Submitted by ANA KARLA PEREIRA RODRIGUES (anakarla_@hotmail.com) on 2017-08-23T12:41:56Z No. of bitstreams: 1 arquivototal.pdf: 3952391 bytes, checksum: 515d42b8a346d93bfff74862f9c40c46 (MD5) / Made available in DSpace on 2017-08-23T12:41:56Z (GMT). No. of bitstreams: 1 arquivototal.pdf: 3952391 bytes, checksum: 515d42b8a346d93bfff74862f9c40c46 (MD5) Previous issue date: 2016-02-25 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / In this work we first study some interesting generalizations of the famous inequality Sobolev to limited domains. Then, we will study the existence of positive solution for a nonlinear elliptic equation on a certain condition Neumann, by imposing certain restricitive condition in the nonlinearity. To we consider more general hypotheses we will assume conditions on the boundary of domain. / Neste trabalho, estudaremos primeiramente algumas generaliza¸c˜oes interessantes da famosa desigualdade de Sobolev para dom´ınios limitados. Em seguida, iremos estudar a existˆencia de solu¸c˜oes positivas para uma equa¸c˜ao el´ıptica n˜ao linear, sob uma certa condi¸c˜ao de Neumann e impondo algumas condi¸c˜oes restritivas sobre a n˜ao linearidade. Para considerarmos hip´oteses mais gerais, assumiremos condi¸c˜oes na fronteira do dom˜Anio.

Submitted by Etelvina Domingos (etelvina.domingos@ufpe.br) on 2015-03-06T18:43:00Z No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) tese-Renata-nova-versao.pdf: 536169 bytes, checksum: 1fea674508d3d11f7dea8c8c7cacccb8 (MD5) / Made available in DSpace on 2015-03-06T18:43:00Z (GMT). No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) tese-Renata-nova-versao.pdf: 536169 bytes, checksum: 1fea674508d3d11f7dea8c8c7cacccb8 (MD5) Previous issue date: 201 / CNPq / Obtemos uma estimativa para a fun c~ao de Green associada ao problema de valores iniciais e de fronteira associado a equa c~ao do calor em dom nios com fronteira Lipschitz compacta e condi c~ao de Neumann homog^enea na fronteira. Esta estimativa viabiliza o estudo de dois problemas parab olicos de valor inicial em dom nios exteriores com a condi c~ao de Neumann homog^enea na fronteira. O primeiro deles consiste de um sistema acoplado e o segundo trata-se da equa c~ao do calor n~ao linear com n~ao linearidade n~ao local no tempo. Estabelecemos a exist^encia de solu c~oes locais, globais e de solu c~oes n~ao globais para estes problemas, bem como determinamos o expoente cr tico de Fujita para ambos.

The investigation is initially a continuation of Neuberger's work on linear boundary value problems. A very general iterative procedure for solution of these problems is described. The alternating-projection theorem of von Neumann is the mathematical starting point for this study. Later theorems demonstrate the validity of numerical approximation for Neuberger's method under certain conditions. A sampling of differential equations within the scope of our iterative method is given. The numerical evidence is that the procedure works well on neutral-state equations, for which no software is written now.

En este trabajo de memoria se demostró un teorema de existencia para la ecuación de Liouville con condición de borde no lineal: El primer paso en esta demostración consiste en la aproximación del problema original usando un ansatz de la solución que explota en m puntos cuando el parámetro épsilon tiende a cero, más un término de corrección, sobre el cual se obtienen un conjunto de ecuaciones que van a caracterizar la solución del problema principal. En el capítulo 4 se analizó el operador lineal asociado a estas ecuaciones y se encontró un resultado de solubilidad al modificar la ecuación con términos aditivos de coeficientes cj, j = 1, . . . , m. A continuación se estableció la existencia de una solución al problema no lineal con la modificación aditiva y se estudió su comportamiento en función de los puntos singulares. Se demostró que la solución del problema principal, dada por el hecho de encontrar un conjunto de puntos tales que cj = 0, ∀ j, puede ser reducida al análisis de los puntos críticos de una función φm. En el capítulo final se mostró que existen al menos dos de estos puntos críticos y en consecuencia al menos dos soluciones del problema principal que explotan en m puntos.

We consider a compact, oriented,smooth Riemannian manifold $M$ (with or without boundary) and wesuppose $G$ is a torus acting by isometries on $M$. Given $X$ in theLie algebra of $G$ and corresponding vector field $X_M$ on $M$, onedefines Witten's inhomogeneous coboundary operator $\d_{X_M} =\d+\iota_{X_M}: \Omega_G^\pm \to\Omega_G^\mp$ (even/odd invariantforms on $M$) and its adjoint $\delta_{X_M}$. First, Witten [35] showed that the resulting cohomology classeshave $X_M$-harmonic representatives (forms in the null space of$\Delta_{X_M} = (\d_{X_M}+\delta_{X_M})^2$), and the cohomologygroups are isomorphic to the ordinary de Rham cohomology groups ofthe set $N(X_M)$ of zeros of $X_M$. The first principal purpose isto extend Witten's results to manifolds with boundary. Inparticular, we define relative (to the boundary) and absoluteversions of the $X_M$-cohomology and show the classes haverepresentative $X_M$-harmonic fields with appropriate boundaryconditions. To do this we present the relevant version of theHodge-Morrey-Friedrichs decomposition theorem for invariant forms interms of the operators $\d_{X_M}$ and $\delta_{X_M}$; the proofinvolves showing that certain boundary value problems are elliptic.We also elucidate the connection between the $X_M$-cohomology groupsand the relative and absolute equivariant cohomology, followingwork of Atiyah and Bott. This connection is then exploited to showthat every harmonic field with appropriate boundary conditions on$N(X_M)$ has a unique corresponding an $X_M$-harmonic field on $M$to it, with corresponding boundary conditions. Finally, we define the interior and boundary portion of $X_M$-cohomology and then we definethe \emph{$X_M$-Poincar\' duality angles} between the interiorsubspaces of $X_M$-harmonic fields on $M$ with appropriate boundaryconditions.Second, In 2008, Belishev and Sharafutdinov [9] showed thatthe Dirichlet-to-Neumann (DN) operator $\Lambda$ inscribes into thelist of objects of algebraic topology by proving that the de Rhamcohomology groups are determined by $\Lambda$.In the second part of this thesis, we investigate to what extent is the equivariant topology of a manifold determined by a variant of the DN map?.Based on the results in the first part above, we define an operator$\Lambda_{X_M}$ on invariant forms on the boundary $\partial M$which we call the $X_M$-DN map and using this we recover the longexact $X_M$-cohomology sequence of the topological pair $(M,\partialM)$ from an isomorphism with the long exact sequence formed from thegeneralized boundary data. Consequently, This shows that for aZariski-open subset of the Lie algebra, $\Lambda_{X_M}$ determinesthe free part of the relative and absolute equivariant cohomologygroups of $M$. In addition, we partially determine the mixed cup product of$X_M$-cohomology groups from $\Lambda_{X_M}$. This shows that $\Lambda_{X_M}$ encodes more information about theequivariant algebraic topology of $M$ than does the operator$\Lambda$ on $\partial M$. Finally, we elucidate the connectionbetween Belishev-Sharafutdinov's boundary data on $\partial N(X_M)$and ours on $\partial M$.Third, based on the first part above, we present the(even/odd) $X_M$-harmonic cohomology which is the cohomology ofcertain subcomplex of the complex $(\Omega^{*}_G,\d_{X_M})$ and weprove that it is isomorphic to the total absolute and relative$X_M$-cohomology groups.

In this thesis, we prove the existence and uniqueness of the solution to a Neumann boundary problem for an elliptic differential operator with singular coefficients, and reveal the relationship between the solution to the partial differential equation (PDE in abbreviation) and the solution to a kind of backward stochastic differential equations (BSDE in abbreviation).This study is motivated by the research on the Dirichlet problem for an elliptic operator (\cite{Z}). But it turns out that different methods are needed to deal with the reflecting diffusion on a bounded domain. For example, the integral with respect to the boundary local time, which is a nondecreasing process associated with the reflecting diffusion, needs to be estimated. This leads us to a detailed study of the reflecting diffusion. As a result, two-sided estimates on the heat kernels are established. We introduce a new type of backward differential equations with infinity horizon and prove the existence and uniqueness of both L2 and L1 solutions of the BSDEs. In this thesis, we use the BSDE to solve the semilinear Neumann boundary problem. However, this research on the BSDEs has its independent interest. Under certain conditions on both the "singular" coefficient of the elliptic operator and the "semilinear coefficient" in the deterministic differential equation, we find an explicit probabilistic solution to the Neumann problem, which supplies a L2 solution of a BSDE with infinite horizon. We also show that, less restrictive conditions on the coefficients are needed if the solution to the Neumann boundary problem only provides a L1 solution to the BSDE.

We consider the motion of a Brownian particle trapped in an arbitrary bounded two or three-dimensional domain, whose boundary is reflecting except for a small absorbing window through which the particle can escape. We use the method of matched asymptotic expansions to calculate the mean first passage time, defined as the time taken for the Brownian particle to escape from the domain through the absorbing window. This is known as the narrow escape problem. Since the mean escape time diverges as the window shrinks, the calculation is a singular perturbation problem. We extend our results to include N absorbing windows of varying length in two dimensions and varying radius in three dimensions. We present findings in two dimensions for the unit disk, unit square and ellipse and in three dimensions for the unit sphere. The narrow escape problem has various applications in many fields including finance, biology, and statistical mechanics. / Science, Faculty of / Mathematics, Department of / Graduate

This thesis provides a study on stochastic models of financial markets related to problems of asset pricing and hedging, optimal portfolio managing and statistical changepoint detection in trends of asset prices. Chapter 1 develops a general model of a system of interconnected stochastic markets associated with a directed acyclic graph. The main result of the chapter provides sufficient conditions of hedgeability of contracts in the model. These conditions are expressed in terms of consistent price systems, which generalise the notion of equivalent martingale measures. Using the general results obtained, a particular model of an asset market with transaction costs and portfolio constraints is studied. In the second chapter the problem of multi-period utility maximisation in the general market model is considered. The aim of the chapter is to establish the existence of systems of supporting prices, which play the role of Lagrange multipliers and allow to decompose a multi-period constrained utility maximisation problem into a family of single-period and unconstrained problems. Their existence is proved under conditions similar to those of Chapter 1.The last chapter is devoted to applications of statistical sequential methods for detecting trend changes in asset prices. A model where prices are driven by a geometric Gaussian random walk with changing mean and variance is proposed, and the problem of choosing the optimal moment of time to sell an asset is studied. The main theorem of the chapter describes the structure of the optimal selling moments in terms of the Shiryaev–Roberts statistic and the posterior probability process.

Cette thèse a pour objet l’étude des solutions à l’équation des vagues en régime dit toit rigide lorsque l’amplitude des vagues tend vers zéro. Plus précisément, l’équation des vagues modélise le mouvement d’un fluide à surface libre borné en dessous par un fond fixe. Les équations dépendent de plusieurs paramètres physiques, notamment du rapport epsilon entre l’amplitude des vagues et la profondeur. Le modèle asymptotique toit rigide consiste à changer l’échelle de temps d’un rapport epsilon, puis de faire tendre ce paramètre, et donc l’amplitude des vagues, vers zéro. L’étude mathématique de cette limite correspond à un problème de perturbation singulière d’une équation dispersive. Dans cette thèse, on commence par utiliser des outils de résolution d’équations aux dérivées partielles de type hyperbolique pour démontrer un résultat d’existence locale pour l’équation des vagues en temps long. Ceci est suivi par un résultat de dispersion sur l’équation des vagues, utilisant des techniques de type phase stationnaire et décomposition de Paley-Littlewood pour l’étude des intégrales oscillantes. Enfin, la dernière partie de la thèse utilise les résultats obtenus ci-dessus pour étudier un défaut de compacité dans la convergence faible (mais non forte) des solutions de l’équation des vagues lorsque l’amplitude tend vers 0. / In this thesis, we study the behavior of the solutions of the Water-Waves equations in the rigid lid regime as the amplitude of the waves goes to zero. More precisely, the Water-Waves equations investigate the dynamic of a free surface fluid, bounded from below by a fixed bottom. The equations depends on many physical parameters, as the ratio epsilon between the wave amplitude and the deepness of the water. The rigid lid model consists in scaling the time by an epsilon factor and taking the limit epsilon goes to zero, simulating a situation where the amplitude of the waves goes to zero. The mathematical study of this limit correspond to a singular perturbation problem of a dispersive equation. In this thesis, we first use classical tools of hyperbolics equations to prove a long time existence result for the Water-Waves equations. We then prove a dispersion result for these equations, using stationary phase methods and Paley-Littlewood decomposition. We then combine these results to highlight the lack of compactness in the weak (but non strong) convergence of the solutions of the Water-Waves equations as the amplitude goes to zero.

We present, extend, and apply a method to extract the contribution of a subregion of a data set to the global flow. To isolate this contribution, we decompose the flow in the subregion into a potential flow that is induced by the original flow on the boundary and a localized flow. The localized flow is obtained by subtracting the potential flow from the original flow. Since the potential flow is free of both divergence and rotation, the localized flow retains the original features and captures the region-specific flow that contains the local contribution of the considered subdomain to the global flow. In the remainder of the paper, we describe an implementation on unstructured grids in both two and three dimensions for steady and unsteady flow fields. We discuss the application of some widely used feature extraction methods on the localized flow and describe applications like reverse-flow detection using the potential flow. Finally, we show that our algorithm is robust and scalable by applying it to various flow data sets and giving performance figures.