Orientador: Jose Luiz Boldrini / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matematica, Estatistica e Computação Cientifica / Made available in DSpace on 2018-08-15T18:45:50Z (GMT). No. of bitstreams: 1 Fortunato_Meire_M.pdf: 2133008 bytes, checksum: 765913ccca70e83fff69f576fc664d3d (MD5) Previous issue date: 2010 / Resumo: Nesta dissertação detalhamos a análise matemática feita no artigo de X. Chen, A. Friedman, A free boundary problem for an elliptic-hyperbolic system: an application to tumor growth, SIAM J. Math. Anal. 35, 2003, pp. 974-986, o qual considera um problema de fronteira livre para um sistema de equações diferenciais parciais de caráter elíptico-hiperbólico relacionado com o chamado problema de Hele-Shaw. O problema modela o crescimento de um tumor e leva em conta as seguintes possibilidades de estado para suas células: proliferantes, quiescentes ou necróticas; leva-se também em conta a concentração de nutrientes disponível. Estas equações valem em um domínio que varia com o tempo de uma forma em que a velocidade da fronteira depende das outras variáveis do problema. Como resultado da análise tem-se a existência local no tempo e a unicidade de soluções clássicas do sistema / Abstract: In this dissertation we detail the analysis done in the article by X. Chen, A. Friedman, A free boundary problem for an elliptic-hyperbolic system,: an application to tumor growth, SIAM J. Math. Anal. 35, 2003, which considers a free boundary value problem for an elliptic-hyperbolic system of partial differential equations related to the Hele-Shaw problem. The present problem models the growth of a tumor and takes in consideration the following possibilities for the state of a tumor cell: proliferating, quiescent or necrotic; the model also takes in consideration the available nutrient concentration. The equations hold in a time varying domain in such way that the boundary velocity depends on the other variables of the problem. As a result of the analysis, we obtain the local in time existence, as well as uniqueness, of classical solutions for the system / Mestrado / Analise Aplicada / Mestre em Matemática

Orientador: Marcelo da Silva Montenegro / Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Matematica, Estatistica e Computação Cientifica / Made available in DSpace on 2018-08-11T08:16:43Z (GMT). No. of bitstreams: 1 Queiroz_OlivaineSantanade_D.pdf: 886346 bytes, checksum: 5fe477c4619e746d923fc51e7d78f55c (MD5) Previous issue date: 2008 / Resumo: Estudamos a equação - D. u = x{ u>O} ( log u + )..1 (x, u)) em um domínio limitado e suave Ç1 C JR.n, com condições de fronteira u = O em é)Ç1. Demonstramos resultados de existência e regularidade da solução maximal. A positividade dessa solução depende do parâmetro ).. e de Ç1. Se a solução maximal se anula em partes de Ç1, obtemos uma estimativa local para a medida de Hausdorff da fronteira livre. Se a singularidade log u for trocada por -u-(3, com O < (3 < 1, então a teoria de Alt&Caffarelli e Alt&Phillips implica que a fronteira livre é regular. Também estudamos o problema de Neumann com não-linearidade logarítmica por meio de perturbações e técnicas variacionais / Abstract: We study the equation -D.u = X{u>O} (log u+Àf(x, u)) in a smooth bounded domain fl C JRn, with boundary conditions u = O on 8fl. We obtain existence and regularity of the maximal solution. The positivity of such a solution depends on the parameter À and on the domain fl. .If the maximal solution vanishes on a set of positive measure, then we obtain local estimates for the Hausdorff measure of the free boundary. If the singularity logu is replaced by -u-!3, with O < (3 < 1, the theory of Alt&Caffarelli and Alt&Phillips implies that the free boundary is regular. We also study the Neumann problem with logarithmic nonlinearity using perturbation techniques and variational methods / Doutorado / Doutor em Matemática

Orientador: Olivâine Santana de Queiroz / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matemática, Estatística e Computação Científica / Made available in DSpace on 2018-08-20T15:36:39Z (GMT). No. of bitstreams: 1 Almeida_FernandaPereiradaSilva_M.pdf: 1905299 bytes, checksum: 26428236d161990046f1d1f982482fe1 (MD5) Previous issue date: 2012 / Resumo: Na dissertação foi estudado um problema elíptico em um domínio limitado com bordo Lipschitz. Parte da fronteira deste domínio está em movimento e oscila rapidamente na variável que representa o espaço, caracterizando-se assim como um problema de fronteira livre com multi escala. Este problema tem aplicações, por exemplo, na construção de filmes semicondutores, levando-se em consideração que a superfície do filme se altera pela deposição de vapor químico. O estudo de tal modelo nos remete a questões de existência e unicidade para um sistema elíptico com condições de bordo do tipo misto acoplado à uma equação hiperbólica através de uma condição de fronteira livre. Além disso, um resultado de aproximação por homogeneização é demonstrado. De fato, provamos uma estimativa na norma H1 para o erro que se comete ao aproximar a fronteira livre real por uma fronteira livre homogeneizada / Abstract: In this dissertation we study an elliptic problem in a bounded Lipschitz domain. Part of the boundary is moving and oscillates rapidly in the variable representing the space. Thus, we have a multi-scale free boundary problem. This problem has applications, for instance, in the construction of semiconductor films taking into account that the surface of the film is changing by chemical vapor deposition. The study of such a model leads us to questions of existence and uniqueness for a system involving an elliptic equation with mixed boundary conditions coupled to a hyperbolic equation by means of a free boundary condition. Furthermore, a result on approximation by homogenization is shown. In fact, an estimate in terms of the H1-norm of the error committed by to approximate the real free boundary problem by the homogenized one is proved / Mestrado / Matematica / Mestre em Matemática

Philosophiae Doctor - PhD / Many problems in financial world are being modeled by means of differential equation. These problems are time dependent, highly nonlinear, stochastic and heavily depend on the previous history of time. A variety of financial products exists in the market, such as forwards, futures, swaps and options. Our main focus in this thesis is to use the numerical analysis tools to solve some option pricing problems. Depending upon the inter-relationship of the financial derivatives, the dimension of the associated problem increases drastically and hence conventional methods (for example, the finite difference methods or finite element methods) for solving them do not provide satisfactory results. To resolve this issue, we use a special class of numerical methods, namely, the mesh free methods. These methods are often better suited to cope with changes in the geometry of the domain of interest than classical discretization techniques. In this thesis, we apply these methods to solve problems that price standard and non-standard options. We then extend the proposed approach to solve Heston' volatility model. The methods in each of these cases are analyzed for stability and thorough comparative numerical results are provided. / South Africa

Philosophiae Doctor - PhD / Options are a special type of derivative securities because their values are derived from the value of some underlying security. Most options can be grouped into either of the two categories: European options which can be exercised only on the expiration date, and American options which can be exercised on or before the expiration date. American options are much harder to deal with than European ones. The reason being the optimal exercise policy of these options which led to free boundary problems. Ever since the seminal work of Black and Scholes [J. Pol. Econ. 81(3) (1973), 637-659], the differential equation approach in pricing options has attracted many researchers. Recently, numerical singular perturbation techniques have been used extensively for solving many differential equation models of sciences and engineering. In this thesis, we explore some of those methods which are based on spline approximations to solve the option pricing problems. We show a systematic construction and analysis of these methods to solve some European option problems and then extend the approach to solve problems of pricing American options as well as some exotic options. Proposed methods are analyzed for stability and convergence. Thorough numerical results are presented and compared with those seen in the literature. / South Africa

Cette thèse comporte trois chapitres indépendants, consacrés à l’étude mathématique de trois problèmes physiques distincts, ayant pour modèles trois équations aux dérivées partielles différentes. Ces équations relèvent plus précisément de la méthode des surfaces de niveau, de la théorie de l’écoulement incompressible des matériaux non newtoniens et de la théorie cinétique des gaz raréfiés. Le premier chapitre de la thèse porte sur la dynamique des frontières en mouvement et contient une justification mathématique de la procédure numérique dite de ré-initialisation, dont les applications sont nombreuses dans le contexte de la célèbre méthode des surfaces de niveau. Nous appliquons ces résultats pour une classe d’équations issues de la méthode des surfaces de niveau de premier ordre. Nous écrivons la procédure de ré-initialisation comme un algorithme de décomposition et nous étudions la convergence de l’algorithme en utilisant des techniques d’homogénéisation dans la variable temporelle. Grâce à cette analyse rigoureuse nous introduisons également une nouvelle méthode pour l’approximation de la fonction de distance dans le contexte de la méthode des surfaces de niveau. Dans le cas où l’on cherche seulement une fonction de l’ensemble de niveau avec un gradient minoré proche du niveau zéro, nous proposons une approximation plus simple. Dans le cas général, où le niveau zéro pourrait présenter des changements de topologie, nous introduisons une nouvelle notion de limites relâchées. Dans le deuxième chapitre de la thèse, nous étudions un problème de frontière libre résultant de l’étude de l’écoulement incompressible d’un matériau non-newtonien, avec limite d’élasticité de type Drucker-Prager, sur un plan incliné et sous l’effet de la pesanteur. Nous obtenons une équation sous-différentielle, que nous formulons comme un problème variationnel avec un terme à croissance linéaire de type gradient, et nous étudions le problème dans un domaine non borné. Nous montrons que les équations sont bien posées et satisfont certaines propriétés de régularité. Nous sommes alors capables de relier les paramètres physiques avec le problème abstrait et de prouver des propriétés quantitatives de la solution. En particulier, nous montrons que la solution a un support compact, la limite de ce que nous appelons la frontière libre. Nous construisons également des solutions explicites d’une équation différentielle ordinaire qui peut estimer la frontière libre. Enfin, le troisième et dernier chapitre de la thèse est dédié aux solutions de l’équation de Boltzmann homogène avec molécules maxwelliennes et énergie infinie. Nous obtenons de nouveaux résultats d’existence de solutions éternelles pour cette équation dans un espace de mesures de probabilité d’énergie infinie (i.e. de moment d’ordre deux infini). Elles permettent de décrire le comportement asymptotique en temps d’autres solutions d’énergie infinie, mais elles apparaissent aussi comme des états asymptotiques intermédiaires dans l’étude des solutions d’énergie finie, mais arbitrairement grande. Les méthodes issues de l’analyse harmonique sont utilisées pour étudier l’équation de Boltzmann, où la variable de vitesse est exprimée en Fourier. Enfin, un changement d’échelle logarithmique en la variable temporelle permet de déterminer le bon comportement asymptotique à l’infini des solutions / This thesis consists of three different and independent chapters, concerning the mathematical study of three distinctive physical problems, which are modelled by three non- linear partial differential equations. These equations concern the level set method, the theory of incompressible flow of non-Newtonian materials and the kinetic theory of rare- fied gases. The first chapter of the thesis concerns the dynamics of moving interfaces and contains a rigorous justification of a numerical procedure called re-initialization, for which there are several applications in the context of the level set method. We apply these results for first order level set equations. We write the re-initialization procedure as a splitting algorithm and study the convergence of the algorithm using homogenization techniques in the time variable. As a result of the rigorous analysis, we are also able to introduce a new method for the approximation of the distance function in the context of the level set method. In the case where one only looks for a level set function with gradient bounded from below near the zero level, we propose a simpler approximation. In the general case where the zero level might present changes of topology we introduce a new notion of relaxed limits. In the second chapter of the thesis, we study a free boundary problem arising in the study of the flow of an incompressible non-Newtonian material with Drucker-Prager plasticity on an inclined plane. We derive a subdifferential equation, which we reformulate as a variational problem containing a term with linear growth in the gradient variable, and we study the problem in an unbounded domain. We show that the equations are well posed and satisfy some regularity properties. We are then able to connect the physical parameters with the abstract problem and prove some quantitative properties of the solution. In particular, we show that the solution has compact support and the support is the free boundary. We also construct explicit solutions of an ordinary differential equation, which we use to estimate the free boundary. The last chapter of the thesis is dedicated to the study of infinite energy solutions of the homogeneous Boltzmann equation with Maxwellian molecules. We obtain new results concerning the existence of eternal solutions in the space of probability measure with infinite energy (i.e. the second order moment is infinite). These solutions describe the asymptotic behaviour of other infinite energy solutions but could also be useful in the study of intermediate asymptotic states of solutions with finite but arbitrarily large energy. We use harmonic analysis tools to study the equation, where the velocity variable is expressed in the Fourier space. Finally, a logarithmic scaling of the time variable allows to determine the correct asymptotic scaling of the solutions

This thesis consists of three self-contained parts, each with its own abstract, body, references and page numbering. Part I, 'Potential theory, path integrals and the Laplacian of the indicator', finds the transition density of absorbed or reflected Brownian motion in a d-dimensional domain as a Feynman-Kac functional involving the Laplacian of the indicator, thereby relating the hitherto unrelated fields of classical potential theory and path integrals. Part II, 'The problem of alternatives', considers parallel investment in alternative technologies or drugs developed over time, where there can be only one winner. Parallel investment accelerates the search for the winner, and increases the winner's expected performance, but is also costly. To determine which candidates show sufficient performance and/or promise, we find an integral equation for the boundary of the optimal continuation region. Part III, 'Optimal support for renewable deployment', considers the role of government subsidies for renewable technologies. Rapidly diminishing subsidies are cheaper for taxpayers, but could prematurely kill otherwise successful technologies. By contrast, high subsidies are not only expensive but can also prop up uneconomical technologies. To analyse this trade-off we present a new model for technology learning that makes capacity expansion endogenous. There are two reasons for this standalone structure. First, the target readership is divergent. Part I concerns mathematical physics, Part II operations research, and Part III policy. Readers interested in specific parts can thus read these in isolation. Those interested in the thesis as a whole may prefer to read the three introductions first. Second, the separate parts are only partially interconnected. Each uses some theory from the preceding part, but not all of it; e.g. Part II uses only a subset of the theory from Part I. The quickest route to Part III is therefore not through the entirety of the preceding parts. Furthermore, those instances where results from previous parts are used are clearly indicated.

Optimal control (motion planning) of the free interface in classical two-phase Stefan problems is considered. The evolution of the free interface is modeled by a level set function. The first-order optimality system is derived on a formal basis. It provides gradient information based on the adjoint temperature and adjoint level set function. Suitable discretization schemes for the forward and adjoint systems are described. Numerical examples verify the correctness and flexibility of the proposed scheme.:1 Introduction 2 Model Equations 3 The Optimal Control Problem and Optimality Conditions 4 Discretization of the Forward and Adjoint Systems 5 Numerical Results 6 Discussion and Conclusion A Formal Derivation of the Optimality Conditions B Transport Theorems and Shape Calculus

Philosophiae Doctor - PhD / Options are a special type of derivative securities because their values are derived from the value of some underlying security. Most options can be grouped into either of the two categories: European options which can be exercised only on the expiration date, and American options which can be exercised on or before the expiration date. American options are much harder to deal with than European ones. The reason being the optimal exercise policy of these options which led to free boundary problems. Ever since the seminal work of Black and Scholes [J. Pol. Bean. 81(3) (1973), 637-659], the differential equation approach in pricing options has attracted many researchers. Recently, numerical singular perturbation techniques have been used extensively for solving many differential equation models of sciences and engineering. In this thesis, we explore some of those methods which are based on spline approximations to solve the option pricing problems. We show a systematic construction and analysis of these methods to solve some European option problems and then extend the approach to solve problems of pricing American options as well as some exotic options. Proposed methods are analyzed for stability and convergence. Thorough numerical results are presented and compared with those seen in the literature.

Philosophiae Doctor - PhD / Many problems in financial world are being modeled by means of differential equation. These problems are time dependent, highly nonlinear, stochastic and heavily depend on the previous history of time. A variety of financial products exists in the market, such as forwards, futures, swaps and options. Our main focus in this thesis is to use the numerical analysis tools to solve some option pricing problems. Depending upon the inter-relationship of the financial derivatives, the dimension of the associated problem increases drastically and hence conventional methods (for example, the finite difference methods or finite element methods) for solving them do not provide satisfactory results. To resolve this issue, we use a special class of numerical methods, namely, the mesh free methods. These methods are often better suited to cope with changes in the geometry of the domain of interest than classical discretization techniques. In this thesis, we apply these methods to solve problems that price standard and non-standard options. We then extend the proposed approach to solve Heston's volatility model. The methods in each of these cases are analyzed for stability and thorough comparative numerical results are provided.