When traditional linearised theory is used to study free-surface flows past a surface-piercing object or over an obstruction in a stream, the geometry of the object is usually lost, having been assumed small in one or several of its dimensions. In order to preserve the nonlinear nature of the geometry, asymptotic expansions in the low-Froude or low-Bond limits can be derived, but here, the solution invariably predicts a waveless free-surface at every order. This is because the waves are in fact, exponentially small, and thus beyond-all-orders of regular asymptotics; their formation is a consequence of the divergence of the asymptotic series and the associated Stokes Phenomenon. In this thesis, we will apply exponential asymptotics to the study of two new problems involving nonlinear geometries. In the first, we examine the case of free-surface flow over a step including the effects of both gravity and surface tension. Here, we shall see that the availability of multiple singularities in the geometry, coupled with the interplay of gravitational and cohesive effects, leads to the discovery of a remarkable new set of solutions. In the second problem, we study the waves produced by bluff-bodied ships in low-Froude flows. We will derive the analytical form of the exponentially small waves for a wide range of hull geometries, including single-cornered and multi-cornered ships, and then provide comparisons with numerical computations. A particularly significant result is our confirmation of the thirty-year old conjecture by Vanden-Broeck & Tuck (1977) regarding the impossibility of waveless single-cornered ships.

The photoactive component of a polymeric organic solar cell can be produced by drying a mixture consisting of a volatile solvent and non-volatile polymers. As the solvent evaporates, the polymers demix and self-assemble into microscale structures, the morphology of which plays a pivotal role in determining the efficiency of the resulting device. Thus, a detailed understanding of the physical mechanisms that drive and influence structure formation in evaporating solvent-polymer mixtures is of high scientific and industrial value. This thesis explores several problems that aim to produce novel insights into the dynamics of evaporating solvent-polymer mixtures. First, the role of compositional Marangoni instabilities in slowly evaporating binary mixtures is studied using the framework of linear stability theory. The analysis is non-trivial because evaporative mass loss naturally leads to a time-dependent base state. In the limit of slow evaporation compared to diffusion, a separation of time scales emerges in the linear stability problem, allowing asymptotic methods to be applied. In particular, an asymptotic solution to linear stability problems that have slowly evolving base states is derived. Using this solution, regions of parameter space where an oscillatory instability occurs are identified and used to formulate appropriate conditions for observing this phenomenon in future experiments. The second topic of this thesis is the use of multiphase fluid models to study the dynamics of evaporating solvent-polymer mixtures. A two-phase model is used to assess the role of compositional buoyancy and to examine the formation of a polymer-rich skin at the free surface. Then, a three-phase model is used to conduct a preliminary investigation of the link between evaporation and phase separation. Finally, this thesis explores the dynamics of a binary mixture that is confined between two horizontal walls using a diffusive phase-field model and its sharp-interface and thin-film approximations. We first determine the conditions under which a homogeneous mixture undergoes phase separation to form a metastable bilayer. We then present a novel mechanism for generating a repeating lateral sequence of alternating A-rich and B-rich domains from this bilayer.

Název práce: Obecná enumerace číselných rozklad· Autor: Jaroslav Hančl Katedra: Katedra aplikované matematiky Vedoucí diplomové práce: doc. RNDr. Martin Klazar, Dr., KAM MFF UK Abstrakt: Předložená diplomová práce se zabývá asymptotikami počítacích funkcí ideál· číselných rozklad·. Jejím hlavním cílem je zjistit největší možný asympto- tický r·st počítací funkce rozkladového ideálu, která je nekonečněkrát rovna nule. Autor se na základě znalosti asymptotik vybraných rozkladových ideál· snaží po- mocí kombinatorických a základních analytických metod odvodit odhady hledané asymptotiky. Výsledkem je za prvé slabší horní odhad, za druhé poměrně silný dolní odhad a za třetí, pro speciální třídu rozkladových ideál· je nalezen největší asymptotický r·st. Klíčová slova: íselné rozklady, asymptotika rozklad·, rozkladové ideály, počítací funkce, kombinatorická enumerace. 1

La première partie de cette thèse est consacrée aux problématiques liées à la modélisation markovienne de la courbe de variance forward. Elle est divisée en 3 chapitres. Dans le premier chapitre, nous présentons le cadre général de la modélisation de type HJM-Markov pour la courbe de variance forward. Nous revisitons le cadre affine-markovien modélisation et nous l'illustrons par l'exemple du modèle de Bühler. Dans le deuxième chapitre, nous proposons un nouveau modèle pour la courbe de variance forward qui combine les caractéristiques des deux versions (continue et discrète) du modèle de Bergomi 2008, sans se réduire ni à l'une ni à l'autre. Un des avantages de ce modèle est que les prix des futures et options sur VIX peuvent être exprimés comme des espérances de fonctions déterministes d'une variable aléatoire gaussienne, ce qui réduit le problème de la calibration à l'inversion de certaines fonctions monotones. Dans le troisième chapitre, on propose une méthode d'approximation pour les prix d'options européennes dans des modèles à volatilité stochastique de type multi-factoriels lognormal (comprenant le modèle présenté dans le deuxième chapitre, les modèles de Bergomi et le modèle de Scot 1987). Nous obtenons un développement d'ordre 3 de la densité du sous-jacent par rapport au paramètre de la volatilité de la volatilité. Nous présentons aussi une méthode de réduction de variance de type "variable de contrôle" pour la simulation par la méthode de Monte-Carlo qui utilise l'approximation explicite que nous obtenons de la fonction de répartition de la loi du sous-jacent. La deuxième partie de cette thèse est consacrée à l'étude des propriétés de monotonie des prix d'options européennes par rapport aux paramètres du CIR dans le modèle de Heston. Elle est divisée en deux chapitres. Dans le premier chapitre (cf. chapitre 4), nous donnons quelques résultats généraux sur le processus CIR. Nous montrons d'abord que les queues de distribution d'une combinaison du CIR et de sa moyenne arithmétique se comportent comme des exponentielles. Nous étudions ensuite les dérivées de la solution de ce processus par rapport aux paramètres de sa dynamique. Ces dérivées sont données comme solutions d'équations différentielles stochastiques, qu'on résout pour obtenir des représentations de ces dérivées en fonction des trajectoires du CIR. Le chapitre 5 est consacré à l'étude de la monotonie du prix d'un Put européen par rapport aux paramètres du CIR et à la corrélation dans le modèle de Heston. Nous montrons que, sous certaines conditions, les prix d’options européennes sont monotones par rapport aux paramètres du drift du CIR. Nous montrons ensuite que le paramètre de la volatilité de la volatilité joue le rôle de la volatilité si on prend la variance réalisée comme sous-jacent. En particulier, les prix d'options convexes sur la variance réalisée sont strictement croissants par rapport à la volatilité de la volatilité. Enfin, nous étudions la monotonie du prix du Put européen par rapport à la corrélation. Nous montrons que le prix du put du Put est croissant par rapport à la corrélation pour les petites valeurs du Spot et décroissant pour les grandes valeurs. Nous étudions ensuite les points de changement de monotonie pour les courtes et longues maturités / The first part of this thesis deals with issues related to the Markov-modeling of the forward variance curve. It is divided into 3 chapters. In the first chapter, we present the general framework of the HJM-type modelling for the forward variance curve. We revisit the Affine-Markov framework, and illustrate by the model proposed by B"uhler 2006. In the second chapter, we propose a new model for the forward variance curve that combines features of the continuous and discrete version of Bergomi's model model Bergomi (2008), without being reduced to either of them. One of the strengths of this model is that the prices of VIX futures and options can be expressed as expectations of deterministic functions of a Gaussian random variable, which reduces the problem of calibration to the inversion of some monotonic functions. In the third chapter, we propose an approximation method for pricing of European options under some lognormal stochastic volatility models (including the model presented in the second chapter, Bergomi's model2008 and Scot model 1987). We obtain an expansion (with respect to the the volatility of volatility parameters of order 3) of the density of the underlying. We also propose a control variate method to effectively reduce variances of Monte Carlo simulations for pricing European optionsThe purpose of the second part of this thesis is to study the monotonicity properties of the prices of European options with respect to the CIR parameters under Heston model. It is divided into two chapters. In the first chapter (see Chapter 4), we give some general results related to the CIR process. We first show that the distribution tails of a combination of the CIR and its arithmetic mean behave as exponential. We then study the derivatives of the solution process with respect to the parameters of its dynamics. These data are derived as solutions of stochastic differential equations, which solves for the representations of these derivatives based on trajectories of the CIR. Chapter 5 is devoted to the study of the monotony of the European price of a put with respect to parameters of CIR and correlation in the Heston model. We show that under certain conditions, prices of European options are monotonic with respect to the parameters of the drift of the CIR. We then show that the parameter of the volatility of volatility plays the role of volatility if we take the realized variance as the underlying. In particular, prices of (convex) options on realized variance are strictly increasing with respect to the volatility of volatility. Finally, we study the monotony of the European Put prices with respect to the correlation. We show that the price of the put is increasing with respect to the correlation for small values ​​of Spot and decreasing for large values. We then study the change points of monotonicity for short and long maturities

On étudie les résonances semi-excitées pour un Opérateur h-Pseudo-différentiel (h-PDO)H(x, hDx) sur L2(M) induites par une orbite périodique de type hyperbolique à l’énergie E = 0. Par exemple M = Rn et H(x, hDx; h) est l’opérateur de Schrödinger avec effet Stark, ouH(x, hDx; h) est le flot géodesique sur une variété axi-symétrique M, généralisant l’exemplede Poincaré de systèmes Lagrangiens à 2 degrés de liberté. On étend le formalisme de Gérard and Sjöstrand, au sens où on autorise des valeurs propres hyperboliques et elliptiques del’application de Poincaré, et où l’on considère des résonances dont la partie imaginaire est del’ordre de hs, pour 0 < s < 1.On établit une règle de quantification de type Bohr-Sommerfeld au premier ordre en fonction des nombres quantiques longitudinaux (réels) et transverses (complexes), incluantl’intégrale d’action le long de l’orbite, la 1-forme sous-principale, et l’indice de Conley-Zehnder. / In this Thesis we consider semi-excited resonances for a h-Pseudo-Differential Operator (h-PDO for short) H(x, hDx; h) on L2(M) induced by a periodic orbit of hyperbolic type at energy E = 0, as arises when M = Rn and H(x, hDx; h) is Schrödinger operator withAC Stark effect, or H(x, hDx; h) is the geodesic flow on an axially symmetric manifold M,extending Poincaré example of Lagrangian systems with 2 degree of freedom. We generalizethe framework of Gérard and Sjöstrand, in the sense that we allow for hyperbolic and ellipticeigenvalues of Poincaré map, and look for (excited) resonances with imaginary part of magnitude hs, with 0 < s < 1,It is known that these resonances are given by the zeroes of a determinant associatedwith Poincaré map. We make here this result more precise, in providing a first order asymptoticsof Bohr-Sommerfeld quantization rule in terms of the (real) longitudinal and (complex)transverse quantum numbers, including the action integral, the sub-principal 1-form and Gelfand-Lidskii index.

No description available.

A discrete analogue of the Witten Laplacian on the n-dimensional integer lattice is considered. After rescaling of the operator and the lattice size we analyze the tunnel effect between different wells, providing sharp asymptotics of the low-lying spectrum. Our proof, inspired by work of B. Helffer, M. Klein and F. Nier in continuous setting, is based on the construction of a discrete Witten complex and a semiclassical analysis of the corresponding discrete Witten Laplacian on 1-forms. The result can be reformulated in terms of metastable Markov processes on the lattice. / In dieser Arbeit wird auf dem n-dimensionalen Gitter der ganzen Zahlen ein Analogon des Witten-Laplace-Operatoren eingeführt. Nach geeigneter Skalierung des Gitters und des Operatoren analysieren wir den Tunneleffekt zwischen verschiedenen Potentialtöpfen und erhalten vollständige Aymptotiken für das tiefliegende Spektrum. Der Beweis (nach Methoden, die von B. Helffer, M. Klein und F. Nier im Falle des kontinuierlichen Witten-Laplace-Operatoren entwickelt wurden) basiert auf der Konstruktion eines diskreten Witten-Komplexes und der Analyse des zugehörigen Witten-Laplace-Operatoren auf 1-Formen. Das Resultat kann im Kontext von metastabilen Markov Prozessen auf dem Gitter reformuliert werden und ermöglicht scharfe Aussagen über metastabile Austrittszeiten.

No description available.

In this thesis we study the zeros and asymptotics of sequences that satisfy linear recurrence relations with generally nonconstant coefficients. By the theorem of Skolem-Mahler-Lech, the set of zero terms of a sequence that satisfies a linear recurrence relation with constant coefficients taken from a field of characteristic zero is comprised of the union of finitely many arithmetic progressions together with a finite exceptional set. Further, in the nondegenerate case, we can eliminate the possibility of arithmetic progressions and conclude that there are only finitely many zero terms. For generally nonconstant coefficients, there are generalizations of this theorem due to Bézivin and to Methfessel that imply, under fairly general conditions, that we obtain a finite union of arithmetic progressions together with an exceptional set of density zero. Further, a condition is given under which one can exclude the possibility of arithmetic progressions and obtain a set of zero terms of density zero. In this thesis, it is shown that this condition reduces to the nondegeneracy condition in the case of constant coefficients. This allows for a consistent definition of nondegeneracy valid for generally nonconstant coefficients and a unified result is obtained. The asymptotic theory of sequences that satisfy linear recurrence relations with generally nonconstant coefficients begins with the basic theorems of Poincaré and Perron. There are some generalizations of these theorems that hold in greater generality, but if we restrict the coefficient sequences of our linear recurrences to be polynomials in the index, we obtain full asymptotic expansions of a predictable form for the solution sequences. These expansions can be obtained by applying a transfer method of Flajolet and Sedgewick or, in some cases, by applying a bivariate method of Pemantle and Wilson. In this thesis, these methods are applied to a family of binomial sums and full asymptotic expansions are obtained. The leading terms of the expansions are obtained explicitly in all cases, while in some cases a field containing the asymptotic coefficients is obtained and some divisibility properties for the asymptotic coefficients are obtained using a generalization of a method of Stoll and Haible.

This dissertation is concerned with the tail asymptotics of queueing networks with subexponential service time distributions. Our objective is to investigate the tail characteristics of key performance measures such as cycle times and waiting times on a variety of queueing models which may arise in many applications such as communication and manufacturing systems. First, we focus on a general class of closed feedforward fork and join queueing networks under the assumption that the service time distribution of at least one station is subexponential. Our goal is to derive the tail asymptotics of transient cycle times and waiting times. Furthermore, we argue that under certain conditions the asymptotic tail distributions remain the same for stationary cycle times and waiting times. Finally, we provide numerical experiments in order to understand how fast the convergence of tail probabilities of cycle times and waiting times is to their asymptotic counter parts. Next, we consider closed tandem queues with finite buffers between stations. We assume that at least one station has a subexponential service time distribution. We analyze this system under communication blocking and manufacturing blocking rules. We are interested in the tail asymptotics of transient cycle times and waiting times. Furthermore, we study under which conditions on system parameters a stationary regime exists and the transient results can be generalized to stationary counter parts. Finally, we provide numerical examples to understand the convergence behavior of the tail asymptotics of transient cycle times and waiting times. Finally, we study open tandem queueing networks with subexponential service time distributions. We assume that number of customers in front of the first station is infinite and there is infinite room for finished customers after the last station but the size of the buffer between two consecutive stations is finite. Using (max,+) linear recursions, we investigate the tail asymptotics of transient response times and waiting times under both communication blocking and manufacturing blocking schemes. We also discuss under which conditions these results can be generalized to the tail asymptotics of stationary response times and waiting times. Finally, we provide numerical examples to investigate the convergence of the tail probabilities of transient response times and waiting times to their asymptotic counter parts.