The main purpose of this work is to prove short-time structural stability of compressible vortex sheets with surface tension. The main result can be summarised as follows. Assume we start with an initial vortex-sheet configuration which consists of two inviscid fluids with density bounded below flowing smoothly past each other, where a strictly positive fixed coefficient of surface tension produces a surface tension force across the common interface, balanced by the pressure jump. We assume the fluids are modelled by the compressible Euler equations in three space dimensions with a very general equation of state relating the pressure, entropy and density in each fluid such that the sound speed is positive. Then, for a short time, which may depend on the initial configuration, there exists a unique solution of the equations with the same structure, that is, two fluids with density bounded below flowing smoothly past each other, where the surface tension force across the common interface balances the pressure jump. The mathematical approach consists of introducing a carefully chosen artificial viscosity-type regularisation which allows one to linearise the system so as to obtain a collection of transport equations for the entropy, pressure and curl together with a parabolic-type equation for the velocity. We prove a high order energy estimate for the non-linear equations that is independent of the artificial viscosity parameter which allows us to send it to zero. This approach loosely follows that introduced by Shkoller et al in the setting of a compressible liquid-vacuum interface. Although already considered by Shkoller et al, we also make some brief comments on the case of a compressible liquid-vacuum interface, which is obtained from the vortex sheets problem by replacing one of the fluids by vacuum, where it is possible to obtain a structural stability result even without surface tension.

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.

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.

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.

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.

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