In this Master thesis, we use a singular and regular perturbation theory to derive an analytic approximation formula for the expected discounted penalty function. Our model is an extension of Cramer–Lundberg extended classical model because we consider a more general insurance risk model in which the compound Poisson risk process is perturbed by a Brownian motion multiplied by a stochastic volatility driven by two factors- which have mean reversion models. Moreover, unlike the classical model, our model allows a ruin to be caused either by claims or by surplus’ fluctuation. We compute explicitly the first terms of the asymptotic expansion and we show that they satisfy either an integro-differential equation or a Poisson equation. In addition, we derive the existence and uniqueness conditions of the risk model with two stochastic volatilities factors.

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Thesis submitted in fulfilment of the requirements for the degree Doctor technologiae (engineering: chemical) In the faculty of engineering at the cape peninsula university of technology / Since the first uses of hollow-fiber membrane bioreactors (MBR’s) to immobilize whole cells were reported in the early 1970’s, this technology has been used in as wide ranging applications as enzyme production to bone tissue engineering. The potential of these devices in industrial applications is often diminished by the large diffusional resistances of the membranes. Currently, there are no analytical studies on the performance of the MBR which account for both convective and diffusive transport. The purpose of this study was to quantify the efficiency of a biocatalytic membrane reactor used for the production of enzymes. This was done by developing exact solutions of the concentration and velocity profiles in the different regions of the membrane bioreactor (MBR). The emphasis of this study was on the influence of radial convective flows, which have generally been neglected in previous analytical studies. The efficiency of the MBR was measured by means of the effectiveness factor. An analytical model for substrate concentration profiles in the lumen of the MBR was developed. The model was based on the solution of the Navier-Stokes equations and Darcy’s law for velocity profiles, and the convective-diffusion equation for the solute concentration profiles. The model allowed for the evaluation of the influence of both hydrodynamic and mass transfer operating parameters on the performance of the MBR. These parameters include the fraction retentate, the transmembrane pressure, the membrane hydraulic permeability, the Reynolds number, the axial and radial Peclet numbers, and the dimensions of the MBR. The significant findings on the hydrodynamic studies were on the influence of the fraction retentate. In the dead-end mode it was found that there was increased radial convective flow, and hence more solute contact with the enzymes/biofilm immobilised on the surface of the membrane. The improved solute-biofilm contact however was only limited to the entrance half of the MBR. In the closed shell mode there was uniform distribution of solute, however, radial convective flows were significantly reduced. The developed model therefore allowed for the evaluation of an optimum fraction retentate value, where both the distribution of solutes and radial convective flows could be maximised.

La gestion énergétique (EMS) pour véhicules hybrides a pour objectif de déterminer la répartition de puissance entre les différentes sources d'énergie de manière à minimiser la consommation de carburant et/ou les émissions polluantes. L'objectif de cette thèse est de développer un EMS en prenant en compte des températures internes (la température du moteur et/ou la température du système de post-traitement). Dans une première partie et en utilisant une connaissance préalable du cycle de conduite, le calcul d'un EMS est formulé comme un problème de commande optimale. Ensuite, le principe du minimum de Pontryagin (PMP) est utilisé pour résoudre ce problème d'optimisation.~En se basant sur les résultats numériques obtenus, un compromis entre les performances de la stratégie de commande et de la complexité du modèle utilisé pour la calculer est établi. Les différents problèmes étudiés dans cette thèse sont des exemples des simplifications successives de modèle qui peuvent être regroupées dans le concept des perturbations régulières en contrôle optimal sous contrainte de commande discuté ici. Dans une deuxième partie, la formulation de l'ECMS a été généralisée pour inclure les dynamiques thermiques. Ces extensions définissent des stratégies sous-optimales que nous avons testées numériquement et expérimentalement. / Energy management system (EMS) for hybrid vehicles consists on determining the power split between the different energy sources in order to minimize the overall fuel consumption and/or pollutant emissions of the vehicle. The objective of this thesis is to develop an EMS taking into account the internal temperatures (engine temperature and/or catalyst temperature). In a first part and using a prior knowledge of vehicle driving cycle, the EMS design is formulated as an optimal control problem. Then, the PMP is used to solve this optimization problem. Based on the obtained numerical results, some trade-off between performance of the control strategy and complexity of the model used to calculate this strategy is established. The various problems studied in this thesis are examples of successive model simplifications which can be recast in the concept of regular perturbations in optimal control under input constraints discussed here. In a second part, the feedback law of ECMS is generalized to include thermal dynamics. This defines sub-optimal feedback strategies which we have tested numerically and experimentally.

[pt] Uma fase crítica do processo de obtenção do petróleo é a perfuração do solo para o acesso ao reservatório. Um dos problemas, em particular, é compreender o comportamento dinâmico da coluna de perfuração durante o processo de perfuração diante de diversos fatores como a interação broca-rocha, choques da coluna de perfuração contra a parede do poço, estratégias de controle da velocidade angular de operação e outros fatores. Uma etapa fundamental para lidar com este problema é a representação do sistema dinâmico para caracterizar a coluna de perfuração, isto é, o modelo matemático que representará a resposta dinâmica da estrutura diante dos carregamentos. Neste contexto, este trabalho abordará o problema da dinâmica de uma coluna de perfuração através de um modelo matemático baseado na teoria de Cosserat, que resultará em um sistema de seis equações diferenciais parciais que descrevem a resposta dinâmica de uma estrutura unidimensional, inserida no espaço euclidiano tridimensional, em termos das variáveis de deslocamento linear da curva e angular das seções. O modelo é capaz de descrever uma dinâmica não-linear, incluindo flexão, torsão, extensão e cisalhamento. Inicialmente, o sistema de EDPs é resolvido na forma quase estática, satisfazendo as condições de contorno, utilizando o método de Perturbação Regular. As soluções aproximadas são utilizadas como funções base para implementação no método de Elementos Finitos. Estas funções base são conhecidas como elemento de Cosserat Modificado (Modfied Cosserat Rod Element - MCRE). Verifica-se a limitação destas funções base para problemas que não envolvam grandes deslocamentos, não sendo adequadas para o problema proposto. Diante deste fato, o sistema de EDPs é escrito na forma fraca e resolvido por um software comercial de análise de Elementos Finitos considerando as condições de contorno, o modelo de interação broca-rocha, a estratégia de controle da velocidade angular e eventuais contatos da coluna contra a parede do poço. O modelo proposto produziu resultados que estão de acordo com a literatura e se mostrou capaz de lidar com grandes deslocamentos. / [en] A critical step in the oil exploration process is drilling the soil for access to the petroleum reservoir. One of the problems is understanding the dynamic behavior of the drill string during the drilling process in the face of various factors such as drill bit-rock interaction, drill string shocks against the well wall, angular velocity control strategies and other factors. A key part of dealing with this problem is the representation of the dynamic system to characterize the drill string, e.g., the mathematical model that will represent the dynamical response of the structure when facing different types of loads. In this context, this work will address the problem of the dynamics of a drill string using a mathematical model based on Cosserat theory that will result in a system of six partial differential equations that describe the dynamic response of a one-dimensional structure, inserted in three-dimensional Euclidean space, in terms of the linear displacement variables of the curve and angular displacement of the cross sections. The model is able to describe nonlinear dynamics, including flexure, torsion, extension and shear. Initially, the system of partial differential equations is solved in a quasi-static sense, satisfying the boundary conditions, using the Regular Perturbation method. The approximate solutions are used as shape functions for implementation in the Finite Element method. These shape functions are known as Modified Cosserat Rod Element (MCRE). It is verified that these shape functions are restricted to problems that do not involve large displacements and for this reason they are not suitable for the proposed problem. Given this fact, the system of partial differential equations is written in a weak form and solved by a commercial software based on Finite Element analysis, considering the boundary conditions, the drill bit-rock interaction model, the angular velocity control strategy and for any string contacts against the well wall. The proposed model produced results that are in agreement with the literature and is capable of dealing with large displacements.