Pagrindinė šios disertacijos tema - stochastinių diferencialinių lygčių (SDL), valdomų trupmeninio Brauno judesio (tBj), sprendinių Hursto indekso H vertinimas. Pirmiausia disertacijoje išnagrinėta SDL, valdomų tBj, sprendinių pirmos ir antros eilės kvadratinių variacijų ribinė elgsena. Iš šių rezultatų seka keli stipriai pagrįsti Hursto indekso H įvertiniai. Įrodyta, kad šie įvertiniai išlieka stipriai pagrįsti, jei tikra sprendinio trajektorija keičiama jos Milšteino aproksimacija. Taip pat išnagrinėtos pokyčių santykio (increment ratios) statistikos H įvertinio, gauto J. M. Bardeto ir D. Surgailio 2010 m., taikymo trupmeninio geometrinio Brauno judesio Hursto indekso vertinimui galimybės bei nustatytas modifikuoto Gladyševo H įvertinio konvergavimo į tikrąją parametro reikšmę greitis. Gauti įvertiniai palyginti su kai kuriais kitais žinomais Hursto indekso H įvertiniais: naiviais bei mažiausių kvadratų Gladyševo ir eta-sumavimo osciliacijos įvertiniais, variogramos įvertiniu ir pokyčių santykio statistikos įvertiniu. Įvertiniu elgsena buvo palyginta trupmeniniam Ornšteino-Ulenbeko (OU) procesui bei trupmeniniam geometriniam Brauno judesiui (gBj). Pradinės išvados buvo padarytos O-U procesui, kuris yra Gauso, o gBj procesas buvo naudojamas patikrinti, kaip šie įvertiniai elgiasi, kai procesas yra ne Gauso. Disertaciją sudaro įvadas, 3 pagrindiniai skyriai, išvados, literatūros sąrašas, autoriaus publikacijų disertacijos tema sąrašas ir du priedai. / The main topic of this dissertation is the estimation of the Hurst index H of the solutions of stochastic differential equations (SDEs) driven by the fractional Brownian motion (fBm). Firstly, the limit behavior of the first and second order quadratic variations of the solutions of SDEs driven by the fBm is analyzed. This yields several strongly consistent estimators of the Hurst index H. Secondly, it is proved that in case the solution of the SDE is replaced by its Milstein approximation, the estimators remain strongly consistent. Additionally, the possibilities of applying the increment ratios (IR) statistic based estimator of H originally obtained by J. M. Bardet and D. Surgailis in 2010 to the fractional geometric Brownian motion are examined. Furthermore, this dissertation derives the convergence rate of the modified Gladyshev's estimator of the Hurst index to its real value. The estimators obtained in the dissertation were compared with several other known estimators of the Hurst index H, namely the naive and ordinary least squares Gladyshev and eta-summing oscillation estimators, the variogram estimator and the IR estimator. The models chosen for comparison of these estimators were the fractional Ornstein-Uhlenbeck (O-U) process and the fractional geometric Brownian motion (gBm). The initial inference about the behavior of these estimators was drawn for the O-U process which is Gaussian, while the gBm process was used to check how the estimators behave in a... [to full text]

The main topic of this dissertation is the estimation of the Hurst index H of the solutions of stochastic differential equations (SDEs) driven by the fractional Brownian motion (fBm). Firstly, the limit behavior of the first and second order quadratic variations of the solutions of SDEs driven by the fBm is analyzed. This yields several strongly consistent estimators of the Hurst index H. Secondly, it is proved that in case the solution of the SDE is replaced by its Milstein approximation, the estimators remain strongly consistent. Additionally, the possibilities of applying the increment ratios (IR) statistic based estimator of H originally obtained by J. M. Bardet and D. Surgailis in 2010 to the fractional geometric Brownian motion are examined. Furthermore, this dissertation derives the convergence rate of the modified Gladyshev’s estimator of the Hurst index to its real value. The estimators obtained in the dissertation were compared with several other known estimators of the Hurst index H, namely the naive and ordinary least squares Gladyshev and eta-summing oscillation estimators, the variogram estimator and the IR estimator. The models chosen for comparison of these estimators were the fractional Ornstein-Uhlenbeck (O-U) process and the fractional geometric Brownian motion (gBm). The initial inference about the behavior of these estimators was drawn for the O-U process which is Gaussian, while the gBm process was used to check how the estimators behave in a... [to full text] / Pagrindinė šios disertacijos tema – stochastinių diferencialinių lygčių (SDL), valdomų trupmeninio Brauno judesio (tBj), sprendinių Hursto indekso H vertinimas. Pirmiausia disertacijoje išnagrinėta SDL, valdomų tBj, sprendinių pirmos ir antros eilės kvadratinių variacijų ribinė elgsena. Iš šių rezultatų seka keli stipriai pagrįsti Hursto indekso H įvertiniai. Įrodyta, kad šie įvertiniai išlieka stipriai pagrįsti, jei tikra sprendinio trajektorija keičiama jos Milšteino aproksimacija. Taip pat išnagrinėtos pokyčių santykio (increment ratios) statistikos H įvertinio, gauto J. M. Bardeto ir D. Surgailio 2010 m., taikymo trupmeninio geometrinio Brauno judesio Hursto indekso vertinimui galimybės bei nustatytas modifikuoto Gladyševo H įvertinio konvergavimo i tikrąją parametro reikšme greitis. Gauti įvertiniai palyginti su kai kuriais kitais žinomais Hursto indekso H įvertiniais: naiviais bei mažiausių kvadratų Gladyševo ir eta-sumavimo osciliacijos įvertiniais, variogramos įvertiniu ir pokyčių santykio statistikos įvertiniu. Įvertinių elgsena buvo palyginta trupmeniniam Ornšteino-Ulenbeko (OU) procesui bei trupmeniniam geometriniam Brauno judesiui (gBj). Pradinės išvados buvo padarytos O-U procesui, kuris yra Gauso, o gBj procesas buvo naudojamas patikrinti, kaip šie įvertiniai elgiasi, kai procesas yra ne Gauso. Disertaciją sudaro įvadas, 3 pagrindiniai skyriai, išvados, literatūros sąrašas, autoriaus publikacijų disertacijos tema sąrašas ir du priedai.

In this thesis the properties of proteins and membranes are studied by molecular dynamics simulations. The subject is decomposed into parts addressing free energy calculations in proteins, mechanical inclusion models for lipid bilayers, phase transitions and structural correlations in lipid bilayers and atomistic lipid bilayer models. The work is based on results from large scale computer simulations, quantum mechanical and continuum models. Efficient statistical sampling and the coarseness of the models needed to describe the ordered and disordered states are of central concern. Classical free energy calculations of zinc binding, in metalloproteins, require a quantum mechanical correction in order to obtain realistic binding energies. Classical electrostatic polarisation will influence the binding energy in a large region surrounding the ion and produce reasonable equilibrium structures in the bound state, when compared to experimental evidence. The free energy for inserting a protein into a membrane is calculated with continuum theory. The free energy is assumed quadratic in the mismatch and depend on two elastic constants of the membrane. Under these circumstances, the free energy can then be written as a line tension multiplied by the circumference of the membrane inclusion. The inclusion model and coarse grained particle simulations of the membranes show that the thickness profile around the protein will be an exponentially damped oscillation. Coarse-grained particle simulations of model membranes containing mixtures of phospholipid and cholesterol molecules at different conditions were performed. The gel-to-liquid crystalline phase transition is successively weakened with increasing amounts of cholesterol without disappearing even at a concentration of cholesterol as high as 60%. A united atom parameterization of diacyl lipids was constructed. The aim was to construct a new force field that retains and improves the good agreement for the fluid phase and at the same time produces a gel phase at low temperatures, with properties coherent with experimental findings. The global bilayer tilt obtains an azimuthal value of 31◦ and is aligned between lattice vectors in the bilayer plane. It is also shown that the model yield a correct heat of melting as well as heat capacities in the fluid and gel phase of DPPC. / <p>QC 20140919</p>

The analytical solution of a given inhomogeneous boundary value problem of a linear, elliptic, inhomogeneous partial differential equation and a set of inhomogeneous mixed Dirichlet- and Neumann-type boundary conditions is derived in the present paper. In the context of elasticity theory, the problem arises for a non-conservative symmetric ansatz and an extended constitutive law shown earlier. For convenient user application, the scalar function expressed in cylindrical coordinates is primarily obtained for the general case before being expatiated on a special case of linear boundary conditions.

In addition to previous publications, the paper presents the analytical solution of a special boundary value problem which arises in the context of elasticity theory for an extended constitutive law and a non-conservative symmetric ansatz. Besides deriving the general analytical solution, a specific form for linear boundary conditions is given for user convenience.

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / In this thesis we present a proof of the Malgrange-Ehrenpreis theorem, which states that every operator with constant coefficients non identically zero has a fundamental solution. / Nessa dissertação apresentamos uma demonstração do Teorema de Malgrange-Ehrenpreis, que afirma que todo operador de coeficientes constantes não identicamente nulo tem uma solução fundamental.

A tese apresenta um método para a solução dos problemas do valor inicial (PVIs) com margens de erro comparáveis às de métodos numéricos consagrados (MN), tanto para a função quanto para suas derivadas. O método é aplicável a equações diferenciais (EDs) lineares ou não, sendo o ferramental desenvolvido até a quarta ordem, que pode ser expandido para ordens superiores. A solução é uma expressão polinomial de alto grau com coeficientes expressos pela razão entre dois inteiros. O método se mostra eficaz mesmo em alguns casos em que os MN não conseguiram dar a partida. As resoluções são obtidas considerando que o espaço de soluções é um espaço de Hilbert, equipado com a base completa dos polinômios de Legendre. Em decorrência do método aqui desenvolvido, os majorantes de erros para a função e derivadas são determinados analiticamente por um cálculo matricial também deduzido nesta tese. Paralelamente a toda fundamentação analítica, foi desenvolvido o software SAM, que automatiza todas as tarefas na busca de soluções dos PVIs. A tese propõe e verifica a validade de um novo critério de erro no qual pesam tanto os erros locais quanto os erros globais, simultaneamente. Como subprodutos dos resultados já descritos, igualmente integrados ao SAM, obtiveram-se também: (1) Um critério objetivo para analisar a qualidade de um MN, sem necessidade do conhecimento de seu algoritmo; (2) Uma ferramenta para aproximações polinomiais de alta precisão para funções de quadrado integrável em determinado intervalo limitado, com um majorante de erro; (3) Um ferramental analítico para transposição genérica (linear ou não) dos PVIs até 4ª ordem, nas mudanças de domínio; (4) As matrizes de integração e diferenciação genéricas para todas as bases polinomiais do espaço de Hilbert. / This thesis shows a new method to get polynomial solutions to the initial value problems (IVP), with an error margin comparable to the consecrate numerical methods (NM), for both the function and its derivatives. The method works with differential equations (DEs) linear or not, beeing the developed tolls available until 4th order, whose can be expanded to higher orders. The solution is a polynomial high degree expression with coefficients expressed by the ratio between two integers. The method behaves efficiently even in some cases that NM cannot get started. The resolutions are gotten considering that, the solution space is a Hilbert space, equipped with a complete set basis of Legendre Polynomials. Due the method here developed, the errors majoratives for the function and its derivatives are found analytically by a matrix calculus, also derived in this thesis. Beside all analytical foundation, a software (SAM) was developed to automate the whole process, joining all the tasks involved in the search for solutions to the IVP. This thesis proposes, verifies and validates a new error criterion, which takes in account simultaneously the local and global errors. As sub-products of the results described before, also integrated to the SAM, the following achievements should be highlighted: (1) An objective criterion to analyze the quality of any NM, despite of the knowledge of its algorithm; (2) A tool for a polynomial approximation, of high precision, for functions whose square is integrable in a given limited domain, with an errors majorative; (3) A tool-kit for a generically transpose (linear or not) of the IVPs domain and form, taking into account its derivatives, until the 4th order; (4) The generic matrices for integration and differentiation for all the polynomial basis of the Hilbert space.

Cette thèse traite des équations différentielles stochastiques rétrogrades réfléchies du second ordre dans une filtration générale . Nous avons traité tout d'abord la réflexion à une barrière inférieure puis nous avons étendu le résultat dans le cas d'une barrière supérieure. Notre contribution consiste à démontrer l'existence et l'unicité de la solution de ces équations dans le cadre d'une filtration générale sous des hypothèses faibles. Nous remplaçons la régularité uniforme par la régularité de type Borel. Le principe de programmation dynamique pour le problème de contrôle stochastique robuste est donc démontré sous les hypothèses faibles c'est à dire sans régularité sur le générateur, la condition terminal et la barrière. Dans le cadre des Équations Différentielles Stochastiques Rétrogrades (EDSRs ) standard, les problèmes de réflexions à barrières inférieures et supérieures sont symétriques. Par contre dans le cadre des EDSRs de second ordre, cette symétrie n'est plus valable à cause des la non linéarité de l'espérance sous laquelle est définie notre problème de contrôle stochastique robuste non dominé. Ensuite nous un schéma d'approximation numérique d'une classe d'EDSR de second ordre réfléchies. En particulier nous montrons la convergence de schéma et nous testons numériquement les résultats obtenus. / This thesis deals with the second-order reflected backward stochastic differential equations (2RBSDEs) in general filtration. In the first part , we consider the reflection with a lower obstacle and then extended the result in the case of an upper obstacle . Our main contribution consists in demonstrating the existence and the uniqueness of the solution of these equations defined in the general filtration under weak assumptions. We replace the uniform regularity by the Borel regularity(through analytic measurability). The dynamic programming principle for the robust stochastic control problem is thus demonstrated under weak assumptions, that is to say without regularity on the generator, the terminal condition and the obstacle. In the standard Backward Stochastic Differential Equations (BSDEs) framework, there is a symmetry between lower and upper obstacles reflection problem. On the contrary, in the context of second order BSDEs, this symmetry is no longer satisfy because of the nonlinearity of the expectation under which our robust stochastic non-dominated stochastic control problem is defined. In the second part , we get a numerical approximation scheme of a class of second-order reflected BSDEs. In particular we show the convergence of our scheme and we test numerically the results.

Made available in DSpace on 2014-06-11T19:26:56Z (GMT). No. of bitstreams: 0 Previous issue date: 2010-02-19Bitstream added on 2014-06-13T18:47:53Z : No. of bitstreams: 1 prado_ef_me_sjrp.pdf: 346611 bytes, checksum: 28c34647c269c1cbaea17d3787faa4cf (MD5) / Neste trabalho vamos estudar equações diferenciais ordinárias e analisar seu comportamento ao longo de suas trajetórias, com o principal objetivo de encontar, caso possível, uma função de Lyapunov apropriada para o sistema, isto é, dar condição suficiente e necessária para a existência dessa função. / In this work we study ordinary differential equations and analyse the behavior along of trajectories. The main goal is to find Lyapunov functions for the system when possibel: i e, we want to find necessary and sufficient conditions for the existence of those.

Made available in DSpace on 2014-06-11T19:26:56Z (GMT). No. of bitstreams: 0 Previous issue date: 2005-02-25Bitstream added on 2014-06-13T20:27:30Z : No. of bitstreams: 1 dippolito_km_me_sjrp.pdf: 838424 bytes, checksum: 9eb5d64b517c6606a595f44d889f6cd5 (MD5) / Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq) / O objetivo deste trabalho þe apresentar um estudo sobre a aplicação de métodos numéricos para a resolução do modelo proposto por Barcelos, Boaventura e Silva Jr. [7], para a eliminação de ruídos em imagens digitais por meio de uma equação diferencial parcial, e propor uma anþalise da estabilidade do mþetodo iterativo comumente aplicado a este modelo. Uma anþalise comparativa entre os vários mþetodos abordados þe realizada atravþes de resultados experimentais em imagens sintéticas e imagens da vida real. / The purpose of this work is to present a study on the application of numerical methods for the resolution of model considered by Barcelos, Boaventura and Silva Jr [7], for image denoising through a partial di erential equation, and to consider a stability analysis of an iterative method usually applied to this model. A comparative analysis among various considered methods is carried out through experimental results for synthetic and real images.