Les travaux exposés dans cette thèse sont consacrés à l’étude de méthodesprécises pour approcher des équations différentielles stochastiques ou deséquations aux dérivées partielles (EDP) déterministes. La première parties’inscrit dans le cadre du développement de méthodes visant à corriger le biaisdans les processus de diffusion paramétrique. Trois modèles sont étudiés enparticulier : Ornstein-Uhlenbeck, Auto-régressif et Moyenne mobile. A l’issuede ce travail, plusieurs approximations de biais ont été proposées suivant deuxapproches : la première consiste en un développement de Taylor del’estimateur obtenu alors que la seconde s'appuie sur une expansionstochastique de celui-ci.La deuxième partie de cette thèse porte sur l’approximation de l’équation de lachaleur obtenue après changement de variables à partir du modèle de Black etScholes. En général, on préfère utiliser des méthodes implicites pour résoudredes EDP paraboliques mais depuis quelques années, les méthodes dites deRunge-Kutta explicites stabilisées, sont de plus en plus utilisées. Nousmontrons que l’utilisation de ce type de méthodes explicites et notamment lesschémas ROCK donnent de très bons résultats même si les conditions initialessont peu régulières, ce qui est le cas dans les modèles financiers / The work presented in this thesis is devoted to the study of precise methods forapproximating stochastic differential equations (SDE) or deterministic partialdifferential equations (PDE). The first part is devoted to the development ofbias correction methods in parametric diffusion processes. Three models arestudied in particular : Ornstein-Uhlenbeck, auto-regressive and Movingaverage. At the end of this work, several approximations of bias have beenproposed following two approaches : the first consists in a Taylor developmentof the obtained estimator while the second one relies on a stochastic expansionof the latter.The second part of this thesis deals with the approximation of the heatequation obtained after changing variables from the Black-Scholes model. Likethe vast majority of PDE, this equation does not have an exact solution, sosolutions must be approached using explicit or implicit time schemes. Itis often customary to prefer the use of implicit methods to solve parabolic PDEsuch as the heat equation, but in the past few years, the stabilized explicitRunge-Kutta methods which have the largest possible domains of stabilityalong the negative real axis, are increasingly used. We show that the useof this type of explicit methods and in particular the ROCK (Runge-Orthogonal-Chebyshev-Kutta) schemes give very good results even if the initial conditionsare not very regular, which is the case in the financial models

Le but de cette thèse est d'étudier les trois problèmes suivantes : 1) On s'intéresse à la stabilité des cônes normaux et des sous-différentiels via deux types de convergence d'ensembles et de fonctions : La convergence au sens de Mosco et celle d'Attouch-Wets. Les résultats obtenus peuvent être vus comme une extension du théorème d'Attouch aux fonctions non nécessairement convexes sur des espaces de Banach localement uniformément convexes. 2) Pour une bornologie β donnée sur un espace de Banach X, on étudie la validité de la formule suivante (…). Ici Tβ(C; x) et Tc(C; x) désignent le β -cône tangent et le cône tangent de Clarke à C en x. On montre que si, X x X est ∂β-« trusted » alors cette formule est valable pour tout ensemble fermé non vide C ⊂ X et x ∈ C. Cette classe d'espaces contient les espaces ayant une norme équivalent β-différentiable, etplus généralement les espaces possédant une fonction "bosse" lipschitzienne et β-différentiable). Comme conséquence, on obtient que pour la bornologie de Fréchet, cette formule caractérise les espaces d'Asplund. 3) On examine la convexité des ensembles de Chebyshev. Il est bien connu que, dans un espace normé réflexif ayant la propriété Kadec-Klee, tout ensemble de Chebyshev faiblement fermé est convexe. On démontre que la condition de faible fermeture peut être remplacée par la fermeture faible locale, c'est-à-dire pour tout x ∈ C il existe ∈ > 0 tel que C ∩ B(x, ε) est faiblement fermé. On montre aussi que la propriété Kadec-Klee n'est plus exigée lorsque l'ensemble de Chebyshev est représenté comme une union d'ensembles convexes fermés. / The aim of this thesis is to study the following three problems: 1) We are concerned with the behavior of normal cones and subdifferentials with respect to two types of convergence of sets and functions: Mosco and Attouch-Wets convergences. Our analysis is devoted to proximal, Fréchet, and Mordukhovich limiting normal cones and subdifferentials. The results obtained can be seen as extensions of Attouch theorem to the context of non-convex functions on locally uniformly convex Banach space. 2) For a given bornology β on a Banach space X we are interested in the validity of the following "lim inf" formula (…).Here Tβ(C; x) and Tc(C; x) denote the β-tangent cone and the Clarke tangent cone to C at x. We proved that it holds true for every closed set C ⊂ X and any x ∈ C, provided that the space X x X is ∂β-trusted. The trustworthiness includes spaces with an equivalent β-differentiable norm or more generally with a Lipschitz β-differentiable bump function. As a consequence, we show that for the Fréchet bornology, this "lim inf" formula characterizes in fact the Asplund property of X. 3) We investigate the convexity of Chebyshev sets. It is well known that in a smooth reflexive Banach space with the Kadec-Klee property every weakly closed Chebyshev subset is convex. We prove that the condition of the weak closedness can be replaced by the local weak closedness, that is, for any x ∈ C there is ∈ > 0 such that C ∩ B(x, ε) is weakly closed. We also prove that the Kadec-Klee property is not required when the Chebyshev set is represented by a finite union of closed convex sets.

No description available.

In non-rotating fluids, boundary-layer separation occurs when the nearly inviscid flow just outside a viscous boundary-layer experiences an appreciable deceleration due to a region of adverse pressure gradient. The fluid ceases to flow along the boundary due to a flow recirculation region close to the boundary. The flow is then said to be "detached." In recent decades, attention has shifted to the study of boundary-layer separation in a rotating reference frame due to its significance in Geophysical Fluid Dynamics (GFD). Since the Earth is a rotating sphere, the so-called β-plane approximation f = f0 + βy is often used to account for the inherent meridional variation of the Coriolis parameter, f, while still solving the governing equations on a plane. Numerical simulations of currents on the β-plane have been useful in understanding ocean currents such as the Gulf Stream, the Brazil Current, and the Antarctic Circumpolar Current to name a few. In this thesis, we first consider the problem of prograde flow past a cylindrical obstacle on the β-plane. The problem is governed by the barotropic vorticity equation and is solved using a numerical method that is a combination of a finite difference method and a spectral method. A modified form of the β-plane approximation is proposed to avoid computational difficulties. Results are given and discussed for flow past a circular cylinder at selected Reynolds numbers (Re) and non-dimensional β-parameters (β^). Results are then given and discussed for flow past an elliptic cylinder of a fixed aspect ratio (r = 0.2) and at two angles of inclination (90°, 15°) at selected Re and β^. In general, it is found that the β-effect acts to suppress boundary-layer separation and to allow Rossby waves to form in the exterior flow field. In the asymmetrical case of an inclined elliptic cylinder, the β-effect was found to constrain the region of vortex shedding to a small region near the trailing edge of the cylinder. The shed vortices were found to propagate around the trailing edge instead of in the expected downstream direction, as observed in the non-rotating case. The second problem considered in this thesis is the separation of western boundary currents from a curved coastline. This problem is also governed by the barotropic vorticity equation, and it is solved on an idealized model domain suitable for investigating the effects that boundary curvature has on the tendency of a boundary current to separate. The numerical method employed is a two-dimensional Chebyshev spectral collocation method and yields high order accuracy that helps to better resolve the boundary-layer dynamics in comparison to low-order methods. Results are given for a selection of boundary curvatures, non-dimensional β-parameters (β^), Reynolds numbers (Re), and Munk Numbers (Mu). In general, it is found than an increase in β^ will act to suppress boundary-layer separation. However, a sufficiently sharp obstacle can overcome the β-effect and force the boundary current to separate regardless of the value of β^. It is also found that in the inertial limit (small Mu, large Re) the flow region to the east of the primary boundary current is dominated by strong wave interactions and large eddies which form as a result of shear instabilities. In an interesting case of the inertial limit, strong waves were found to interact with the separation region, causing it to expand and propagate to the east as a large eddy. This idealized the mechanism by which western boundary currents such as the Gulf Stream generate eddies in the world's oceans.

In non-rotating fluids, boundary-layer separation occurs when the nearly inviscid flow just outside a viscous boundary-layer experiences an appreciable deceleration due to a region of adverse pressure gradient. The fluid ceases to flow along the boundary due to a flow recirculation region close to the boundary. The flow is then said to be "detached." In recent decades, attention has shifted to the study of boundary-layer separation in a rotating reference frame due to its significance in Geophysical Fluid Dynamics (GFD). Since the Earth is a rotating sphere, the so-called β-plane approximation f = f0 + βy is often used to account for the inherent meridional variation of the Coriolis parameter, f, while still solving the governing equations on a plane. Numerical simulations of currents on the β-plane have been useful in understanding ocean currents such as the Gulf Stream, the Brazil Current, and the Antarctic Circumpolar Current to name a few. In this thesis, we first consider the problem of prograde flow past a cylindrical obstacle on the β-plane. The problem is governed by the barotropic vorticity equation and is solved using a numerical method that is a combination of a finite difference method and a spectral method. A modified form of the β-plane approximation is proposed to avoid computational difficulties. Results are given and discussed for flow past a circular cylinder at selected Reynolds numbers (Re) and non-dimensional β-parameters (β^). Results are then given and discussed for flow past an elliptic cylinder of a fixed aspect ratio (r = 0.2) and at two angles of inclination (90°, 15°) at selected Re and β^. In general, it is found that the β-effect acts to suppress boundary-layer separation and to allow Rossby waves to form in the exterior flow field. In the asymmetrical case of an inclined elliptic cylinder, the β-effect was found to constrain the region of vortex shedding to a small region near the trailing edge of the cylinder. The shed vortices were found to propagate around the trailing edge instead of in the expected downstream direction, as observed in the non-rotating case. The second problem considered in this thesis is the separation of western boundary currents from a curved coastline. This problem is also governed by the barotropic vorticity equation, and it is solved on an idealized model domain suitable for investigating the effects that boundary curvature has on the tendency of a boundary current to separate. The numerical method employed is a two-dimensional Chebyshev spectral collocation method and yields high order accuracy that helps to better resolve the boundary-layer dynamics in comparison to low-order methods. Results are given for a selection of boundary curvatures, non-dimensional β-parameters (β^), Reynolds numbers (Re), and Munk Numbers (Mu). In general, it is found than an increase in β^ will act to suppress boundary-layer separation. However, a sufficiently sharp obstacle can overcome the β-effect and force the boundary current to separate regardless of the value of β^. It is also found that in the inertial limit (small Mu, large Re) the flow region to the east of the primary boundary current is dominated by strong wave interactions and large eddies which form as a result of shear instabilities. In an interesting case of the inertial limit, strong waves were found to interact with the separation region, causing it to expand and propagate to the east as a large eddy. This idealized the mechanism by which western boundary currents such as the Gulf Stream generate eddies in the world's oceans.

Numerical methods are often required to solve chemical problems, either to verify theoretical models or to access information that is not readily available experimentally. This thesis deals with both situations, though in differing levels of detail. A major component of this thesis is devoted to developing new methods to determine a full eigendecomposition of the matrices derived from "low temperature" unimolecular master equations. When transient behaviour is of interest achieving relative accuracy for more than just the eigenvector corresponding to the smallest eigenvalue is of central importance. Three new methods are presented. The first is based on a weighted implementation of subspace projection methods, in this case explored for the well-known Arnoldi method. This weighted inner product subspace projection methodology is demonstrated to

Numerical methods are often required to solve chemical problems, either to verify theoretical models or to access information that is not readily available experimentally. This thesis deals with both situations, though in differing levels of detail. A major component of this thesis is devoted to developing new methods to determine a full eigendecomposition of the matrices derived from "low temperature" unimolecular master equations. When transient behaviour is of interest achieving relative accuracy for more than just the eigenvector corresponding to the smallest eigenvalue is of central importance. Three new methods are presented. The first is based on a weighted implementation of subspace projection methods, in this case explored for the well-known Arnoldi method. This weighted inner product subspace projection methodology is demonstrated to

Numerical methods are often required to solve chemical problems, either to verify theoretical models or to access information that is not readily available experimentally. This thesis deals with both situations, though in differing levels of detail. A major component of this thesis is devoted to developing new methods to determine a full eigendecomposition of the matrices derived from "low temperature" unimolecular master equations. When transient behaviour is of interest achieving relative accuracy for more than just the eigenvector corresponding to the smallest eigenvalue is of central importance. Three new methods are presented. The first is based on a weighted implementation of subspace projection methods, in this case explored for the well-known Arnoldi method. This weighted inner product subspace projection methodology is demonstrated to

Numerical methods are often required to solve chemical problems, either to verify theoretical models or to access information that is not readily available experimentally. This thesis deals with both situations, though in differing levels of detail. A major component of this thesis is devoted to developing new methods to determine a full eigendecomposition of the matrices derived from "low temperature" unimolecular master equations. When transient behaviour is of interest achieving relative accuracy for more than just the eigenvector corresponding to the smallest eigenvalue is of central importance. Three new methods are presented. The first is based on a weighted implementation of subspace projection methods, in this case explored for the well-known Arnoldi method. This weighted inner product subspace projection methodology is demonstrated to

In diese Dissertation werden lineare retardierte Differentialgleichungen (DDEs) und deren Lösungsoperatoren untersucht. Wir stellen eine neue Methode vor, mit der die Lösungsoperatoren für autonome und nicht-autonome DDEs bestimmt werden. Die neue Methode basiert auf dem Pfadintegralformalismus, der aus der Quantenmechanik und von der Analyse stochastischer Differentialgleichungen bekannt ist. Es zeigt sich, dass die Lösung eines Delaysystems zum Zeitpunkt t durch die Integration aller möglicher Pfade von der Anfangsbedingung bis zur Zeit t gebildet werden kann. Die Pfade bestehen dabei aus verschiedenen Schritten unterschiedlicher Längen und Gewichte. Für skalare autonome DDEs können analytische Ausdrücke des Lösungsoperators in der Literatur gefunden werden, allerdings existieren keine für nicht-autonome oder höherdimensionale DDEs. Mithilfe der neuen Methode werden wir die Lösungsoperatoren der genannten DDEs aufstellen und zusätzlich auf Delaysysteme mit mehreren Delaytermen erweitern. Dabei bestätigen wir unsere Ergebnisse sowohl analytisch wie auch numerisch. Die gewonnenen Lösungsoperatoren verwenden wir anschließend zur Stabilitätsanalyse periodischer Delaysysteme. Es werden zwei neue Verfahren präsentiert, die mithilfe des Lösungsoperators den transformierten Monodromieoperator des Delaysystems nähern und daraus die Stabilität bestimmen können. Beide neue Verfahren sind spektrale Methoden für autonome sowie nicht-autonome Delaysysteme und haben keine Einschränkungen wie bei der bekannten Chebyshev-Kollokationsmethode oder der Chebyshev-Polynomentwicklung. Die beiden bisherigen Verfahren beschränken sich auf Delaysysteme mit rationalem Verhältnis zwischen Periode und Delay. Außerdem werden wir eine bereits bekannte Methode erweitern und zu einer spektralen Methode für periodische nicht-autonome Delaysysteme entwickeln. Wir bestätigen alle drei neue Verfahren numerisch. Damit werden in dieser Dissertation drei neue spektrale Verfahren zur Stabilitätsanalyse periodischer Delaysysteme vorgestellt. / In this thesis linear delay differential equations (DDEs) and its solutions operators are studied. We present a new method to calculate the solution operators for autonomous and non-autonomous DDEs. The new method is related to the path integral formalism, which is known from quantum mechanics and the analysis of stochastic differential equations. It will be shown that the solution of a time delay system at time t can be constructed by integrating over all paths from the initial condition to time t. The paths consist of several steps with different lengths and weights. Analytic expressions for the solution operator for scalar autonomous DDEs can be found in the literature but no results exist for non-autonomous or high dimensional DDEs. With the help of the new method we can calculate the solution operators for such DDEs and for time delay systems with several delay terms. We verify our results analytically and numerically. We use the obtained solution operators for the stability analysis of periodic time delay systems. Two new methods will be presented to approximate the transformed monodromy operator with the help of the solution operator and to get the stability. Both new methods are spectral methods for autonomous and non-autonomous delay systems and have no limitations like the known Chebyshev collocation method or Chebyshev polynomial expansion. Both previously known methods are limited to time delay systems with a rational relation between period and delay. Furthermore we will extend a known method to a spectral method for non-autonomous time delay systems. We verify all three new methods numerically. Hence, in this thesis three new spectral methods for the stability analysis of periodic time delay systems are presented.