Weise zu lösen. / Non-smooth optimization problems in reflexive Banach spaces arise in many applications. Frequently, all non-differentiabilities involved are assumed to be given by Lipschitz-continuous operators such as abs, min and max. For example, such problems can refer to optimal control problems with possibly non-smooth objective functionals constrained by partial differential equations (PDEs) which can also include non-smooth terms. Their efficient as well as robust solution requires numerical simulations combined with specific optimization algorithms. Locally Lipschitz-continuous non-smooth non-linearities described by appropriate Nemytzkii operators which arise directly in the problem formulation play an essential role in the study of the underlying optimization problems. In this dissertation, two specific solution methods and algorithms to solve such non-smooth optimization problems in reflexive Banach spaces are proposed and discussed. The minimization of non-smooth operators in reflexive Banach spaces by means of successive quadratic overestimation is presented as the first solution method, SALMIN. A novel structure exploiting optimization approach for optimization problems with non-smooth elliptic PDE constraints constitutes the second solution method, SCALi. The central feature of these methods is the appropriate handling of non-differentiabilities. Special focus lies on the underlying structure of the problem stemming from the non-smoothness and how it can be effectively exploited to solve the optimization problem in an appropriate and efficient way.
328

Asymptotic Analysis of Models for Geometric Motions

Gavin Ainsley Glenn (17958005) 13 February 2024 (has links)
<p dir="ltr">In Chapter 1, we introduce geometric motions from the general perspective of gradient flows. Here we develop the basic framework in which to pose the two main results of this thesis.</p><p dir="ltr">In Chapter 2, we examine the pinch-off phenomenon for a tubular surface moving by surface diffusion. We prove the existence of a one parameter family of pinching profiles obeying a long wavelength approximation of the dynamics.</p><p dir="ltr">In Chapter 3, we study a diffusion-based numerical scheme for curve shortening flow. We prove that the scheme is one time-step consistent.</p>
329

Numerical analysis and multi-precision computational methods applied to the extant problems of Asian option pricing and simulating stable distributions and unit root densities

Cao, Liang January 2014 (has links)
This thesis considers new methods that exploit recent developments in computer technology to address three extant problems in the area of Finance and Econometrics. The problem of Asian option pricing has endured for the last two decades in spite of many attempts to find a robust solution across all parameter values. All recently proposed methods are shown to fail when computations are conducted using standard machine precision because as more and more accuracy is forced upon the problem, round-off error begins to propagate. Using recent methods from numerical analysis based on multi-precision arithmetic, we show using the Mathematica platform that all extant methods have efficacy when computations use sufficient arithmetic precision. This creates the proper framework to compare and contrast the methods based on criteria such as computational speed for a given accuracy. Numerical methods based on a deformation of the Bromwich contour in the Geman-Yor Laplace transform are found to perform best provided the normalized strike price is above a given threshold; otherwise methods based on Euler approximation are preferred. The same methods are applied in two other contexts: the simulation of stable distributions and the computation of unit root densities in Econometrics. The stable densities are all nested in a general function called a Fox H function. The same computational difficulties as above apply when using only double-precision arithmetic but are again solved using higher arithmetic precision. We also consider simulating the densities of infinitely divisible distributions associated with hyperbolic functions. Finally, our methods are applied to unit root densities. Focusing on the two fundamental densities, we show our methods perform favorably against the extant methods of Monte Carlo simulation, the Imhof algorithm and some analytical expressions derived principally by Abadir. Using Mathematica, the main two-dimensional Laplace transform in this context is reduced to a one-dimensional problem.
330

Etude d'équations aux dérivées partielles stochastiques / Study on stochastic partial differential equations

Bauzet, Caroline 26 June 2013 (has links)
Cette thèse s’inscrit dans le domaine mathématique de l’analyse des équations aux dérivées partielles (EDP) non-linéaires stochastiques. Nous nous intéressons à des EDP paraboliques et hyperboliques que l’on perturbe stochastiquement au sens d’Itô. Il s’agit d’introduire l’aléatoire via l’ajout d’une intégrale stochastique (intégrale d’Itô) qui peut dépendre ou non de la solution, on parle alors de bruit multiplicatif ou additif. La présence de la variable de probabilité ne nous permet pas d’utiliser tous les outils classiques de l’analyse des EDP. Notre but est d’adapter les techniques connues dans le cadre déterministe aux EDP non linéaires stochastiques en proposant des méthodes alternatives. Les résultats obtenus sont décrits dans les cinq chapitres de cette thèse : Dans le Chapitre I, nous étudions une perturbation stochastique des équations de Barenblatt. En utilisant une semi- discrétisation implicite en temps, nous établissons l’existence et l’unicité d’une solution dans le cas additif, et grâce aux propriétés de la solution nous sommes en mesure d’étendre ce résultat au cas multiplicatif à l’aide d’un théorème de point fixe. Dans le Chapitre II, nous considérons une classe d’équations de type Barenblatt stochastiques dans un cadre abstrait. Il s’agit là d’une généralisation des résultats du Chapitre I. Dans le Chapitre III, nous travaillons sur l’étude du problème de Cauchy pour une loi de conservation stochastique. Nous montrons l’existence d’une solution par une méthode de viscosité artificielle en utilisant des arguments de compacité donnés par la théorie des mesures de Young. L’unicité repose sur une adaptation de la méthode de dédoublement des variables de Kruzhkov.. Dans le Chapitre IV, nous nous intéressons au problème de Dirichlet pour la loi de conservation stochastique étudiée au Chapitre III. Le point remarquable de l’étude repose sur l’utilisation des semi-entropies de Kruzhkov pour montrer l’unicité. Dans le Chapitre V, nous introduisons une méthode de splitting pour proposer une approche numérique du problème étudié au Chapitre IV, suivie de quelques simulations de l’équation de Burgers stochastique dans le cas unidimensionnel. / This thesis deals with the mathematical field of stochastic nonlinear partial differential equations’ analysis. We are interested in parabolic and hyperbolic PDE stochastically perturbed in the Itô sense. We introduce randomness by adding a stochastic integral (Itô integral), which can depend or not on the solution. We thus talk about a multiplicative noise or an additive one. The presence of the random variable does not allow us to apply systematically classical tools of PDE analysis. Our aim is to adapt known techniques of the deterministic setting to nonlinear stochastic PDE analysis by proposing alternative methods. Here are the obtained results : In Chapter I, we investigate on a stochastic perturbation of Barenblatt equations. By using an implicit time discretization, we establish the existence and uniqueness of the solution in the additive case. Thanks to the properties of such a solution, we are able to extend this result to the multiplicative noise using a fixed-point theorem. In Chapter II, we consider a class of stochastic equations of Barenblatt type but in an abstract frame. It is about a generalization of results from Chapter I. In Chapter III, we deal with the study of the Cauchy problem for a stochastic conservation law. We show existence of solution via an artificial viscosity method. The compactness arguments are based on Young measure theory. The uniqueness result is proved by an adaptation of the Kruzhkov doubling variables technique. In Chapter IV, we are interested in the Dirichlet problem for the stochastic conservation law studied in Chapter III. The remarkable point is the use of the Kruzhkov semi-entropies to show the uniqueness of the solution. In Chapter V, we introduce a splitting method to propose a numerical approach of the problem studied in Chapter IV. Then we finish by some simulations of the stochastic Burgers’ equation in the one dimensional case.

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