Thesis (Ph. D.)--Oregon State University, 2008. / Printout. Includes bibliographical references (leaves 88-95). Also available on the World Wide Web.

After an introduction to Brownian motion, Hausdorff dimension, nonstandard analysis and Loeb measure theory, we explore the notion of a nonstandard formulation of Hausdorff dimension. By considering an adapted form of the counting measure formulation of Lebesgue measure, we find that Hausdorff dimension can be computed through a counting argument rather than the traditional way. This formulation is then applied to obtain simple proofs of some of the dimensional properties of Brownian motion, such as the doubling of the dimension of a set of dimension smaller than 1/2 under Brownian motion, by utilising Anderson's formulation of Brownian motion as a hyperfinite random walk. We also use the technique to refine a theorem of Orey and Taylor's on the Hausdorff dimension of the rapid points of Brownian motion. The result is somewhat stronger than the original. Lastly, we give a corrected proof of Kaufman's result that the rapid points of Brownian motion have similar Hausdorff and Fourier dimensions, implying that they constitute a Salem set. / Mathematical Sciences / D. Phil. (Mathematical Sciences)

>Magister Scientiae - MSc / The industry of pension funds has become one of the drivers of today’s economic activity by its important volume of contribution in the financial market and by creating wealth. The increasing importance that pension funds have acquired in today’s economy and financial market, raises special attention from investors, financial actors and pundits in the sector. Regarding this economic weight of pension funds, a thorough analysis of the performance of different pension funds plans in order to optimise benefits need to be undertaken. The research explores criteria and invariants that make it possible to compare the performance of different pension fund products. Pension fund companies currently do measure their performances with those of others. Likewise, the individual investing in a pension plan compares different products available in the market. There exist different ways of measuring the performance of a pension fund according to their different schemes. Generally, there exist two main pension funds plans. The defined benefit (DB) pension funds plan which is mostly preferred by pension members due to his ability to hold the risk to the pension fund manager. The defined contributions (DC) pension fund plan on the other hand, is more popularly preferred by the pension fund managers due to its ability to transfer the risk to the pension fund members. One of the reasons that motivate pension fund members’ choices of entering into a certain programme is that their expectations of maintaining their living lifestyle after retirement are met by the pension fund strategies. This dissertation investigates the various properties and characteristics of the defined contribution pension fund plan with a minimum guarantee and benchmark in order to mitigate the risk that pension fund members are subject to. For the pension fund manager the aim is to find the optimal asset allocation strategy which optimises its retribution which is in fact a part of the surplus (the difference between the pension fund value and the guarantee) (2004) [19] and to analyse the effect of sharing between the contributor and the pension fund. From the pension fund members’ perspective it is to define a optimal guarantee as a solution to the contributor’s optimisation programme. In particular, we consider a case of a pension fund company which invests in a bond, stocks and a money market account. The uncertainty in the financial market is driven by Brownian motions. Numerical simulations were performed to compare the different models.

Orientador: Roberto E. Lagos Monaco / Banca: José Antonio Roversi / Banca: Bernardo Laks / Resumo: Neste trabalho estudamos o modelo do movimento Browniano de uma partícula carregada sob a ação de campos elétrico e magnético, externos e homogêneos, no formalismo de Langevin. Calculamos a energia cinética média através do teorema da flutuação-dissipação e obtivemos uma expressão para a temperatura efetiva das partículas Brownianas em função da temperatura do reservatório e dos campos externos. Esta temperatura efetiva mostrou-se sempre maior que a temperatura do reservatório, o que explica a expressão "portadores quentes". Estudamos essa temperatura efetiva no regime assintótico, ou seja, no estado estacionário atingido em tempos muito longos (quando comparado com o tempo de colisão) e a utilizamos para escrever as equações de transporte em semicondutores, denominadas equações de Shockley generalizadas sendo que incluem nesse caso também a ação do campo magnético. Uma aplicação direta e relevante foi a modelagem para o já conhecido efeito Gunn para portadores assumidos como Brownianos. A temperatura efetiva calculada por nós no regime transiente permitiu estudar também os efeitos do reservatório na relaxação da temperatura efetiva à temperatura terminal (de não equilíbrio e estacionária). Nossos resultados no que diz respeito ao efeito Gunn, embora seja o modelo mais simples de um portador Browniano, mostrou uma surpreendente concordância com resultados experimentais, sugerindo que modelos mais sofisticados devam incluir os elementos apresentados neste estudo / Abstract: We present a Brownian model for a charged particle in a field of forces, in particular, electric and magnetic external homogeneous fields, within the Langevin formalism. We compute the average kinetic energy via the fluctuation dissipation and obtain an expression for the Brownian particle's effective temperature. The latter is a function of the heat bath temperature and both external fields. This effective temperature is always greater than the heat bath temperature, therefore the expression "hot carriers". This effective temperature, in the asymptotic regime, the stationary state at long times (greater than the collision time), is used to write down the transport equations for semiconductors, namely the generalized Shockley equations, now incorporating the magnetic field effect. A direct and relevant application follows: a model for the well known Gunn effect, assuming a Brownian scheme. In the transient regime the computed effective temperature also allow us to probe some features of the heat bath, as the effective temperature relaxes to its terminal stationary value. As for our results in the Gunn effect model, the simplest of all in a Brownian scheme, we obtain a surprisingly good agreement with experimental data, suggesting that more involved models should include our minimal assumptions / Mestre

Esse é um trabalho teórico e experimental em que princípios básicos de mecânica estatística são utilizados para entender a dinâmica de micro e nano esferas acopladas direta e indiretamente a células aderentes vivas, objetivando a caracterização mecânica das mesmas. Dentre esses princípios básicos estão inclusos, principalmente, conceitos relacionados à difusão. Na difusão clássica, tem-se uma dependência linear do deslocamento quadrático médio com o tempo. Caso contrário, quando o expoente é diferente de um, tem-se o que se chama de difusão anômala. Caso seja maior que um, o processo é superdifusivo, e se menor que um, subdifusivo. Para se estudar o comportamento mecânico de sistemas complexos pode-se usar micro e nanoesferas como elementos de análise. Essas esferas são dispostas no material a ser estudado, e observando a sua dinâmica é possível caracterizar o processo que conduziu essa dinâmica e consequentemente inferir propriedades físicas do material. Nesse trabalho aplicam-se técnicas de rastreamento de partículas, microscópicas e nanoscópicas, para estudar propriedades dinâmica de células, especialmente difusibilidade, remodelação da estrutura celular e campos de força. Para isso foram utilizadas duas técnicas experimentais de rastreamento de micro e nanoesferas e modelos fenomenológicos e de mecânica estatística. Essas propriedades dinâmicas tem uma grande semelhança com materiais vítreos moles. Nesse contexto, certas funções celulares, como divisão, contração, difusão, requerem que as células apresentem fluidez similarmente a um líquido, enquanto que para outras funções, como manter a sua estrutura celular, elas devam ter uma aparência mais rígida. Essas características assemelham-se a um material vítreo, onde desordem e metastabilidade são características subjacentes de suas funções mecânicas. Os resultados experimentais apresentados aqui evidenciam essa metaestabilidade na forma de anomalias e correlações temporais dos vários dados coletados. Também explicamos os dados experimentais encontrados em termos das atividades metabólicas e a remodelação ativa do citoesqueleto. Mostra-se também os dados obtidos para músculo cardíaco em plena atividade pulsátil. Os resultados aqui obtidos têm aplicações diretas em pesquisa básica e clínica. / This is a theoretical and experimental work in which basic principles of statistical mechanics are used to understand the dynamics of micro and nano spheres attached directly or indirectly to living adherent cells, with the aim of the mechanical characterization of them. Among these basic principles, mainly concepts related to diffusion are included. In classical diffusion, there is a linear dependence of the mean squared displacement in time. Otherwise, when the exponent is diferent than one , there is what is called anomalous diffusion. If it is bigger than one, the process is superdiffusive, and if it is smaller than one, subdiffusive. To study the mechanical behavior of complex systems,micro and nanospheres can be used as analysis elements. These spheres are arranged in the material to be studied, and from observation of the dynamics is possible to characterize the leading process of this dynamic and therefore infer physical properties of the material. In this work, particle tracking techniques, for microscopic and nanoscopic spheres, are applied to study dynamic properties of cells, especially diffusivity, remodeling of the cell structure and force fields. For that we used two experimental techniques of tracking of micro and nanospheres, and phenomenological and statistical mechanics models. These dynamic properties have a great similarity to soft glassy materials. In this context, certain cellular functions such as division, contraction, diffusion, require that cells present fluidity similarly to a liquid, while for other functions, such as keeping the cellular structure, they should have a stiffer appearance. These characteristics resemble a glassy material, where disorder and metastability are underlying characteristics of their mechanical functions. The experimental results presented here show this metastability as anomalies and temporal correlations of the various data collected. We also explain the experimental data found in terms of metabolic activity and the active remodeling of the cytoskeleton. Also data obtained for heart muscle in full pulsatile activity is showed. The results obtained have direct applications in basic and clinical research.

La dynamique de particules colloïdales à l'interface entre deux fluides joue un rôle central dans la micro-rhéologie, l'encapsulation, l'émulsification, la formation de biofilms, la décontamination de l'eau. En outre, ce sujet est également stimulant d'un point de vue théorique en raison de la complexité de l'hydrodynamique à l'interface et du rôle de la ligne de contact. Malgré ce grand intérêt, le comportement d'une particule à une interface fluide n'a jamais été caractérisé directement. Dans cette thèse, nous étudions le mouvement brownien de billes micrométriques de silice et de sphéroïdes de polystyrène à une interface eau-air. Nous contrôlons expérimentalement tous les paramètres d'intérêt. L'angle de contact des billes est finement ajusté dans la gamme 30°-140° par des traitements chimiques de surface et mesuré in situ par interférométrie. Le rapport d'aspect de particules sphéroïdales varie dans la gamme 1 -10 par étirage de billes sphériques commerciales. Les dynamiques de translation et de rotation sont suivies par particle tracking. Contre intuitivement et contre tous les modèles hydrodynamiques la diffusion est beaucoup plus lente que prévu. Pour expliquer cette dissipation supplémentaire nous concevons un modèle tenant compte de la contribution des fluctuations thermiques de l'interface à la ligne de contact. Les fluctuations donnent origine à des forces aléatoires qui s'ajoutent à celles dues aux chocs de molécules. Le théorème de fluctuation-dissipation permet d'obtenir la friction supplémentaire associée à ces forces flottantes. La friction totale est discutée en termes d'hétérogénéités de la surface des particules et d'ondes capillaires à l'interface. / The dynamics of colloidal particles at the interface between two fluids plays a central role in micro-rheology, encapsulation, emulsification, biofilms formation and water remediation. Moreover, this subject is also challenging from a theoretical point of view because of the complexity of hydrodynamics at the interface and of the role of the contact line. Despite this great interest, the behavior of a single particle at a fluid interface was never directly characterized.In this thesis, we study the Brownian motion of micrometric spherical silica beads and anisotropic polystyrene spheroids at a flat air-water interface. We fully characterize and control all the experimentally relevant parameters. The bead contact angle is finely tuned in the range 30-140° by surface treatments and measured in situ by a homemade Vertical Scanning Interferometer. The spheroid aspect ratio varies in the range 1 – 10 by stretching of commercial beads. The translational and the rotational dynamics are followed by particle tracking.Counter-intuitively, and against all hydrodynamic models, the diffusion is much slower than expected. To explain this extra dissipation we devised a model considering the contribution of thermally activated fluctuations of the interface at the triple line. Such fluctuations couple with the lateral movement of the particle via random forces that add to the ones due to the shocks of surroundings molecules. Fluctuation-dissipation theorem allows obtaining the extra friction associated to this additional mechanism. The fitting values of the total friction are discussed in term of the typical scales of particle surface heterogeneities and of surface capillary waves.

>Magister Scientiae - MSc / The problem of optimal investment has been extensively studied by numerous researchers in order to generalize the original framework. Those generalizations have been made in different directions and using different techniques. For example, Perera [Optimal consumption, investment and insurance with insurable risk for an investor in a Levy market, Insurance: Mathematics and Economics, 46 (3) (2010) 479-484] applied the martingale approach to obtain a closed form solution for the optimal investment, consumption and insurance strategies of an individual in the presence of an insurable risk when the insurable risk and risky asset returns are described by Levy processes and the utility is a constant absolute risk aversion. In another work, Sattinger [The Markov consumption problem, Journal of Mathematical Economics, 47 (4-5) (2011) 409-416] gave a model of consumption behavior under uncertainty as the solution to a continuous-time dynamic control problem in which an individual moves between employment and unemployment according to a Markov process. In this thesis, we will review the consumption models in the above framework and will simulate some of them using an infinite series expansion method − a key focus of this research. Several numerical results obtained by using MATLAB are presented with detailed explanations.

This dissertation focuses on the performance analysis of multiclass open queueing networks using semi-martingale reflecting Brownian motion (SRBM) approximation. It consists of four parts. In the first part, we derive a strong approximation for a multiclass feedforward queueing network, where jobs after service completion can only move to a downstream service station. Job classes are partitioned into groups. Within a group, jobs are served in the order of arrival; that is, a first-in-first-out (FIFO) discipline is in force, and among groups, jobs are served under a pre-assigned preemptive priority discipline. We obtain an SRBM as the result of strong approximation for the network, through an inductive approach. Based on the strong approximation, some procedures are proposed to approximate the stationary distribution of various performance measures of the queueing network. Our work extends and complements the previous work done on the feedforward queueing network. The numeric examples show that the strong approximation provides a better approximation than that suggested by a straightforward interpretation of the heavy traffic limit theorem. In the second part, we develop a Brownian approximation for a general multiclass queueing network with a set of single-server stations that operate under a combination of FIFO (first-in-first-out) and priority service disciplines and are subject to random breakdowns. Our intention here is to illustrate how to approximate a queueing network by an SRBM, not to justify such approximation. We illustrate through numerical examples in comparison against simulation that the SRBM model, while not always supported by a heavy traffic limit theorem, possesses good accuracy in most cases, even when the systems are moderately loaded. Through analyzing special networks, we also discuss the existence of the SRBM approximation in relation to the stability and the heavy traffic limits of the networks. In most queueing network applications, the stationary distributions of queueing networks are of great interest. It becomes natural to approximate these stationary distributions by the stationary distributions of the approximating SRBMs. Although we are able to characterize the stationary distribution of an SRBM, except in few limited cases, it is extremely difficult to obtain the stationary distribution analytically. In the third part of the dissertation, we propose a numerical algorithm, referred to as BNA/FM (Brownian network analyzer with finite element method), for computing the stationary distribution of an SRBM in a hypercube. SRBM in a hypercube serves as an approximate model of queueing networks with finite buffers. Our BNA/FM algorithm is based on finite element method and an extension of a generic algorithm developed in the previous work. It uses piecewise polynomials to form an approximate subspace of an infinite dimensional functional space. The BNA/FM algorithm is shown to produce good estimates for stationary probabilities, in addition to stationary moments. This is in contrast to the BNA/SM (Brownian network analyzer with spectral method) developed in the previous work, where global polynomials are used to form the approximate subspace and they sometime fail to produce meaningful estimates of these stationary probabilities. We also report extensive computational experiences from our implementation that will be useful for future numerical research on SRBMs. A three-station tandem network with finite buffers is presented to illustrate the effectiveness of the Brownian approximation model and our BNA/FM algorithm. In the last part of the dissertation, we extend the BNA/FM algorithm to calculate the stationary distribution of an SRBM in an orthant. This type of SRBM arises as a Brownian approximation model for queueing networks with infinite buffers. We prove the convergence theorems which justify the extension. A three-machine job shop example is presented to illustrate the accuracy of our extended BNA/FM algorithm. In fact, this extended algorithm is also used in the first two parts of this dissertation to analyze the performance of several queueing network examples and it gives fairly good performance estimates in most cases. / Business, Sauder School of / Graduate

Orientador: Amir Ordacgi Caldeira / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Fisica Gleb Wataghin / Made available in DSpace on 2018-08-14T14:38:31Z (GMT). No. of bitstreams: 1 Valente_DanielMendonca_M.pdf: 3285803 bytes, checksum: ada969db5abe126088faf5bdf5aa0c24 (MD5) Previous issue date: 2009 / Resumo: Este trabalho consiste em um estudo do emaranhamento em sistemas quânticos abertos, modelados como partículas brownianas. O interesse surge da possibilidade de entender como o meio pode criar ou manter emaranhamento entre sistemas quânticos, em vez de somente ocasionar perda de coerência e energia. Primeiramente, revisamos os significados do emaranhamento em mecânica quântica e algumas formas de quantificá-lo. Em seguida, estudamos a literatura de sistemas quânticos abertos para uma partícula, em especial o movimento browniano quântico. Com isso, foi possível calcular o emaranhamento entre uma partícula quântica browniana e seu reservatório. Numa segunda etapa, estudamos o modelo de duas partículas brownianas em um banho comum. Esse modelo permite a introdução não só de uma escala de tempo característica como também uma de comprimento. Um potencial efetivo entre as partículas surge no modelo como consequência das hipóteses assumidas. Na ausência de potencial externo, é preservada a invariância translacional do sistema. Porém, pudemos alcançar nosso principal resultado, que foi calcular a matriz densidade das duas partículas em equilíbrio térmico e, com ela, o emaranhamento entre as partículas / Abstract: This work consists in a study of entanglement in open quantum systems, within the brownian particles model. The interest comes from the possibility of understanding the mechanisms that lead the environment to create or to keep entanglement between quantum systems and not only make them lose energy or coherence. We start by making a review of the meaning of entanglement to quantum mechanics and some ways to quantify it. Then, we study the literature of open quantum systems for one particle, specially the quantum brownian motion. Moreover, it has been possible to calculate the entanglement between the quantum brownian particle and its reservoir. At a second stage, we studied the model of two brownian particles in a common bath. This model permits not only the introduction of a time scale but also of a lenth one. An effective potential between the particles emerges in the model as a consequence of our assumptions. In the absence of an external potential, the system's translational invariance is preserved. The last step was to achieve what became our main result. We have calculated the equilibrium density matrix for the two brownian particles and the entanglement between them / Mestrado / Física Geral / Mestre em Física

In the mathematical modeling of the classical option pricing models it is assumed that the underlying stock price process follows a geometric Brownian motion, but through statistical analysis persistency was found in the log-returns of some South African stocks and Brownian motion does not have persistency. We suggest the replacement of Brownian motion with fractional Brownian motion which is a Gaussian process that depends on the Hurst parameter that allows for the modeling of autocorrelation in price returns. Three fractional Black-Scholes (Black) models were investigated where the underlying is assumed to follow a fractional Brownian motion. Using South African options on futures and warrant prices these models were compared to the classical models. / Dissertation (MSc)--University of Pretoria, 2012. / Mathematics and Applied Mathematics / unrestricted