Made available in DSpace on 2014-06-12T17:35:03Z (GMT). No. of bitstreams: 2 arquivo3630_1.pdf: 2374215 bytes, checksum: 64f9cdc75ffa8167dff3140c0b1e48a2 (MD5) license.txt: 1748 bytes, checksum: 8a4605be74aa9ea9d79846c1fba20a33 (MD5) Previous issue date: 2009 / Petróleo Brasileiro S/A / Processos semi-Markovianos (SMP) contínuos no tempo são importantes ferramentas estocásticas para modelagem de métricas de confiabilidade ao longo do tempo para sistemas para os quais o comportamento futuro depende dos estados presente e seguinte assim como do tempo de residência. O método clássico para resolver as probabilidades intervalares de transição de SMP consiste em aplicar diretamente um método geral de quadratura às equações integrais. Entretanto, esta técnica possui um esforço computacional considerável, isto é, N2 equações integrais conjugadas devem ser resolvidas, onde N é o número de estados. Portanto, esta tese propõe tratamentos matemáticos e numéricos mais eficientes para SMP. O primeiro método, o qual é denominado 2N-, é baseado em densidades de frequência de transição e métodos gerais de quadratura. Basicamente, o método 2N consiste em resolver N equações integrais conjugadas e N integrais diretas. Outro método proposto, chamado Lap-, é baseado na aplicação de transformadas de Laplace as quais são invertidas por um método de quadratura Gaussiana, chamado Gauss Legendre, para obter as probabilidades de estado no domínio do tempo. Formulação matemática destes métodos assim como descrições de seus tratamentos numéricos, incluindo questões de exatidão e tempo para convergência, são desenvolvidas e fornecidas com detalhes. A efetividade dos novos desenvolvimentos 2N- e Lap- serão comparados contra os resultados fornecidos pelo método clássico por meio de exemplos no contexto de engenharia de confiabilidade. A partir destes exemplos, é mostrado que os métodos 2N- e Lap- são significantemente menos custosos e têm acurácia comparável ao método clássico

In biochemically reactive systems with small copy numbers of one or more reactant molecules, stochastic effects dominate the dynamics. In the first part of this thesis, we design novel efficient simulation techniques for a reliable and fast estimation of various statistical quantities for stochastic biological and chemical systems under the framework of Stochastic Reaction Networks. In the first work, we propose a novel hybrid multilevel Monte Carlo (MLMC) estimator, for systems characterized by having simultaneously fast and slow timescales. Our hybrid multilevel estimator uses a novel split-step implicit tau-leap scheme at the coarse levels, where the explicit tau-leap method is not applicable due to numerical instability issues. In a second work, we address another challenge present in this context called the high kurtosis phenomenon, observed at the deep levels of the MLMC estimator. We propose a novel approach that combines the MLMC method with a pathwise-dependent importance sampling technique for simulating the coupled paths. Our theoretical estimates and numerical analysis show that our method improves the robustness and complexity of the multilevel estimator, with a negligible additional cost. In the second part of this thesis, we design novel methods for pricing financial derivatives. Option pricing is usually challenging due to: 1) The high dimensionality of the input space, and 2) The low regularity of the integrand on the input parameters. We address these challenges by developing different techniques for smoothing the integrand to uncover the available regularity. Then, we approximate the resulting integrals using hierarchical quadrature methods combined with Brownian bridge construction and Richardson extrapolation. In the first work, we apply our approach to efficiently price options under the rough Bergomi model. This model exhibits several numerical and theoretical challenges, implying classical numerical methods for pricing being either inapplicable or computationally expensive. In a second work, we design a numerical smoothing technique for cases where analytic smoothing is impossible. Our analysis shows that adaptive sparse grids’ quadrature combined with numerical smoothing outperforms the Monte Carlo approach. Furthermore, our numerical smoothing improves the robustness and the complexity of the MLMC estimator, particularly when estimating density functions.

La synthèse d'ouverture est une technique interférométrique similaire à la synthèse par rotation de la terre utilisée en radioastronomie où les signaux reçus par une paire de petites antennes sont traités de telle manière à synthétiser une seule grande antenne. Le concept de synthèse d'ouverture a été réadapté pour l'observation de la terre dans le cas de la télédétection de sources étendues de température. L'utilisation de cette technique pour l'observation de la terre a permis de contourner les limitations sur la taille d'antenne en télédétection passive. La fonction de corrélation, ou de visibilité, obtenue en inter-corrélant les signaux reçus par les an- tennes d'un système interférométrique employant une synthèse d'ouverture est définie comme étant la transformée de Fourier de la carte des températures de bril lance de la scène observée. Cette relation est connue sous le nom du théorème de Van Cittert-Zernike pour des observateurs en repos par rapport aux sources de température. La forme classique de ce théorème a été dérivée en inter-corrélant les échantillons temporels instantanés du champ électrique mesurés par différentes antennes. Un nouveau concept basé une interférométrie spatio-temporelle passive a été proposé comme étant la nouvelle génération qui succédera à la mission SMOS (Soil Moisture and Ocean Salinity) opérant dans l'espace depuis Novembre 2009. Celui-ci a pour objectif principal l'amélioration de la résolution spatiale à des ordres pouvant répondre aux applications hydrologiques à l'échelle locale où des résolutions kilométriques sont exigées. Ce concept interférométrique se base sur l'idée d'intégrer le déplacement de l'observateur (l'antenne) et ainsi la variable temps dans le calcul de la fonction de corrélation. Ceci engendre la création de nouvelles lignes de base virtuelles entre les positions des antennes à des instants différents, en plus des lignes de base physiques formées entres les positions des antennes instantanées. L'étude de ce concept de corrélation a malheureusement démontré la suppression exacte de l'information additionnelle due aux lignes de base virtuelles par le décalage Doppler induit par le déplacement. Une seconde étude du concept d'interférométrie spatio-temporelle combinée à une nouvelle procé- dure d'imagerie par corrélation dans l'espace fréquentiel, accomplie en inter-corrélant les spectres fréquentiels des champs électriques mesurés par une paire d'antennes séparées d'une distance Δr à bord d'un satellite à une hauteur h, a démontré l'obtention d'une information en 2D en températures de brillance de la scène observée. En plus, le développement théorique de la fonction de corrélation a mis en évidence une relation liant les visibilités aux températures de brillance par l'intermédiaire d'un noyau hautement oscillatoire. L'élément nouveau apporté par la corrélation dans l'espace fréquentiel consiste à exploiter l'informati- on de corrélation acquise par les antennes du satellite pour des fréquences présentant de petites dif- férences et pas seulement l'auto-corrélation. Cette propriété permet une reconstruction en 2D des températures de brillance avec seulement deux antennes / Aperture synthesis is an interferometric technique similar to Earth rotation synthesis employed in radio astronomy in which the signals received by a pair of small antennas are processed in a way to synthesize a single large antenna. The aperture synthetic concept used in radioastronomy was readapted to Earth remote sensing for large thermal sources. Thanks to this technique, limitations on antenna size in passive microwave remote sensing have been overcome. The correlation, or visibility, function obtained by cross-correlating the signals received by the antennas of an interferometric system using aperture synthesis is linked to the brightness temperature map of the observed scene by means of a Fourier-transform law. This is know as the standard form of the Van Cittert-Zernike theorem for fixed observers with respect to sources of temperature. This stan- dard formulation is derived by cross-correlating the instantaneous temporal components of the measured electric fields by different antennas. A new concept based on a passive spatio-temporal interferometry was proposed as the new generation to follow the well-known SMOS (Soil Moisture and Ocean Salinity) mission successfully operating since November 2, 2009. The aim of the proposed concept is a jump in the current achieved geometric resolution to orders capable of meeting the stringent users' needs for the study of hydrological applications in the local scale where sub-kilometric resolutions are required. This interferometric concept is based on the idea of integrating the displacement of the observer (satellite's antenna), and hence the time variable, in the calculation of the correlation function, which yields the creation of virtual baselines between the positions of antennas at different instants, in addition to the physical ones formed between the instantaneous antennas' spatial positions. Sadly, the additional information due to the virtual baseline was shown to be exactly canceled by the induced Doppler shift due to the observer's motion. We show furthermore that when using the aforementioned spatio-temporal interferometric system combined with a revolutionary Fourier Correlation Imaging (FouCoIm) procedure, consisting in cross-correlating, at slightly different frequencies, the Fourier components of the fluctuations of the re- ceived electric fields by a pair of antennas separated by a distance Δr on board of a satellite flying at height h, the 2D position-dependent brightness temperature can be reconstructed. Besides, the analytical derivation of the correlation function gives rise to a relationship linking the measured cor- relations to the position-dependent brightness temperatures by means of a Highly Oscillatory Integral (HOI) kernel. Interestingly, the analytical study of the HOI kernel showed the remarkable property that a corre- lation between both antenna-signals remains within a small frequency interval (different frequencies) outside the simple auto-correlation (same frequency). As a matter of fact, while existing systems had, until now, only considered the simple 1D information contained in the auto-correlation, it appears that the resulting correlation function from this concept bears a 2D information for the measurement of the position-dependent brightness temperature. Based on this, one is capable of reconstructing 2D bright- ness temperatures starting from a simple 1D geometry (two antennas arranged perpendicularly to the flight direction)