Diese Arbeit beginnt mit einer Analyse von stochastischen Rückwärtsdifferentialgleichungen (BSDEs) mit Sprüngen, getragen von zufälligen Maßen mit ggf. unendlicher Aktivität und zeitlich inhomogenem Kompensator. Unter konkreten, in Anwendungen leicht verifizierbaren Bedingungen liefern wir Existenz-, Eindeutigkeits- und Vergleichsergebnisse beschränkter Lösungen für eine Klasse von Generatorfunktionen, die nicht global Lipschitz-stetig im Sprungintegranden sein brauchen. Der übrige Teil der Arbeit behandelt robuste Bewertung und Hedging in unvollständigen Märkten. Wir verfolgen den No-Good-Deal-Ansatz, der Good-Deal-Grenzen liefert, indem nur eine Teilmenge der risikoneutralen Maße mit ökonomischer Bedeutung betrachtet wird (z.B. Grenzen für instantanen Sharpe-Ratio, optimale Wachstumsrate oder erwarteten Nutzen). Durchweg untersuchen wir ein Konzept des Good-Deal-Hedgings für welches Hedgingstrategien als Minimierer geeigneter dynamischer Risikomaße auftreten, was optimale Risikoteilung mit der Markt erlaubt. Wir zeigen, dass Hedging mindestens im-Mittel-selbstfinanzierend ist, also, dass Hedgefehler unter geeigneten A-priori-Bewertungsmaßen eine Supermartingaleigenschaft haben. Wir leiten konstruktive Ergebnisse zu Good-Deal-Bewertung und -Hedging im Rahmen von Prozessen mit Sprüngen durch BSDEs mit Sprüngen, sowie im Brown''schen Fall mit Driftunsicherheit durch klassische BSDEs und mit Volatilitätsunsicherheit durch BSDEs zweiter Ordnung her. Wir liefern neue Beispiele, die insbesondere für versicherungs- und finanzmathematische Anwendungen von Bedeutung sind. Bei Ungewissheit des Real-World-Maßes führt ein Worst-Case-Ansatz bei Annahme mehrerer Referenzmaße zu Good-Deal-Hedging, welches robust bzgl. Unsicherheit, im Sinne von gleichmäßig über alle Referenzmaße mindestens im-Mittel-selbstfinanzierend, ist. Daher ist bei hinreichend großer Driftunsicherheit Good-Deal-Hedging zur Risikominimierung äquivalent. / This thesis starts by an analysis of backward stochastic differential equations (BSDEs) with jumps driven by random measures possibly of infinite activity with time-inhomogeneous compensators. Under concrete conditions that are easy to verify in applications, we prove existence, uniqueness and comparison results for bounded solutions for a class of generators that are not required to be globally Lipschitz in the jump integrand. The rest of the thesis deals with robust valuation and hedging in incomplete markets. The focus is on the no-good-deal approach, which computes good-deal valuation bounds by using only a subset of the risk-neutral measures with economic meaning (e.g. bounds on instantaneous Sharpe ratios, optimal growth rates, or expected utilities). Throughout we study a notion of good-deal hedging consisting in minimizing some dynamic risk measures that allow for optimal risk sharing with the market. Hedging is shown to be at least mean-self-financing in that hedging errors satisfy a supermartingale property under suitable valuation measures. We derive constructive results on good-deal valuation and hedging in a jump framework using BSDEs with jumps, as well as in a Brownian setting with drift uncertainty using classical BSDEs and with volatility uncertainty using second-order BSDEs. We provide new examples which are particularly relevant for actuarial and financial applications. Under ambiguity about the real-world measure, a worst-case approach under multiple reference priors leads to good-deal hedging that is robust w.r.t. uncertainty in that it is at least mean-self-financing uniformly over all priors. This yields that good-deal hedging is equivalent to risk-minimization if drift uncertainty is sufficiently large.

La décroissance de la consommation électrique des dispositifs électroniques leur a permis une croissance sans précédent. Néanmoins, les éléments de stockage d’énergie (piles et batteries), bien qu’ayant initialement promus ce développement, sont devenus un frein à la prolifération des microsystèmes électroniques, de part leur durée de vie limitée ainsi que des considérations environnementales (recyclage). Pour palier à ce problème, la possibilité d’exploiter l’énergie de l’environnement immédiat du dispositif a été proposée et a fait l’objet de nombreuses recherches au cours des dernières années. En particulier, la récupération d’énergie mécanique exploitant l’effet piézoélectrique est l’une des pistes les plus étudiées actuellement pour la conception de microgénérateurs autonomes capables d’alimenter les dispositifs électroniques. Par ailleurs, dans ce domaine, il a été démontré qu’un traitement non-linéaire de la tension de sortie de l’élément actif permet d’améliorer les capacités de récupération de l’énergie vibratoire. L’une de ces approches, nommée «Synchronized Switch Harvesting on Inductor» (récupération par commutation synchronisée sur inductance) et consistant en une inversion de la tension de manière synchrone avec le déplacement, s’est montrée particulièrement efficace, pouvant augmenter la quantité d’énergie récupérée par un facteur supérieur à 10. Cette dernière conduit à un processus cumulatif qui augmente artificiellement la tension de sortie de l’élément piézoélectrique ainsi qu’à une réduction du déphasage entre tension et vitesse de déplacement ; ces deux effets conduisant à l’augmentation importante des capacités de conversion. Néanmoins, l’étude des microgénérateurs d’énergie s’est quasiment toujours faite en considérant une excitation sinusoïdale, ce qui correspond rarement à la réalité. Peu de travaux expérimentaux, et encore moins théoriques, ont été menés en considérant une excitation large bande ; ceci étant d’autant plus vrai pour les dispositifs incluant un élément non-linéaire. Ainsi l’objectif de cette thèse est d’étudier le comportement des récupérateurs d’énergie piézoélectriques interfacés de manière non-linéaire. Pour ce faire, différentes approches seront envisagées, en considérant le processus de commutation comme un « auto-échantillonnage » du signal, ou en appliquant des théories d’analyse stochastique pour quantifier les performances du dispositif. Ainsi, plusieurs formes d’excitation appliquée au système pourront être analysées, permettant d’étudier la réponse du système sous des conditions plus réalistes. Toujours dans l’optique d’une implémentation réaliste, un autre objectif de cette thèse consistera à évaluer l’impact de la récupération d’énergie par couplage sismique sur la structure hôte, démontrant la nécessité d’envisager le système dans sa globalité afin de disposer de systèmes performants capables de convertir efficacement l’énergie vibratoire sous forme électrique pour un usage ultérieur. / A nonlinear interface consisting in a switching device has been proved to improve the piezoelectric harvester performance. Although existing works are usually done under single frequency excitation. practical cases are more likely broadband and random. In addition, the coupling effect due to the harvesting process is also an interesting issue to discuss. In terms of energy conversion process in seismic piezoelectric harvesters, mechanical interactions between host structure and harvester is an essential issue as well. The purpose of this work is to analysis seismic type piezoelectric harvesters from a practical perspective and to provide an optimal design of the latter. The broadband modeling based on the concepts of self-sampling and self-aliasing is described under broadband excitations for the nonlinear interface called "Periodic Switching Harvesting on Inductor" (PSHI). For this technique, the switching device is considered to be turned on at a fixed switching frequency. Then stochastic modeling is applied to have mathematical expressions that can describe broadband performance of the harvester with power spectral density (PSD) function of signals. As the switch is turned on at a given frequency, the modeling can be derived using cyclostationary theory. The effectiveness of stochastic modeling is validated with experimental measurements and time-domain iterative calculations, and the harvester performance under a band-limited noise excitation is discussed under bell-curved spectra excitations. An optimal switching frequency slightly less than twice the harvester resonant frequency is proved to have the optimal power output under the optimal resistive load. This switching frequency is however dependent on the electromechanical coupling factor of the harvester. Another part of this work discusses the interaction between the host structure and the harvester. The analysis is conducted with a Two-Degree-of-Freedom (TDOF) model. An energy conversion loop is therefore formed between the host structure and the harvester, within the harvester and the resistive load. The TDOF model is verified with Finite Element model and experimental work. An optimal mass ratio is proved to provide the maximal power output. The modeling is further applied to a practical self-powered Structural Health Monitoring system providing the best design of the harvester. A practical consideration of the broadband excitation is also introduced showing the effect of frequency detuning between the host structure and the harvester. Compared to constant force factor case, the harvester performance with a constant electromechanical coupling factor is surprisingly with very little decreases due to the mismatching of harvester and host structure resonant.

Submitted by Ana Rosa Silva (arosa@ufpa.br) on 2012-04-18T12:19:07Z No. of bitstreams: 2 ANDRADE, Wanderlino Demétrio Castro de PPGDesenvSustTropÚmidoTese.pdf: 12972310 bytes, checksum: 1d3a710d596a93de09e8e8ff48afd56e (MD5) license_rdf: 23898 bytes, checksum: e363e809996cf46ada20da1accfcd9c7 (MD5) / Approved for entry into archive by Ana Rosa Silva(arosa@ufpa.br) on 2012-04-18T12:24:07Z (GMT) No. of bitstreams: 2 ANDRADE, Wanderlino Demétrio Castro de PPGDesenvSustTropÚmidoTese.pdf: 12972310 bytes, checksum: 1d3a710d596a93de09e8e8ff48afd56e (MD5) license_rdf: 23898 bytes, checksum: e363e809996cf46ada20da1accfcd9c7 (MD5) / Made available in DSpace on 2012-04-18T12:24:07Z (GMT). No. of bitstreams: 2 ANDRADE, Wanderlino Demétrio Castro de PPGDesenvSustTropÚmidoTese.pdf: 12972310 bytes, checksum: 1d3a710d596a93de09e8e8ff48afd56e (MD5) license_rdf: 23898 bytes, checksum: e363e809996cf46ada20da1accfcd9c7 (MD5) Previous issue date: 2009 / A importância deste trabalho está em analisar a dinâmica da evolução econômica do Nordeste Paraense, por suas estruturas fundamentais de produção no agrário, interpretando-se os resultados por meio dos impactos setoriais e os transbordamentos da renda e do produto na economia. Para tanto, aplicou-se o modelo de Contas Sociais Ascendentes de Base Agrária (Matriz de Insumo-Produto) metodologicamente mais abrangente que as primeiras abordagens aplicadas em trabalhos anteriores realizados por Pires (2002) e André (2004) a mesma região, todas derivadas de Costa (2002abcd), inclusive este trabalho. Entre outras diferenciações, o modelo desenvolvido inicialmente estava ligado internamente pelo fluxo de produtos entre as dimensões geográficas do local, ao estadual e nacional, em que o valor da produção é formado no sentido que vai da produção até o consumo final, ou ainda, do rural para o urbano: segue o sentido que vai da produção local até a demanda final nacional. Para este trabalho, a forma metodologicamente adotada, já apresentada por Costa em 2008, no Sudeste Paraense, incorpora, primordialmente, as cadeias backward de insumos e investimentos em que são reconstituídos os trajetos dos agentes produtores até o “primeiro fornecedor”, tanto para as redes de formação de preço, quanto de salários e margem bruta (markup), o que possibilita, uma análise diferenciada dos multiplicadores quanto aos impactos setoriais, implicando nas análises de retenções e transbordamentos da renda e do produto entre as formas de produção e suas ocorrências estruturais geográficas, na verificação das disposições das forças centrípetas e centrífugas, o que permite fazer interpretações quanto às possibilidades de conexões econômicas locais para o desenvolvimento, a partir dos índices de aglomeração. / The importance of this work is to analyze the dynamics of economic evolution in Northeastern Pará, in their fundamental structures of agricultural production, interpreting the results by means of sectoral impacts and spillovers of income and output in the economy. To this end, we applied the model accounts Agrarian Social Ascending Base (Input-Output Matrix) methodologically more comprehensive than the earlier approaches applied in the earlier work by Pires (2002) and André (2004) the same region, all derived Costa (2002abcd), including this work. Among other differences, the model was initially developed internally connected by the flow of products between the geographical size of the place, the state and national levels, where the production value is formed in the direction going from production to final consumption, or even the rural to urban, which will follow the direction of local production by domestic final demand. For this work, the way methodically adopted, as presented by Costa in 2008 in southeast Pará, incorporates primarily backward chains of inputs and investments that are reconstituted in the paths of the agents until the "first supplier" for both networks of price formation, as wages and gross margin (markup), which allows a differentiated analysis of the multipliers sectoral impacts, resulting in retention and spillovers analysis between income and product forms of production and their occurrences Structural geographical, examining the provisions of the centripetal and centrifugal forces, which allows you to make interpretations about the possibilities of local economic connections to the development, from the indexes of agglomeration.

Made available in DSpace on 2017-07-10T16:41:34Z (GMT). No. of bitstreams: 1 Dissert Jonattan Emanuel Sarmiento2.pdf: 1326992 bytes, checksum: eeb1918a0e5e9c45ad54043cd1ea9c5e (MD5) Previous issue date: 2016-06-23 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / In recent years there has been a great increase in the use of distributed generators. This occurred not only by advances in production technologies of small generators and frequency inverters, but also by the benefits that brings to the distribution systems and the incentive policies. In the analysis of these systems is essential to calculate the power flow and properly solve it and the modeling of the inverter should be reviewed together with its implementation in the method employed, attempting to the fact that the inverters are beginning to use advanced functions that can to provide ancillary services. In this work the modelling of inverter with advanced functions such as Basic Intelligent Volt-Var Control (BIVV) and Intelligent Volt-Var With Hysteresis (IVVH) are reviewed, therefore it is propose methods the implements this models in the method sweep. In proposal implementation it is use of elements of the sensitivity matrix of nodes PV defined in the compensation method. In the analyzed cases, the implementations were effectiveness achieving solutions in convergent values and in accordance to the control strategies. In the results of simulations there were differences in the operating points of the inverter acting on a node of the distribution system comparing the different modeling analyzed in different system load conditions and different levels of active power supply. When comparing the voltage profiles of the various modeling, in general notice that there is a greater variation when it has large reactive power capacity. If in the future of distributed generation evolve to provide reactive support as the ancillary service, it shall be careful properly modelling the inverter avoiding mistaken results that will affect the plans of the concessionaires. / Nos últimos anos verificou-se um grande aumento no uso de geradores distribuídos. Isso ocorreu não apenas pelos avanços nas tecnologias de produção de pequenos geradores e inversores de frequência, mas também pelos benefícios que estes trazem aos sistemas de distribuição e pelas políticas de incentivos. Nas análises desses sistemas é fundamental calcular o fluxo de potência e, para resolvê-lo adequadamente, deve-se revisar a modelagem do inversor e sua implementação no método empregado, atentando-se ao fato de que os inversores estão começando a utilizar funções avançadas passíveis de fornecer serviços ancilares. Neste trabalho são revisadas as modelagens dos inversores com funções avançadas, tais como o controle Basic Intelligent Volt-Var (BIVV) e Intelligent Volt-Var With Hysteresis (IVVH), além de propor métodos de implementação para o método da varredura. Nas implementações propostas se faz uso de elementos da matriz de sensibilidade dos nós PV definida no método da compensação. Nos casos analisados, as implementações tiveram eficácia, conseguindo atingir soluções em valores convergentes e em concordância às estratégias de controle. Já nos resultados das simulações, ilustram-se as diferenças dos pontos operativos do inversor atuando em um nó do sistema de distribuição comparando-se as diferentes modelagens analisadas em distintas condições de carga do sistema e diversos níveis de fornecimento de potência ativa. Ao comparar-se os perfis de tensão das diversas modelagens, em geral, nota-se que há uma variação maior quando se tem maior capacidade de potência reativa. Se no futuro a geração distribuída evoluir para prestar suporte de potência reativa como um serviço ancilar, é necessário tomar precauções para modelar adequadamente o inversor, de modo a evitar obter resultados equivocados que afetarão os planejamentos das concessionárias.

[pt] Neste trabalho um modelo dinâmico para um rotor vertical em balanço, considerando o fenômeno de contato com a sua guarda, é analisado. A conjunto é modelado como um sistema eixo-rotor-estator com contato. A análise do contato é particularmente complexa pela não linearidade nas equações de movimento. O impacto com o estator é levado em conta através do modelo de contato tipo Kelvin-Vôigt, e, as equações de movimento, do rotor, são deduzidas através da formulação Lagrangeana; estas equações podem capturar os fenômenos devido à vibração lateral, como: precessão direta, precessão retrograda, rolamento e escorregamento. Pela existência de diferentes parâmetros combinados e devido à não linearidade da equação de movimento, a resposta dinâmica não é simples de ser obtida apriori. Portanto, métodos numéricos são empregados para a solução, especificamente emprega-se o método de Runge-Kutta Fehlberg de passo variável. Os resultados da simulação mostram que para certas condições, o rotor pode mudar de orbita devido aos impactos com o estator, podendo chegar a realizar precessão retrograda. Este tipo de fenômeno é considerado como o mais violento e perigoso nas maquinas rotativas. Com o fim de estudar a dinâmica lateral do sistema, um rotor vertical em balanço com guarda anular é investigado. A passagem dela através de sua velocidade critica, quando conduzida por um motor elétrico, é analisada (e também quando o sistema opera em velocidades constantes). Além disso, neste trabalho, os resultados experimentais obtidos da bancada de experimentação são usados para estudar o fenômeno da precessão. / [en] In this work a dynamic model for the overhung rotor, considering the contact phenomenon between the rotor and the stator is analyzed. It is modeled as a shaft-rotor- stator system with contact. The analysis of contact is particularly complex, due to the high nonlinearity of motion equations. Impact with the stator is accounted by a consistent contact model, as Kelvin-Vôigt model, and, rotor`s motion equation is encountered employing Lagrangean`s method; this equations are capable of capturing the phenomenon due to lateral vibration, as: forward whirl, backward whirl, rolling or sliding along the stator. Due to the combined parameters and the effect of nonlinearity in motion equations, the dynamical response is not simple or easily predictable. Numerical simulation is the preferred method of analysis, exactly is used the Runge-Kutta Fehlberg method with variable step. Simulation results show that under certain conditions, a rotor changes its orbit due the impacts with the stator and after that, it executes backward whirl motion. It is a kind of phenomenon, which is considered as the most violent and dangerous in rotating machines. To this end, the analysis of a vertical overhung shaft-disc system with annular guard is investigated. The passing through its critical speed is analyzed when driven by an electric motor (also when the system operates under a constant rotational velocity). In addition, in this work the results obtained with an experimental test rig are used to investigate the whirl phenomenon.

Diese Arbeit behandelt zwei Gebiete: stochastische partielle Rückwerts-Differentialgleichungen (BSPDEs) und Mean-Field-Games (MFGs). Im ersten Teil wird über eine stochastische Variante der De Giorgischen Iteration ein Maximumprinzip für quasilineare reflektierte BSPDEs (RBSPDEs) auf allgemeinen Gebieten bewiesen. Als Folgerung erhalten wir ein Maximumprinzip für RBSPDEs auf beschränkten, sowie für BSPDEs auf allgemeinen Gebieten. Abschließend wird das lokale Verhalten schwacher Lösungen untersucht. Im zweiten Teil zeigen wir zunächst die Existenz von Gleichgewichten in MFGs mit singulärer Kontrolle. Wir beweisen, dass die Lösung eines MFG ohne Endkosten und ohne Kosten in der singulären Kontrolle durch die Lösungen eines MFGs mit strikt regulären Kontrollen approximiert werden kann. Die vorgelegten Existenz- und Approximationsresultat basieren entscheidend auf der Wahl der Storokhod M1 Topologie auf dem Raum der Càdlàg-Funktion. Anschließend betrachten wir ein MFG optimaler Portfolioliquidierung unter asymmetrischer Information. Die Lösung des MFG charakterisieren wir über eine stochastische Vorwärts-Rückwärts-Differentialgleichung (FBSDE) mit singulärer Endbedingung der Rückwärtsgleichung oder alternativ über eine FBSDE mit endlicher Endbedingung, jedoch singulärem Treiber. Wir geben ein Fixpunktargument, um die Existenz und Eindeutigkeit einer Kurzzeitlösung in einem gewichteten Funktionenraum zu zeigen. Dies ermöglicht es, das ursprüngliche MFG mit entsprechenden MFGs ohne Zustandsendbedinung zu approximieren. Der zweite Teil wird abgeschlossen mit einem Leader-Follower-MFG mit Zustandsendbedingung im Kontext optimaler Portfolioliquidierung bei hierarchischer Agentenstruktur. Wir zeigen, dass das Problem beider Spielertypen auf singuläre FBSDEs zurückgeführt werden kann, welche mit ähnlichen Methoden wie im vorangegangen Abschnitt behandelt werden können. / The thesis is concerned with two topics: backward stochastic partial differential equations and mean filed games. In the first part, we establish a maximum principle for quasi-linear reflected backward stochastic partial differential equations (RBSPDEs) on a general domain by using a stochastic version of De Giorgi’s iteration. The maximum principle for RBSPDEs on a bounded domain and the maximum principle for BSPDEs on a general domain are obtained as byproducts. Finally, the local behavior of the weak solutions is considered. In the second part, we first establish the existence of equilibria to mean field games (MFGs) with singular controls. We also prove that the solutions to MFGs with no terminal cost and no cost from singular controls can be approximated by the solutions, respectively control rules, for MFGs with purely regular controls. Our existence and approximation results strongly hinge on the use of the Skorokhod M1 topology on the space of càdlàg functions. Subsequently, we consider an MFG of optimal portfolio liquidation under asymmetric information. We prove that the solution to the MFG can be characterized in terms of a forward backward stochastic differential equation (FBSDE) with possibly singular terminal condition on the backward component or, equivalently, in terms of an FBSDE with finite terminal value, yet singular driver. We apply the fixed point argument to prove the existence and uniqueness on a short time horizon in a weighted space. Our existence and uniqueness result allows to prove that our MFG can be approximated by a sequence of MFGs without state constraint. The final result of the second part is a leader follower MFG with terminal constraint arising from optimal portfolio liquidation between hierarchical agents. We show the problems for both follower and leader reduce to the solvability of singular FBSDEs, which can be solved by a modified approach of the previous result.

工業的發達與否代表一個國家國力的強弱，故欲使我國達已開發國家之林，提昇整個工業或產業的升級，已經是刻不容緩的事。近年來，政府致力於發展新的高科技產業，同時，對於傳統工業也以獎勵或鼓勵技術升級的方式，以提昇整體產業競爭力。其中包含了所謂"傳統工業技術升級計畫"。 　　所以，本文欲藉助對數線型模式，針對"傳統工業技術升級計畫"，來建構及解釋一些模式，並提出建議，以期傳統工業升級計畫，能更符合每個產業的要求。 / Modernization of Industry represents the powerfulness of a country. It'surgent to upgrade the inndustry, so that our country become a developed country.The government has been making every effort on new hi-tech industries lately, at the same time, the government also provide different incentives to upgradethe tradional industries. This way would increase the competitiveness of ourone of the incentives is that the government provided the so called "Conventionalindustries upgrading program" 　　In this paper, we use loglinear models to analyze the data given by those companies that participated "Conventional industries upgrading program". Based on the models, we shall make some suggestions and conclusions.

This thesis addresses spatial interpolation and temporal prediction using air pollution data by several space-time modelling approaches. Firstly, we implement the dynamic linear modelling (DLM) approach in spatial interpolation and find various potential problems with that approach. We develop software to implement our approach. Secondly, we implement a Bayesian spatial prediction (BSP) approach to model spatio-temporal ground-level ozone fields and compare the accuracy of that approach with that of the DLM. Thirdly, we develop a Bayesian version empirical orthogonal function (EOF) method to incorporate the uncertainties due to temporally varying spatial process, and the spatial variations at broad- and fine- scale. Finally, we extend the BSP into the DLM framework to develop a unified Bayesian spatio-temporal model for univariate and multivariate responses. The result generalizes a number of current approaches in this field.

No description available.

Multisymplectic integrators like Preissman and six-point schemes and a semi-explicit symplectic method are applied to the coupled nonlinear Schr&ouml / dinger equations (CNLSE). Energy, momentum and additional conserved quantities are preserved by the multisymplectic integrators, which are shown using modified equations. The multisymplectic schemes are backward stable and non-dissipative. A semi-explicit method which is symplectic in the space variable and based on linear-nonlinear, even-odd splitting in time is derived. These methods are applied to the CNLSE with plane wave and soliton solutions for various combinations of the parameters of the equation. The numerical results confirm the excellent long time behavior of the conserved quantities and preservation of the shape of the soliton solutions in space and time.