M.Sc. (Mathematical Statistics) / Comparison of two distributions via use of the quantile comparison function is carried out specifically from possibly censored data. A semi-parametric method which assumes linearity of the quantile comparison function is examined thoroughly for non-censored data and then extended to incorporate censored data. A fully nonparametric method to construct confidence bands for the quantile comparison function is set out. The performance of all methods examined is tested using Monte Carlo Simulation.

We develop expansion methods as a new computational approach towards high-dimensional partial differential equations (PDEs), particularly of such type as arising in the valuation of financial derivatives. The proposed methods are extended from [41] and use principal component analysis (PCA) of the underlying process in combination with a Taylor expansion of the value function into solutions to low-dimensional PDEs. They enable calculation of highly accurate approximate solutions with computational complexity polynomial in the number of dimensions for PDEs with a low number of dominant principal components. For the case of PDEs with constant coefficients, we show existence of expansion solutions and prove theoretical error bounds. We give a precise characterisation of when our methods can be applied and construct specific examples of a first and second order version. We provide numerical results showing that the empirically observed convergence speeds are in agreement with the theoretical predictions. For the case of PDEs with varying coefficients, we give a heuristic motivation using the Parametrix approach and empirically test the methods' accuracy for a range of variable parameter stock models. We demonstrate the applicability of our expansion methods to real-world securities pricing problems by considering path-dependent and early-exercise options in the LIBOR market model. Using the example of Bermudan swaptions and Ratchet floors, which are considered difficult benchmark problems, we give a careful analysis of the numerical accuracy and computational complexity. We are able to demonstrate that for problems with medium to high dimensionality, around 60-100, and moderate time horizons, the presented PDE methods deliver results comparable in accuracy to benchmark state-of-the-art Monte Carlo methods in similar or (significantly) faster run time.

Dans cette thèse nous nous intéressons au problème de l’impact d’une goutte sur une surface solide. Nous proposons pour cela de nous placer dans un cadre plus général en utilisant les analogies existantes avec d’autres problèmes d’impact. Dans la première partie de ce manuscrit nous proposons de revisiter le problème de l’impact de goutte pour les temps courts à la lumière de son problème dual à savoir l’impact d’un objet solide dans un bain liquide lorsque l’inertie est l’effet dominant. De cette analogie est déduit un modèle reposant sur la théorie des écoulements potentiels. L’analyse asymptotique nous permet de dégager à l’ordre dominant les mécanismes essentiels de ce problème puis nous mettons en évidence la structure autosimilaire des champs de pression et de vitesse induits par l’impact. La structure de la couche limite est également étudiée. Les prédictions théoriques issues de ce modèle sont comparées à des solutions numériques obtenues à l’aide d’un solveur des équations de Navier-Stokes. Nous étudions ensuite les temps intermédiaires de l’impact, correspondants au moment où la solution autosimilaire cesse d’être valide et nous déterminons les causes de cette transition. Dans la troisième partie nous étudions un cas particulier d’évolution aux temps longs en revisitant le problème de l’impact d’une goutte sur un disque de même taille. Nous obtenons les solutions analytiques pour les champs de pression et de vitesse à l’instant initial et nous proposons ensuite différentes directions de recherche pour l’étude de l’évolution de la nappe liquide induite par l’impact. Nous finissons ce manuscrit par une brève introduction aux impacts de goutte de fluides à seuil. / In this thesis we consider the problem of drop impact onto a solid surface. In order to study this phenomenon we consider a more general framework by using analogies with some other impact problems which are a priori very different. In the first part of the thesis we propose to revisit the inertia-dominated drop impact problem for short times at the light of the dual problem defined by the impact of a solid object onto a liquid bath. We deduce from this analogy a model based on potential flow theory. Then asymptotic analysis is used to determine the essential mechanisms of the problem at leading order. This approach reveal a self-similar structure both for the velocity field and the pressure field induced by the impact. The structure of the boundary layer is also studied. Theoretical predictions deduced from this model are compared with numerical solutions obtained with the Navier-Stokes multiphase flow solver Gerris. Then we study the impact for intermediates times which correspond to the period of the breakdown of the self-similar solution. The origin of the transition is determined by using new numerical experiments. In a third part we propose to study a particular case of long time evolution by revisiting the problem of drop impact onto a solid target matching its own size. We obtain analytical solutions for pressure and velocity fields at initial time by using pressure impulse theory and we propose few research directions for the study of the evolution of the liquid sheet induced by the impact. This thesis ends with a brief introduction to drop impact of Bingham fluids.

This thesis presents methods for efficient numerical approximation of linear and non-linear systems of highly oscillatory ordinary differential equations. Phenomena of high oscillation is considered a major computational problem occurring in Fourier analysis, computational harmonic analysis, quantum mechanics, electrodynamics and fluid dynamics. Classical methods based on Gaussian quadrature fail to approximate oscillatory integrals. In this work we introduce numerical methods which share the remarkable feature that the accuracy of approximation improves as the frequency of oscillation increases. Asymptotically, our methods depend on inverse powers of the frequency of oscillation, turning the major computational problem into an advantage. Evolving ideas from the stationary phase method, we first apply the asymptotic method to solve highly oscillatory linear systems of differential equations. The asymptotic method provides a background for our next, the Filon-type method, which is highly accurate and requires computation of moments. We also introduce two novel methods. The first method, we call it the FM method, is a combination of Magnus approach and the Filon-type method, to solve matrix exponential. The second method, we call it the WRF method, a combination of the Filon-type method and the waveform relaxation methods, for solving highly oscillatory non-linear systems. Finally, completing the theory, we show that the Filon-type method can be replaced by a less accurate but moment free Levin-type method.

Multi-agent systems are extensively used in several applications. An important class of applications involves the optimal spatial distribution of a group of mobile robots on a given area, where the optimality refers to the assignment of subregions to the robots, in such a way that a suitable coverage metric is maximized. Typically the coverage metric encodes a risk distribution defined on the area, and a measure of the performance of individual robots with respect to points inside the region of interest. The coverage metric will be maximized when the set of mobile robots configure themselves as the centroids of the Voronoi tessellation dictated by the risk density. In this work we advance on this result by considering a generalized area control problem in which the coverage metric is non-autonomous, that coverage metric is time varying independently of the states of the robots. This generalization is motivated by the study of coverage control problems in which the coordinated motion of a set of mobile robots accounts for the kinematics of objects penetrating from the outside. Asymptotic convergence and optimality of the non-autonmous system are studied by means of Barbalat's Lemma, and connections with the kinematics of the moving intruders is established. Several numerical simulation results are used to illustrate theoretical predictions.

L'objet de cette thèse est l'étude de l'asymptotique des collisions rasantes pour les équations de Kac et de Boltzmann ainsi que l'étude de la propagation du chaos pour l'équation de Keller-Segel dans un cadre sous-critique à l'aide d'équations différentielles stochastiques non linéaires. Le premier chapitre est consacré `a l'équation de Kac avec un potentiel Maxwellien. Nous commençons par donner une vitesse de convergence explicite (que l'on pense être optimale) dans le cadre de l'asymptotique des collisions rasantes. Puis nous approchons la solution de l'équation de Kac dans le cadre général, ce qui nous permet de montrer la propagation du chaos pour un système de particules vers cette dernière de manière quantitative. Dans le deuxième chapitre, nous étudions l'asymptotique des collisions rasantes pour l'équation de Boltzmann avec des potentiels mous et de Coulomb. Nous donnons là encore des vitesses de convergence explicites (mais non optimales).Enfin dans le troisième et dernier chapitre, nous montrons la propagation du chaos pour l'équation de Keller-Segel dans un cadre sous-critique. Pour cela, nous utilisons des arguments de compacité (tension du système de particules) / This thesis is devoted to the study of the asymptotic of grazing collisions for Kac's and Boltzmann's equations and to the study of the chaos propagation for some sub-critical Keller-Segel equation with non-linear Stochastic Differentials Equations. The first chapter is devoted to the Kac equation with a Maxwellian potential. We start by giving an explicit rate of convergence (than we believe to be optimal) for the asymptotic of grazing collisions. Then, we approximate the solution of Kac's equation in the general case, which allows us to show the chaos propagation for some particle system to this last one in a quantitative way. In the second chapter, we study the asymptotic of grazing collisions for the Boltzmann equation with soft and Coulomb potentials. We also give explicit rates of convergence (which are not optimal).Finally in the third and last chapter, we show the chaos propagation for some sub-critical Keller-Segel equation. To this aim, we use compactness arguments (tightness of the particle system)

Ossos são sólidos não homogêneos com estruturas altamente complexas que requerem uma modelagem multiescala para entender seu comportamento eletromecânico e seus mecanismos de remodelamento. O objetivo deste trabalho é encontrar expressões analíticas para as propriedades elástica, piezoelétrica e dielétrica efetivas de osso cortical modelando-o em duas escalas: microscópica e macroscópica. Utiliza-se o Método de Homogeneização Assintótica (MHA) para calcular as constantes eletromecânicas efetivas deste material. O MHA produz um procedimento em duas escalas que permite obter as propriedades efetivas de um material compósito contendo uma distribuição periódica de furos cilíndricos circulares unidirecionais em uma matriz piezoelétrica linear e transversalmente isotrópica. O material da matriz pertence à classe de simetria cristalina 622. Os furos estão centrados em células de uma matriz periódica de secções transversais quadradas e a periodicidade é a mesma em duas direções perpendiculares. O compósito piezoelétrico está sob cisalhamento antiplano acoplado a um campo elétrico plano. Os problemas locais que surgem da análise em duas escalas usando o MHA são resolvidos por meio de um método da teoria de variáveis complexas, o qual permite expandir as soluções correspondentes em séries de potências de funções elípticas de Weierstrass. Os coeficientes das séries são determinados das soluções de sistemas lineares infinitos de equações algébricas. Truncando estes sistemas infinitos até uma ordem finita de aproximação, obtêm-se fórmulas analíticas para as constantes efetivas elástica, piezoelétrica e dielétrica, que dependem da fração de volume dos furos e de um fator de acoplamento eletromecânico da matriz. Os resultados numéricos obtidos a partir destas fórmulas são comparados com resultados obtidos pelas fórmulas calculadas via método de Mori-Tanaka e apresentam boa concordância. A boa concordância entre todas as curvas obtidas via MHA sugere que a expressão correspondente da primeira aproximação fornece uma fórmula muito simples para calcular o fator de acoplamento efetivo do compósito. Os resultados são úteis na mecânica de osso. / Bones are inhomogeneous solids with highly complex structures that require multiscale modeling to understand its electromechanical behavior and its remodeling mechanisms. The objective of this work is to find analytical expressions for the effective elastic, piezoelectric, and dielectric properties of cortical bone by modeling it on two scales: microscopic and macroscopic. We use Asymptotic Homogenization Method (AHM) to calculate the effective electromechanical constants of this material. The AHM yields a two-scale procedure to obtain the effective properties of a composite material containing a periodic distribution of unidirectional circular cylindrical holes in a linear transversely isotropic piezoelectric matrix. The matrix material belongs to the symmetry crystal class 622. The holes are centered in a periodic array of cells of square cross sections and the periodicity is the same in two perpendicular directions. The piezoelectric composite is under antiplane shear deformation together with in-plane electric field. Local problems that arise from the two-scale analysis using the AHM are solved by means of a complex variable method, which allows us to expand the corresponding solutions in power series of Weierstrass elliptic functions. The coefficients of these series are determined from the solutions of infinite systems of linear algebraic equations. Truncating the infinite systems up to a finite, but otherwise arbitrary, order of approximation, we obtain analytical formulas for effective elastic, piezoelectric, and dielectric properties, which depend on both the volume fraction of the holes and an electromechanical coupling factor of the matrix. Numerical results obtained from these formulas are compared with results obtained by the Mori-Tanaka approach and show good agreement. The good agreement between all curves obtained via AHM suggests that the corresponding expression of first approximation provides a very simple formula to calculate the effective coupling factor of the composite. The results are useful in bone mechanics.

Dans cette thèse j’étudie l’impact de la géométrie de micro et nano-domaines biologiques sur les propriétés d'électrodiffusion, ceci à l'aide des équations aux dérivées partielles de Poisson-Nernst-Planck. Je considère des domaines non-triviaux ayant une forme cuspide ou elliptique. Mon objectif est de développer des modèles ainsi que des méthodes mathématiques afin d'étudier les caractéristiques électriques de ces nano/micro-domaines, et ainsi mieux comprendre comment les signaux électriques sont modulés à ces échelles. Dans la première partie j’étudie le voltage à l'équilibre pour un électrolyte dans un domaine borné, et ayant un fort excès de charges positives. Je montre que le premier temps de sortie dans une boule chargée dépend de la surface et non du volume. J’étudie ensuite la géométrie composées d'une boule à laquelle est attachée un domaine cuspide. Je construis ensuite une solution asymptotique pour le voltage dans les cas 2D et 3D et je montre qu’ils sont donnés au premier ordre par la même expression. Enfin, j’obtiens la même conclusion en considérant une géométrie formée d'une ellipse, dont je construis une solution asymptotique du voltage en 2D et 3D. La seconde partie porte sur la modélisation de la compartimentalisation électrique des épines dendritiques. A partir de simulations numériques, je mets en évidence le lien entre la polarisation de concentration dans l'épine et sa géométrie. Je compare ensuite mon modèle à des données de microscopie. Je développe une méthode de déconvolution pour extraire la dynamique rapide du voltage à partir des données de microscopie. Enfin j’estime la résistance du cou et montre que celle-ci ne suit pas la loi d'Ohm. / In this PhD I study how electro-diffusion within biological micro and nano-domains is affected by their shapes using the Poisson-Nernst-Planck (PNP) partial differential equations. I consider non-trivial shapes such as domains with cusp and ellipses. Our goal is to develop models, as well as mathematical tools, to study the electrical properties of micro and nano-domains, to understand better how electrical neuronal signaling is regulated at those scales. In the first part I estimate the steady-state voltage inside an electrolyte confined in a bounded domain, within which we assume an excess of positive charge. I show the mean first passage time in a charged ball depends on the surface and not on the volume. I further study a geometry composed of a ball with an attached cusp-shaped domain. I construct an asymptotic solution for the voltage in 2D and 3D and I show that to leading order expressions for the voltage in 2D and 3D are identical. Finally, I obtain similar conclusion considering an elliptical-shaped domain for which I construct an asymptotic solution for the voltage in 2D and 3D. In the second part, I model the electrical compartmentalization in dendritic spines. Based on numerical simulations, I show how spines non-cylindrical geometry leads to concentration polarization effects. I then compare my model to experimental data of microscopy imaging. I develop a deconvolution method to recover the fast voltage dynamic from the data. I estimate the neck resistance, and we found that, contrary to Ohm's law, the spine neck resistance can be inversely proportional to its radius.

Dans cette thèse, nous étudions les propriétés spectrales du Laplacien avec la condition de bord de Robin attractive sur des domaines du plan à coins. Notre but est de comprendre l’influence des coins convexes sur l’asymptotique des valeurs propres de cet opérateur lorsque le paramètre de Robin est grand. Nous montrons en particulier que l’asymptotique des premières valeurs propres de Robin sur des polygones curvilignes est déterminée par des opérateurs modèles : les Laplaciens agissant sur les secteurs tangents au domaine. Pour une certaine classe de polygones droits, nous montrons l’existence d’un opérateur effectif sur le bord du domaine qui détermine l’asymptotique des valeurs propres suivantes. Enfin, des asymptotiques de Weyl pour différents seuils dépendant du paramètre de Robin sont obtenues. / In this thesis, we are interested in the spectral properties of the Laplacian with the attractive Robin boundary condition on planar domains with corners. The aim is to understand the influence of the convex corners on the spectral properties of this operator when the Robin parameter is large. In particular, we show that the asymptotics of the first Robin eigenvalues on curvilinear polygons is determined by model operators: the Robin Laplacians acting on infinite sectors. For a particular class of polygons with straight edges, we prove the existence of an effective operator acting on the boundary of the domain and determining the asymptotics of the further eigenvalues. Finally, some Weyl-type asymptotics for different thresholds depending on the Robin parameter are obtained.

<div> <br></div><div> We consider the behavior of zeros of random polynomials of the from</div><div> \begin{equation*}</div><div> P_{n,m}(z) := \eta_0\varphi_m^{(m)}(z) + \eta_1 \varphi_{m+1}^{(m)}(z) + \cdots + \eta_n \varphi_{n+m}^{(m)}(z)</div><div> \end{equation*}</div><div> as \( n\to\infty \), where \( m \) is a non-negative integer (most of the work deal with the case \( m =0 \) ), \( \{\eta_n\}_{n=0}^\infty \) is a sequence of i.i.d. Gaussian random variables, and \( \{\varphi_n(z)\}_{n=0}^\infty \) is a sequence of orthonormal polynomials on the unit circle \( \mathbb T \) for some Borel measure \( \mu \) on \( \mathbb T \) with infinitely many points in its support. Most of the work is done by manipulating the density function for the expected number of zeros of a random polynomial, which we call the intensity function.</div>