>Magister Scientiae - MSc / Tuberculosis (TB) is currently one of the major public health challenges in South Africa, and in many countries. Mycobacterium tuberculosis is among the leading causes of morbidity and mortality. It is known that tuberculosis is a curable infectious disease. In the case of incomplete treatment, however, the remains of Mycobacterium tuberculosis in the human system often results in the bacterium developing resistance to antibiotics. This leads to relapse and treatment against the resistant bacterium is extremely expensive and difficult. The aim of this work is to present and analyse mathematical models of the population dynamics of tuberculosis for the purpose of studying the effects of efficient treatment versus incomplete treatment. We analyse the spread, asymptotic behavior and possible eradication of the disease, versus persistence of tuberculosis. In particular, we consider inflow of infectives into the population, and we study the effects of screening. A sub-model will be studied to analyse the transmission dynamics of TB in an isolated population. The full model will take care of the inflow of susceptibles as well as inflow of TB infectives into the population. This dissertation enriches the existing literature with contributions in the form of optimal control and stochastic perturbation. We also show how stochastic perturbation can improve the stability of an equilibrium point. Our methods include Lyapunov functions, optimal control and stochastic differential equations. In the stability analysis of the DFE we show how backward bifurcation appears. Various phenomena are illustrated by way of simulations.

A partir de uma aplicação da Forma Canônica de Jordan, construímos uma base para o espaço atrator para operadores quânticos de dimensão finita. Essa base é formada pelos autoespaços correspondentes a autovalores de módulo 1. Com essa construção, descrevemos o comportamento da dinâmica assint otica dos operadores quânticos, obtendo assim, o resultado principal do texto. A dinâmica depende dos vetores duais, cuja definição não é feita a partir de uma forma explicita, mas por propriedades relacionadas ao traço. Investigando propriedades dos operadores estritamente positivos, definimos um produto interno que relaciona o produto interno de Hilbert-Schmidt com um operador estritamente positivo. Com isso, obtemos uma forma explícita para os vetores duais. / From an application of the Jordan Canonical Form, we construct a basis for the attractor space for quantum operations of nite dimension. This basis is formed by eigenspaces corresponding to eigenvalues of modulus 1. With this construction, we describe the behavior of the asymptotic dynamics of the quantum operations, thus obtaining the main result of the text. The dynamics depends on the dual vectors whose de nition is not made in an explicit form, but by properties related to the trace. Investigating the properties of strictly positive operators, we de ne an inner product that relates the Hilbert-Schmidt inner product with a strictly positive operator. Thus, we have an explicit form for the dual vectors.

In this thesis we concentrate on instances of the GLE which can be represented in a Markovian form in an extended phase space. We extend previous results on the geometric ergodicity of this class of GLEs using Lyapunov techniques, which allows us to conclude ergodicity for a large class of GLEs relevant to molecular dynamics applications. The main body of this thesis concerns the numerical discretisation of the GLE in the extended phase space representation. We generalise numerical discretisation schemes which have been previously proposed for the underdamped Langevin equation and which are based on a decomposition of the vector field into a Hamiltonian part and a linear SDE. Certain desirable properties regarding the accuracy of configurational averages of these schemes are inherited in the GLE context. We also rigorously prove geometric ergodicity on bounded domains by showing that a uniform minorisation condition and a uniform Lyapunov condition are satisfied for sufficiently small timestep size. We show that the discretisation schemes which we propose behave consistently in the white noise and overdamped limits, hence we provide a family of universal integrators for Langevin dynamics. Finally, we consider multiple-time stepping schemes making use of a decomposition of the fluctuation-dissipation term into a reversible and non-reversible part. These schemes are designed to efficiently integrate instances of the GLE whose Markovian representation involves a high number of auxiliary variables or a configuration dependent fluctuation-dissipation term. We also consider an application of dynamics based on the GLE in the context of large scale Bayesian inference as an extension of previously proposed adaptive thermostat methods. In these methods the gradient of the log posterior density is only evaluated on a subset (minibatch) of the whole dataset, which is randomly selected at each timestep. Incorporating a memory kernel in the adaptive thermostat formulation ensures that time-correlated gradient noise is dissipated in accordance with the fluctuation-dissipation theorem. This allows us to relax the requirement of using i.i.d. minibatches, and explore a variety of minibatch sampling approaches.

abstract: The Pearson and likelihood ratio statistics are well-known in goodness-of-fit testing and are commonly used for models applied to multinomial count data. When data are from a table formed by the cross-classification of a large number of variables, these goodness-of-fit statistics may have lower power and inaccurate Type I error rate due to sparseness. Pearson's statistic can be decomposed into orthogonal components associated with the marginal distributions of observed variables, and an omnibus fit statistic can be obtained as a sum of these components. When the statistic is a sum of components for lower-order marginals, it has good performance for Type I error rate and statistical power even when applied to a sparse table. In this dissertation, goodness-of-fit statistics using orthogonal components based on second- third- and fourth-order marginals were examined. If lack-of-fit is present in higher-order marginals, then a test that incorporates the higher-order marginals may have a higher power than a test that incorporates only first- and/or second-order marginals. To this end, two new statistics based on the orthogonal components of Pearson's chi-square that incorporate third- and fourth-order marginals were developed, and the Type I error, empirical power, and asymptotic power under different sparseness conditions were investigated. Individual orthogonal components as test statistics to identify lack-of-fit were also studied. The performance of individual orthogonal components to other popular lack-of-fit statistics were also compared. When the number of manifest variables becomes larger than 20, most of the statistics based on marginal distributions have limitations in terms of computer resources and CPU time. Under this problem, when the number manifest variables is larger than or equal to 20, the performance of a bootstrap based method to obtain p-values for Pearson-Fisher statistic, fit to confirmatory dichotomous variable factor analysis model, and the performance of Tollenaar and Mooijaart (2003) statistic were investigated. / Dissertation/Thesis / Doctoral Dissertation Statistics 2018

Orientador: Geraldo Nunes Silva / Banca: Antonio Carlos Gardel Leitão / Banca: Fernando Manuel Ferreira Lobo Pereira / Resumo: Neste trabalho é feito um estudo aprofundado da estabilidade de sistemas alternantes, principalmente via teoria de Lie. Inicialmente são apresentados os principais conceitos básicos da álgebra de Lie, necessários para o estudo dos critérios de estabilidade dos sistemas alternantes. Depois são discutidos critérios de estabilidade para sistemas alternantes. É feita a exposição da demonstração de que para todo sistema linear da forma ? x = Apx p = 1, 2, ...,N, com as matrizes Ap assintóticamente estáveis e comutativas duas a duas, existe uma função de Lyapunov quadrática comum. Uma condição suficiente para estabilidade assintótica de um sistema linear alternante é apresentada em termos da álgebra de Lie gerada por uma família infinita de matrizes. A saber, se esta álgebra de Lie é solúvel, então o sistema alternante é estável para uma mudança arbitrária de sinal. Em seguida são estudadas condições mais fracas. Supondo que a álgebra de Lie não é solúvel, mas é decomponível na soma de um ideal solúvel e uma subálgebra com grupo de Lie compacto, então o sistema alternante é globalmente exponencialmente uniformemente estável. Entretanto, se o grupo de Lie não for compacto, verifica-se que é possível gerar uma família finita de matrizes estáveis tais que o correspondente sistema linear alternante não é estável. Finalmente, os resultados correspondentes de estabilidade local para sistemas alternantes não lineares são apresentados. / Abstract: In this work it is undertaken a deep study of stability for switched systems, mainly via Lie algebraic Theory. At first, the basic concepts and results from Lie algebra necessary for the study of stability of switched systems are presented. Criteria for stability are discussed. It is also done an exposition of the proof that all linear systems ? x = Apx, p = 1, 2, ...,N, with stable and pairwisely commutative matrices Ap, have common quadratic Lyapounov functions. A sufficient condition for asymptotic stability of switched linear systems is presented in term of the Lie algebra generated by a family infinite matrices. That is, if this Lie algebra is solvable, then the switched systems are stable for an arbitrary change of sinal. Next weaker conditions are studied. If the Lie algebra is decomposable into two subalgebras in which one is a solvable ideal and the other has a compact Lie group, then the switched systems are globally exponentially uniformly stable. However, if the Lie group is not compact, it is also possible to generate a finite family of stable matrices such that the corresponding switched linear systems are not stable. Finally, corresponding local stability results are presented for nonlinear systems. / Mestre

A partir de uma aplicação da Forma Canônica de Jordan, construímos uma base para o espaço atrator para operadores quânticos de dimensão finita. Essa base é formada pelos autoespaços correspondentes a autovalores de módulo 1. Com essa construção, descrevemos o comportamento da dinâmica assint otica dos operadores quânticos, obtendo assim, o resultado principal do texto. A dinâmica depende dos vetores duais, cuja definição não é feita a partir de uma forma explicita, mas por propriedades relacionadas ao traço. Investigando propriedades dos operadores estritamente positivos, definimos um produto interno que relaciona o produto interno de Hilbert-Schmidt com um operador estritamente positivo. Com isso, obtemos uma forma explícita para os vetores duais. / From an application of the Jordan Canonical Form, we construct a basis for the attractor space for quantum operations of nite dimension. This basis is formed by eigenspaces corresponding to eigenvalues of modulus 1. With this construction, we describe the behavior of the asymptotic dynamics of the quantum operations, thus obtaining the main result of the text. The dynamics depends on the dual vectors whose de nition is not made in an explicit form, but by properties related to the trace. Investigating the properties of strictly positive operators, we de ne an inner product that relates the Hilbert-Schmidt inner product with a strictly positive operator. Thus, we have an explicit form for the dual vectors.

Dans cette thèse, nous étudions la structure asymptotique de la gravité à trois dimensions d’espace-temps avec et sans constante cosmologique.La première partie de la thèse présente en détails les propriétés fondamentales de la gravité à trois dimensions pour des espaces à constante cosmologique négative, ou espaces de types Anti-de Sitter (AdS). Nous introduisons le formalisme de Chern-Simons pour la gravité en utilisant la formulation dite du premier ordre pour cette dernière. Nous présentons également les conditions aux bords dites de Brown-Henneaux et le calcul associé de l’algèbre des charges de surface. Enfin, nous décrivons les étapes de la réduction du modèle de Chern-Simons à un modèle de Wess-Zumino-Witten puis à celui d’une théorie de Liouville. La relevance de cette théorie dans le calcul microscopique de l’entropie d’un trou noir à trois dimensions est également discutée.La seconde partie de la thèse contient les contributions originales. Tout d’abord, nous étendons l’analyse de la dynamique asymptotique de la supergravité à trois dimensions au cas d’une constante cosmologique nulle. Nous montrons que l’algèbre des charges de surface associée est une extension supersymétrique de l’algèbre BMS, et construisons la théorie bidimensionnelle située au bord de l’espace-temps qui possède cette symétrie. Le second résultat est l’obtention d’une symétrie de dimension infinie au voisinage de l’horizon d’événements d’un trou noir tridimensionnel non extrême. Troisièmement, nous discutions le cas d’une constante cosmologique positive et montrons l’existence d’une théorie de Liouville euclidienne duale à la gravité d’Einstein avec des conditions aux bords de Dirichlet dans le patch statique. Enfin, nous explorons un autre cadre dans lequel des symétries de dimension infinie apparaissent pour des espaces temps qui non sont pas du type Anti-de Sitter. Nous considérons pour cela des déformations de ces derniers, connus sous le nom d’espaces-temps Warped Anti-de Sitter. Nous montrons que ces déformations admettent une algèbre de surface donnée par une somme semi-direct entre une algèbre de Virasoro et une algèbre affine de Kac-Moody, avec extensions centrales non nulles. Nous montrons que les configurations du trou noir hôte des espaces-temps Warped s’organisent en termes de deux algèbres de Virasoro. Nous identifions les générateurs associés qui décrivent les représentations de la théorie duale et, en appliquant une formule de Cardy, nous prouvons qu’un calcul microscopique reproduit correctement l’entropie de ces trous noirs. Nous étendons ce résultat à des conditions aux bords plus générales qui incluent de nouvelles solutions associés à des degrés de liberté locaux, des gravitons massifs contenus dans le volume d’espace-temps. / Doctorat en Sciences / info:eu-repo/semantics/nonPublished

Modern financial engineering is a part of applied mathematics that studies market models. Each model is characterized by several parameters. Some of them are familiar to a wide audience, for example, the price of a risky security, or the risk free interest rate. Other parameters are less known, for example, the volatility of the security. This parameter determines the rate of change of security prices and is determined by several factors. For example, during the periods of stable economic growth the prices are changing slowly, and the volatility is small. During the crisis periods, the volatility significantly increases. Classical market models, in particular, the celebrated Nobel Prize awarded Black–Scholes–Merton model (1973), suppose that the volatility remains constant during the lifetime of a financial instrument. Nowadays, in most cases, this assumption cannot adequately describe reality. We consider a model where both the security price and the volatility are described by random functions of time, or stochastic processes. Moreover, the volatility process is modelled as a sum of two independent stochastic processes. Both of them are mean reverting in the sense that they randomly oscillate around their average values and never escape neither to very small nor to very big values. One is changing slowly and describes low frequency, for example, seasonal effects, another is changing fast and describes various high frequency effects. We formulate the model in the form of a system of a special kind of equations called stochastic differential equations. Our system includes three stochastic processes, four independent factors, and depends on two small parameters. We calculate the price of a particular financial instrument called European call option. This financial contract gives its holder the right (but not the obligation) to buy a predefined number of units of the risky security on a predefined date and pay a predefined price. To solve this problem, we use the classical result of Feynman (1948) and Kac (1949). The price of the instrument is the solution to another kind of problem called boundary value problem for a partial differential equation. The resulting equation cannot be solved analytically. Instead we represent the solution in the form of an expansion in the integer and half-integer powers of the two small parameters mentioned above. We calculate the coefficients of the expansion up to the second order, find their financial sense, perform numerical studies, and validate our results by comparing them to known verified models from the literature. The results of our investigation can be used by both financial institutions and individual investors for optimization of their incomes.

D. Phil. / There have been two rather distinct approaches to the analysis of time series: the time domain approach and frequency domain approach. The former is exemplified by the work of Quenouille (1957), Durbin (1960), Box and Jenkins (1970) and Ljung and Box (1979). The principal names associated with the development of the latter approach are Slutsky (1929, 1934), Wiener (1930, 1949), Whittle (1953), Grenander (1951), Bartlett (1948, 1966) and Grenander and Rosenblatt (1957). The difference between these two methods is discussed in Wold (1963). In this thesis, we are concerned with a frequency domain approach. Consider a model of the "signal plus noise" form yt = g (2t — 1 2n ) + 77t t= 1,2,—. ,n (1.1) where g is a function on (0, 1) and Ti t is a white noise process. Our interest is primarily in testing the hypothesis that g is constant, that is, that it does not change over time. There is a vast literature related to this problem in the special case where g is a step function. In that case (1.1) specifies an abrupt change model. Such abrupt change models are treated extensively by Csorgo and Horvath (1997), where an exhaustive bibliography can also be found. The methods associated with the traditional abrupt change models are, almost without exception, time domain methods. The abrupt change model is in many respects too restrictive since it confines attention to signals g that are simple step functions. In practical applications the need has arisen for tests of constancy of the mean against a less precisely specified alternative. For instance, in the study of variables stars in astronomy (Lombard (1998a)) the appropriate alternative says something like: "g is non-constant but slowly varying and of unspecified functional form". To accommodate such alternatives within a time domain approach seems to very difficult, if at all possible. They can, however, be accommodated within a frequency domain approach quite easily, as shown by, for example, Lombard (1998a and 1998b). Tests of the constancy of g using the frequency domain characteristics of the observations have been investigated by a number of authors. Lombard (1988) proposed a test based on the maximum of squared Fourier cosine coefficients at the lowest frequency oscillations. Eubank and Hart (1992) proposed a test which is based on the maximum the averages of Fourier cosine coefficients. The essential idea underlying these tests is that regular variation in the time domain manifests itself entirely at low frequencies in the frequency domain. Consequently, when g is "high frequency" , that is consists entirely of oscillations at high frequencies, the tests of Lombard (1988) and of Eubank and Hart (1992) lose most of their power. The fundamental tool used in frequency domain analysis is the periodogram; see Chapter 2 below for the definition and basic properties of the latter. A new class of tests was suggested by Lombard (1998b) based on the weighted averages of periodogram ordinates. When 7i t in model (1.1) are i.i.d. random variables with zero mean and variance cr-2 , one form of the test statistic is T1r, = Etvk fiy (A0/0-2 - (1.2) k=1 where wk is a sequence of constants that decrease as k increases and m = [i]. The rationale for such tests is discussed in detail in Lombard (1998a and 1998b). The greater part of the present Thesis consists of an investigation of the asymptotic null distributions, and power, of such tests. It is also shown that such tests can be applied directly to other, seemingly unrelated problems. Three instances of the latter type of application that are investigated in detail are (i) frequency domain competitors of Bartlett's test for white noise, (ii) frequency domain-based tests of goodness-of-fit and (iii) frequency domain-based tests of heteroscedasticity in linear or non-linear regression. regression. The application of frequency domain methods to these problems are, to the best of our knowledge, new. Until now, most research has been restricted to the case where m in (1.1) are i.i.d. random variables. As far as the correlated data are concerned, the changepoint problem was investigated by, for instance, Picard (1985), Lombard and Hart (1994) and Bai (1994) using time domain methods. Kim and Hart (1998) proposed two test statistics derived from frequency domain considerations and that are modeled along the lines of the statistics considered by Eubank and Hart (1992) in the white noise case. An analogue of the type of test statistic given in (1.2) for use with correlated data was proposed, and used, by Lombard (1998a). The latter author does not, however, provide statements or proofs regarding the asymptotic properties of the proposed test.

Dans cette thèse nous appliquons le calcul de Malliavin afin d’obtenir la propriété de normalité asymptotique locale (LAN) à partir d’observations discrètes de certains processus de diffusion uniformément elliptique avec sauts. Dans le Chapitre 2 nous révisons la preuve de la propriété de normalité mixte asymptotique locale (LAMN) pour des processus de diffusion avec sauts à partir d’observations continues, et comme conséquence nous obtenons la propriété LAN en supposant l’ergodicité du processus. Dans le Chapitre 3 nous établissons la propriété LAN pour un processus de Lévy simple dont les paramètres de dérive et de diffusion ainsi que l’intensité sont inconnus. Dans le Chapitre 4, à l’aide du calcul de Malliavin et des estimées de densité de transition, nous démontrons que la propriété LAN est vérifiée pour un processus de diffusion à sauts dont le coefficient de dérive dépends d’un paramètre inconnu. Finalement, dans la même direction nous obtenons dans le Chapitre 5 la propriété LAN pour un processus de diffusion à sauts où les deux paramètres inconnus interviennent dans les coefficients de dérive et de diffusion. / In this thesis we apply the Malliavin calculus in order to obtain the local asymptotic normality (LAN) property from discrete observations for certain uniformly elliptic diffusion processes with jumps. In Chapter 2 we review the proof of the local asymptotic mixed normality (LAMN) property for diffusion processes with jumps from continuous observations, and as a consequence, we derive the LAN property when supposing the ergodicity of the process. In Chapter 3 we establish the LAN property for a simple Lévy process whose drift and diffusion parameters as well as its intensity are unknown. In Chapter 4, using techniques of the Malliavin calculus and the estimates of the transition density, we prove that the LAN property is satisfied for a jump-diffusion process whose drift coefficient depends on an unknown parameter. Finally, in the same direction we obtain in Chapter 5 the LAN property for a jump-diffusion process where two unknown parameters determine the drift and diffusion coefficients of the jump-diffusion process.