Cette thèse porte sur le développement de méthodes de Monte-Carlo pour calculer des représentations Feynman-Kac impliquant des opérateurs sous forme divergence avec un coefficient de diffusion constant par morceaux. Les méthodes proposées sont des variantes de la marche sur les sphères à l'intérieur des zones avec un coefficient de diffusion constant et des techniques de différences finies stochastiques pour traiter les conditions aux interfaces aussi bien que les conditions aux limites de différents types. En combinant ces deux techniques, on obtient des marches aléatoires dont le score calculé le long du chemin fourni un estimateur biaisé de la solution de l'équation aux dérivées partielles considérée. On montre que le biais global de notre algorithme est en général d'ordre deux par rapport au pas de différences finies. Ces méthodes sont ensuite appliquées au problème direct lié à la tomographie par impédance électrique pour la détection de tumeurs. Une technique de réduction de variance est également proposée dans ce cadre. On traite finalement du problème inverse de la détection de tumeurs à partir de mesures de surfaces à l'aide de deux algorithmes stochastiques basés sur une représentation paramétrique de la tumeur ou des tumeurs sous forme d'une ou plusieurs sphères. De nombreux essais numériques sont proposés et montrent des résultats probants dans la localisation des tumeurs. / This thesis deals with the development of Monte-Carlo methods to compute Feynman-Kac representations involving divergence form operators with a piecewise constant diffusion coefficient. The proposed methods are variations around the walk on spheres method inside the regions with a constant diffusion coefficient and stochastic finite differences techniques to treat the interface conditions as well as the different kinds of boundary conditions. By combining these two techniques, we build random walks which score computed along the walk gives us a biased estimator of the solution of the partial differential equation we consider. We prove that the global bias is in general of order two with respect to the finite difference step. These methods are then applied for tumour detection to the forward problem in electrical impedance tomography. A variance reduction technique is also proposed in this case. Finally, we treat the inverse problem of tumours detection from surface measurements using two stochastics algorithms based on a spherical parametric representation of the tumours. Many numerical tests are proposed and show convincing results in the localization of the tumours.

[pt] Plasma é um dos quatro estados fundamentais da matéria, presente em forma natural na Terra na ionosfera, em relâmpagos e nas chamas resultantes de combustão, assim como em forma artificial em lâmpadas de neônio, lâmpadas fluorescentes e processos industriais. O comportamento de plasmas é extraordinariamente complexo e variado, como por exemplo a formação espontânea de características espaciais interessantes em variadas escalas diferentes de comprimento. Uma antena de plasma, por sua vez, é uma estrutura radiante baseada em um elemento de plasma em vez de um condutor metálico, o que gera diversas vantagens e características úteis de um ponto de vista tecnológico. Nesse presente trabalho, uma investigação da propagação eletromagnética dentro de estruturas de plasma é realizada através de métodos teóricos e numéricos como um primeiro passo em direção ao desenvolvimento de modelos apropriados para o estudo de antenas de plasma. / [en] Plasma is one of the four fundamental states of matter, present on Earth in natural form at the ionosphere, in lightning strikes and in the flames resulting from combustion, as well as in artificial form in neon signs, fluorescent light bulbs and industrial processes. Plasma behaviour is extraordinarily complex and varied, e.g. the spontaneous formation of interesting spatial features over a wide range of length scales. A plasma antenna, on the other hand, is a radiating structure based in a plasma element instead of a metallic conductor, which creates several technological advantages and useful characteristics. In this present work, an investigation of electromagnetic propagation inside of plasma structures is performed through both theoretical and numerical means as a first step towards constructing appropriate models for the study of plasma antennas.

Uma grande limitação dos métodos de diferenças finitas é que eles estão restritos a malhas e domínios retangulares. Para descrever escoamentos em domínios complexos, como, por exemplo, problemas com superfícies livres, faz-se necessário o uso de técnicas acessórias. O método de interfaces imersas é uma dessas técnicas. Nesse trabalho, primeiramente foi desenvolvido um método de projeção, totalmente livre de pressão, para as equações de Navier-Stokes com variáveis primitivas em malha deslocada. Esse método é baseado em diferenças finitas compactas, possuindo segunda ordem temporal e quarta ordem espacial. Esse método foi combinado com o método de interface imersa de Linnick e Fasel [2] para resolver numericamente as equações de Stokes com quarta ordem de precisão. A verificação do código foi feita por meio do método das soluções manufaturadas e da comparação com resultados de outros autores em problemas clássicos da literatura. / A great limitation of finite differences methods is that they are restricted to retangular meshes and domains. In order to describe flows in complex domains, e.g. free surface problems, it is necessary to use accessory techniques. The immersed interface method is one of such techniques. In the present work, firstly, a projection method was developed, which is completely pressure-free, for the Navier-Stokes equations with primitive variables in a staggered mesh. This method is based on compact finite differences, with temporal second-order precision and spatial foruth-order precision. This method was combined with the immersed interface method from Linnick e Fasel [2] in order to numerically solve the Stokes equations with fourth-order precision. The verification of the code was performed with the manufactured solutions method and by comparing results with other authors for some classical problems in the literature.

Le but de cette thèse est d’étudier certaines équations aux dérivées partielles hyperboliques-dispersives. Une part importante est consacrée à l’analyse numérique et plus particulièrement à la convergence de schémas aux différences finies pour l’équation de Korteweg-de Vries et les systèmes abcd de Boussinesq. L’étude numérique suit les étapes classiques de consistance et de stabilité. Nous transposons au niveau discret la propriété de stabilité fort-faible des lois de conservations hyperboliques. Nous déterminons l’ordre de convergence des schémas et le quantifions en fonction de la régularité de Sobolev de la donnée initiale. Si nécessaire, nous régularisons la donnée initiale afin de toujours assurer les estimations de consistance. Une étape d’optimisation est alors nécessaire entre cette régularisation et l’ordre de convergence du schéma. Une seconde partie est consacrée à l’existence d’ondes progressives pour l’équation de Korteweg de Vries-Kuramoto-Sivashinsky. Par des méthodes classiques de systèmes dynamiques : système augmenté, fonction de Lyapunov, intégrale de Melnikov, par exemple, nous démontrons l’existence d’ondes oscillantes de petite amplitude. / The aim of this thesis is to study some hyperbolic-dispersive partial differential equations. A significant part is devoted to the numerical analysis and more precisely to the convergence of some finite difference schemes for the Korteweg-de Vries equation and abcd systems of Boussinesq. The numerical study follows the classical steps of consistency and stability. The main idea is to transpose at the discrete level the weak-strong stability property for hyperbolic conservation laws. We determine the convergence rate and we quantify it according to the Sobolev regularity of the initial datum. If necessary, we regularize the initial datum for the consistency estimates to be always valid. An optimization step is thus necessary between this regularization and the convergence rate of the scheme. A second part is devoted to the existence of traveling waves for the Korteweg-de Vries-Kuramoto-Sivashinsky equation. By classical methods of dynamical systems : extended systems, Lyapunov function, Melnikov integral, for instance, we prove the existence of oscillating small amplitude traveling waves.

<p>U doktorskoj diseratciji posmatrani su singularni nelinearni problemi. U prvom&nbsp;poglavlju predstavljene su oznake i osnovne definicije i teoreme koje se koriste u&nbsp;disertaciji. U drugom poglavlju prikazani su poznati postupci i njihovo pona&scaron;anje&nbsp;u slučajevima da je re&scaron;enje regularno ili singularno. Takođe su pokazane poznate&nbsp;modifikacije ovih postupaka kako bi se pobolj&scaron;ala konvergencija. Posebno su&nbsp;predstavljena četiri kvazi-Njutnova metoda i predložene njihove modifikacije u&nbsp;slučaju singularnosti re&scaron;enja. U trećem poglavlju predstavljeni su teorijski okvir&nbsp;pri definisanju graničnih sistema i neki poznati algoritmi za njihovo re&scaron;avanje i&nbsp;definisan je novi algoritam koji je podjednako efikasan ali jeftiniji za rad jer ne&nbsp;uključuje izračunavanje izvoda. Takođe, predložena je kombinacija definisanog&nbsp;algortitma sa metodom negativnog gradijenta, kao i algoritam koji predstavlja&nbsp;primenu poznatog algoritma na definisani granični sistem. U četvrtom poglavlju&nbsp;predstavljeni su numerički rezultati dobijeni primenom definisanih algoritama na&nbsp;relevantne primere i potvrđeni su teorijski dobijeni rezultati.</p> / <p>In this doctoral thesis nonlinear singular problems were observed. The first&nbsp;chapter presents basic definitions and theorems that are used in the thesis. The&nbsp;second chapter presents several methods that are commonly used and their&nbsp;behavior if the solution is regular or singular. Also, some known modifications to&nbsp;these methods are presented in order to improve convergence. In addition four&nbsp;quasi-Newton methods and their modifications in the case the singularity of the&nbsp;solution. The third chapter consists of the theoretical foundation for defining the&nbsp;bordered system, some known algorithms for solving them and new algorithm is&nbsp;defined to accelerate convergence to a singular solution. New algorithm is&nbsp;efficient but cheaper for the use since there is no derivative evaluations in it. It is&nbsp;presented synthesis of new algorithm with negative gradient method and using&nbsp;one of well known method on the bordered system as well. The fourth chapter&nbsp;presents the numerical results obtained by the defined algorithms on the relevant&nbsp;examples and theoretical results are confirmed.</p>

Wir untersuchen ein Defektkorrekturverfahren, das ein einfaches Upwind-Differenzenverfahren erster Ordnung mit einem zentralen Differenzenverfahren kombiniert, für ein- und zweidimensionale singulär gestörte Konvektions-Diffusions-Probleme auf einer Klasse von Shishkin-Typ-Gittern. Im eindimensionalen Fall wird nachgewiesen, dass das Verfahren von (fast) zweiter Ordnung, gleichmäßig bezüglich des Diffusionsparameters $\epsilon$ konvergiert. Zur Konvergenzanalyse für das zweidimensionale Modellproblem werden verschiedene Techniken diskutiert. In einem Spezialfall kann auf einem stückweise uniformen Shishkin-Gitter die $\epsilon$-gleichmäßige Konvergenz des Verfahrens von fast zweiter Ordnung gezeigt werden. Ferner sind die bisher bekannten Stabilitätsaussagen und ihre Verwendung zur Konvergenzanalysis der betrachteten Differenzenverfahren sowie Methoden zur Analyse von Defektkorrekturverfahren zusammengestellt. Einige Bemerkungen zu Defektkorrekturverfahren und Finite-Elemente-Methoden schließen die Arbeit ab. Numerische Experimente untermauern die theoretischen Resultate. / We consider a defect correction method that combines a first-order upwinded difference scheme with a second-order central difference scheme for model singularly perturbed convection-diffusion problems in one and two dimensions on a class of Shishkin-Type meshes. In one dimension, the method is shown to be convergent uniformly in the diffusion parameter $\epsilon$ of second order in the discrete maximum norm. To analyze the two-dimensional case, we discuss several proof techniques for defect correction methods. For a special problem with constant coefficients on a piecewise uniform Shishkin-mesh we can show the second order convergence of the considered scheme, uniformly with respect to the diffusion parameter. Moreover the known stability properties and their impact on the convergence analysis of the considered differnce schemes are compiled. Some remarks on defect correction and finite elements conclude the theses. Numerical experiments support our theoretical results.

[pt] Neste trabalho focamos sobre alguns modelos matemáticos na área do petróleo, com o objetivo de propor um modelo inicial de simulador numérico de reservatórios. Inicialmente apresentamos uma EDP do calor não-linear com um termo fonte de calor constante, estudada para o domínio sendo uma placa plana quadrada homogênea e heterogênea, onde aplicamos soluções numéricas utilizando o método das diferenças finitas implícito. Abordamos o problema de refinamento da malha no entorno dos poços utilizando o método JFNK (Jacobian-Free Newton-Krylov), que aumenta a eficiência computacional através de uma aproximação para a matriz Jacobiana. Por fim resolvemos um sistema de EDPs não-lineares que representam o escoamento bifásico de água e óleo, constituído por equações de transporte em termos da pressão e da saturação. Fizemos simulações numéricas de alguns casos conhecidos e os resultados mostraram uma boa qualidade no nosso método. / [en] In this work we focus on the numerical approximation of some mathematical models in the oil field. First, we present a non-linear heat equation with a constant heat source term, studied for the domain of a homogeneous and heterogeneous square domain, where we apply numerical solutions using an implicit finite difference method. We approach the problem of mesh refinement around the wells using the JFNK (Jacobian- Free Newton-Krylov) method, which improves the computational efficiency through an approximation to the Jacobian matrix. Finally, we solve a system of non-linear EDPs that represent the two-phase flow of water and oil, consisting of equations of transport in terms of pressure and saturation. Numerical simulations for some known cases showed accurate approximation of our method.

Ette thèse traite d’écoulements de fluides à seuil (ou viscoplastiques) en milieu confiné. Les difficultés analytiques et numériques sont dues à la multivaluation du tenseur des contraintes dans les zones plastiques ainsi qu’à la non-différentiabilité du problème de minimisation associé. Cette thèse s’articule en deux parties.Dans un premier temps, des simulations numériques parallèles très précises à l’aide d’algorithmes de dualité ont été effectuées. Elles ont permis de retrouver des résultats observés expérimentalement dont l’existence d’une ligne de glissement pour l’écoulement au dessus d’un obstacle et le caractère quasi-Poiseuille de la vitesse au-delà de cette ligne. Par ailleurs, la théorie de couche limite viscoplastique définie par Oldroyd (1947, à nombre de Bingham asymptotiquement grand) a été revisitée à nombre de Bingham modéré en milieu confiné. L’étude a mis en œuvre des allers-retours entre ces simulations et les expériences physiques de Luu et al. d’IRSTEA ainsi qu’une dérivation théorique. L’approximation de couche limite est vérifiée dans une certaine mesure à l’intérieur de la cavité. Une adaptation de la notion de couche limite viscoplastique est alors exhibée et permet d’étendre les scalings dérivés par Oldroyd (1947) et Balmforth et al. (J. of Fluid Mech, 2017). Ces scalings sont aussi généralisés au cas de la loi d’Herschel-Bulkley. Dans un second temps, on présente une analyse asymptotique des champs de vitesses et de contraintes pour des écoulements en faible épaisseur (ε). Un développement à l’ordre ε2 de la vitesse permet de trouver une équation de Reynolds à la même précision. Cette équation de Reynolds prolonge les résultats déjà existants dans le cadre newtonien, d’une part et dans le cadre fluide à seuil avec une surface libre, d’autre part. / This thesis is devoted to the flow of yield stress (or viscoplastic) fluids in pipes.Analytical and numerical difficulties lie in the multivaluation of the stress tensor in the plastic regions and in the non-differentiability of the associated minimization problem. This manuscript is organized following two main axes.First, very accurate numerical simulations were carried out using duality methods and parallel multifrontal solvers. Thus, experimental observations were recovered, namely the existence of a slip line for the flow over an obstacle and the Poiseuille-like behaviour of the velocity above this line. Moreover, the viscoplastic boundary layer theory defined by Oldroyd (1947 at high Bingham numbers) was revisited at moderate Bingham numbers in confined areas. This study provided an opportunity to go back and forth between these simulations and the physical measures of Luu et al. from IRSTEA and to perform a theoretical derivation. The boundary layer approximation is valid up to a certain extent in the cavity. An adaptation of the viscoplastic boundary layer definition is then given and allows to generalize the scalings shown by Oldroyd (1947) and Balmforth et al. (JFM 2017). These scalings are also generalized to the Herschel-Bulkley case. Then, an asymptotic analysis of the velocity and stress fields for thin layer (ε) flows is presented. A velocity development up to ε2 lets us find a Reynolds equation of same accuracy. This Reynolds equation extends the already existing results, on the one hand in the newtonian case and on the second hand for free surface flows.

This thesis is concerned with the investigation of numerical methods for the solution of the Hamilton-Jacobi-Bellman (HJB) equations arising in European and American option pricing with proportional transaction costs. We first consider the problem of computing reservation purchase and write prices of a European option in the model proposed by Davis, Panas and Zariphopoulou [19]. It has been shown [19] that computing the reservation purchase and write prices of a European option involves solving three different fully nonlinear HJB equations. In this thesis, we propose a penalty approach combined with a finite difference scheme to solve the HJB equations. We first approximate each of the HJB equations by a quasi-linear second order partial differential equation containing two linear penalty terms with penalty parameters. We then develop a numerical scheme based on the finite differencing in both space and time for solving the penalized equation. We prove that there exists a unique viscosity solution to the penalized equation and the viscosity solution to the penalized equation converges to that of the original HJB equation as the penalty parameters tend to infinity. We also prove that the solution of the finite difference scheme converges to the viscosity solution of the penalized equation. Numerical results are given to demonstrate the effectiveness of the proposed method. We extend the penalty approach combined with a finite difference scheme to the HJB equations in the American option pricing model proposed by Davis and Zarphopoulou [20]. Numerical experiments are presented to illustrate the theoretical findings.

In an effort to improve the accuracy of common 1-D analysis for frequency domain helicopter-borne electromagnetic data at reasonable computing costs, a 3-D inversion approach is developed. The strategy is based on the prior localization of an entire helicopter-borne electromagnetic survey to parts which are actually affected by expected local 3-D anomalies and a separate inversion of those sections of the surveys (cut-&-paste strategy). The discrete forward problem, adapted from the complete Helmholtz equation, is formulated in terms of the secondary electric field employing the finite difference method. The analytical primary field calculation incorporates an interpolation strategy that allows to effectively handle the enormous number of transmitters. For solving the inverse problem, a straightforward Gauss-Newton method and a Tikhonov-type regularization scheme are applied. In addition, different strategies for the restriction of the domain where the inverse problem is solved are used as an implicit regularization. The derived linear least squares problem is solved with Krylov-subspace methods, such as the LSQR algorithm, that are able to deal with the inherent ill-conditioning. As the helicopter-borne electromagnetic problem is characterized by a unique transmitter-receiver relation, an explicit representation of the Jacobian matrix is used. It is shown that this ansatz is the crucial component of the 3-D HEM inversion. Furthermore, a tensor-based formulation is introduced that provides a fast update of the linear system of the forward problem and an effective handling of the sensitivity related algebraic quantities. Based on a synthetic data set of a predefined model problem, different application examples are used to demonstrate the principal functionality of the presented algorithm. Finally, the algorithm is applied to a data set obtained from a real field survey in the Northern German Lowlands. / Die vorliegende Arbeit beschäftigt sich mit der 3-D Inversion von Hubschrauberelektromagnetikdaten im Frequenzbereich. Das vorgestellte Verfahren basiert auf einer vorhergehenden Eingrenzung des Messgebiets auf diejenigen Bereiche, in denen tatsächliche 3-D Strukturen im Untergrund vermutet werden. Die Resultate der 3-D Inversion dieser Teilbereiche können im Anschluss wieder in die Ergebnisse der Auswertung des komplementären Gesamtdatensatzes integriert werden, welche auf herkömmlichen 1-D Verfahren beruht (sog. Cut-&-Paste-Strategie). Die Diskretisierung des Vorwärtsproblems, abgeleitet von einer Sekundärfeldformulierung der vollständigen Helmholtzgleichung, erfolgt mithilfe der Methode der Finiten Differenzen. Zur analytischen Berechnung der zugehörigen Primärfelder wird ein Interpolationsansatz verwendet, welcher den Umgang mit der enorm hohen Anzahl an Quellen ermöglicht. Die Lösung des inversen Problems basiert auf dem Gauß-Newton-Verfahren und dem Tichonow-Regularisierungsansatz. Als Mittel der zusätzlichen impliziten Regularisierung dient eine räumliche Eingrenzung des Gebiets, auf welchem das inverse Problem gelöst wird. Zur iterativen Lösung des zugrundeliegenden Kleinste-Quadrate-Problems werden Krylov-Unterraum-Verfahren, wie der LSQR Algorithmus, verwendet. Aufgrund der charakteristischen Sender-Empfänger-Beziehung wird eine explizit berechnete Jakobimatrix genutzt. Ferner wird eine tensorbasierte Problemformulierung vorgestellt, welche die schnelle Assemblierung leitfähigkeitsabhängiger Systemmatrizen und die effektive Handhabung der zur Berechnung der Jakobimatrix notwendigen algebraischen Größen ermöglicht. Die Funktionalität des beschriebenen Ansatzes wird anhand eines synthetischen Datensatzes zu einem definierten Testproblem überprüft. Abschließend werden Inversionsergebnisse zu Felddaten gezeigt, welche im Norddeutschen Tiefland erhoben worden.