This thesis is concerned with the small-time asymptotics and expansions of call option prices, when the log-return processes of the underlying stock prices follow several Levy-based models. To be specific, we derive the time-to-maturity asymptotic behavior for both at-the-money (ATM), out-of-the-money (OTM) and in-the-money (ITM) call-option prices under several jump-diffusion models and stochastic volatility models with Levy jumps. In the OTM and ITM cases, we consider a general stochastic volatility model with independent Levy jumps, while in the ATM case, we consider the pure-jump CGMY model with or without an independent Brownian component. An accurate modeling of the option market and asset prices requires a mixture of a continuous diffusive component and a jump component. In this thesis, we first model the log-return process of a risk asset with a jump diffusion model by combining a stochastic volatility model with an independent pure-jump Levy process. By assuming smoothness conditions on the Levy density away from the origin and a small-time large deviation principle on the stochastic volatility model, we derive the small-time expansions, of arbitrary polynomial order, in time-t, for the tail distribution of the log-return process, and for the call-option price which is not at-the-money. Moreover, our approach allows for a unified treatment of more general payoff functions. As a consequence of our tail expansions, the polynomial expansion in t of the transition density is also obtained under mild conditions. The asymptotic behavior of the ATM call-option prices is more complicated to obtain, and, in general, is given by fractional powers of t, which depends on different choices of the underlying log-return models. Here, we focus on the CGMY model, one of the most popular tempered stable models used in financial modeling. A novel second-order approximation for ATM option prices under the pure-jump CGMY Levy model is derived, and then extended to a model with an additional independent Brownian component. The third-order asymptotic behavior of the ATM option prices as well as the asymptotic behavior of the corresponding Black-Scholes implied volatilities are also addressed.

In almost all works in the literature there are several results showing asymptotic relationships between the solutions of x&prime / &prime / = f (t, x) (0.1) and the solutions 1 and t of x&prime / &prime / = 0. More specifically, the existence of a solution of (0.1) asymptotic to x(t) = at + b, a, b &isin / R has been obtained. In this thesis we investigate in a systematic way the asymptotic behavior as t &rarr / &infin / of solutions of a class of differential equations of the form (p(t)x&prime / )&prime / + q(t)x = f (t, x), t &ge / t_0 (0.2) and (p(t)x&prime / )&prime / + q(t)x = g(t, x, x&prime / ), t &ge / t_0 (0.3) by the help of principal u(t) and nonprincipal v(t) solutions of the corresponding homogeneous equation (p(t)x&prime / )&prime / + q(t)x = 0, t &ge / t_0. (0.4) Here, t_0 &ge / 0 is a real number, p &isin / C([t_0,&infin / ), (0,&infin / )), q &isin / C([t_0,&infin / ),R), f &isin / C([t_0,&infin / ) &times / R,R) and g &isin / C([t0,&infin / ) &times / R &times / R,R). Our argument is based on the idea of writing the solution of x&prime / &prime / = 0 in terms of principal and nonprincipal solutions as x(t) = av(t) + bu(t), where v(t) = t and u(t) = 1. In the proofs, Banach and Schauder&rsquo / s fixed point theorems are used. The compactness of the operator is obtained by employing the compactness criteria of Riesz and Avramescu. The thesis consists of three chapters. Chapter 1 is introductory and provides statement of the problem, literature review, and basic definitions and theorems. In Chapter 2 first we deal with some asymptotic relationships between the solutions of (0.2) and the principal u(t) and nonprincipal v(t) solutions of (0.4). Then we present existence of a monotone positive solution of (0.3) with prescribed asimptotic behavior. In Chapter 3 we introduce the existence of solution of a singular boundary value problem to the Equation (0.2).

Error estimation must be used to find the accuracy of a designed classifier, an issue that is critical in biomarker discovery for disease diagnosis and prognosis in genomics and proteomics. This dissertation is concerned with the analytical formulation of the joint distribution of the true error of misclassification and two of its commonly used estimators, resubstitution and leave-one-out, as well as their marginal and mixed moments, in the context of the Linear Discriminant Analysis (LDA) classification rule. In the first part of this dissertation, we obtain the joint sampling distribution of the actual and estimated errors under a general parametric Gaussian assumption. Exact results are provided in the univariate case and an accurate approximation is obtained in the multivariate case. We show how these results can be applied in the computation of conditional bounds and the regression of the actual error, given the observed error estimate. In practice the unknown parameters of the Gaussian distributions, which figure in the expressions, are not known and need to be estimated. Using the usual maximum-likelihood estimates for such parameters and plugging them into the theoretical exact expressions provides a sample-based approximation to the joint distribution, and also sample-based methods to estimate upper conditional bounds. In the second part of this dissertation, exact analytical expressions for the bias, variance, and Root Mean Square (RMS) for the resubstitution and leave-one-out error estimators in the univariate Gaussian model are derived. All probabilistic characteristics of an error estimator are given by the knowledge of its joint distribution with the true error. Partial information is contained in their mixed moments, in particular, their second mixed moment. Marginal information regarding an error estimator is contained in its marginal moments, in particular, its mean and variance. Since we are interested in estimator accuracy and wish to use the RMS to measure that accuracy, we desire knowledge of the second-order moments, marginal and mixed, with the true error. In the multivariate case, using the double asymptotic approach with the assumption of knowing the common covariance matrix of the Gaussian model, analytical expressions for the first moments, second moments, and mixed moment with the actual error for the resubstitution and leave-one-out error estimators are derived. The results provide accurate small sample approximations and this is demonstrated in the present situation via numerical comparisons. Application of the results is discussed in the context of genomics.

The paper considers systems of linear first-order ODEs with a randomly perturbed system matrix and stationary additive noise. For the description of the long-term behavior of such systems it is necessary to study their stationary solutions. We deal with conditions for the existence of stationary solutions as well as with their representations and the computation of their moment functions. Assuming small perturbations of the system matrix we apply perturbation techniques to find series representations of the stationary solutions and give asymptotic expansions for their first- and second-order moment functions. We illustrate the findings with a numerical example of a scalar ODE, for which the moment functions of the stationary solution still can be computed explicitly. This allows the assessment of the goodness of the approximations found from the derived asymptotic expansions.

This thesis deals with a model of nonlinearly perturbed continuous-time renewal equation with nonpolynomial perturbations. The characteristics, namely the defect and moments, of the distribution function generating the renewal equation are assumed to have expansions with respect to a non-polynomial asymptotic scale: $\{\varphi_{\nn} (\varepsilon) =\varepsilon^{\nn \cdot \w}, \nn \in \mathbf{N}_0^k\}$  as $\varepsilon \to 0$, where $\mathbf{N}_0$ is the set of non-negative integers, $\mathbf{N}_0^k \equiv \mathbf{N}_0 \times \cdots \times \mathbf{N}_0, 1\leq k <\infty$ with the product being taken $k$ times and $\w$ is a $k$ dimensional parameter vector that satisfies certain properties. For the one-dimensional case, i.e., $k=1$, this model reduces to the model of nonlinearly perturbed renewal equation with polynomial perturbations which is well studied in the literature.  The goal of the present study is to obtain the exponential asymptotics for the solution to the perturbed renewal equation in the form of exponential asymptotic expansions and present possible applications. The thesis is based on three papers which study successively the model stated above. Paper A investigates the two-dimensional case, i.e. where $k=2$. The corresponding asymptotic exponential expansion for the solution to the perturbed renewal equation is given. The asymptotic results are applied to an example of the perturbed risk process, which leads to diffusion approximation type asymptotics for the ruin probability.  Numerical experimental studies on this example of perturbed risk process are conducted in paper B, where Monte Carlo simulation are used to study the accuracy and properties of the asymptotic formulas. Paper C presents the asymptotic results for the more general case where the dimension $k$ satisfies $1\leq k <\infty$, which are applied to the asymptotic analysis of the ruin probability in an example of perturbed risk processes with this general type of non-polynomial perturbations.  All the proofs of the theorems stated in paper C are collected in its supplement: paper D.

Rotor (helicopter/wind turbine) blades are typically slender structures that can be modeled as beams. Beam modeling, however, involves a substantial mathematical formulation that ultimately helps save computational costs. A beam theory for rotor blades must account for (i) initial twist and/or curvature, (ii) inclusion of composite materials, (iii) large displacements and rotations; and be capable of offering significant computational savings compared to a non-linear 3D FEA (Finite Element Analysis). The mathematical foundation of the current effort is the Variational Asymptotic Method (VAM), which is used to rigorously reduce the 3D problem into a 1D or beam problem, i.e., perform a cross-sectional analysis, without any ad hoc assumptions regarding the deformation. Since its inception, the VAM based cross-sectional analysis problem has been in a constant state of flux to expand its horizons and increase its potency; and this is precisely the target at which the objectives of this work are aimed. The problems addressed are the stress-strain-displacement recovery for spanwise non-uniform beams, analytical verification studies for the initial curvature effect, higher fidelity stress-strain-displacement recovery, oblique cross-sectional analysis, modeling of thin-walled beams considering the interaction of small parameters and the analysis of plates of variable thickness. The following are the chief conclusions that can be drawn from this work: 1. In accurately determining the stress, strain and displacement of a spanwise non-uniform beam, an analysis which accounts for the tilting of the normal and the subsequent modification of the stress-traction boundary conditions is required. 2. Asymptotic expansion of the metric tensor of the undeformed state and its powers are needed to capture the stiffnesses of curved beams in tune with elasticity theory. Further improvements in the stiffness matrix can be achieved by a partial transformation to the Generalized Timoshenko theory. 3. For the planar deformation of curved laminated strip-beams, closed-form analytical expressions can be generated for the stiffness matrix and recovery; further certain beam stiffnesses can be extracted not only by a direct 3D to 1D dimensional reduction, but a sequential dimensional reduction, the intermediate being a plate theory. 4. Evaluation of the second-order warping allows for a higher fidelity extraction of stress, strain and displacement with negligible additional computational costs. 5. The definition of a cross section has been expanded to include surfaces which need not be perpendicular to the reference line. 6. Analysis of thin-walled rotor blade segments using asymptotic methods should consider a small parameter associated with the wall thickness; further the analysis procedure can be initiated from a laminated shell theory instead of 3D. 7. Structural analysis of plates of variable thickness involves an 8×8 plate stiffness matrix and 3D recovery which explicitly depend on the parameters describing the thickness, in contrast to the simplistic and erroneous approach of replacing the thickness by its variation.

Ce travail est consacré à l'étude d'un modèle multifluide multivitesse récemment proposé par Scannapieco et Cheng (SC) pour décrire l'interpénétration de fluides miscibles (voir [SC02]). Dans ce document, on commence par resituer ce modèle dans le contexte de la modélisation des écoulements de mélanges de fluides miscibles, puis on procède à son analyse mathématique (étude de l'hyperbolicité, existence d'une entropie mathématique strictement convexe, analyse asymptotique et limite de diffusion). Ensuite, on se concentre sur la problématique de la résolution numérique des systèmes de lois de conservation avec un terme source de relaxation, classe dont fait partie le modèle SC. Une difficulté lors de la résolution numérique de tels systèmes est de capturer sur maillage grossier leur régime asymptotique quand le terme source est raide. Le principal apport de ce travail réside dans le fait que l'on propose un nouveau mode de construction de schéma Lagrange-projection qui prend en compte la présence d'un terme source au niveau du flux numérique. Cette technique est d'abord appliquée en 1D au problème modèle des équations d'Euler avec friction, puis au modèle multifluide SC. Dans les deux cas, on prouve que le nouveau schéma est asymptotic-preserving et entropique sous une condition de type CFL. L'extension 2D du schéma est effectuée par directions alternées. Des résultats numériques mettent en évidence l'apport du nouveau flux en comparaison avec un schéma Lagrange-projection classique où le terme source est traité par un splitting d'opérateur.

The present thesis is devoted to the investigation of certain aspects of the large time behavior of the solutions of two nonlinear Schrödinger equations in dimension three in some suitable perturbative regimes. The first model consist in a Schrödinger equation with a concentrated nonlinearity obtained considering a {point} (or contact) interaction with strength $alpha$, which consists of a singular perturbation of the Laplacian described by a self adjoint operator $H_{alpha}$, and letting the strength $alpha$ depend on the wave function: $ifrac{du}{dt}= H_alpha u$, $alpha=alpha(u)$.It is well-known that the elements of the domain of a point interaction in three dimensions can be written as the sum of a regular function and a function that exhibits a singularity proportional to $|x - x_0|^{-1}$, where $x_0$is the location of the point interaction. If $q$ is the so-called charge of the domain element $u$, i.e. the coefficient of itssingular part, then, in order to introduce a nonlinearity, we let the strength $alpha$ depend on $u$ according to the law $alpha=-nu|q|^sigma$, with $nu > 0$. This characterizes the model as a focusing NLS with concentrated nonlinearity of power type. In particular, we study orbital and asymptotic stability of standing waves for such a model. We prove the existence of standing waves of the form $u (t)=e^{iomega t}Phi_{omega}$, which are orbitally stable in the range $sigma in (0,1)$, and orbitally unstable for $sigma geq 1.$ Moreover, we show that for $sigma in(0,frac{1}{sqrt 2}) cup left(frac{1}{sqrt{2}}, frac{sqrt{3} +1}{2sqrt{2}} right)$ every standing wave is asymptotically stable, in the following sense. Choosing an initial data close to the stationary state in the energy norm, and belonging to a natural weighted $L^p$ space which allows dispersive stimates, the following resolution holds: $u(t) =e^{iomega_{infty} t +il(t)} Phi_{omega_{infty}}+U_t*psi_{infty} +r_{infty}$, where $U_t$ is the free Schrödinger propagator,$omega_{infty} > 0$ and $psi_{infty}$, $r_{infty} inL^2(R^3)$ with $| r_{infty} |_{L^2} = O(t^{-p}) quadtextrm{as} ;; t right arrow +infty$, $p = frac{5}{4}$,$frac{1}{4}$ depending on $sigma in (0, 1/sqrt{2})$, $sigma in (1/sqrt{2}, 1)$, respectively, and finally $l(t)$ is a logarithmic increasing function that appears when $sigma in (frac{1}{sqrt{2}},sigma^*)$, for a certain $sigma^* in left(frac{1}{sqrt{2}}, frac{sqrt{3} +1}{2sqrt{2}} right]$. Notice that in the present model the admitted nonlinearities for which asymptotic stability of solitons is proved, are subcritical in the sense that it does not give rise to blow up, regardless of the chosen initial data. The second model is the energy critical focusing nonlinear Schrödinger equation $i frac{du}{dt}=-Delta u-|u|^4 u$. In this case we prove, for any $nu$ and $alpha_0$ sufficiently small, the existence of radial finite energy solutions of the form$u(t,x)=e^{ialpha(t)}lambda^{1/2}(t)W(lambda(t)x)+e^{iDeltat}zeta^*+o_{dot H^1} (1)$ as $tright arrow +infty$, where$alpha(t)=alpha_0ln t$, $lambda(t)=t^{nu}$,$W(x)=(1+frac13|x|^2)^{-1/2}$ is the ground state and $zeta^*$is arbitrarily small in $dot H^1$

This thesis is comprised of five papers that all relate to bootstrap methodology in analysis of non-stationary time series. The first paper starts with the fact that the Dickey-Fuller unit root test using asymptotic critical value has bad small sample performance. The small sample correction proposed by Johansen (2004) and bootstrap are two effective methods to improve the performance of the test. In this paper we compare these two methods as well as analyse the effect of bias-adjusting through a simulation study. We consider AR(1) and AR(2) models and both size and power properties are investigated. The second paper studies the asymptotic refinement of the bootstrap cointegration rank test. We expand the test statistic of a simplified VECM model and a Monte Carlo simulation was carried out to verify that the bootstrap test gives asymptotic refinement. The third paper focuses on the number of bootstrap replicates in bootstrap Dickey-Fuller unit root test. Through a simulation study, we find that a small number of bootstrap replicates are sufficient for a precise size, but, with too small number of replicates, we will lose power when the null hypothesis is not true. The fourth and last paper of the thesis concerns unit root test in panel setting focusing on the test proposed by Palm, Smeekes and Urbain (2011). In the fourth paper, we study the robustness of the PSU test with comparison with two representative tests from the second generation panel unit root tests. In the last paper, we generalise the PSU test to the model with deterministic terms. Two different methods are proposed to deal with the deterministic terms, and the asymptotic validity of the bootstrap procedure is theoretically checked. The small sample properties are studied by simulations and the paper is concluded by an empirical example. / <p>Ogiltigt ISBN: 978-91-554-9069-0</p>

The statistical practice of equating is needed when scores on different versions of the same standardized test are to be compared. This thesis constitutes four contributions to the observed-score equating framework kernel equating. Paper I introduces the open source R package kequate which enables the equating of observed scores using the kernel method of test equating in all common equating designs. The package is designed for ease of use and integrates well with other packages. The equating methods non-equivalent groups with covariates and item response theory observed-score kernel equating are currently not available in any other software package. In paper II an alternative bandwidth selection method for the kernel method of test equating is proposed. The new method is designed for usage with non-smooth data such as when using the observed data directly, without pre-smoothing. In previously used bandwidth selection methods, the variability from the bandwidth selection was disregarded when calculating the asymptotic standard errors. Here, the bandwidth selection is accounted for and updated asymptotic standard error derivations are provided. Item response theory observed-score kernel equating for the non-equivalent groups with anchor test design is introduced in paper III. Multivariate observed-score kernel equating functions are defined and their asymptotic covariance matrices are derived. An empirical example in the form of a standardized achievement test is used and the item response theory methods are compared to previously used log-linear methods. In paper IV, Wald tests for equating differences in item response theory observed-score kernel equating are conducted using the results from paper III. Simulations are performed to evaluate the empirical significance level and power under different settings, showing that the Wald test is more powerful than the Hommel multiple hypothesis testing method. Data from a psychometric licensure test and a standardized achievement test are used to exemplify the hypothesis testing procedure. The results show that using the Wald test can provide different conclusions to using the Hommel procedure.