This thesis is concerned with the mathematical analysis of electricity and carbon emission markets. We introduce a novel, versatile and tractable stochastic framework for the joint price formation of electricity spot prices and allowance certificates. In the proposed framework electricity and allowance prices are explained as functions of specific fundamental factors, such as the demand for electricity and the prices of the fuels used for its production. As a result, the proposed model very clearly captures the complex dependency of the modelled prices on the aforementioned fundamental factors. The allowance price is obtained as the solution to a coupled forward-backward stochastic differential equation. We provide a rigorous proof of the existence and uniqueness of a solution to this equation and analyse its behaviour using asymptotic techniques. The essence of the model for the electricity price is a carefully chosen and explicitly constructed function representing the supply curve in the electricity market. The model we propose accommodates most regulatory features that are commonly found in implementations of emissions trading systems and we analyse in detail the impact these features have on the prices of allowance certificates. Thereby we reveal a weakness in existing regulatory frameworks, which, in rare cases, can lead to allowance prices that do not conform with the conditions imposed by the regulator. We illustrate the applicability of our model to the pricing of derivative contracts, in particular clean spread options and numerically illustrate its ability to "see" relationships between the fundamental variables and the option contract, which are usually unobserved by other commonly used models in the literature. The results we obtain constitute flexible tools that help to efficiently evaluate the financial impact current or future implementations of emissions trading systems have on participants in these markets.

This thesis uses a simple deterministic model represented by an ordinary di- fferential equation with two equilibrium points - depending on the initial state the illness either vanishes or persists forever. This model is expanded by adding some diffusion coefficients leading to different stochastic differential equations. They are analyzed to show how the choice of diffusion coefficients changes be- havior of the model in proximity of its equilibria and near the boundary of area with biological meaning. The theoretical results are than illustrated by computer simulations. 1

[pt] O presente trabalho tem como finalidade avaliar os diferentes modelos de mistura para o cálculo da combustão de reagentes pré- misturados utilizando a abordagem de Reator Parcialmente Misturado (PaSR). Os modelos de mistura considerados neste trabalho foram os modelos IEM estendido, Langevin e Langevin estendido. Investiga-se aqui o grau de mistura previsto por tais modelos e sua influência sobre as propriedades termoquímicas em um processo de combustão. A primeira parte deste trabalho consiste na apresentação e avaliação destes modelos de mistura, considerando-se um campo escalar inerte em presença de um campo turbulento homogêneo e isotrópico. Uma vez que estes modelos de mistura envolvem formulações do tipo estocástico, sua implementação foi realizada utilizando o método de Monte Carlo, mediante a utilização de esquemas numéricos adequados à resolução de equações diferenciais estocásticas. Assim, estuda-se a evolução da Função Densidade de Probabilidade (PDF) e das principais propriedades do campo escalar para cada modelo implementado. Os resultados obtidos também são comparados com simulação numérica direta e com resultados analáticos disponsáveis. Um ótimo acordo em termos qualitativos e quantitativos é obtido. A segunda parte deste trabalho utiliza estes modelos para o estudo numérico de um PaSR no qual são modelados os processos difusivos e reativos presentes durante a combustão. O PaSR é usado para avaliar a influência dos modelos de mistura nas propriedades termoquímicas da mistura em uma situação de combustão de tipo pré-misturada, que é modelada utilizando-se uma variável de progresso de uma reação. Os resultados obtidos com os diferentes modelos de mistura são comparados para diferentes regimes de funcionamento do PaSR, mostrando que, em situações de mistura rápida e reação intensa, os diferentes modelos apresentam resultados similares. Porém, nos casos de mistura lenta e reação moderada, discrepancias importantes são observadas entre os resultados dos modelos; as quais atingem até 65% para o valor médio da variável de progresso da reação. / [en] The present work evaluates several mixing models for the prediction of premixed combustion in a Partially Stirred Reactor (PaSR). The models considered in this work were the extended IEM, Langevin and extended Langevin models. The degree of mixing and its influence on the termochemical properties in a combustion process are investigated here. The first part of this work consists on the presentation and the assesment of these mixing models in which a single scalar field was considered in presence of a homogeneous and isotropic turbulent field. Since these mixing models involve stochastic terms, their implementation is performed by the Monte Carlo method using numerical schemes which solve the corresponding Stochastic Differential Equations (SDE). The evolution of the Probability Density Function (PDF) and the main properties for a single scalar field are studied for each mixing model. The numerical results are compared with Direct Numerical Simulation and available analytical results. Excellent qualitative and quantitative agreements are obtained. In the second part of this work, mixing models are used for numerical simulation of a PaSR where the diffusive and reactive processes occur. The PaSR is used to assess the mixing model influence on the termochemical properties of the mixture in a premixed combustion process, which is modeled using a reaction progress variable. The results obtained with the different mixing models are compared in several operating regimes of the PaSR, showing that when mixing is fast and reaction is intense, the different models lead to similar results. However, when mixing is slow and reaction is weak, important discrepancies are observed between the model results, which reach 65%, as far as the averaged reaction progress variable is concerned

Reatores tubulares de polimerização podem apresentar um perfil de velocidade bastante distorcido. Partindo desta observação, um modelo estocástico baseado no modelo de dispersão axial foi proposto para a representação matemática da fluidodinâmica de um reator tubular para produção de poliestireno. A equação diferencial foi obtida inserindo a aleatoriedade no parâmetro de dispersão, resultando na adição de um termo estocástico ao modelo capaz de simular as oscilações observadas experimentalmente. A equação diferencial estocástica foi discretizada e resolvida pelo método Euler-Maruyama de forma satisfatória. Uma função estimadora foi desenvolvida para a obtenção do parâmetro do termo estocástico e o parâmetro do termo determinístico foi calculado pelo método dos mínimos quadrados. Uma análise de convergência foi conduzida para determinar o número de elementos da discretização e o modelo foi validado através da comparação de trajetórias e de intervalos de confiança computacionais com dados experimentais. O resultado obtido foi satisfatório, o que auxilia na compreensão do comportamento fluidodinâmico complexo do reator estudado. / The velocity profile of polymerization tubular reactors may be very distorted. Based on this observation, a stochastic model based on the axial dispersion model was proposed for the mathematical representation of the fluid dynamics of a tubular reactor for polystyrene production. The differential equation was built by inserting randomness in the dipersion coefficient, which added a stochastic term to the model. This term was capable of simulating the experimentally observed fluctuations. The stochastic differential equation was discretized and solved by the Euler-Maruyama method adequately. An estimator function has been developed to calculate the parameter of the stochastic term, while the parameter of the deterministic term was estimated by a least squares method. A convergence analysis was carried out in order to determine the number of elements needed for the time discretization. The model was validated through comparisons of sample paths and computational confidence intervals with experimental data. The result was considered satisfactory, allowing a better understanding of the complex fluid dynamic behaviour of the analised reactor. Key-words: modelling, simulation, stochastic differential equation, polymerization tubular reactor, time residence distribution.

Der erste Teil der Arbeit beschreibt eine Methode, Auszahlungen zu bewerten, die einem auf dem Finanzmarkt nicht absicherbaren Risiken ausgesetzt sind. Im zweiten Teil berechnen wir den maximalen Nutzen und optimale Handelsstrategien auf unvollständigen Märkten mit Hilfe von stochastischen Rückwärtsgleichungen. Wir betrachten Händler, deren Einkommen einer externen Risikoquelle ausgesetzt sind. Diese vervollständigen den Markt, indem sie entweder einen Bond schaffen oder gegenseitig Verträge schliessen. Eine andere Moeglichkeit ist eine Anleihe, die von einer Versicherung herausgegeben wird. Die Risikoquellen, die wir in Betracht ziehen, können Versicherungs-, Wetter-oder Klimarisiko sein. Aktienpreise sind exogen gegeben. Wir berechnen Preise für die zusätzlichen Anlagen so dass Angebot und Nachfrage dafür gleich sind. Wir haben partielle Markträumung. Die Präferenzen der Händler sind durch erwarteten Nutzen gegeben. In Kapitel 2 bis Kapitel 4 haben die Händler exponentielle Nutzenfunktionen. Um den Gleichgewichtspreis zu finden, wenden wir stochastische Rückwärtsgleichungen an. In Kapitel 5 beschreiben wir ein Einperiodenmodell mit Nutzenfunktionen, die die Inada-Bedingungen erfüllen. Der zweite Teil dieser Arbeit beschäftigt sich mit dem robusten Nutzenmaximierungsproblem auf einem unvollständigen Finanzmarkt. Entweder das Wahrscheinlichkeitsmass oder die Koeffizienten des Aktienmarktes sind ungewiss. Die Lösung der Rückwärtsgleichung beschreibt die nutzenmaximierende Handelsstrategie und das Wahrscheinlichkeitsmass, das in der Auswertung des robusten Nutzens benutzt wird. Für die exponentielle Nutzenfunktion berechnen wir Nutzenindifferenzpreise. Ausserdem wenden wir diese Techniken auf die Maximierung des erwarteten Nutzens bezüglich eines festen Wahrscheinlichkeitsmasses an. Dafür betrachten wir abgeschlossene, im allgemeinen nicht konvexe zulässige Mengen für die Handelsstrategien. / The first part of the thesis proposes a method to find prices and hedging strategies for risky claims exposed to a risk factor that is not hedgeable on a financial market. In the second part we calculate the maximal utility and optimal trading strategies on incomplete markets using Backward Stochastic Differential Equations. We consider agents with incomes exposed to a non-hedgeable external source of risk by creating either a bond or by signing contracts. The sources of risk we think of may be insurance, weather or climate risk. Stock prices are seen as exogenuosly given. We calculate prices for the additional securities such that supply is equal to demand, the market clears partially. The preferences of the agents are described by expected utility. In Chapter 2 through Chapter 4 the agents use exponential utility functions, the model is placed in a Brownian filtration. In order to find the equilibrium price, we use Backward Stochastic Differential Equations. Chapter 5 provides a one--period model where the agents use utility functions satisfying the Inada condition. The second part of this thesis considers the robust utility maximization problem on an incomplete financial market. Either the probability measure or drift and volatility of the stock price process are uncertain. We apply a martingale argument and solve a saddle point problem. The solution of a Backward Stochastic Differential Equation describes the maximizing trading strategy as well as the probability measure that is used in the robust utility. We consider the exponential, the power and the logarithmic utility functions. For the exponential utility function we calculate utility indifference prices of not perfectly hedgeable claims. Finally, we maximize the expected utility with respect to a single probability measure. We apply a martingale argument and solve maximization problems. This allows us to consider closed, in general non--convex constraints on the values of trading strategies.

Für zufällige dynamische Systeme mit stetiger Zeit existieren zwei wichtige Klassen von Generatoren: Zum einen stationäre zufällige ifferentialgleichungen, i.e. gewöhnliche Differentialgleichungen, die von einem stationärer zufälligen Vektorfeld getrieben werden, und zum anderen stochastische Stratonovichdifferentialgleichungen mit weißem Rauschen. Während die erste Klasse sich gut in den ergodentheoretischen Rahmen der Theorie der zufälligen dynamischen Systeme einfügt, widersetzte sich die zweite Klasse lange Zeit der dynamischen Untersuchung aufgrund des "Konflikts zwischen Ergodentheorie und stochastischer Analysis". In dieser Arbeit wird gezeigt, daß beide Klassen von zufälligen dynamischen Systemen nicht wesentlich verschieden sind, genauer: Zu jeder stochastischen Stratonovichdifferentialgleichung mit weißem Rauschen (unter den üblichen Regularitätsforderungen an die Vektorfelder, die die Existenz von Flüssen garantieren) existiert eine stationäre zufällige Differentialgleichung derart, daß die erzeugten zufälligen dynamischen Systeme konjugiert sind. Als Anwendung wird eine Version des lokalen Linearisierungssatzes von Hartman/Grobman für stochastische Stratonovichdifferentialgleichungen bewiesen. / For continuous time random dynamical systems there exist two important classes of generators: on the one hand stationary random differential quations, i.e. ordinary differential equations driven by a stationary random vector field, and on the other hand stochastic Stratonovich differential equations with white noise. While the first class fits well into the framework of the theory of random dynamical systems, the second class resisted for a long time the dynamical investigation due to the "conflict between ergodic theory and stochastic analysis". The main result of this thesis is that both classes of random dynamical systems are not essentially distinct, more precisely: For each stochastic Stratonovich differential equation with white noise (under usual regularity assumptions) there exists a stationary random differential equation such that the corresponding random dynamical systems are conjugate. As an application a version of the local Hartman/Grobman theorem for stochastic differential equations is proved.

We apply some recent numerical solutions to diffusion bridges written in Iacus (2008). One is an approximate scheme from Bladt and S{\o}rensen (2007), another one, from  Beskos et al (2006), is an algorithm which is exact: no numerical error at given grid points!

In this thesis, we investigate the quantum mechanical interaction of light with matter in the form of a gas of ultracold atoms: the atomic ensemble. We present a theoretical analysis of two problems, which involve the interaction of quantized electromagnetic fields (called signal and idler) with the atomic ensemble (i) cascade two-photon emission in an atomic ladder configuration, and (ii) photon frequency conversion in an atomic diamond configuration. The motivation of these studies comes from potential applications in long-distance quantum communication where it is desirable to generate quantum correlations between telecommunication wavelength light fields and ground level atomic coherences. In the two systems of interest, the light field produced in the upper arm of an atomic Rb level scheme is chosen to lie in the telecom window. The other field, resonant on a ground level transition, is in the near-infrared region of the spectrum. Telecom light is useful as it minimizes losses in the optical fiber transmission links of any two long-distance quantum communication device. We develop a theory of correlated signal-idler pair correlation. The analysis is complicated by the possible generation of multiple excitations in the atomic ensemble. An analytical treatment is given in the limit of a single excitation assuming adiabatic laser excitations. The analysis predicts superradiant timescales in the idler emission in agreement with experimental observation. To relax the restriction of a single excitation, we develop a different theory of cascade emission, which is solved by numerical simulation of classical stochastic differential equation using the theory of open quantum systems. The simulations are in good qualitative agreement with the analytical theory of superradiant timescales. We further analyze the feasibility of this two-photn source to realize the DLCZ protocol of the quantum repeater communication system. We provide a quantum theory of near-infrared to telecom wavelength conversion in the diamond configuration. The system provides a crucial part of a quantum-repeater memory element, which enables a "stored" near-infrared photon to be converted to a telecom wavelength for transmission without the destruction of light-atom quantum correlation. We calculate the theoretical conversion efficiency, analyzing the role of optical depth of the ensemble, pulse length, and quantum fluctuations on the process.

<p>We apply some recent numerical solutions to diffusion bridges written in Iacus (2008). One is an approximate scheme from Bladt and S{\o}rensen (2007), another one, from  Beskos et al (2006), is an algorithm which is exact: no numerical error at given grid points!</p>

Pagrindinė šios disertacijos tema - stochastinių diferencialinių lygčių (SDL), valdomų trupmeninio Brauno judesio (tBj), sprendinių Hursto indekso H vertinimas. Pirmiausia disertacijoje išnagrinėta SDL, valdomų tBj, sprendinių pirmos ir antros eilės kvadratinių variacijų ribinė elgsena. Iš šių rezultatų seka keli stipriai pagrįsti Hursto indekso H įvertiniai. Įrodyta, kad šie įvertiniai išlieka stipriai pagrįsti, jei tikra sprendinio trajektorija keičiama jos Milšteino aproksimacija. Taip pat išnagrinėtos pokyčių santykio (increment ratios) statistikos H įvertinio, gauto J. M. Bardeto ir D. Surgailio 2010 m., taikymo trupmeninio geometrinio Brauno judesio Hursto indekso vertinimui galimybės bei nustatytas modifikuoto Gladyševo H įvertinio konvergavimo į tikrąją parametro reikšmę greitis. Gauti įvertiniai palyginti su kai kuriais kitais žinomais Hursto indekso H įvertiniais: naiviais bei mažiausių kvadratų Gladyševo ir eta-sumavimo osciliacijos įvertiniais, variogramos įvertiniu ir pokyčių santykio statistikos įvertiniu. Įvertiniu elgsena buvo palyginta trupmeniniam Ornšteino-Ulenbeko (OU) procesui bei trupmeniniam geometriniam Brauno judesiui (gBj). Pradinės išvados buvo padarytos O-U procesui, kuris yra Gauso, o gBj procesas buvo naudojamas patikrinti, kaip šie įvertiniai elgiasi, kai procesas yra ne Gauso. Disertaciją sudaro įvadas, 3 pagrindiniai skyriai, išvados, literatūros sąrašas, autoriaus publikacijų disertacijos tema sąrašas ir du priedai. / The main topic of this dissertation is the estimation of the Hurst index H of the solutions of stochastic differential equations (SDEs) driven by the fractional Brownian motion (fBm). Firstly, the limit behavior of the first and second order quadratic variations of the solutions of SDEs driven by the fBm is analyzed. This yields several strongly consistent estimators of the Hurst index H. Secondly, it is proved that in case the solution of the SDE is replaced by its Milstein approximation, the estimators remain strongly consistent. Additionally, the possibilities of applying the increment ratios (IR) statistic based estimator of H originally obtained by J. M. Bardet and D. Surgailis in 2010 to the fractional geometric Brownian motion are examined. Furthermore, this dissertation derives the convergence rate of the modified Gladyshev's estimator of the Hurst index to its real value. The estimators obtained in the dissertation were compared with several other known estimators of the Hurst index H, namely the naive and ordinary least squares Gladyshev and eta-summing oscillation estimators, the variogram estimator and the IR estimator. The models chosen for comparison of these estimators were the fractional Ornstein-Uhlenbeck (O-U) process and the fractional geometric Brownian motion (gBm). The initial inference about the behavior of these estimators was drawn for the O-U process which is Gaussian, while the gBm process was used to check how the estimators behave in a... [to full text]