During the work of this research project we were interested in mathematical techniques that give us an insight to the following questions: How do we understand the trading decisions made by a manager of a hedge fund and what influences these decisions? In what way does an illiquid market affect these decisions and the performance of the fund? And how does the payment scheme affect the investor's decisions? Based on existing work on hedge fund management, we start with a fund that can be modelled with one risky investment and one riskless investment. Next, subject to the hedge fund special reward scheme we maximise the expected utility of wealth of the manager, by controlling the percentage invested in the risky investment, namely the portfolio. We use stochastic control techniques to derive a partial differential equation (PDE) and numerically obtain its corresponding viscosity solution, which provides a weak notion of solutions to these PDEs. This is then taken to a liquidity constrained scenario, to compare the behaviour of the two scenarios. Using the same approach as before we notice that due to the liquidity restriction we cannot use a simple model to combine the risky and riskless investments as a total amount, and hence the PDE is one order higher than before. We then model an investor who is investing in the hedge fund subject to the manager's optimal portfolio decisions, with similar mathematical tools as before. Comparisons between the investor's expected utility of wealth and the utility of having the money invested in the risk-free investment suggests that, in some cases, the investor is paying more to the manager than the return he is receiving for having invested in the hedge fund, compared to a risk-free investment. For that reason we propose a strategic game where the manager's action is to allocate the money between the two assets and the investor's action is to add money to the fund when he expects profit. The result is that the investor profits from the option to reinvest in the fund, although in some extreme cases the actions of the manager make the investor receive a negative value for having the option.

Esta dissertação aborda a teoria dos jogos diferenciais em sua estreita relação com a teoria das equações de Hamilton-Jacobi (HJ). Inicialmente, uma revisão da noção de solução em teoria dos jogos é empreendida. Discutem-se nesta ocasião as idéias de equilíbrio de Nash e alguns de seus refinamentos. Em seguida, tem lugar uma introdução à teoria dos jogos diferenciais, onde noções de solução como a função de valor de Isaacs e de Friedman são discutidas. É nesta altura do trabalho que fica evidente a conexão entre este conceito de solução e a teoria das equações de Hamilton-Jacobi. Por ocasião desta conexão, é explorada a noção de solução clássica e é exposta uma demonstração do fato de que se um jogo diferencial possuir uma função de valor pelo menos continuamente diferenciável, esta será uma solução da equação de Hamilton-Jacobi associada ao jogo. Este resultado faz uso do princípio da programação dinâmica, devido a Bellman, e cuja demonstração está presente no texto. No entanto, quando a função de valor do jogo é apenas contínua, então embora esta não seja uma solução clássica da equação HJ associada a jogo, vemos que ela será uma solução viscosa, ou solução no sentido da viscosidade - e a esta altura são discutidos os elementos e propriedades desta classe de soluções, um teorema de existência e unicidade e alguns exemplos. Por fim, retomamos o estudo dos jogos diferenciais à luz das soluções viscosas da equação de Hamilton-Jacobi e, assim, expomos uma demonstração de existência da função de valor e do princípio da programação dinâmica a partir das noções da viscosidade / This dissertation aims to address the topic of Differential Game Theory in its connection with the Hamilton-Jacobi (HJ) equations framework. Firstly we introduce the idea of solution for a game, through the discussion of Nash equilibria and its refinements. Secondly, the solution concept is then translated to the context of Differential Games and the idea of value function is introduced in its Isaacs\'s as well as Friedman\'s version. As the value function is discussed, its relationship with the Hamilton-Jacobi equations theory becomes self-evident. Due to such relation, we investigate the HJ equation from two distinct points of view. First of all, we discuss a statement according to which if a differential game has a continuously differentiable value function, then such function is a classical solution of the HJ equation associated to the game. This result strongly relies on Bellman\'s Dynamic Programming Principle - and this is the reason why we devote an entire chapter to this theme. Furthermore, HJ is still at our sight from the PDE point of view. Our motivation is simple: under some lack of regularity - a value function which is continuous, but not continuously differentiable - a game may still have a value function represented as a solution of the associated HJ equation. In this case such a solution will be called a solution in the viscosity sense. We then discuss the properties of viscosity solutions as well as provide an existence and uniqueness theorem. Finally we turn our attention back to the theory of games and - through the notion of viscosity - establish the existence and uniqueness of value functions for a differential game within viscosity solution theory.

L’objectif de cette étude est de modéliser la digestion dans l’intestin grêle : le transport des aliments par les ondes péristaltiques, la dégradation par les enzymes endogènes et exogènes et l’absorption active et passive. Un modèle mécaniste basé sur les équations différentielles ordinaires a été utilisé pour représenter la digestion. Les équations décrivent l’évolution de la position et de la composition du bolus provenant de l’estomac. Nous montrons ensuite par les méthodes d’homogénéisation mathématiques que ce modèle peut être considéré comme une version macroscopique des modèles plus réalistes, qui contiennent des phénomènes biologiques à des échelles inférieures de l’intestin grêle. Enfin, nous étudions l’influence du changement de la structure de bolus sur la digestion en intégrant les fibres alimentaires dans sa composition. Les deux principales caractéristiques des fibres alimentaires qui interagissent avec la fonction de l’intestin grêle, à savoir, la viscosité et la capacité de rétention d’eau ont été modélisées. / The purpose of this study is to model the digestion in the small intestine : transport of the the bolus by the peristaltic waves, feedstuffs degradation according to the endogenous and exogenous enzymes and nutrients absorption. A mechanistic model based on ordinary differential equations is used to represent the digestion. The equations describe the evolution of the position and composition of the bolus of feedstuffs coming from the stomach. We prove by using the homogenization methods, that this model can be considered as a macroscopic version of more realistic models which contain the biological phenomena at lower scales of the small intestine. Finally, we investigate the digestion of a non-homogeneous feedstuffs matrix by integrating the dietary fibre in the bolus. The two main physiochemical characteristics of dietary fibre which interact with the function of the small intestine, i.e. viscosity and water holding capacity are modelled.

Esta dissertação aborda a teoria dos jogos diferenciais em sua estreita relação com a teoria das equações de Hamilton-Jacobi (HJ). Inicialmente, uma revisão da noção de solução em teoria dos jogos é empreendida. Discutem-se nesta ocasião as idéias de equilíbrio de Nash e alguns de seus refinamentos. Em seguida, tem lugar uma introdução à teoria dos jogos diferenciais, onde noções de solução como a função de valor de Isaacs e de Friedman são discutidas. É nesta altura do trabalho que fica evidente a conexão entre este conceito de solução e a teoria das equações de Hamilton-Jacobi. Por ocasião desta conexão, é explorada a noção de solução clássica e é exposta uma demonstração do fato de que se um jogo diferencial possuir uma função de valor pelo menos continuamente diferenciável, esta será uma solução da equação de Hamilton-Jacobi associada ao jogo. Este resultado faz uso do princípio da programação dinâmica, devido a Bellman, e cuja demonstração está presente no texto. No entanto, quando a função de valor do jogo é apenas contínua, então embora esta não seja uma solução clássica da equação HJ associada a jogo, vemos que ela será uma solução viscosa, ou solução no sentido da viscosidade - e a esta altura são discutidos os elementos e propriedades desta classe de soluções, um teorema de existência e unicidade e alguns exemplos. Por fim, retomamos o estudo dos jogos diferenciais à luz das soluções viscosas da equação de Hamilton-Jacobi e, assim, expomos uma demonstração de existência da função de valor e do princípio da programação dinâmica a partir das noções da viscosidade / This dissertation aims to address the topic of Differential Game Theory in its connection with the Hamilton-Jacobi (HJ) equations framework. Firstly we introduce the idea of solution for a game, through the discussion of Nash equilibria and its refinements. Secondly, the solution concept is then translated to the context of Differential Games and the idea of value function is introduced in its Isaacs\'s as well as Friedman\'s version. As the value function is discussed, its relationship with the Hamilton-Jacobi equations theory becomes self-evident. Due to such relation, we investigate the HJ equation from two distinct points of view. First of all, we discuss a statement according to which if a differential game has a continuously differentiable value function, then such function is a classical solution of the HJ equation associated to the game. This result strongly relies on Bellman\'s Dynamic Programming Principle - and this is the reason why we devote an entire chapter to this theme. Furthermore, HJ is still at our sight from the PDE point of view. Our motivation is simple: under some lack of regularity - a value function which is continuous, but not continuously differentiable - a game may still have a value function represented as a solution of the associated HJ equation. In this case such a solution will be called a solution in the viscosity sense. We then discuss the properties of viscosity solutions as well as provide an existence and uniqueness theorem. Finally we turn our attention back to the theory of games and - through the notion of viscosity - establish the existence and uniqueness of value functions for a differential game within viscosity solution theory.

Cette thèse comporte trois chapitres indépendants, consacrés à l’étude mathématique de trois problèmes physiques distincts, ayant pour modèles trois équations aux dérivées partielles différentes. Ces équations relèvent plus précisément de la méthode des surfaces de niveau, de la théorie de l’écoulement incompressible des matériaux non newtoniens et de la théorie cinétique des gaz raréfiés. Le premier chapitre de la thèse porte sur la dynamique des frontières en mouvement et contient une justification mathématique de la procédure numérique dite de ré-initialisation, dont les applications sont nombreuses dans le contexte de la célèbre méthode des surfaces de niveau. Nous appliquons ces résultats pour une classe d’équations issues de la méthode des surfaces de niveau de premier ordre. Nous écrivons la procédure de ré-initialisation comme un algorithme de décomposition et nous étudions la convergence de l’algorithme en utilisant des techniques d’homogénéisation dans la variable temporelle. Grâce à cette analyse rigoureuse nous introduisons également une nouvelle méthode pour l’approximation de la fonction de distance dans le contexte de la méthode des surfaces de niveau. Dans le cas où l’on cherche seulement une fonction de l’ensemble de niveau avec un gradient minoré proche du niveau zéro, nous proposons une approximation plus simple. Dans le cas général, où le niveau zéro pourrait présenter des changements de topologie, nous introduisons une nouvelle notion de limites relâchées. Dans le deuxième chapitre de la thèse, nous étudions un problème de frontière libre résultant de l’étude de l’écoulement incompressible d’un matériau non-newtonien, avec limite d’élasticité de type Drucker-Prager, sur un plan incliné et sous l’effet de la pesanteur. Nous obtenons une équation sous-différentielle, que nous formulons comme un problème variationnel avec un terme à croissance linéaire de type gradient, et nous étudions le problème dans un domaine non borné. Nous montrons que les équations sont bien posées et satisfont certaines propriétés de régularité. Nous sommes alors capables de relier les paramètres physiques avec le problème abstrait et de prouver des propriétés quantitatives de la solution. En particulier, nous montrons que la solution a un support compact, la limite de ce que nous appelons la frontière libre. Nous construisons également des solutions explicites d’une équation différentielle ordinaire qui peut estimer la frontière libre. Enfin, le troisième et dernier chapitre de la thèse est dédié aux solutions de l’équation de Boltzmann homogène avec molécules maxwelliennes et énergie infinie. Nous obtenons de nouveaux résultats d’existence de solutions éternelles pour cette équation dans un espace de mesures de probabilité d’énergie infinie (i.e. de moment d’ordre deux infini). Elles permettent de décrire le comportement asymptotique en temps d’autres solutions d’énergie infinie, mais elles apparaissent aussi comme des états asymptotiques intermédiaires dans l’étude des solutions d’énergie finie, mais arbitrairement grande. Les méthodes issues de l’analyse harmonique sont utilisées pour étudier l’équation de Boltzmann, où la variable de vitesse est exprimée en Fourier. Enfin, un changement d’échelle logarithmique en la variable temporelle permet de déterminer le bon comportement asymptotique à l’infini des solutions / This thesis consists of three different and independent chapters, concerning the mathematical study of three distinctive physical problems, which are modelled by three non- linear partial differential equations. These equations concern the level set method, the theory of incompressible flow of non-Newtonian materials and the kinetic theory of rare- fied gases. The first chapter of the thesis concerns the dynamics of moving interfaces and contains a rigorous justification of a numerical procedure called re-initialization, for which there are several applications in the context of the level set method. We apply these results for first order level set equations. We write the re-initialization procedure as a splitting algorithm and study the convergence of the algorithm using homogenization techniques in the time variable. As a result of the rigorous analysis, we are also able to introduce a new method for the approximation of the distance function in the context of the level set method. In the case where one only looks for a level set function with gradient bounded from below near the zero level, we propose a simpler approximation. In the general case where the zero level might present changes of topology we introduce a new notion of relaxed limits. In the second chapter of the thesis, we study a free boundary problem arising in the study of the flow of an incompressible non-Newtonian material with Drucker-Prager plasticity on an inclined plane. We derive a subdifferential equation, which we reformulate as a variational problem containing a term with linear growth in the gradient variable, and we study the problem in an unbounded domain. We show that the equations are well posed and satisfy some regularity properties. We are then able to connect the physical parameters with the abstract problem and prove some quantitative properties of the solution. In particular, we show that the solution has compact support and the support is the free boundary. We also construct explicit solutions of an ordinary differential equation, which we use to estimate the free boundary. The last chapter of the thesis is dedicated to the study of infinite energy solutions of the homogeneous Boltzmann equation with Maxwellian molecules. We obtain new results concerning the existence of eternal solutions in the space of probability measure with infinite energy (i.e. the second order moment is infinite). These solutions describe the asymptotic behaviour of other infinite energy solutions but could also be useful in the study of intermediate asymptotic states of solutions with finite but arbitrarily large energy. We use harmonic analysis tools to study the equation, where the velocity variable is expressed in the Fourier space. Finally, a logarithmic scaling of the time variable allows to determine the correct asymptotic scaling of the solutions

Ce travail se concentre sur l'étude de la dynamique des dislocations dans le réseau cristallin et il est découpé en deux parties : la première partie porte sur les mouvements horizontaux d'une chaîne d'atomes en interaction contenant une dislocation. Bien que, la deuxième partie traite de l'accumulation de dislocations formant ce qu'on appelle des murs de dislocations. Dans la première partie, nous considérons une généralisation complètement nonlinéaire des équations de diffusion de réaction discrète également appelée “modèles de Frenkel-Kontorova complètement amortis” qui décrivent la dynamique des défauts cristallins (dislocations) dans un réseau. Nous étudions à la fois : les non-linéarités bistable et monostable. Dans des conditions suffisantes, nous montrons l'existence et l'unicité des ondes progressives pour le cas de non-linéarité bistable. Pour le cas monostable, nous étudions l'existence de la branche des solutions d'ondes progressives pour une non-linéarité Lipschitz général. Nous montrons également que la vitesse minimale est positive et délimitée ci-dessous. Dans cette partie, nous étudions aussi la généralisation du modèle de Frenkel-Kontorova pour laquelle nous pouvons ajouter un paramètre de force motrice. Nous illustrons également, dans ce cas, la variation de la vitesse de propagation des ondes progressives en fonction du paramètre de force. Dans la deuxième partie, nous étudions l'accumulation des dislocations dans les murs de dislocations. Nous montrons en fait la convergence de plusieurs dislocations qui interagissent sur les murs de dislocations. Nous présentons aussi les résultats de quelques expériences numériques qui confirment les résultats théoriques que nous obtenons / This work focuses on the study of the dislocation dynamics in the crystal lattice and it is splitted into two parts : the first part is concerned with the horizontal motion of a chain of interacting atoms containing a dislocation. While, the second part deals with the accumulation of dislocations forming what is known as walls of dislocations. In the first part, we consider a fully nonlinear generalization of the discrete reaction diffusion equations “fully overdamped Frenkel-Kontorova models” that describe the dynamics of crystal defects (dislocations) in a lattice. We study both : the bistable and the monostable non-linearities. Under sufficient conditions, we show the existence and uniqueness of traveling wave solution for the bistable non-linearity case. For the monostable case, we study the existence of branch of traveling waves solutions for general Lipschitz non-linearity. We also prove that the minimal velocity is non-negative and bounded below. In this part, we as well study the generalization of Frenkel-Kontorova model for which we can add a driving force parameter. We also illustrate, in this case, the variation of the velocity of propagation of traveling waves in terms of the parameter force. In the second part, we study the accumulation of dislocations in walls of dislocations. We prove actually the convergence of several interacting dislocations to walls of dislocations. We also present results of some numerical experiments that confirm the theoretical results that we obtain

Cette thèse porte sur l’analyse et l’homogénéisation d’équations aux dérivées partielles (EDP) posées sur des réseaux avec des applications en trafic routier. Deux types de travaux ont été réalisés : le premier axe de travail consiste à considérer des modèles microscopiques de trafic routier et d’établir une connexion entre ces modèles et des modèles macroscopiques du genre de ceux introduit par Imbert et Monneau [1]. Une telle connexion va permettre de justifier rigoureusement les modèles macroscopiques du trafic routier. En effet, les modèles microscopiques décrivent la dynamique de chaque véhicule individuellement et sont donc plus faciles à justifier du point de vue modélisation. Par contre, ces modèles ne sont pas utilisables pour décrire le trafic à grande échelle (des villes par exemple). Les modèles macroscopiques font le jeu inverse : ils sont fort pour décrire le trafic à grande échelle mais du point de vue modélisation, ils sont compliqués à mettre en œuvre pour prédire toutes les situations du trafic (par exemple trafic libre ou congestionné). Le passage du microscopique au macroscopique est fait en s’appuyant sur la théorie des solutions de viscosité et en particulier les techniques d’homogénéisation. Le second axe consiste à considérer une équation d’Hamilton-Jacobi avec une jonction qui bouge en temps. Cette équation peut décrire la circulation des voitures sur une route avec la présence d’un véhicule particulier (plus lent que les voitures par exemple). On prouve l’existence et l’unicité (par un principe de comparaison) d’une solution de viscosité pour cette EDP. [1] Cyril Imbert and Régis Monneau. Flux-limited solutions for quasi-convex hamilton-jacobi equations on networks. Annales Scientifiques de l’ENS, 50(2) :357–448, 2013. / This thesis deals with the analysis and homogenization of partial differential equations (PDE) posed on networks with application to traffic. Two types of work are done : the first line of work consists to consider microscopic traffic models in order to establish a connection between these models and macroscopic models like the one introduced by Imbert and Monneau [1]. Such connection allows to justify rigorously the macroscopic models of traffic. In fact, microscopic models describe the dynamic of each vehicle individually and so they are easy to justify from the modelization point of view. On the other hand, these models are complicated to implement in order to describe the traffic at large scales (cities for example). Macroscopic models do the opposite : they are effective for describing the traffic at large scales but from the modelization point of view, they are incapable to predict all traffic situations (for example free or congested flow). The passage from microscopic to macroscopic is done using the viscosity solutions theory and in particular homogenization technics. The second line of work consists to consider a Hamilton-Jacobi equation coupled by a junction condition which moves in time. This equation can describe the circulation of cars on a road with the presence of a particular vehicle (slower than the cars for example). We prove existence and uniqueness (by a comparison principle) of viscosity solution of this PDE. [1] Cyril Imbert and Régis Monneau. Flux-limited solutions for quasi-convex hamilton-jacobi equations on networks. Annales Scientifiques de l’ENS, 50(2) :357–448, 2013.

We develop the robust control theories of stopping-time nonlinear systems and switching-control nonlinear systems. We formulate a robust optimal stopping-time control problem for a state-space nonlinear system and give the connection between various notions of lower value function for the associated game (and storage function for the associated dissipative system) with solutions of the appropriate variational inequality (VI). We show that the stopping-time rule can be obtained by solving the VI in the viscosity sense. It also happens that a positive definite supersolution of the VI can be used for stability analysis. We also show how to solve the VI for some prototype examples with one-dimensional state space. For the robust optimal switching-control problem, we establish the Dynamic Programming Principle (DPP) for the lower value function of the associated game and employ it to derive the appropriate system of quasivariational inequalities (SQVI) for the lower value vector function. Moreover we formulate the problem in the <I>L</I>₂-gain/dissipative system framework. We show that, under appropriate assumptions, continuous switching-storage (vector) functions are characterized as viscosity supersolutions of the SQVI, and that the minimal such storage function is equal to the lower value function for the game. We show that the control strategy achieving the dissipative inequality is obtained by solving the SQVI in the viscosity sense; in fact this solution is also used to address stability analysis of the switching system. In addition we prove the comparison principle between a viscosity subsolution and a viscosity supersolution of the SQVI satisfying a boundary condition and use it to give an alternative derivation of the characterization of the lower value function. Finally we solve the SQVI for a simple one-dimensional example by a direct geometric construction. / Ph. D.

The aim of this thesis is to propose a systematic exposition of some analytic and geometric problems arising from the study of sub-Riemannian geometry, Carnot-Carathéodory spaces and, more broadly, anisotropic metric and differential structures. We deal with four main topics. 1 Calculus of variations for local functionals depending on vector fields 2 PDEs over Carnot-Carathéodory structures. 3 Regularity theory for almost perimeter minimizers in Carnot groups. 4 Geometry of hypersurfaces in Heisenberg groups.

Nous décrivons une procédure numérique pour le recalage d'IRM cérébrales 3D. Le problème d'appariement est abordé à travers la distinction usuelle entre le modèle de déformation et le critère d'appariement. Le modèle de déformation est celui de l'anatomie computationnelle, fondé sur un groupe de difféomorphismes engendrés en intégrant des champs de vecteurs. Le décalage entre les images est évalué en comparant les lignes de niveau de ces images, représentées par un courant différentiel dans le dual d'un espace de champs de vecteurs. Le critère d'appariement obtenu est non local et rapide à calculer. On se place dans l'ensemble des difféomorphismes pour rechercher une déformation reliant les deux images. Pour cela, on minimise le critère en suivant le principe de l'algorithme sous-optimal. L'efficacité de l'algorithme est renforcée par une description eulérienne et périodique du mouvement. L'algorithme est appliqué pour le recalage d'images IRM cérébrale 3d, la procédure numérique menant à ces résultats est intégralement décrite. Nos travaux concernent aussi l'analyse des propriétés de l'algorithme. Pour cela, nous avons simplifié l'équation représentant l'évolution de l'image et étudié l'équation simplifiée en utilisant la théorie des solutions de viscosité. Nous étudions aussi le problème de détection de rupture dans la variance d'un signal aléatoire gaussien. La spécificité de notre modèle vient du cadre infill, ce qui signifie que la distribution des données dépend de la taille de l'échantillon. L'estimateur de l'instant de rupture est défini comme le point maximisant une fonction de contraste. Nous étudions la convergence de cette fonction et ensuite la convergence de l'estimateur associé. L'application la plus directe concerne l'estimation de changement dans le paramètre de Hurst d'un mouvement brownien fractionnaire. L'estimateur dépend d'un paramètre p > 0 et nos résultats montrent qu'il peut être intéressant de choisir p < 2. / We present a numerical procedure for the matching of 3D MRI. The problem of image matching is addressed through the usual distinction between the deformation model and the matching criterion. The deformation model is based on the theory of computational anatomy and the set of deformations is a group of diffeomorphisms generated by integrating vector fields. The discrepancy between the two images is evaluated through comparisons of level lines represented by a differential current in the dual of a space of vector fields. This representation leads to a quickly computable non-local criterion. Then, the optimisation method is based on the minimization of the criterion following the idea of the so-called sub-optimal algorithm. We take advantage of the eulerian and periodical description of the algorithm to get an efficient numerical procedure. This algorithm can be used to deal with 3d MR images and numerical experiences are presented. In an other part, we focus on theoretical properties of the algorithm. We begin by simplifying the equation representing the evolution of the deformed image and we use the theory of viscosity solutions to study the simplified equation. The second issue we are interested in is the change-point estimation for a gaussian sequence with change in the variance parameter. The main feature of our model is that we work with infill data and the nature of the data can evolve jointly with the size of the sample. The usual approach suggests to introduce a contrast function and using the point of its maximum as a change-point estimator. We first get an information about the asymptotic fluctuations of the contrast function around its mean function. Then, we focus on the change-point estimator and more precisely on the convergence of this estimator. The most direct application concerns the detection of change in the Hurst parameter of a fractional brownian motion. The estimator depends on a parameter p > 0, generalizing the usual choice p = 2. We present some results illustrating the advantage of a parameter p < 2.