Orientador: Edmundo Capelas de Oliveira / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica / Made available in DSpace on 2018-08-24T12:52:57Z (GMT). No. of bitstreams: 1 Teodoro_GrazianeSales_M.pdf: 8150080 bytes, checksum: 07ef5ddebc25d941750b2dee59bd4022 (MD5) Previous issue date: 2014 / Resumo: O cálculo fracionário, nomenclatura utilizada para cálculo de ordem não inteira, tem se mostrado importante e, em muitos casos, imprescindível na discussão de problemas advindos de diversas áreas da ciência, como na matemática, física, engenharia, economia e em muitos outros campos. Neste contexto, abordamos a integral fracionária e as derivadas fracionárias, segundo Caputo e segundo Riemann-Liouville. Dentre as funções relacionadas ao cálculo fracionário, uma das mais importantes é a função de Mittag-Leffler, surgindo naturalmente na solução de várias equações diferenciais fracionárias com coeficientes constantes. Tendo em vista a importância dessa função, a clássica função de Mittag-Leffler e algumas de suas várias generalizações são apresentadas neste trabalho. Na aplicação resolvemos a equação diferencial associada ao problema do oscilador harmônico fracionário, utilizando a transformada de Laplace e a derivada fracionária segundo Caputo / Abstract: The fractional calculus, which is the nomenclature used to the non-integer order calculus, has important applications due to its direct involvement in problem resolution and discussion in many fields, such as mathematics, physics, engineering, economy, applied sciences and many others. In this sense, we studied the fractional integral and fractional derivates: one proposed by Caputo and the other by Riemann-Liouville. Among the fractional calculus's functions, one of most important is the Mittag-Leffler function. This function naturally occurs as the solution for fractional order differential equations with constant coeficients. Due to the importance of the Mittag-Leffler functions, various properties and generalizations are presented in this dissertation. We also presented an application in fractional calculus, in which we solved the differential equation associated the with fractional harmonic oscillator. To solve this fractional oscillator equation, we used the Laplace transform and Caputo fractional derivate / Mestrado / Matematica Aplicada / Mestra em Matemática Aplicada

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[pt] Uma técnica bem conhecida para resolver problemas dependentes do tempo é a formulação, desses problemas, no domínio da frequência por meio da transformada de Laplace ou Fourier, com as consequêntes expressões apropriadas desses resultados utilizando inversões numéricas. Embora de fácil implementação, tais inversões numéricas, são computacionalmente dispendiosas quando resultados mais exatos são desejados e suscetíveis a instabilidades num´ericas. Para problemas de tipo difusão, o algoritmo de Gaver-Stehfest parece ser satisfatório. Problemas gerais de dinâmica demandam algoritmos mais robustos, usualmente baseados em expansões em séries de Fourier tal como foi proposto inicialmente por Dubner e Abate. Algoritmos de outros tipos já são implementados em softwares matemáticos tais como Matlab e Mathematica. A livraria de Fortran possui um algoritmo proposto por Crump e aperfei¸coado por de Hoog e colegas. Mais recentemente, foi proposto resolver problemas transientes de potencial e elasticidade pelo uso de uma técnica avançada de superposição modal que é aplicado a modelos de elementos finitos e elementos de contorno baseados em equilíbrio. O método começa com a formulação no domínio da frequência a qual leva a uma matriz de rigidez efetiva, simétrica-complexa (quando amortecimento viscoso é considerado), expressa como uma série de potências de frequência com matrizes generalizadas de rigidez, amortecimento e massa. Após a solução do problema de autovalor não linear associado, obtém-se uma solução modal avançada do problema, a qual permite uma rápida solução no domínio do tempo obtendo as expressões imediatamente de qualquer resultado de interesse. O objetivo deste trabalho é comparar o desempenho computacional da técnica de superposição modal avançada com as técnicas baseadas em transformadas inversas numéricas de Laplace como aplicações a problemas generais de grande porte. A bibliografia relevante é revista e as principais diferenças conceituais desses métodos são brevemente tratados. Todos os algoritmos são implementados em Fortran com o intuito de garantir uma base comum de comparação. Alguns resultados iniciais são mostrados, conclusões mais definitivas so poderão ser obtidas após uma grande série de simulações numéricas. / [en] An established technique to solve time-dependent problems is the formulation of a complete frequency-domain analysis via Laplace or Fourier transforms, with subsequent ad hoc expression of results by numerical inversion. Although usually easy to implement, such a transform inversion is computationally intensive, if accurate results are desired, and liable to numerical instabilities. For diffusion-type problems, the Gaver-Stehfest algorithm seems well suited. General dynamics problems demand more robust algorithms usually based on Fourier series expansions, as firstly proposed by Dubner and Abate. Algorithms of either kind are already implemented in mathematical languages such as Matlab and Mathematica. The Fortran library has a Fourier-series algorithm proposed by Crump and improved by de Hoog et al. More recently, it has been proposed to solve transient problems of potential and elasticity by using an advanced mode superposition technique that applies to equilibrium-based finite element and boundary element models. One starts with a frequency-domain formulation that leads to a complex-symmetric (if viscous damping is included), effective stiffness matrix expressed as a frequency power series with generalized stiffness, dumping and mass matrices. After solution of the associated complex-symmetric, non-linear eigenvalue problem, one arrives at an advanced modal solution of the problem, which leads to the straightforward solution in the time domain and the immediate expression of any results of interest. Aim of the present research work is to compare the computational efficiency of the proposed advanced modal analysis with the techniques based on numerical inverse transforms, as applied to general, large scale problems. The relevant literature is reviewed and the main conceptual differences of the investigated methods are briefly outlined. All algorithms are implemented in Fortran so as to assure a common basis of comparison. Some initial results are displayed, as more definitive conclusions can only be expected after a large series of numerical simulations.

Nesta contribuição apresentamos uma solução para a equação de transferência radiativa condutiva em geometria cilíndrica. Esta solução é aplicada para simular a radiação e campo de temperatura juntamente com o transporte de energia radiativa e condutiva proveniente do escape liberado em lançamentos de foguetes. Para este fim, discutimos uma abordagem semianalítica reduzindo a equação original, que é contínua nas variáveis angulares, numa equação semelhante ao problema SN da transferência radiativa condutiva. A solução é construída usando um método de composição por transformada de Laplace e o método da decomposição de Adomian. O esquema recursivo ´e apresentado para o sistema de equações de ordenadas duplamente discretas juntamente com as dependências dos parâmetros e suas influências sobre a convergência heurística da solução. A solução obtida, em seguida, permite construir o campo próximo relevante para caracterizar o termo fonte para problemas de dispersão ao ajustar os parâmetros do modelo, tais como, emissividade, refletividade, albedo e outros, em comparação com a observação, que são relevantes para os processos de dispersão de campo distante e podem ser manipulados de forma independente do presente problema. Além do método de solução, também relatamos sobre algumas soluções e simulações numéricas. / In this contribution we present a solution for the radiative conductive transfer equation in cylinder geometry. This solution is applied to simulate the radiation and temperature field together with conductive and radiative energy transport originated from the exhaust released in rocket launches. To this end we discuss a semi-analytical approach reducing the original equation, which is continuous in the angular variables, into an equation similar to the SN radiative conductive transfer problem. The solution is constructed using a composite method by Laplace transform and Adomian decomposition method. The recursive scheme is presented for the doubly discrete ordinate equations system together with parameter dependencies and their influence on heuristic convergence of the solution. The obtained solution allows then to construct the relevant near field to characterize the source term for dispersion problems when adjusting the model parameters such as emissivity, reflectivity, albedo and others in comparison to the observation, that are relevant for far field dispersion processes and may be handled independently from the present problem. In addition to the solution method we also report some solutions and numerical simulations.

La thèse s’intéresse à l’étude du fonctionnement d’un système industriel. Il s’agit de proposer et de développer un nouveau modèle pour modéliser la dégradation accumulative d’un système. Le processus gamma standard est fréquemment utilisé pour étudier l’évolution de la détérioration d’un système. Toutefois, ce processus peut s’avérer inadapté pour décrire le phénomène de dégradation car le rapport variance sur moyenne est constant dans le temps, ce qui est relativement restrictif en pratique. Afin de surmonter cette restriction, nous proposons d’utiliser un processus gamma étendu introduit par Cinlar (1980), qui ne souffre plus de cette restriction. Mais ce dernier présente quelques difficultés techniques. A titre d’exemple, la loi d’un processus gamma étendu n’est pas connue sous une forme explicite. Ces difficultés techniques ont conduit Guida et al. (2012) à utiliser une version discrète d’un processus gamma étendu. Nous travaillons ici avec la version originale d’un processus gamma étendu en temps continu. Le but de ce mémoire est de développer des méthodes numériques permettant de quantifier les quantités fiabilistes associées et de développer des méthodes statistiques d’estimation des paramètres du modèle. Aussi, une autre partie de ce travail consiste à proposer une politique de maintenance dans le contexte d’un processus gamma étendu. / This thesis is dedicated to study the functioning of an industrial system. It is about proposing and developing a new model for modelling the accumulative degradation of a system. The standard gamma process is widely used to model the evolution of the system degradation. A notable restriction of a standard gamma process is that its variance-to-mean ratio is constant over time. This may be restrictive within an applicative context. To overcome this drawback, we propose to use an extended gamma process, which was introduced by Cinlar (1980). However, there is a cost and the use of an extended gamma process presents some technical difficulties. For example, there is no explicit formula for the probability distribution of an extended gamma process. These technical difficulties have lead Guida et al. (2012) to use a discrete version of an extended gamma process. We here propose to deal with the original continuous time version. The aim of this work is to develop numerical methods in order to compute the related reliability function and to develop statistical methods to estimate the parameters of the model. Also, another part of this work consists of proposing a maintenance policy within the context of an extended gamma process.

Les travaux de cette thèse concernent la modélisation et la simulation numérique de la propagation d’ondes acoustiques en présence d’un écoulement. Le modèle retenu pour ces études est l’équation de Galbrun. Les travaux faits sur l’équation de Galbrun ont essentiellement porté sur le régime harmonique. En revanche, la plupart des études mathématiques et numériques du problème de l’aéroacoustique est en régime transitoire. C’est pourquoi, il est intéressant pour nous d’étudier l’équation de Galbrun en régime transitoire. Pour résoudre cette équation en régime transitoire, notre approche a reposé sur la transformée de Laplace, qui nous permet de faire l’échange entre le domaine harmonique et le domaine réel. Un autre sujet abordé dans cette thèse est celui du traitement des conditions aux limites non réfléchissantes en écoulement uniforme et non-uniforme. Nous proposons la méthode PML pour l’équation de Galbrun. Inspirée par la méthode de Hu, nous proposons un nouveau modèle PML associé à l’équation de Galbrun, qui a toujours conduit à une solution exponentiellement décroissante dans la couche, même en présence d’ondes inverses. Les simulations acoustiques montrent étonnamment d’erreur de convergence pour les deux modèles classiques et nouveaux. Nous validons notre modèle PML à travers plusieurs exemples numériques dans l’écoulement uniforme et non-uniforme. Le dernier objectif est de proposer des modèles de sources aéroacoustiques associées à l’équation de Galbrun. Après une présentation en détail des modèles existants, on adapte une méthode hybride (EIF) à l’équation de Galbrun. Pour assurer la validité de l’approche globale, certains tests classiques sont choisis parmi la littérature et les résultats sont comparés avec les approches existantes et les solutions analytiques. / The work of this thesis is about the numerical modeling and simulation of the propagation of acoustic waves in the presence of a flow. The model used for these studies is the equation of Galbrun. The work done on the Galbrun equation focused on the harmonic regime. In contrast, most of the mathematical and numerical studies of the aeroacoustics problems are in the transient regime. That is why it is interesting for us to study the Galbrun equation in the transient regime. To solve this equation in the transient regime, our approach is based on the Laplace transform, which allows us to exchange between the frequency domain and the real domain. Another topic discussed in this thesis is the treatment of non-reflecting boundary conditions in uniform and non-uniform flow. We propose the Perfectly Matched Layer method for the Galbrun equation. Inspired by the Hu’s method, we propose a new PML model associated with the Galbrun equation, which always leads to an exponentially decreasing solution in the layer, even in the presence of reverse waves. Acoustic simulations show surprisingly error convergence for both classic and new models. We validate our PML model through several numerical examples in uniform and non-uniform flow. The final objective is to propose models for aeroacoustics sources associated with the Galbrun equation. After presenting in detail the existing models, we adapt a hybrid method (Expansion about Incompressible Flow) in Galbrun equation. To ensure the validity of the overall approach, some classical tests are selected from the literature and the results are compared with existing approaches and analytical solutions.

Classical operators of harmonic analysis in Orlicz spaces V'ıt Musil We deal with classical operators of harmonic analysis in Orlicz spaces such as the Hardy-Littlewood maximal operator, the Hardy-type integral operators, the maximal operator of fractional order, the Riesz potential, the Laplace transform, and also with Sobolev-type embeddings on open subsets of Rn or with respect to Frostman measures and, in particular, trace embeddings on the boundary. For each operator (in case of embeddings we consider the identity operator) we investigate the question of its boundedness from an Orlicz space into another. Particular attention is paid to the sharpness of the results. We further study the question of the existence of optimal Orlicz domain and target spaces and their description. The work consists of author's published and unpublished results compiled together with material appearing in the literature.

Several existing pricing models of financial derivatives as well as the effects of volatility risk are analyzed. A new option pricing model is proposed which assumes that stock price follows a diffusion process with square-root stochastic volatility. The volatility itself is mean-reverting and driven by both diffusion and compound Poisson process. These assumptions better reflect the randomness and the jumps that are readily apparent when the historical volatility data of any risky asset is graphed. The European option price is modeled by a homogeneous linear second-order partial differential equation with variable coefficients. The case of underlying assets that pay continuous dividends is considered and implemented in the model, which gives the capability of extending the results to American options. An American option price model is derived and given by a non-homogeneous linear second order partial integro-differential equation. Using Fourier and Laplace transforms an exact closed-form solution for the price formula for European call/put options is obtained.

<p>In this thesis the double exponential jump-diffusion model is considered and the Laplace transform is used as a method for pricing both plain vanilla and path-dependent options. The evolution of the underlying stock prices are assumed to follow a double exponential jump-diffusion model. To invert the Laplace transform, the Euler algorithm is used. The thesis includes the programme code for European options and the application to the real data. The results show how the Kou model performs on the NASDAQ OMX Stockholm Market in the case of the SEB stock.</p>

In this thesis, capacity-constrained aspects of multi-level, multi-stage productionplanning are investigated. The aim has been to extend Material Requirements Planning Theory (MRP Theory) to cover more general problems dealing with capacity constraints, in particular when non-zero lead times are present and the processes take place in continuous time. MRP Theory deals with multi-level production systems with multiple items taking place either within a discrete or continuous time framework. External demand is considered either deterministic or stochastic. Lead times are assumed to be given constants, and the Net Present Value Principle has been applied as the objective function. The Bill-of-Materials, capturing component as well as capacity requirements, in volume as well as in advanced timing due to lead times, has been described using a generalised input matrix involving Laplace transforms or z transforms. In order to be able to apply Dynamic Programming as a solution method, the system state has been defined and designed in terms of a matrix, in which historical values of cumulative production and cumulative demand are given state variables. A high power computer has been used to calculate solutions to numerical examples. Moreover, this thesis examines the fundamental equations of MRP Theory in order to analyse the possibility to obtain closed-form expressions for the time development of the system, when standard ordering rules of MRP are applied. In addition, capacity-constrained production planning problems and procedures in a paper mill have been surveyed and are presented in the form of a case study.