The purpose of this thesis is to develop techniques for analysing interacting particle systems on the half-line. When the number of particles becomes large, stochastic partial differential equations (SPDEs) with Dirichlet boundary conditions will be the natural objects for describing the dynamics of the population's empirical measure. As a source of motivation, we consider systems that arise naturally as models for the pricing of portfolio credit derivatives, although similar applications are found in mathematical neuroscience, stochastic filtering and mean-field games. We will focus on a stochastic McKean--Vlasov system in which a collection of Brownian motions interact through a correlation which is a function of the proportion of particles that have been absorbed at level zero. We prove a law of large numbers where the limiting object is the unique solution to (the weak formulation of) the loss-dependent SPDE: dV_t(x) = 1/2 &part;_xxV_t(x)dt - p(L_t)&part;_xV_t(x)dW_t, V_t(0)=0, where L_t = 1-&lmoust;^&infin;<sub style='position: relative; left: -.8em;'>t</sub></sup>V_t(x)dx, V is a density process on the half-line and W is a Brownian motion. The correlation function is assumed to be piecewise Lipschitz, which encompasses a natural class of credit models. The first of our theoretical developments is to introduce the kernel smoothing method in the dual of the first Sobolev space, H^-1, with the aim of proving uniqueness results for SPDEs. A benefit of this approach is that only first order moment estimates of solutions are required, and in the particle setting this translates into studying the particles at an individual level rather than as a correlated collection. The second idea is to extend Skorokhod's M₁ topology to the space of processes that take values in the tempered distributions. The benefit we gain is that monotone functions have zero modulus of continuity under this topology, so the loss process, L, is easy to control. As a final example, we consider the fluctuations in the convergence of a basic particle system with constant correlation. This gives rise to a central limit theorem, for which the limiting object is a solution to an SPDE with random transport and an additive idiosyncratic driver acting on the first derivative terms. Conditional on the systemic random variables, this driver is a space-time white noise with intensity controlled by the empirical measure of the underlying system. The SPDE has insufficient regularity for us to work in any Sobolev space higher than H^-1, hence we have an example of where our extension to the kernel smoothing method is necessary.

Orientador: Geraldo de Freitas Maciel / Banca: Edson Del Rio Vieira / Banca: Jefferson B. Libardi Liborio / Resumo: Esta dissertação de mestrado traz à discussão o comportamento reológico de misturas formadas por água+colóides+detritos (areia fina), visando entender e esclarecer os processos físicos e mecânicos, tais como sedimentação e ressuspensão de materiais inertes no seio da massa fluida não-newtoniana (água+colóides), bem como verificar a validade ou adeqüabilidade do modelo reológico de Herschel-Bulkley (modelo previamente investigado e validado para misturas compostas de água+colóides) para misturas viscoplásticas com presença de grãos. A variação das propriedades reológicas das misturas, em função das características físicas dos grãos (diâmetro, massa específica e área superficial), é investigada, e um modelo de estimativa de tensão crítica é apresentado. Ademais foram realizados ensaios preliminares de escoamento de fluidos hiperconcentrados em canais inclinados, na tentativa de calibrar uma lei de atrito. Dentro dessas perspectivas, a dissertação é composta de 6 Capítulos com um denso Estado da Arte que descreve os fenômenos e mecanismos que regem os escoamentos desse tipo de compósito. Com base na literatura estudada e, a partir da análise dos resultados experimentais, pôde-se concluir que, para misturas compostas de água+colóides+detritos, o comportamento reológico das misturas é o mesmo que aquele do fluido intersticial (água+colóides), desde que a homogeneidade da mistura seja garantida (não ocorrência de sedimentação e ressuspensão sucessivas). Neste caso, o modelo reológico de Herschel-Bulkley continua sendo válido para explicar as curvas de escoamento ou de fluxo das misturas viscoplásticas com grãos. Para misturas que apresentem os fenômenos de sedimentação e ressuspensão, o modelo de Bagnold, adaptado a fluidos hiperconcentrados... (Resumo completo, clicar acesso eletrônico abaixo) / Abstract: This work retakes the discussion about the rheological behavior of mixtures composed by water+ kaolinitic clay+fine sand in order to investigate the physical and mechanical processes such as sedimentation and suspension of inert materials into the non-Newtonian or interstitial fluid (water+colloids), as well as verify the adaptability of the Herschel-Bulkley rheological model (model previously investigated and validated for composed mixtures of water+ kaolinitic clay) for explain the viscoplastic+coarse materials rheological properties. The variation of the rheological properties of the mixtures in function of the coarse material characteristics (diameter, specific mass and superficial area) was investigated and a model predicting yield stress was proposed. Furthermore, some tests were performed in an inclined canal to determine a friction law for this kind of fluids. Inside of these perspectives, this dissertation is composed of 6 Chapters whit a dense State of the Art describing the phenomena and their mechanisms were pointed up. Based on literature and from the experimental results, one could concluded that the viscoplastic + coarse material mixtures behavior is the same of the interstitial fluid one, since that the homogeneity of the mixture is guaranteed (not occurrence of successive sedimentation and resuspension). In this case, Herschel-Bulkley rheological model is still valid to explain the curves of flow of the viscoplastic + coarse material. For mixtures that present the phenomena of sedimentation and resuspension, Bagnoldþs model, adapted to the hyperconcentrated fluids, describes well the variations of rheological parameters in function of the shear rates applied. Finally, it could be concluded that the experiments of free surface in canals, despite partial, can... (Complete abstract click electronic access below) / Mestre

Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico / AnimaÃÃes de fluidos, como a Ãgua ou fumaÃa, sÃo utilizadas para introduzir detalhes em jogos virtuais ou filmes. VÃrios mÃtodos existem para a simulaÃÃo de fluidos utilizando sistemas de partÃculas e, em especial, utilizando o mÃtodo Smoothed Particle Hydrodynamics, ou SPH. O mÃtodo SPH Ã uma boa escolha para a simulaÃÃo de fluidos por sua fÃcil descriÃÃo e implementaÃÃo. Este trabalho apresenta alguns mÃtodos baseados no SPH para a simulaÃÃo de fluidos gerais, e para a interaÃÃo entre fluidos e sÃlidos. Esses mÃtodos sÃo analisados e comparados relativos ao seu realismo, apresentando alguns pontos fracos de cada mÃtodo. Essa anÃlise pode ser utilizada para guiar a implementaÃÃo de melhores mÃtodos baseados no SPH, e para a animaÃÃo realista de fluidos. / Animations of &#64258;uids, such as water or smoke, are used to add details to virtual games or &#64257;lms. Various methods exist for simulating &#64258;uids using particle systems, including the Smoothed Particle Hydrodynamics (SPH) method. The SPH method is a good choice for simulating &#64258;uids for its easy description and implementation. This work describes some methods based on SPH for general &#64258;uid simulation, and for the interaction between &#64258;uids and solids. These methods are analysed and compared on their realism, and a few weak points of each method are presented. This analysis may be used for the creation of better methods based on SPH, and for the realistic animation of &#64258;uids

BARBOSA, Charles Welton Ferreira. Uma análise comparativa de métodos aproximativos baseados em smoothed particle hydrodynamics para animação de fluidos. 2013. 59 f. : Dissertação (mestrado) - Universidade Federal do Ceará, Centro de Ciências, Departamento de Computação, Fortaleza-CE, 2013. / Submitted by guaracy araujo (guaraa3355@gmail.com) on 2016-06-14T18:05:54Z No. of bitstreams: 1 2013_dis_cwfbarbosa.pdf: 4026755 bytes, checksum: 3808122d6233e5855d6891854317c373 (MD5) / Approved for entry into archive by guaracy araujo (guaraa3355@gmail.com) on 2016-06-14T18:07:17Z (GMT) No. of bitstreams: 1 2013_dis_cwfbarbosa.pdf: 4026755 bytes, checksum: 3808122d6233e5855d6891854317c373 (MD5) / Made available in DSpace on 2016-06-14T18:07:17Z (GMT). No. of bitstreams: 1 2013_dis_cwfbarbosa.pdf: 4026755 bytes, checksum: 3808122d6233e5855d6891854317c373 (MD5) Previous issue date: 2013 / Animations of fluids, such as water or smoke, are used to add details to virtual games or films. Various methods exist for simulating fluids using particle systems, including the Smoothed Particle Hydrodynamics (SPH) method. The SPH method is a good choice for simulating fluids for its easy description and implementation. This work describes some methods based on SPH for general fluid simulation, and for the interaction between fluids and solids. These methods are analysed and compared on their realism, and a few weak points of each method are presented. This analysis may be used for the creation of better methods based on SPH, and for the realistic animation of fluids / Animações de fluidos, como a água ou fumaça, são utilizadas para introduzir detalhes em jogos virtuais ou filmes. Vários métodos existem para a simulação de fluidos utilizando sistemas de partículas e, em especial, utilizando o método Smoothed Particle Hydrodynamics, ou SPH. O método SPH é uma boa escolha para a simulação de fluidos por sua fácil descrição e implementação. Este trabalho apresenta alguns métodos baseados no SPH para a simulação de fluidos gerais, e para a interação entre fluidos e sólidos. Esses métodos são analisados e comparados relativos ao seu realismo, apresentando alguns pontos fracos de cada método. Essa análise pode ser utilizada para guiar a implementação de melhores métodos baseados no SPH, e para a animação realista de fluidos.

Made available in DSpace on 2014-06-11T19:23:39Z (GMT). No. of bitstreams: 0 Previous issue date: 2006-12-18Bitstream added on 2014-06-13T18:10:05Z : No. of bitstreams: 1 kiryu_hs_me_ilha.pdf: 2419349 bytes, checksum: 258056fdacb79f386b2e6b238dc26028 (MD5) / Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) / Esta dissertação de mestrado traz à discussão o comportamento reológico de misturas formadas por água+colóides+detritos (areia fina), visando entender e esclarecer os processos físicos e mecânicos, tais como sedimentação e ressuspensão de materiais inertes no seio da massa fluida não-newtoniana (água+colóides), bem como verificar a validade ou adeqüabilidade do modelo reológico de Herschel-Bulkley (modelo previamente investigado e validado para misturas compostas de água+colóides) para misturas viscoplásticas com presença de grãos. A variação das propriedades reológicas das misturas, em função das características físicas dos grãos (diâmetro, massa específica e área superficial), é investigada, e um modelo de estimativa de tensão crítica é apresentado. Ademais foram realizados ensaios preliminares de escoamento de fluidos hiperconcentrados em canais inclinados, na tentativa de calibrar uma lei de atrito. Dentro dessas perspectivas, a dissertação é composta de 6 Capítulos com um denso Estado da Arte que descreve os fenômenos e mecanismos que regem os escoamentos desse tipo de compósito. Com base na literatura estudada e, a partir da análise dos resultados experimentais, pôde-se concluir que, para misturas compostas de água+colóides+detritos, o comportamento reológico das misturas é o mesmo que aquele do fluido intersticial (água+colóides), desde que a homogeneidade da mistura seja garantida (não ocorrência de sedimentação e ressuspensão sucessivas). Neste caso, o modelo reológico de Herschel-Bulkley continua sendo válido para explicar as curvas de escoamento ou de fluxo das misturas viscoplásticas com grãos. Para misturas que apresentem os fenômenos de sedimentação e ressuspensão, o modelo de Bagnold, adaptado a fluidos hiperconcentrados... / This work retakes the discussion about the rheological behavior of mixtures composed by water+ kaolinitic clay+fine sand in order to investigate the physical and mechanical processes such as sedimentation and suspension of inert materials into the non-Newtonian or interstitial fluid (water+colloids), as well as verify the adaptability of the Herschel-Bulkley rheological model (model previously investigated and validated for composed mixtures of water+ kaolinitic clay) for explain the viscoplastic+coarse materials rheological properties. The variation of the rheological properties of the mixtures in function of the coarse material characteristics (diameter, specific mass and superficial area) was investigated and a model predicting yield stress was proposed. Furthermore, some tests were performed in an inclined canal to determine a friction law for this kind of fluids. Inside of these perspectives, this dissertation is composed of 6 Chapters whit a dense State of the Art describing the phenomena and their mechanisms were pointed up. Based on literature and from the experimental results, one could concluded that the viscoplastic + coarse material mixtures behavior is the same of the interstitial fluid one, since that the homogeneity of the mixture is guaranteed (not occurrence of successive sedimentation and resuspension). In this case, Herschel-Bulkley rheological model is still valid to explain the curves of flow of the viscoplastic + coarse material. For mixtures that present the phenomena of sedimentation and resuspension, Bagnoldþs model, adapted to the hyperconcentrated fluids, describes well the variations of rheological parameters in function of the shear rates applied. Finally, it could be concluded that the experiments of free surface in canals, despite partial, can... (Complete abstract click electronic access below)