Cette thèse porte sur l'étude de quelques problèmes de contrôle stochastique dans un contexte de risque de liquidité et d'impact sur le prix des actifs. La thèse se compose de quatre chapitres.Dans le deuxième chapitre, on propose une modélisation d'un problème d'animation de marché dans un contexte de risque de liquidité en présence de contraintes d'inventaire et de changements de régime. Cette formulation peut être considérée comme étant une extension de précédentes études sur ce sujet. Le résultat principal de cette partie est la caractérisation de la fonction valeur comme solution unique, au sens de la viscosité, d'un système d'équations d'Hamilton-Jacobi-Bellman . On enrichit notre étude par la donnée de quelques résultats numériques.Dans le troisième chapitre, on propose un schéma d'approximation numérique pour résoudre un problème d'optimisation de portefeuille dans un contexte de risque de liquidité et d'impact sur le prix des actifs. On montre que la fonction valeur peut être obtenue comme limite d'une procédure itérative dont chaqueitération représente un problème d'arrêt optimal et on utilise un algorithme numérique, basé sur la quantification optimale, pour calculer la fonction valeur ainsi que la politique de contrôle. La convergence du schéma numérique est obtenue via des critères de monotonicité, stabilité et consistance.Dans le quatrième chapitre, on s'intéresse à un problème couplé de contrôle singulier et de contrôle impulsionnel dans un contexte d'illiquidité. On propose une formulation mathématique pour modéliser la distribution de dividendes et la politique d'investissement d'une entreprise sujette à des contraintes de liquidité. On montre que, sous des coûts de transaction et un impact sur le prix des actifs illiquides, la fonction valeur de l'entreprise est l'unique solution de viscosité d'une équation d'Hamilton-Jacobi-Bellman. On propose aussi une méthode numérique itérative pour calculer la stratégie optimale d'achat, de vente et de distribution de dividendes. / The purpose of this thesis is to study some stochastic control problems with liquidity risk and price impact. The thesis contains four chapters.The second chapter is devoted to the modeling aspects of a market making problem in a liquidity risk framework under inventory constraints and switching regimes. This formulation can be seen as an extension of previous studies on this subject. The main result is the characterization of the value functions as the unique viscosity solutions to the associated Hamilton-Jacobi-Bellman system. We further enrich our study with some numerical results.In the third section, we introduce a numerical scheme to solve an impulse control problem under state constraints arising from optimal portfolio selection under liquidity risk and price impact. We show that the value function could be obtained as the limit of an iterative procedure where each step is an optimal stopping problem and we use a numerical approximation algorithm based on quantization procedure to compute the value function and the optimal policy. The main result is to prove the convergence of our numerical scheme using monotonicity, stability and consistency properties.In the fourth section, we study a mixed singular and impulse control problem with liquidity risks and constraints. We propose a mathematical modeling to the dividend and investment policy of a firm operating under uncertain environment and liquidity risks. Our main contribution is to show that, under transaction costs and impact on the illiquid asset price, the firm's value function is the unique viscosity solution of a certain Hamilton-Jacobi-Bellman equation. We also formulated an iterative numerical procedure to compute the optimal dividend and investment policy.

My thesis work started in the summer of 2005 as a three way joint project by Professor Castro and Mr. John Kwon and myself. A paper from this joint project was written and the content now forms my thesis.

Congestion and oversaturated roads pose significant problems and create delays in every major city in the world. Before this problem can be addressed, we must know how much traffic is flowing over the links in the network. We transform a road network into a directed graph with a network flow function, and ask the question, “What subset of vertices (intersections) should be monitored such that knowledge of the flow passing through these vertices is sufficient to calculate the flow everywhere in the graph?” To minimize the cost of placing sensors, we seek the smallest number of monitored vertices. This is known as the Sensor Location Problem (SLP). We explore conditions under which a set of monitored vertices produces a unique solution to the problem and disprove a previous result published on the problem. Finally, we explore a matrix formulation of the problem and present cases when the flow can or cannot be calculated on the graph.

This project was an exploratory study of malperformance among 60 children of the seventh grade of Creston Elementary School, Portland, Oregon. This class was described as an unusually disruptive group of students and was considered by the school as one of the most troublesome in the school's history. The study focused on the concept of malperformance itself and the reliability of its assessment. The major hypotheses were these: A. Teachers are consistent among themselves in how they define malperformance and in whom they designate as malperformers. B. Teachers' and students' estimation of the students' level of performance in the dimensions studied are positively related. C. A student's self- estimate in the dimensions studied is related to his estimation of the teachers' reactions to himself and other classmates. D. The label of malperformer is associated with lower ratings of personal behavior and school subject grades. E. Factors of sex, age, and I.Q. are related to malperformance. Each teacher was asked to define malperformance and to identify malperforming students in his class. Each student was asked if he felt the teachers liked him and if they were fair. The Pupil Behavior Inventory, a standardized rating scale dealing with five areas of student behavior, was administered to the teachers. A modified form of the Pupil Behavior Inventory was administered to each student to determine his assessment of his own behavior. Data was analyzed with the help of statistical tests of significance to evaluate the differences obtained. Study findings did not support the hypothesis that teachers are consistent among themselves in how they defined malperformance and which students they designated as malperformers. Each teacher defined malperformance differently. Some definitions were difficult to interpret in terms of specific behavior traits. There was only 53% marginal probability that another teacher would agree when a particular teacher designated a student as a malperformer. However, there was no significant difference in the number of students designated as malperformers by each teacher. Findings yielded evidence to support the hypothesis that there is a positive relationship between the teachers' estimation of the level of the students' performance and the students' own assessment of his performance. Students designated as normals rated their own behavior very close to teacher ratings. In contrast, malperformers tended to rate their behavior much higher than did the teachers; however, malperformer self-ratings were lower than self-ratings of the other students. Malperformers had lower personal behavior and school subject grades than normals. No significant differences were found in the I. Q. range for normals and malperformers. This study indicated the need for more clarity and consistency in evaluating student behavior within the school system. Further research is needed in developing methods of identifying problem students and how to best help them.

<p>Demenssjukdom hör till de vanligaste folksjukdomarna. ...</p>

<p>Detta är en uppsats som har fått sin utgångspunkt från rapporten ”Om sociala problem i nya bostadsområden” från Centralförbundet för socialt arbete. Rapporten från 1976 konstaterade att det i hög grad förekom sociala problem i de nya bostadsområden som byggts enligt Miljonprogramsmodellen. I Halmstad byggdes bostadsområdet Andersberg för att bota den bostadsbrist som under 1960-talet rådde i Halmstad. Då området byggdes enligt normer från just Miljonprogrammet, blev uppsatsens syfte att se hur väl detta bostadsområde stämde överrens med de definitioner av sociala problem som preciserades i rapporten, samt att ge en lokal och levande bild av det tidiga Anderberg. Artiklar och insändare från Hallandsposten och material från Halmstad Kommunarkiv bekräftade att Andersberg tidigt inte bara hade problem likt de som konstaterats i rapporten från 1976, utan även problem av annan karaktär, såsom vandalisering, otrygghet och klagomål på barnsäkerheten i området.</p><p>Nyckelord</p><p>Bostadsbrist</p><p>Miljonprogrammet</p><p>Andersberg</p><p>Sociala Problem</p>

<p>Detta är en uppsats som hat fått sin utgångspunkt från rapporten "Om sociala problem i nya bostadsområden" från Centralförbundet för socialt arbete. Rapporten från 1976 konstaterade att det i hög grad förekom sociala problem i de nya bostadsområden som byggs enligt Miljonprogramsmodellen. I Halmstad byggdes bostadsområdet Andersberg för att bota den bostadsbrist som under 1960-talet rådde i Halmstad. Då området byggdes enligt normer från just Miljonprogrammet, blev uppsatsens syfte att se hur väl detta bostadsområde stämde överens med de definitioner av sociala problem som preciserades i rapporten, samt att ge en lokal och levande bild av det tidiga Andersberg. Artiklar och insändare från Hallandsposten och material från Halmstad Kommunarkiv bekräftade att ANdersberg tidigt inte bara hade problem likt de som konstaterats från 1976, utan även problem av annan karaktär, såsom vandalisering, otrygghet och klagomål på barnsäkerheten i området.</p>

This research extends a tradition of distributed theories of mind into the implementation of a distributed problem solver. In this problem solver a number of ideas from Minsky's Society of Mind are implemented and are found to provide powerful abstractions for the programming of distributed systems. These abstractions are the cauldron, a mechanism for instantiating reasoning contexts, the frame, a way of modularly describing those contexts and the goal-node, a mechanism for bringing a particular context to bear on a specific task. The implementation of both these abstractions and the distributed problem solver in which they run is described, accompanied by examples of their application to various domains.

Scientific communnities have proven to be extremely successful at solving problems. They are inherently parallel systems and their macroscopic nature makes them amenable to careful study. In this paper the character of scientific research is examined drawing on sources in the philosophy and history of science. We maintain that the success of scientific research depends critically on its concurrency and pluralism. A variant of the language Ether is developed that embodies notions of concurrency necessary to emulate some of the problem solving behavior of scientific communities. Capabilities of scientific communities are discussed in parallel with simplified models of these capabilities in this language.

Thesis (Ph. D.)--Ohio State University, 1984. / Includes bibliographical references (leaves 183-188). Available online via OhioLINK's ETD Center