O aumento pelo interesse na teoria de integração estocástica é, basicamente, consequência da acirrada competição para entender, desenvolver e aplicar a matemática subjacente ao mercado mobiliário. Neste trabalho desenvolvemos, de maneira didática e visando aplicações, tal teoria. Para tanto, começamos apresentando um desenvolvimento cuidadoso da teoria dos martingais e dos principais resultados de medida e probabilidade relacionados. Depois apresentamos de maneira formal a teoria de integração estocástica com respeito aos semi-martingais contínuos. Finalizamos com um tratamento das principais aplicações dessa teoria como a fórmula de Itô, uma introdução às equações diferenciais estocásticas e a fórmula de Feynman-Kac. Apresentamos também, em um apêndice, a teoria de mudança de medida e o teorema de Girsanov. Tentamos durante o trabalho apresentar exemplos relacionados com finanças e ilustrar a importância do movimento Browniano. / The increasing interest in the theory of Stochastic Integration is due mainly to the competitive pressure to understand, develop and apply the underlying mathematics of security markets. In this work, we attempt to develop part of the theory in a didactical approach and focused toward some particular applications. For this purpose, we begin by introducing a thorough development of Martingale theory and the main related results on Measure and Probability theory. We then present in a formal way the Stochastic Integration Theory with respect to continuous Semimartingales. Subsequentially, we show some of the theory\'s main applications, such as Itô\'s formula, an introduction to the theory of Stochastic Differential Equations and Feynman-Kac\'s formula. We also present in the appendix Girsanov\'s theorem and a construction of Brownian motion. During the development of this text we endeavored to enrich it by including examples relevant to finance and emphasizing the importance of the ubiquitous Brownian motion.

O objetivo do presente trabalho foi propor métodos de processamento de sinais e reconhecimento de padrões dos sinais de respostas de sensores de gás, utilizando técnicas e modelos da geometria fractal. Foram analisados e estudados os sinais de resposta de dois tipos de sensores. O primeiro sensor foi um dispositivo de óxido de estanho, cujo princípio de funcionamento baseia-se na mudança da resistividade do filme. Este forneceu sinais de respostas com características ruidosas como resposta à interação com as moléculas de gás. O segundo sensor foi um dispositivo Metal-Óxido-Semicondutor (MOS) com princípio de funcionamento baseado na geração de foto corrente, fornecendo respostas imagens bidimensionais. Para as análises dos sinais ruidosos do sensor de óxido de estanho, foi proposto um método de processamento baseado no modelo do movimento Browniano fracionário. Com este método foi possível a discriminação de gases combustíveis com uma taxa de acerto igual a 100%. Para as análises das respostas do tipo imagem do sensor MOS, foram propostos dois diferentes métodos. O primeiro foi embasado no princípio de compressão fractal de imagens e o segundo método proposto, foi baseado na análise e determinação da dimensão fractal multiescala. Ambos os métodos propostos mostram-se eficazes para a determinação da assinatura, como o reconhecimento, de todos os gases que foram utilizados nos experimentos. Os resultados obtidos no presente trabalho abrem novas fronteiras e perspectivas nos paradigmas de processamento de sinais e reconhecimento de padrões, quando utilizada a teoria da geometria fractal. / The aim of the present work was to propose methods for signal possessing and pattern, recognition from the signals response of gas sensors using models and techniques from the fractal geometry. The data studied and analyzed were obtained from two kinds of sensors. The first sensor was the tin oxide device, which detection principle is based on the resistivity changes of the tin oxide film and it provides noisy signals as response to the gas interaction. The second sensor was a metal-oxide-semiconductor (MOS) device, which has as the working principle the photocurrent generation. This sensor provides two-dimensional images signals. A method using a fractional Brownian motion was proposed to analyze the noise signal from the tin oxide device. The fuel gases discrimination employing this model was 100% successful. Two different methods were proposed to analyze the signal response from the MOS device. The first method was based on the fractal image compression technique and the second one was based on the analysis and determination of the multiscale fractal dimension. Both proposed methods have shown to be efficient tools for signature determination as the pattern recognition of all gases that were used in the experiment. The results obtained in the present work open new frontiers and perspectives inside the paradigms of the signal processing and pattern recognition by using the fractal theory.

Les nanocomposites polymères ont fait l'objet de recherches académiques et industrielles au cours des dernières décennies, du fait de leurs remarquables propriétés mécaniques et rhéologiques comparés aux polymères purs. En particulier, ils présentent du renforcement pour des fractions volumiques modérées, et des effets non linéaires pour des déformations relativement faibles. Malgré des décennies de recherche, la relation entre la rhéologie et la structure des nanocomposites est loin d'être comprise. Les simulations atomistiques peuvent donner une vision détaillée de l'interaction entre la dynamique des chaînes polymères et les charges renforçantes à une échelle locale. Cependant, il est difficile d'aborder les propriétés émergentes à une échelle mésoscopique, par exemple, simuler un grand nombre d'agrégats dans une matrice polymère enchevêtrée reste toujours hors de portée. Dans ce travail, nous proposons un modèle mésoscopique pour simuler la rhéologie des nanocomposites avec un fluide simple ou une matrice polymère enchevetrée, en utilisant la dynamique brownienne et la dynamique généralisée de Langevin, respectivement. Dans les deux dynamiques, le mouvement des chaines de polymère n'est pas décrit de façon explicite et son effet sur la dynamique de la charge est «moyenné». En utilisant ce modèle, nous étudions l'influence du type de charge, de leur taille, morphologie, et fraction volumique sur la rhéologie du composite modèle, ainsi que la morphologie des charges dans les simulations. Un cas particulièrement intéressant est celui d'agrégats quasi-fractals, qui peuvent être flexibles ou bien rigides. Nous démontrons que les systèmes avec agrégats présentent un renforcement significatif, qui augmente avec la taille des agrégats, leur rigidité, leur fraction volumique et leur polydispersité en taille. Une relaxation lente est également mise en évidence, et nous montrons qu'elle est liée à la rotation lente des agrégats. L'effet Payne, associé à la réponse non linéaire des modules dynamiques avec l'amplitude de déformation de cisaillement, est également observé pour nos modèles de composites. Nous faisons le lien entre l'arrangement microscopique des charges sous cisaillement et les propriétés macroscopiques du composite / Polymer nanocomposites have drawn a lot of attention both from the academic and industrial research in the last decades, thanks to their remarkable mechanical and rheological properties as compared to pure polymers. In particular, they may display reinforcement for moderate volume fractions, and several non linear effects that appear for small deformation amplitudes. In spite of decades of research, the relation between nanocomposites structure and rheology is far from being understood. Atomistic simulations can give a detailed view of the interplay between polymer chains dynamics and fillers at a local scale. However, it is much more difficult to address the properties emerging at a mesoscopic scale, for instance, to simulate a large number of aggregates in an entangled polymeric matrix remains out of reach. In this work, we build a mesoscopic model to simulate the rheology of polymer nanocomposites with a simple fluid and an entangled polymer matrix, by using the Brownian dynamics and the generalized Langevin dynamics, respectively. In both cases, the motion of the polymer chains is not explicitly described and its effect on the filler dynamics is "averaged out". Using this model, we quantitatively determine the influences of the filler type, the filler volume fraction, size and morphology on the rheology of the model composite. Of particular interest is the case of fractal-like aggregates, which may be flexible or rigid. We demonstrate that model aggregates display significant reinforcement, which increases with the aggregate size, aggregate rigidity, filler volume fraction and polydispersity. Long relaxation times are also evidenced, which are related to the slow rotation of the aggregates. The well-known Payne effect, associated to the nonlinear response of the dynamic moduli with the shear deformation amplitude, is also seen in our model composites. We relate the behavior of microscopic filler to the macroscopic properties of the composite

Dans le domaine des machines moléculaires, la recherche d'un système produisant un mouvement orienté fait l'objet d'intenses recherches. Des résultats ont déjà été obtenus en ce sens mais n'exploitant pas le mouvement brownien comme le font les systèmes trouvés dans la nature comme la myosine. Nous proposons donc la synthèse d'une roue à rochet avec pour but de mimer ce phénomène, si besoin avec une activation de faible énergie. La première partie de ce travail a consisté en la conception par modélisation de l'équivalent synthétique d'une roue à rochet, basiquement constituée d'une roue crantée et d'un cliquet en vue d'étudier si une telle molécule pourrait produire une rotation orientée. Ce système est constitué d'un motif bishomoinositol fonctionnalisé en tant que roue et d'un cycloadduit de l'anthracène comme cliquet, liés par des bras espaceurs. La synthèse d'un système modèle dans lequel un motif bicyclo[2.2.2]octane joue le rôle de roue simplifiée a été menée afin de valider les différentes stratégies de synthèse. A cette occasion, une méthode alternative de la synthèse du diacide bicyclo[2.2.2]octanoïque a été mise au point ainsi qu'une méthodologie d'estérification compatible avec cet acide ainsi que le diacide 9,10-anthracènedioïque. Nous sommes ainsi parvenus à obtenir le produit de macrolactonisation, avec de possibles application comme roue de nanovéhicules. La synthèse du modèle a été l'occasion de pointer certaines impossibilités synthétiques au niveau des espaceurs (éthers, amides, triazoles, tétrazoles, alcènes) dans le système original. Un nouveau travail de modélisation a permis d'aboutir à une cible accessible synthétiquement conservant le comportement de roue à rochet. Dans cette optique, la synthèse du bishomoinositol fonctionnalisé par des acides en tête de pont a été entreprise par une première voie incluant ces groupements au départ de la synthèse, une seconde voie introduisant ces groupements en fin de séquence. / In the field of molecular machines, systems producing an oriented motion have been intensely looked for. Results, obtained toward this goal, do not exploit Brownian motion whereas it happens in natural systems such as myosin. Hereby we propose the synthesis of a molecular ratchet aiming to mimic this phenomenon or to be able to act as a molecular motor through low energy activation. The first part of this work consisted in the design by modelisation of a synthetic equivalent of a ratchet, basically consisting of a toothed wheel and a pawl. This study aim at determining if such a molecule could produce an oriented motion by simple Brownian motion. This system is consisting of a functionalized bishomoinositol moiety as the wheel and a cycloadduct of anthracene as the pawl, linked by spacers allowing the adjustment of the energy barriers. The synthesis of a model where a bicyclo[2.2.2]octane moiety plays the role of a simplified wheel has been conducted in order to validate various synthetic strategies. This gave the opportunity to develop an alternative method of the synthesis of the bicyclo[2.2.2]octanedicarboxylic diacid as well as an esterification methodology compatible with the bulkiness or low solubility of both partners. The macrolactonization product could be obtained and opens some possible applications as nanovehicle wheels. The synthesis of the model was the occasion to highlight synthetic limitations concerning the spacers (ethers) in the original system. A new series of targets taking into account the synthetic restrictions while keeping the ratchet behavior were designed. The discovery of another synthetic difficulties (amides, triazoles, tetrazoles and alkenes) yielded a single refined target. Toward this goal, the synthesis of the bishomoinositol functionalized in the bridgehead position was engaged in a first pathway including these functions at the beginning of the synthesis, the second way introducing them on the bishomoinositol at the end of the sequence.

Le travail présenté dans cette thèse consiste à modéliser les transports de particules dans un écoulement de Stokes en tenant compte des caractéristiques des particules, du régime d’écoulement de fluide qui les transporte et de l’effet de confinement qui pourrait être lié par exemple à la prise en compte d’une structure d’un milieu poreux. Le phénomène de transport que nous étudions est basé sur le mécanisme d’effet cliquet qui apparaît quand on soumet le système à un pompage alternatif dans le temps. L’étude de la dynamique de la particule est effectuée en utilisant la méthode de continuation qui permet de suivre la solution périodique selon le paramètre désiré et d’identifier les types de bifurcation ainsi que les lieux de ces points critiques. Cette étude nécessite la connaissance de la force de traînée exercée sur la particule et que nous calculons en utilisant la méthode des équations intégrales de frontières. / The work presented in this Phd Thesis is the modelling of particle transport in a Stokes flow taking into account the characteristics of the particle, the regime flow, and the effect of the confinement which could be related for example to the consideration of a porous media structure. The phenomena of the transport is based on the mecansim of ratchet effect which appears when the system is undergoes an alternative pumping. The study of the particle dynamics is performed using the continuation method which allows to follow the periodic solutions according to the desired parameter, to identify the types of bifurcation and critical points. This study requires the knowledge of the drag force exerted on the particle and which we compute using the boundary integral equation.

In the present thesis we deal with several possible approaches to financial de- rivatives pricing. In the first part, we introduce the basic types of derivatives and the methods of trading. Furthermore, we present several models for the valuati- on of specific financial derivative, i.e. options. Firstly we describe Black-Scholes model in detail, which considers that the development of the underlying asset price is governed by Wiener process. Following are the jumps diffusion models that are extension of the Black-Scholes model with jumps. Then we get to jump models, which are based on Lévy processes. Finally, we will deal with the model, which considers that the development of the underlying asset price is governed by fractional Brownian motion with Hurst's coefficient greater than 1/2. All models are suplemented with sample examples. 1

Binding-sites which facilitate the transport of substrates across membranes are ubiquitous in membrane proteins. To understand this fundamental process in cells, we build up a synthetic membrane system consisting of microfluidic channels and colloidal particles. Holographic optical tweezers are used to modulate the potential energy landscape in those channels. We show how to extract the underlying energy potential by analysing local transition probabilities. Our method is applicable both to equilibrium systems and non-equilibrium steady states. Our method offers improved robustness when dealing with fragmented trajectories or small ensembles of data compared to other established approaches, such as probability density function and splitting probability. Meanwhile, we utilise the intensity distribution of the optical traps generated by holographic optical tweezers to estimate energy landscapes featuring high energy barriers where transitions rarely occur. We use this newly developed experimental system to mimic the functionality of membrane protein transporters that are known to alternate their substrate-binding sites between the extracellular and cytosolic side of the membrane. We study particle transport through a channel coupled with an energy well that oscillates its position between the two entrances of the channel deterministically and stochastically. Optimised particle transport across the channel is obtained by adjusting the oscillation frequency. At the optimal oscillation frequency, the translocation rate of particles through the channel is a hundred times higher with respect to free diffusion across the channel. Our findings reveal the effect of time dependent potentials on particle transport across a channel. This work adds a new tool for the investigation of highly controlled membrane transport processes at the micron scale. Our results are relevant for improving our understanding of membrane transport especially for microfluidics application.

Ziel dieser Arbeit ist es die Fick-Jacobs Näherung, welche eine genaue Beschreibung zahlreiche Transporteigenschaften von Brownschen Teilchen in räumlich beschränkten Geometrien liefern kann, auf experimentell vorherrschende Gegebenheiten, z.B., sich stark ändernde Geometrien, komplizierte Kraftfelder, Teilchenausdehnung und endliche viskose Reibung, zu erweitern. Dazu wird zuerst die exakte Lösung für die stationäre Wahrscheinlichkeitsdichte mittels Entwicklung in einem geometrischen Parameter, der die Kanalmodulation misst, berechnet. Die höheren Entwicklungsterme ermöglichen die Berechnung von Korrekturen zu den Transportkoeffizienten für sich stark ändernde Geometrien. Ferner kann die Fick-Jacobs Näherung mittels der Entwicklungsmethode auf beliebige Kraftfelder verallgemeinert werden. Am Beispiel des mikrofluidischen Kanals zeigen wir, dass das Zusammenspiel von externen Kräften (skalare Potentiale) und Strömungen (Vektorpotentiale) zur effizienten Trennung von Objekten, mittels des Effektes des hydrodynamisch induzierten entropischen Einsperrens, genutzt werden kann. Da das effiziente Sortieren nach Größe eine der wichtigsten Ziele in der Grundlagenforschung ist, zeigen wir wie die Teilchenausdehnung in die Fick-Jacobs Näherung integriert werden kann. Abschließend wird der Einfluss der Mediumsviskosität auf den Teilchentransport untersucht. Wenn die Zeitskalen separieren, führt adiabatische Eliminierung auch für endliche Reibung zu einer Fick-Jacobs ähnlichen Beschreibung. Diese ist unweigerlich mit Energiegleichverteilung und mit verschwindender Geschwindigkeitskorrelation verbunden. Numerische Simulationen zeigen, dass diese Beschreibung für moderate bis starke Dämpfung und schwache externe Kräfte akkurat ist. Für starke Kräfte wird die angenommene Energiegleichverteilung infolge von Teilchen-Wand Kollisionen verletzt. Dies führt zu einer nichtlinearen Abhängigkeit der Teilchengeschwindigkeit und des effektiven Diffusionskoeffizienten von der Kraftstärke. / This work intends to show how experimentally relevant issues such as strong channel corrugation, sophisticated external force fields, particle size, and the solvent''s viscosity can be incorporated into the commonly used Fick-Jacobs approach which provides a powerful tool to capture many properties of Brownian particles'' transport in confined geometries. First, we derive exact solutions of the stationary probability distribution in terms of an expansion parameter specifying the channel corrugation. Thereby, the leading order is equivalent to the Fick-Jacobs approach. By means of higher expansion orders, which become significant for strong channel corrugation, we obtain corrections to the key particle transport quantities. Going one step further, we generalize the Fick-Jacobs approach to the most general forces. As an exemplary application, we consider microfluidic devices in which the interplay of conservative forces and pressure-driven flows (vector potentials) offers a unique opportunity to efficiently separate Brownian particles of the same size using the newly discovered effect of hydrodynamically enforced entropic trapping. Since separation and sorting by size is a main challenge in basic research, we demonstrate that within certain limits the analytic expressions for the key transport quantities, derived for point-like particles, can be applied to extended objects, too. Lastly, we study the impact of the solvent''s viscosity on particle transport. If the time scales separate, adiabatic elimination results in an effective description even for finite damping. The possibility of such description is intimately connected with equipartition and vanishing velocity correlation. Numerical simulations show that this approach is accurate for moderate to strong damping and for weak forces. For strong external forces, equipartition may break down due to reflections at the boundaries. This leads to a non-monotonic dependence of the particle mobility on the force strength.

This thesis describes a project in which algorithms are developed for the rapid and accurate solution of Poisson's equation in the presence of a dielectric boundary and multiple point charges. These algorithms are then used to perform Brownian dynamics simulations on realistic models of biological ion channels. An iterative method of solution, in which the dielectric boundary is tiled with variable sized surface charge sectors, provides the flexibility to deal with arbitrarily shaped boundaries, but is too slow to perform Brownian dynamics. An analytical solution is derived, which is faster and more accurate, but only works for a toroidal boundary. Finally, a method is developed of pre-calculating solutions to Poisson's equation and storing them in tables. The solution for a particular configuration of ions in the channel can then be assembled by interpolation from the tables and application of the principle of superposition. This algorithm combines the flexibility of the iterative method with greater speed even than the analytical method, and is fast enough that channel conductance can be predicted. The results of simulations for a model single-ion channel, based on the acetylcholine receptor channel, show that the narrow pore through the low dielectric strength medium of the protein creates an energy barrier which restricts the permeation of ions. They further show that this barrier can be removed by dipoles in the neck of the channel, but that the barrier is not removed by shielding by counter-ions. The results of simulations for a model multi-ion channel, based on a bacterial potassium channel, show that the model channel has conductance characteristics similar to those of real potassium channels. Ions appear to move through the model multi-ion channel via rapid transitions between a series of semi-stable states. This observation suggests a possible physical basis for the reaction rate theory of channel conductance, and opens up an avenue for future research.

The topic of this thesis is the theoretical analysis of theoptomechanical coupling effects in a high-finesse optical cavity, and the experimental realization of such a device.Radiation pressure exerted by light limits the sensitivity of high precision optical measurements. In particular, the sensitivity of interferometric measurements of gravitational wave is limited by the so called standard quantum limit. cavity with a movable mirror. The internal field stored in such cavity can be orders of magnitude greater than the input field, and it's radiation pressure force can change the physical length of the cavity. In turn, any change in the mirror's position changes the phase of the out put field. This optomechanical coupling leads to an intensity-dependent phase shift for thelight equivalent to an optical Kerr effect. Such a device can then be used for squeezing generation or quantum nondemolition measurements.In our experiment, we send a laser beam in to a high-finesse optical cavity with a movable mirror coated on a high Q-factor mechanical resonator. Quantum effects of radiation pressure become therefore, at low temperature, experimentally observable. However, we've shown that the phase of the reflected field is very sensitive to small mirror displacements, which indicate other possible applications of thistype of device like high precision displacements measurements. We've been able to observe the Brownian motion of the moving mirror. We've also used an auxiliary intensity modulated laser beam to optically excite the acoustic modes. We've finally obtained a sensitivity of2x10^(-19) m/sqrt(Hz), in agreement with theoretical prediction.