In this thesis, we present a collection of newly obtained results concerning the existence of vanishing viscosity solutions to the one-dimensional compressible Euler equations of gas dynamics, with and without geometric structure. We demonstrate the existence of such vanishing viscosity solutions, which we show to be entropy solutions, to the transonic nozzle problem and spherically symmetric Euler equations in Chapter 4, in both cases under the simple and natural assumption of relative finite-energy. In Chapter 5, we show that the viscous solutions of the one-dimensional compressible Navier-Stokes equations converge, as the viscosity tends to zero, to an entropy solution of the Euler equations, again under the assumption of relative finite-energy. In so doing, we develop a compactness framework for the solutions and approximate solutions to the Euler equations under the assumption of a physical pressure law. Finally, in Chapter 6, we consider the Euler equations in special relativity, and show the existence of bounded entropy solutions to these equations. In the process, we also construct fundamental solutions to the entropy equations and develop a compactness framework for the solutions and approximate solutions to the relativistic Euler equations.

Orientador: João Frederico da Costa Azevedo Meyer / Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Matematica, Estatistica e Computação Cientifica / Made available in DSpace on 2018-10-08T14:48:19Z (GMT). No. of bitstreams: 1 SaavedraVasquez_JulioCesar_D.pdf: 2693907 bytes, checksum: b3b22b83e62ead2cea6f7a9f22b7be6d (MD5) Previous issue date: 2005 / Resumo: Neste trabalho, é analisado o comportamento transiente da dispersão de água pro-duzida decorrente da atividade offshore, através de simulação numérica. O processo de dispersão é modelado através de um sistema de Equações Diferenciais Parciais que reúne as equações clássicas de Stokes e de Difusão-advecçãojreação em 3D, sendo que as veloci-dades obtidas na resolução numérica da I equação são usadas como parâmetro na equação de Difusão. Uma vez verificada existência e unicidade da solução da formulação variaci-onal, são aplicados os métodos SUPG(de ordem II) e Crank-Nicolson, que correspondem a métodos de elementos finitos no espaço e diferenças finitas no tempo respectivamente, para achar uma solução aproximada do problema original. Adicionalmente estabelecemos algumas estimativas do erro induzido pelo método de Galerkin tanto no caso contínuo como no discreto no tempo.Finalmente incluimos a implementação de um programa computacional o qual, através de diversas simulações de diferentes cenários, permite ilustrar a capacidade qualitativa do modelo e sua abordagem computacional / Abstract: In this work we study the evolutionary behavior of dispersal process of produced water resultant from off-shore activities, using a system of the classic partial differen-tial equations to mo deI both a circulation map as well as diffusion and advection in a three-dimensional domain. An existence and uniqueness result is obtained in the studied case, where finite elements are used in spatial discretization and finite differences in the Crank-Nicolson form are used for time steps. A Streamline-upwindjPetrov-Galerkin II adaptation is used for obtaining the necessary numerical approximations. Error estimates are established for Galerkin's method in both the continuous and discrete cases. An algo-rithm is presented with which several scenarios were carried out and discussed, illustrating qualitative merits of the process and its computational expression / Doutorado / Matematica / Doutor em Matemática

Orientador: Laecio Carvalho de Barros / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matematica, Estatistica e Computação Cientifica / Made available in DSpace on 2018-10-08T14:50:03Z (GMT). No. of bitstreams: 1 Gomes_LucianaTakata_M.pdf: 2589094 bytes, checksum: a8624d15e477320b8d14458f3fd6b9ce (MD5) Previous issue date: 2009 / Resumo: A doença a ser analisada é a dengue e, com este intuito, são criados alguns modelos matemáticos para simular sua evolução no distrito sul da cidade de Campinas. Divide-se a população humana local em três compartimentos, de acordo com o estado dos indivíduos - suscetível, infectante ou recuperado. A interação destas diferentes populações de humanos com a de mosquitos Aedes aegypti determina o comportamento da doença no domínio especificado. As variáveis de estado do modelo são as populações de humanos e a população de mosquitos, cuja divisão em compartimentos depende do modelo adotado. Seus valores são determinísticos e representam a densidade das populações em cada ponto do domínio. O trabalho contempla informações de especialistas a respeito do comportamento da doença e das condições para a proliferação e espalhamento do mosquito vetor. Tais condições, consideradas de natureza incerta, acabam por determinar o risco de contração da doença e, consequentemente, parâmetros dos modelos. A modelagem resulta em sistemas de Equações Diferencias Parciais, com alguns de seus parâmetros incertos. Para a obtenção de soluções (valores das variáveis em questão ao longo do tempo e sobre o domínio espacial citado), utilizam-se ferramentas de solução numérica (métodos dos Elementos Finitos e de Crank-Nicolson). Parâmetros relacionados ao comportamento da população do mosquito são avaliados por meio de Sistemas Baseados em Regras Fuzzy, aos quais são fornecidos, como entradas, as informações dos especialistas a respeito das condições do ambiente. / Abstract: The aim of this work is to study dengue and, with this purpose, some mathematical models were created to simulate its evolution in the southern district of the city of Campinas. The human population was subdivided into three compartments, according to the state of the individuals { susceptible, infectious or recovered. The interaction between these different populations and the Aedes aegypti mosquito population establishes the behaviour of the disease in the specified domain. The state variables of the models are the human populations and the mosquito population, whose compartmental division depends on the adopted model. Its values are deterministic and represent population densities in each point of the domain. This work takes into account specialists' information concerning the behaviour of the disease and the conditions of the proliferation and spread of the mosquito vector. These conditions, whose nature is considered uncertain, determine the risk of contraction of the disease and, consequently, the model parameters. The modelling results in systems of partial differential equations with some of its parameters being uncertain. To obtain the solutions (variable values according to time and the cited domain), numerical solution tools are used (Finite Elements and Crank-Nicolson methods). Parameters related to the behaviour of mosquito populations are evaluated through the Fuzzy Rules Based Systems, to which are provided, as entries, the specialists' information with respect to the environmental conditions. / Mestrado / Mestre em Matemática Aplicada

Ce travail de thèse aborde deux sujets : (i) L'utilisation d'une nouvelle méthode numérique pour l'évaluation des options sur un panier d'actifs, (ii) Le risque de liquidité, la modélisation du carnet d'ordres et la microstructure de marché. Premier thème : Un algorithme glouton et ses applications pour résoudre des équations aux dérivées partielles. L'exemple typique en finance est l'évaluation d'une option sur un panier d'actifs, laquelle peut être obtenue en résolvant l'EDP de Black-Scholes ayant comme dimension le nombre d'actifs considérés. Nous proposons d'étudier un algorithme qui a été proposé et étudié récemment dans [ACKM06, BLM09] pour résoudre des problèmes en grande dimension et essayer de contourner la malédiction de la dimension. L'idée est de représenter la solution comme une somme de produits tensoriels et de calculer itérativement les termes de cette somme en utilisant un algorithme glouton. La résolution des EDP en grande dimension est fortement liée à la représentation des fonctions en grande dimension. Dans le Chapitre 1, nous décrivons différentes approches pour représenter des fonctions en grande dimension et nous introduisons les problèmes en grande dimension en finance qui sont traités dans ce travail de thèse. La méthode sélectionnée dans ce manuscrit est une méthode d'approximation non-linéaire appelée Proper Generalized Decomposition (PGD). Le Chapitre 2 montre l'application de cette méthode pour l'approximation de la solution d'une EDP linéaire (le problème de Poisson) et pour l'approximation d'une fonction de carré intégrable par une somme des produits tensoriels. Un étude numérique de ce dernier problème est présenté dans le Chapitre 3. Le problème de Poisson et celui de l'approximation d'une fonction de carré intégrable serviront de base dans le Chapitre 4 pour résoudre l'équation de Black-Scholes en utilisant l'approche PGD. Dans des exemples numériques, nous avons obtenu des résultats jusqu'en dimension 10. Outre l'approximation de la solution de l'équation de Black-Scholes, nous proposons une méthode de réduction de variance des méthodes Monte Carlo classiques pour évaluer des options financières. Second thème : Risque de liquidité, modélisation du carnet d'ordres, microstructure de marché. Le risque de liquidité et la microstructure de marché sont devenus des sujets très importants dans les mathématiques financières. La dérégulation des marchés financiers et la compétition entre eux pour attirer plus d'investisseurs constituent une des raisons possibles. Dans ce travail, nous étudions comment utiliser cette information pour exécuter de façon optimale la vente ou l'achat des ordres. Les ordres peuvent seulement être placés dans une grille des prix. A chaque instant, le nombre d'ordres en attente d'achat (ou vente) pour chaque prix est enregistré. Dans [AFS10], Alfonsi, Fruth et Schied ont proposé un modèle simple du carnet d'ordres. Dans ce modèle, il est possible de trouver explicitement la stratégie optimale pour acheter (ou vendre) une quantité donnée d'actions avant une maturité. L'idée est de diviser l'ordre d'achat (ou de vente) dans d'autres ordres plus petits afin de trouver l'équilibre entre l'acquisition des nouveaux ordres et leur prix. Ce travail de thèse se concentre sur une extension du modèle du carnet d'ordres introduit par Alfonsi, Fruth et Schied. Ici, l'originalité est de permettre à la profondeur du carnet d'ordres de dépendre du temps, ce qui représente une nouvelle caractéristique du carnet d'ordres qui a été illustré par [JJ88, GM92, HH95, KW96]. Dans ce cadre, nous résolvons le problème de l'exécution optimale pour des stratégies discrètes et continues. Ceci nous donne, en particulier, des conditions suffisantes pour exclure les manipulations des prix au sens de Huberman et Stanzl [HS04] ou de Transaction-Triggered Price Manipulation (voir Alfonsi, Schied et Slynko) / This work is organized in two themes : (i) A novel numerical method to price options on manyassets, (ii) The liquidity risk, the limit order book modeling and the market microstructure.First theme : Greedy algorithms and applications for solving partial differential equations in high dimension Many problems of interest for various applications (material sciences, finance, etc) involve high-dimensional partial differential equations (PDEs). The typical example in finance is the pricing of a basket option, which can be obtained by solving the Black-Scholes PDE with dimension the number of underlying assets. We propose to investigate an algorithm which has been recently proposed and analyzed in [ACKM06, BLM09] to solve such problems and try to circumvent the curse of dimensionality. The idea is to represent the solution as a sum of tensor products and to compute iteratively the terms of this sum using a greedy algorithm. The resolution of high dimensional partial differential equations is highly related to the representation of high dimensional functions. In Chapter 1, we describe various linear approaches existing in literature to represent high dimensional functions and we introduce the high dimensional problems in finance that we will address in this work. The method studied in this manuscript is a non-linear approximation method called the Proper Generalized Decomposition. Chapter 2 shows the application of this method to approximate the so-lution of a linear PDE (the Poisson problem) and also to approximate a square integrable function by a sum of tensor products. A numerical study of this last problem is presented in Chapter 3. The Poisson problem and the approximation of a square integrable function will serve as basis in Chapter 4for solving the Black-Scholes equation using the PGD approach. In numerical experiments, we obtain results for up to 10 underlyings. Second theme : Liquidity risk, limit order book modeling and market microstructure. Liquidity risk and market microstructure have become in the past years an important topic in mathematical finance. One possible reason is the deregulation of markets and the competition between them to try to attract as many investors as possible. Thus, quotation rules are changing and, in general, more information is available. In particular, it is possible to know at each time the awaiting orders on some stocks and to have a record of all the past transactions. In this work we study how to use this information to optimally execute buy or sell orders, which is linked to the traders' behaviour that want to minimize their trading cost. In [AFS10], Alfonsi, Fruth and Schied have proposed a simple LOB model. In this model, it is possible to explicitly derive the optimal strategy for buying (or selling) a given amount of shares before a given deadline. Basically, one has to split the large buy (or sell) order into smaller ones in order to find the best trade-off between attracting new orders and the price of the orders. Here, we focus on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. The additional feature is a time-varying LOB depth that represents a new feature of the LOB highlighted in [JJ88, GM92, HH95, KW96]. We solve the optimal execution problem in this framework for both discrete and continuous time strategies. This gives in particular sufficient conditions to exclude Price Manipulations in the sense of Huberman and Stanzl [HS04] or Transaction-Triggered Price Manipulations (see Alfonsi, Schied and Slynko). The seconditions give interesting qualitative insights on how market makers may create price manipulations

Neste trabalho estudamos propriedades de integrais concentradas, ou seja, integrais cujo integrando atua apenas em uma vizinhança do domínio em questão. Tais termos são utilizados para conhecer o comportamento do integrando em regiões cuja medida de Lebesgue se aproxima de zero quando um parâmetro tende a zero. Ilustraremos estes resultados abstratos através de duas aplicações, ambas em domínios Lipschitz de R2, onde adicionamos um termo de concentração em problemas semilineares elípticos: domínio com fronteira oscilante que tende a um domínio limite fixo; e domínio do tipo fino com fronteira oscilante. Em ambos os casos, provamos a semicontinuidade superior e inferior da família de soluções dos problemas. / In this work we study concentrating integrals properties, in other words, we analyze integrals which function that is been integrated acts only in a neighborhood of the boundary of the domain. Such terms are use to know the behaviour of the integrand in regions which Lebesgue measure tends to zero when a parameter goes to zero. We will illustrate these abstract results through two applications, both in Lipschitz domains of R2, where we add a concentration term in semi linear elliptic problems: oscillating boundary domain which tends to a fixed limit domain; and a thin domain with a oscillatory boundary. In both cases we prove the upper and lower semicontinuity of the family of solutions from these problems.

Problems involving the minimization of functionals date back to antiquity. The mathematics of the calculus of variations has provided a framework for the analytical solution of a limited class of such problems. This paper describes a numerical approximation technique for obtaining machine solutions to minimal path problems. It is shown that this technique is applicable not only to the common case of finding geodesics on parameterized surfaces in R3, but also to the general case of finding minimal functionals on hypersurfaces in Rn associated with an arbitrary metric.

Material thermal properties are highly sought after to better understand the performance of a material under particular conditions. As new materials are created, their physical properties will determine their performance for various applications. These properties have been estimated using many techniques including experimental testing, numerical modeling, and a combination of both. Existing methods can be time consuming, thus, a time-efficient and precise method to estimate these thermal properties was desired. A one-dimensional finite difference numerical model was developed to replicate the heat transfer through an experimental apparatus. A combination of this numerical model and the Continuous Genetic Algorithm optimization technique was used to estimate material thermal properties of fibrous insulation from test data. The focus of this work was to predict these material thermal properties for an Alumina Paper that is commonly used in aerospace applications. The background, methodology, and results are discussed.

La perméabilisation des cellules à l’aide d’impulsions électriques intenses, appelée électroperméabilisation, est un phénomène biologique impliqué dans des thérapies anticancéreuses récentes. Elle permet, par exemple, d’améliorer l’efficacité d’une chimiothérapie en diminuant les effets secondaires, d’effectuer des transferts de gènes, ou encore de procéder à l’ablation de tumeurs. Les mécanismes de l’électroperméabilisation restent cependant encore méconnus, et l’hypothèse majoritairement admise par la communauté de formation de pores à la surface des membranes cellulaires est en contradiction avec certains résultats expérimentaux.Le travail de modélisation proposé dans cette thèse est basé sur une approche différente des modèles d’électroporation existants. Au lieu de proposer des lois sur les propriétés des membranes à partir d’hypothèses à l’échelle moléculaire, nous établissons des lois ad hoc pour les décrire, en se basant uniquement sur les informations expérimentales disponibles. Aussi, afin de rester au plus prèsde ces dernières et faciliter la phase de calibration à venir, nous avons ajouté un modèle de transport et de diffusion de molécules dans la cellule. Une autre spécificité de notre modèle est que nous faisons la distinction entre l’état conducteur et l’état perméable des membranes.Des méthodes numériques spécifiques ainsi qu’un code en 3D et parallèle en C++ ont été écrits et validés pour résoudre les équations aux dérivées partielles de ces différents modèles. Nous validons le travail de modélisation en montrant que les simulations reproduisent qualitativement les comportements observés in vitro. / Cell permeabilization by intense electric pulses, called electropermeabilization, is a biological phenomenon involved in recent anticancer therapies. It allows, for example, to increase the efficacy of chemotherapies still reducing their side effects, to improve gene transfer, or to proceed tumor ablation. However, mechanisms of electropermeabilization are not clearly explained yet, and the mostly adopted hypothesis of the formation of pores at the membrane surface is in contradiction with several experimental results.This thesis modeling work is based on a different approach than existing electroporation models. Instead of deriving equations on membranes properties from hypothesis at the molecular scale, we prefer to write ad hoc laws to describe them, based on available experimental data only. Moreover, to be as close as possible to these data, and to ease the forthcoming work of parameter calibration, we added to our model equations of transport and diffusion of molecules in the cell. Another important feature of our model is that we differentiate the conductive state of membranes from their permeable state.Numerical methods, as well as a 3D parallel C++ code were written and validated in order to solve the partial differential equations of our models. The modeling work was validated by showing qualitative match between our simulations and the behaviours that are observed in vitro

Nous analysons trois modèles non-locaux décrivant la dynamique évolutive d’un trait phénotypique continu soumis à l’action conjointe des mutations et de la sélection. Nous établissons l’existence et l’unicité des solutions du problème de Cauchy, et donnons la description du comportement en temps long de la solution. Dans le premier travail nous étudions l’équation du réplicateur-mutateur en domaine non borné et généralisons aux cas des valeurs sélectives confinantes les résultats connus dans le cas harmonique. À savoir, l’existence d’une unique solution globale, régulière, convergeant en temps long vers un profil universel ; pour cela, nous employons des techniques de décomposition spectrale d’opérateurs de Schrödinger. Le deuxième travail traite d’un modèle dont la valeur sélective est densité-dépendante. Afin de montrer le caractère bien posé de l’équation, nous combinons deux approches. La première est basée sur l’étude de la fonction génératrice des cumulants, satisfaisant une équation de transport non locale et permettant d’obtenir implicitement le trait moyen. La deuxième exploite un changement de variable (formule d’Avron-Herbst), permettant d’écrire la solution en termes du trait moyen et de la solution de l’équation de la chaleur avec même donnée initiale. Finalement, nous étudions un modèle dont le taux de mutation est proportionnel à la valeur moyenne du trait. Nous établissons un lien bijectif entre ce dernier modèle et le deuxième, permettant ainsi de décrire finement la dynamique de la solution. Nous montrons en particulier la croissance exponentielle du trait moyen. / We analyze three non-local models describing the evolutionary dynamics of a continuous phenotypic trait undergoing the joint action of mutations and selection. We establish the existence and uniqueness of the solutions to the Cauchy problem, and give a description of the long-time behaviour of the solution. In the first work we study the replicator-mutator equation in the unbounded domain and generalize to cases of selective values confining the known results in the harmonic case. Namely, the existence of a unique global regular solution, converging towards a universal profile; for this, we use spectral decomposition techniques of Schrödinger operators. In the second work, we discuss a model whose fitness value is density-dependent. In order to show the well-posedness of the equation, we combine two approaches. The first is based on the study of the cumulant generating functions, satisfying a non-local transport equation and making it possible to implicitly obtain the average trait. The second uses a change of variable (Avron-Herbst formula), allowing the solution to be written in terms of the average trait and the solution of the heat equation with the same initial data. Finally, we study a model whose mutation rate is proportional to the average value of the trait. We establish a bijective link between this last model and the second, thus making it possible to describe the dynamics of the solution in detail. In particular, we show the exponential growth of the average trait.

<p>This thesis consists of four papers and a summary. The common topic of the included papers are the pricing equations of path-dependent options. Various properties of barrier options and American options are studied, such as convexity of option prices, the size of the continuation region in American option pricing and pricing formulas for turbo warrants. In Paper I we study the effect of model misspecification on barrier option pricing. It turns out that, as in the case of ordinary European and American options, this is closely related to convexity properties of the option prices. We show that barrier option prices are convex under certain conditions on the contract function and on the relation between the risk-free rate of return and the dividend rate. In Paper II a new condition is given to ensure that the early exercise feature in American option pricing has a positive value. We give necessary and sufficient conditions for the American option price to coincide with the corresponding European option price in at least one diffusion model. In Paper III we study parabolic obstacle problems related to American option pricing and in particular the size of the non-coincidence set. The main result is that if the boundary of the set of points where the obstacle is a strict subsolution to the differential equation is C¹-Dini in space and Lipschitz in time, there is a positive distance, which is uniform in space, between the boundary of this set and the boundary of the non-coincidence set. In Paper IV we derive explicit pricing formulas for turbo warrants under the classical Black-Scholes assumptions.</p>