Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues of subprime residential mortgage loan (RML) securitization in discrete-, continuous-and discontinuous-time and their connections with the SMC. In this regard, the main issues to be addressed are discussed in Chapters 2, 3 and 4. In Chapter 2, we investigate the risk allocation choices of an investing bank (IB) that has to decide between risky securitized subprime RMLs and riskless Treasuries. This issue is discussed in a discrete-time framework with IB being considered to be regret- and risk-averse before and during the SMC, respectively. We conclude that if IB takes regret into account it will be exposed to higher risk when the difference between the expected returns on securitized subprime RMLs and Treasuries is small. However, there is low risk exposure when this difference is high. Furthermore, we assess how regret can influence IB's view - as a swap protection buyer - of the rate of return on credit default swaps (CDSs), as measured by the premium based on default swap spreads. We find that before the SMC, regret increases IB's willingness to pay lower premiums for CDSs when its securitized RML portfolio is considered to be safe. On the other hand, both risk- and regret-averse IBs pay the same CDS premium when their securitized RML portfolio is considered to be risky. Chapter 3 solves a stochastic optimal credit default insurance problem in continuous-time that has the cash outflow rate for satisfying depositor obligations, the investment in securitized loans and credit default insurance as controls. As far as the latter is concerned, we compute the credit default swap premium and accrued premium by considering the credit rating of the securitized mortgage loans. In Chapter 4, we consider a problem of IB investment in subprime residential mortgage-backed securities (RMBSs) and Treasuries in discontinuous-time. In order to accomplish this, we develop a Levy process-based model of jump diffusion-type for IB's investment in subprime RMBSs and Treasuries. This model incorporates subprime RMBS losses which can be associated with credit risk. Furthermore, we use variance to measure such risk, and assume that the risk is bounded by a certain constraint. We are now able to set-up a mean-variance optimization problem for IB's investment which determines the optimal proportion of funds that needs to be invested in subprime RMBSs and Treasuries subject to credit risk measured by the variance of IE's investment. In the sequel, we also consider a mean swaps-at-risk (SaR) optimization problem for IB's investment which determines the optimal portfolio which consists of subprime RMBSs and Treasuries subject to the protection by CDSs required against the possible losses. In this regard, we define SaR as indicative to IB on how much protection from swap protection seller it must have in order to cover the losses that might occur from credit events. Moreover, SaR is expressed in terms of Value-at-Risk (VaR). Finally, Chapter 5 provides an analysis of discrete-, continuous- and discontinuous-time models for subprime RML securitization discussed in the aforementioned chapters and their connections with the SMC. The work presented in this thesis is based on 7 peer-reviewed international journal articles (see [25], [44], [45], [46], [47], [48] and [55]), 4 peer-reviewed chapters in books (see [42], [50j, [51J and [52]) and 2 peer-reviewed conference proceedings papers (see [11] and [12]). Moreover, the article [49] is currently being prepared for submission to an lSI accredited journal. / Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2010.

Title: Fluid-structure interaction of compressible flow Author: RNDr. Jaroslava Hasnedlová Department: Department of Numerical Mathematics, Institute of Applied Mathematics Supervisors: Prof. RNDr. Miloslav Feistauer, DrSc., Dr. h. c., Prof. Dr. Dr. h. c. Rolf Rannacher Supervisors' e-mail addresses: feist@karlin.mff.cuni.cz, rannacher@iwr.uni-heidelberg.de Abstract: The presented work is split into two parts. The first part is devoted to the theory of the discontinuous Galerkin finite element (DGFE) method for the space-time discretization of a nonstationary convection-diffusion initial-boundary value problem with nonlinear convection and linear diffusion. The DGFE method is applied sep- arately in space and time using, in general, different space grids on different time levels and different polynomial degrees p and q in space and time discretization. The main result is the proof of error estimates in L2 (L2 )-norm and in DG-norm formed by the L2 (H1 )-seminorm and penalty terms. The second part of the thesis deals with the realization of fluid-structure interaction problem of the compressible viscous flow with the elastic structure. The time-dependence of the domain occupied by the fluid is treated by the ALE (Arbitrary Lagrangian-Eulerian) method, when the compress- ible Navier-Stokes equations are formulated in...

Beaucoup de méthodes numériques ont été développées pour résoudre l'équation de Vlasov, car obtenir des simulations numériques précises en un temps raisonnable pour cette équation est un véritable défi. Cette équation décrit en effet l'évolution de la fonction de distribution de particules (électrons/ions) qui dépend de 3 variables d'espace, 3 variables de vitesse et du temps. L'idée principale de cette thèse est de réécrire l'équation de Vlasov sous forme d'un système hyperbolique par semi-discrétisation en vitesse. Cette semi-discrétisation est effectuée par méthode d'éléments finis. Le modèle ainsi obtenu est appelé équation de Vlasov réduite. Nous proposons différentes méthodes numériques pour résoudre efficacement ce modèle: méthodes des volumes finis, méthodes semi-Lagrangiennes et méthodes Galerkin discontinus. / Many numerical methods have been developed in order to selve the Vlasov equation, because computing precise simulations in a reasonable time is a real challenge. This equation describes the time evolution of the distribution function of charged particles (electrons/ions), which depends on 3 variables in space, 3 in velocity and time. The main idea of this thesis is to rewrite the Vlasov equation in the form of a hyperbolic system using a semi-discretization of the velocity. This semi-discretization is achieved using the finite element method. The resulting model is called the reduced Vlasov equation. We propose different numerical methods to salve this new model efficiently: finite volume methods, semi-Lagrangian methods and discontinuous Galerkin methods.

O principal objetivo deste estudo é descrever modelos para séries temporais de ativos financeiros que sejam robustos às tradicionais hipóteses: distribuição gaussiana e continuidade. O primeiro capítulo está preocupado em apresentar, de uma maneira geral, os conceitos matemáticos mais importantes relacionadas a processos estocásticos e difusões. O segundo capítulo trata de processos de incrementos independentes e estacionários, i.e., processos de Lévy, suas trajetórias estocásticas, propriedades distribucionais e, a relação entre processos markovianos e martingales. Alguns dos resultados apresentados neste capítulo são: a estrutura e as propriedades dos processos compostos de Poisson, medida de Lévy, decomposição de Lévy-Itô e representação de Lévy-Khinchin. O terceiro capítulo mostra como construir processos de Lévy por meio de transformações lineares, inclinação da medida de Lévy e subordina ção. Uma atenção especial é dada aos processos subordinados, tais como os modelos variância gama, normal gaussiana invertida e hiperbólico generalizado. Neste capítulo também é apresentado um exemplo pragmático com dados brasileiros de estimação de parâmetros por meio do método de máxima Verossimilhança. O quarto capítulo é devotado aos modelos multidimensionais e, introduz os conceito de cópula ordinária e de Lévy. Mostra-se que é possível caracterizar a dependência entre os componentes de um processo de Lévy multidimensional por meio da cópula de Lévy. Entre os resultados apresentados estão as generalizações do teorema de Sklar e a família de cópulas de Arquimedes aos processos de Lévy. Este capítulo também apresenta alguns exemplos que utilizam métodos de Monte Carlo, para simular processos de Lévy bidimensionais. / The main objective of this study is to describe models for financial assets time series that are robust to the traditional hypothesis: gaussian distributed and continuity. The first chapter are devoted to introduce the most important mathematical tools related to difusions and stochastic processes in general. The second chapter is concerned in the study of independent and stationary increments, i.e., Lévy processes, their sample paths behavior, distributional properties, and the relation to Markov and martingales processes. Some of the results presented are the structure and properties of a compound Poisson processes, Lévy measure, Lévy-Itô decomposition and Lévy-Khinchin representation. The third chapter demonstrates how to construct Lévy processes via linear transformation, tempering the Lévy measure and subordination. A special attention is given to several types of subordinated processes, comprising the variance gamma, the normal inverse gaussian and the generalized hyperbolic models. A pragmatic example of parameter estimation for brazilian data using the method of maximum likelihood is also given. Chapter four is devoted to multidimensional models, which introduces the notion of ordinary and Lévy copulas. It is shown that modelling via Lévy copula it is possible to characterize the dependence among components of multidimensional Lévy processes. Some of the results presented are generalizations of the Sklar’s theorem and the Archmedian family of copulas for Lévy processes. This chapter also presents some examples using Monte Carlo methods for simulating bidimensional Lévy processes.

Experience Mapping based Prediction Control (EMPC) is a new type of controller presented in literature, which is based on the concept of Human Motor Control (HMC). During the developmental phase, called the initial learning phase, the controller records the experience in a knowledge base, through online interactions with the system to be controlled. This knowledge base created using the experience maps is termed as Experience Mapped Knowledge Base (EMK). The controller envisages the development of EMK only through interaction with the system, without the need for knowledge of the detailed plant model. The EMPC controls the system through prediction of actions based on the mapped experiences of EMK. Depending on the nature of control required for the system chosen, various strategies can be used to achieve control using the EMK. The above controller has previously been utilized for motion control applications. In the present work an effort has been made to study the suitability of the EMPC for the voltage regulation of switching converters. The plant chosen for the control study is a discontinuous conduction mode (DCM) buck converter. The parameter to be monitored for the purpose of control is the load voltage. The control input from the EMPC to the converter is a duty ratio value based pulse-width modulated (PWM) signal. Two strategies of control have been proposed: steady state control and transient control. Steady state control action maintains the steady state output voltage at the required value for a given load. The transient control action is used to improve the transient performance of the system. Iterative predictive action and iterative transient actions are used to facilitate convergence of the output voltage to within the required range in presence of non-linearities and uncertainties in the system. Impulse action is introduced to further improve the transient performance of the system. The EMPC is compared a proportional-integral (PI) controller for the given DCM buck system.

Cette thèse étudie le raffinement local de maillage à la fois en espace et en temps pour l’équation de l’elastodynamique du second ordre pour le calcul haute performance. L’objectif est de mettre en place des méthodes numériques pour traiter des hétérogénéités de petite taille ayant un impact important sur la propagation des ondes. Nous utilisons une approche par éléments finis de Galerkin discontinus avec pénalisation pour leur flexibilité et facilité de parallélisation. La formulation éléments finis que nous proposons a pour particularité d’être élasto-acoustique, pour pouvoir prendre en compte des hétérogénéités acoustiques de petite taille. Par ailleurs, nous proposons un terme de pénalisation optimisé qui est mieux adapté à l’équation de l’élastodynamique, conduisant en particulier à une meilleure condition CFL. Nous avons aussi amélioré une formulation PML du second ordre pour laquelle nous avons proposé une nouvelle discrétisation temporelle qui rend la formulation plus stable. En tirant parti de la p-adaptivité et des maillages non-conformes des méthodes de Galerkin discontinues combiné à une méthode de pas de temps local, nous avons grandement réduit le coût du raffinement local. Ces méthodes ont été implémentées en C++, en utilisant des techniques de template metaprogramming, au sein d’un code parallèle à mémoire distribuée (MPI) et partagée (OpenMP). Enfin, nous montrons le potentiel de notre approche sur des cas tests de validation et sur des cas plus réalistes avec des milieux présentant des hydrofractures. / This thesis studies local mesh refinement both in time and space for the second order elastodynamic equation in a high performance computing context. The objective is to develop numerical methods to treat small heterogeneities that have global impact on wave propagation. We use an internal penalty discontinuous Galerkin finite element approach for its flexibity and parallelization capabilities. The elasto-acoustic finite element formulation we discuss is elasto-acoustic in order to handle local acoustic heterogeneities. We also propose an optimized penalty term more suited to the elastodynamic equation that results in better CFL condition. We improve a second order PML formulation with an original time discretization that results in a more stable formulation. Using the p-adaptivity and nonconforming mesh capabilities of discontinuous Galerkin methods combined with a local time stepping method, we greatly reduce the high computational cost of local refinements. These methods have been implemented in C++, using template metaprogramming, in a distributed memory (MPI) and shared memory (OpenMP) parallel code. Finally, we show the potential of our methods on validation test cases and on more realistic test cases with medium including hydrofractures.

Cette thèse traite des équations de Maxwell en domaine temporel. Le principal objectif est de proposer des méthodes de type éléments finis d'ordre élevé pour les équations de Maxwell et des schémas d'intégration en temps efficaces sur des maillages localement raffinés. Nous considérons des méthodes GDDT (Galerkine Discontinues en Domaine Temporel) s'appuyant sur une interpolation polynomiale d'ordre arbitrairement élevé des composantes du champ électromagnétique. Les méthodes GDDT pour les équations de Maxwell s'appuient le plus souvent sur des schémas d'intégration en temps explicites dont la condition de stabilité peut être très restrictive pour des maillages raffinés. Pour surmonter cette limitation, nous considérons des schémas en temps qui consistent à appliquer un schéma implicite localement, dans les régions raffinées, tout en préservant un schéma explicite sur le reste du maillage. Nous présentons une étude théorique complète et une comparaison de deux méthodes GDDT localement implicites. Des expériences numériques en 2D et 3D illustrent l'utilité des schémas proposés. Le traitement numérique de milieux de propagation complexes est également l'un des objectifs. Nous considérons l'interaction des ondes électromagnétiques avec les tissus biologiques qui est au cœur de nombreuses applications dans le domaine biomédical. La modélisation numérique nécessite alors de résoudre le système de Maxwell avec des modèles appropriés de dispersion. Nous formulons une méthode GDDT localement implicite pour le modèle de Debye et proposons une analyse théorique et numérique complète du schéma. / This work deals with the time-domain formulation of Maxwell's equations. The main objective is to propose high-order finite element type methods for the discretization of Maxwell's equations and efficient time integration methods on locally refined meshes. We consider Discontinuous Galerkin Time-Domain (DGTD) methods relying on an arbitrary high-order polynomial interpolation of the components of the electromagnetic field. Existing DGTD methods for Maxwell's equations often rely on explicit time integration schemes and are constrained by a stability condition that can be very restrictive on highly refined meshes. To overcome this limitation, we consider time integration schemes that consist in applying an implicit scheme locally i.e. in the refined regions of the mesh, while preserving an explicit scheme in the complementary part. We present a full theoretical study and a comparison of two locally implicit DGTD methods. Numerical experiments for 2D and 3D problems illustrate the usefulness of the proposed time integration schemes. The numerical treatment of complex propagation media is also one of the objectives. We consider the interaction of electromagnetic waves with biological tissues that is of interest to applications in biomedical domain. Numerical modeling then requires to solve the system of Maxwell's equations coupled to appropriate models of physical dispersion. We derive a locally implicit DGTD method for the Debye model and we achieve a full theoretical and numerical analysis of the resulting scheme.

Lors d’un lancement spatial, le bruit des jets supersoniques chauds, générés par les moteurs-fusées au décollage et en interaction avec le pas de tir, est dommageable pour le lanceur et en particulier sa charge utile. Par conséquent, les acteurs du spatial cherchent à renforcer leur compréhension et leur maîtrise de cette ambiance acoustique, entre autres grâce à des méthodes et outils numériques. Toutefois, ils ne disposent pas d’une approche numérique globale capable de prendre en compte simultanément la génération fidèle du bruit, la propagation acoustique non-linéaire, les effets d’installation complexes et les géométries réalistes, pourtant inhérents aux applications spatiales. Dans cette optique, cette étude consiste à mettre en place et valider une méthodologie de simulation numérique par couplage fort Navier-Stokes − Euler, puis à l’appliquer à des cas réalistes de bruit de jet supersonique. L’objectif est d’affiner les capacités de prévision et de contribuer à la compréhension des mécanismes de génération de bruit dans de tels jets. Le solveur Navier-Stokes repose sur une méthode LES sur maillage non-structuré et le solveur acoustique sur une méthode de Galerkine discontinue d’ordre élevé sur maillage non-structuré. La méthodologie est tout d’abord évaluée sur des cas académiques visant à valider la simulation par couplage fort. Après des calculs préliminaires, la méthodologie est appliquée à la simulation du bruit d’un jet libre supersonique à Mach 3.1. Une méthode de déclenchement géométrique de la turbulence est implémentée sous la forme d’une marche à la paroi de la tuyère. La simulation aboutit à des estimations du bruit très proches des mesures réalisées au banc MARTEL et met en évidence des effets non-linéaires significatifs ainsi qu’un mécanisme singulier de rayonnement des ondes de Mach. Dans une démarche de progression vers des cas toujours plus réalistes, l’ensemble de l’approche numérique est finalement adaptée avec succès à la simulation du bruit d’un jet en présence d’un carneau. À terme, elle pourra être étendue à des configurations multi-jets réactifs, avec injection d’eau, voire à l’échelle 1. / During a space launch, the noise from hot supersonic jets, generated by rocket engines at liftoff and interacting with the launch pad, is harmful to the launcher and in particular its payload. Consequently, space actors are seeking to strengthen their understanding and control of this acoustic environment through numerical methods and tools, among the others. However, they do not dispose of a comprehensive numerical strategy that can simultaneously take into account accurate noise generation, nonlinear acoustic propagation, complex installation effects and realistic geometries, which are inherent to space applications. For this purpose, the present study consists in setting up and validating a numerical simulation methodology using a Navier-Stokes − Euler two-way coupling approach, then applying it to realistic cases of supersonic jet noise in order to improve prediction capabilities and contribute to the understanding of the noise generation mechanisms in such jets. The Navier-Stokes solver is based on an LES method on unstructured mesh and the acoustic solver on a high-order discontinuous Galerkin method on unstructured mesh. The methodology is first assessed on academic cases to validate the use of the two-way coupling. After preliminary computations, the methodology is applied to the simulation of the noise from a supersonic free jet at Mach 3.1. A geometric turbulence tripping method is implemented via a step at the nozzle wall. The computation leads to noise predictions very close to the experimental measurements performed at the MARTEL test bench and highlights significant nonlinear effects as well as a quite particular Mach waves radiation mechanism. Targeting even more realistic cases, the entire numerical approach is finally successfully adapted to the simulation of the noise from a supersonic jet configuration including a flame trench. In the future, it may be extended to configurations with clustered reactive jets, water injection devices or even at full scale.

The diploma thesis is describing how forward converter works. The diploma thesis presents the function of forward converter with demagnetizing winding and presents the function of two-switched forward converter. The diploma thesis descibes the behaviour of continuous current mode and discontinuous current mode. The diploma thesis explains the reasons for implementation feedback and presents the basic types of compensations. The project deals with AC analysis of two-switched forward converter with continuous peak current mode control. The Analog prototyping metod is used for digital control design. The function of the converter was tested in laboratory. The laboratory results have been compared with the theoretical and the simulation results.

Cette thèse porte sur la modélisation et la discrétisation d’écoulements Darcy dans les milieux poreux fracturés. Nous suivons l’approche des modèles, dits à dimensions hybrides, qui représentent les réseaux de fractures comme des surfaces de codimension 1 immergées dans la matrice. Les modèles considérés prennent en compte les interactions entre matrice et fractures et permettent de traiter des fractures agissant comme conduites ou comme barrières, ce que nécessite de prendre en compte les sauts de pression aux interfaces matrice-fracture. Dans le cas des écoulements diphasiques, nous proposons des modèles, qui prennent en compte les sauts de saturations aux interfaces matrice-fracture, dû à la capillarité. L’analyse numérique est menée dans le cadre général de la méthode de discrétisations gradients, qui est étendue aux modèles considérés. Deux familles de schémas numériques, le schéma Vertex Approximate Gradient et le schéma Volumes Finis Hybrides sont adaptées aux modèles à dimensions hybrides. On prouve via des résultats de densité que ce sont des schémas gradients, pour lesquels la convergence est établie. En diphasique, l’existence d’une solution est obtenue en passant. Plusieurs cas tests sont présentés. En monophasique, on observe la convergence sur des différents types de mailles pour une famille de solutions dans un milieux fracturé hétérogène et anisotrope. En diphasique, nous présentons une série de cas tests afin de comparer les modèles à dimensions hybrides au modèle de référence, dans lequel les fractures ont la même dimension que la matrice. A part quantifier le gain en performance de calcul, ces tests montrent la qualité des différents modèles réduits. / This thesis investigates the modelling of Darcy flow through fractured porous media and its discretization on general polyhedral meshes. We follow the approach of hybrid dimensional models, invoking a complex network of planar fractures. The models account for matrix-fracture interactions and fractures acting either as drains or as barriers, i.e. we have to deal with pressure discontinuities at matrix-fracture interfaces. In the case of two phase flow, we present two models, which permit to treat gravity dominated flow as well as discontinuous capillary pressure at the material interfaces. The numerical analysis is performed in the general framework of the Gradient Discretisation Method, which is extended to the models under consideration. Two families of schemes namely the Vertex Approximate Gradient scheme (VAG) and the Hybrid Finite Volume scheme (HFV) are detailed and shown to fit in the gradient scheme framework, which yields, in particular, convergence. For single phase flow, we obtain convergence of order 1 via density results. For two phase flow, the existence of a solution is obtained as a byproduct of the convergence analysis. Several test cases are presented. For single phase flow, we study the convergence on different types of meshes for a family of solutions. For two phase flow, we compare the hybrid-dimensional models to the reference equidimensional model, in which fractures have the same dimension as the matrix. This does not only provide quantitative evidence about computational gain, but also leads to deep insight about the quality of the proposed reduced models.