This dissertation is cumulative and encompasses three self-contained research articles. These essays share one common theme: the probability that a given stochastic process crosses a certain boundary function, namely the boundary crossing probability, and the related financial and statistical applications. In the first paper, we propose a new Monte Carlo method to price a type of barrier option called the Parisian option by simulating the first and last hitting time of the barrier. This research work aims at filling the gap in the literature on pricing of Parisian options with general curved boundaries while providing accurate results compared to the other Monte Carlo techniques available in the literature. Some numerical examples are presented for illustration. The second paper proposes a Monte Carlo method for analyzing the sensitivity of boundary crossing probabilities of the Brownian motion to small changes of the boundary. Only for few boundaries the sensitivities can be computed in closed form. We propose an efficient Monte Carlo procedure for general boundaries and provide upper bounds for the bias and the simulation error. The third paper focuses on the inverse first-passage-times. The inverse first-passage-time problem deals with finding the boundary given the distribution of hitting times. Instead of a known distribution, we are given a sample of first hitting times and we propose and analyze estimators of the boundary. Firstly, we consider the empirical estimator and prove that it is strongly consistent and derive (an upper bound of) its asymptotic convergence rate. Secondly, we provide a Bayes estimator based on an approximate likelihood function. Monte Carlo experiments suggest that the empirical estimator is simple, computationally manageable and outperforms the alternative procedure considered in this paper.

Cette thèse traite de processus de détérioration en théorie du risque et en biomathématique. En théorie du risque, le processus de détérioration étudié est celui des sinistres supportés par une compagnie d'assurance. Le premier chapitre examine la distribution de Markov-Polya comme loi possible pour modéliser le nombre de sinistres et établit certains liens avec la famille de lois de Katz/Panjer. Nous construisons la loi de Markov-Polya sur base d'un modèle de survenance des sinistres et nous montrons qu'elle satisfait une récurrence élégante. Celle-ci permet notamment de déduire un algorithme efficace pour la loi composée correspondante. Nous déduisons la famille de Katz/Panjer comme famille limite de la loi de Markov-Polya. Le second chapitre traite de la famille dite "Lagrangian Katz" qui étend celle de Katz/Panjer. Nous motivons par un problème de premier passage son utilisation comme loi du nombre de sinistres. Nous caractérisons toutes les lois qui en font partie et nous déduisons un algorithme efficace pour la loi composée. Nous examinons également son indice de dispersion ainsi que son comportement asymptotique. Dans le troisième chapitre, nous étudions la probabilité de ruine sur horizon fini dans un modèle discret avec taux d'intérêt positifs. Nous déterminons un algorithme ainsi que différentes bornes pour cette probabilité. Une borne particulière nous permet de construire deux mesures de risque. Nous examinons également la possibilité de faire appel à de la réassurance proportionelle avec des niveaux de rétention égaux ou différents sur les périodes successives. Dans le cadre de processus épidémiques, la détérioration étudiée consiste en la propagation d'une maladie de type SIE (susceptible - infecté - éliminé). La manière dont un infecté contamine les susceptibles est décrite par des distributions de survie particulières. Nous en déduisons la distribution du nombre total de personnes infectées à la fin de l'épidémie. Nous examinons en détails les épidémies dites de type Markov-Polya et hypergéométrique. Nous approximons ensuite cette loi par un processus de branchement. Nous étudions également un processus de détérioration similaire en théorie de la fiabilité où le processus de détérioration consiste en la propagation de pannes en cascade dans un système de composantes interconnectées.

<p>The study catered for empirical and metaphysical dimensions of science and IKS. The study employed a quasi-experimental design as well as a qualitative research design. Two cohorts of students from a fictitiously named &ldquo / Culture Secondary School&rdquo / have been used in this study. The list of instruments for data collection were as follows: Conceptions of Fermentation (COF) questionnaire which was used to elicit learners&rsquo / pre- and post-test conceptions of fermentation with special reference to traditional beer or &ldquo / Umqombothi&rdquo / , an Attitudes to Science (ATS) questionnaire which was used to find out the learners&rsquo / worldviews, a Science Achievement Test (SAT) which was used to assess the learners&rsquo / generalised knowledge of fermentation, a classroom observation schedule as well as a focus group interview schedule to gather additional qualitative data. All the instruments were in English with all technical and difficult terms in both English and isiXhosa (the learners&rsquo / home language). Both groups were exposed to Science/IKS-based lessons. The only difference between the two groups was that, the experimental group (E group) was exposed to a Dialogical Argumentation Teaching Model (DAIM) and the comparison group (C group) to a traditional teaching approach. The data gatherred were both analyzed in terms of qualitative and quantitative descriptions.</p>

The growth of multimedia content in recent years motivated the research on audio classification and content retrieval area. In this thesis, a general environmental audio classification and retrieval approach is proposed in which higher level semantic classes (outdoor, nature, meeting and violence) are obtained from lower level acoustic classes (emergency alarm, car horn, gun-shot, explosion, automobile, motorcycle, helicopter, wind, water, rain, applause, crowd and laughter). In order to classify an audio sample into acoustic classes, MPEG-7 audio features, Mel Frequency Cepstral Coefficients (MFCC) feature and Zero Crossing Rate (ZCR) feature are used with Hidden Markov Model (HMM) and Support Vector Machine (SVM) classifiers. Additionally, a new classification method is proposed using Genetic Algorithm (GA) for classification of semantic classes. Query by Example (QBE) and keyword-based query capabilities are implemented for content retrieval.

This thesis shows the advantages of simple models for analysis of railway operation. It presents two tools for infrastructure and timetable planning. It shows how the infrastructure can be analysed through fictive line designs, how the timetable can be treated as a variable and how delays can be used as performance measures. The thesis also gives examples of analyses of complex traffic situations through simulation experiments. Infrastructure configuration, timetable design and delays play important roles in the competitiveness of railway transportation. This is especially true on single-track lines where the run times and other timetable related parameters are severely restricted by crossings (train meetings). The first half of this thesis focuses on the crossing time, i.e. the time loss that occurs in crossing situations. A simplified analytical model, SAMFOST, has been developed to calculate the crossing time as a function of infrastructure configuration, vehicle properties, timetable and delays for two crossing trains. Three measures of timetable flexibility are proposed and they can be used to evaluate how infrastructure configuration, vehicle properties, punctuality etc affect possibilities to alter the timetable. Double-track lines operated with mixed traffic show properties similar to those of single-tracks. In this case overtakings imply scheduled delays as well as risk of delay propagation. Two different methods are applied for analysis of double-tracks: a combinatorial, mathematical model (TVEM) and simulation experiments. TVEM, Timetable Variant Evaluation Model, is a generic model that systematically generates and evaluates timetable variants. This method is especially useful for mixed traffic operation where the impact of the timetable is considerable. TVEM may also be used for evaluation of different infrastructure designs. Analyses performed in TVEM show that the impact on capacity from the infrastructure increases with speed differences and frequency of service for the passenger trains, whereas the impact of the timetable is strongest when the speed differences are low and/or the frequency of passenger services is low. Simulation experiments were performed to take delays and perturbations into account. A simulation model was set up in the micro simulation tool RailSys and calibrated against real operational data. The calibrated model was used for multi-factor analysis through experiments where infrastructure, timetable and perturbation factors were varied according to an experimental design and evaluated through response surface methods. The additional delay was used as response variable. Timetable factors, such as frequency of high-speed services and freight train speed, turned out to be of great importance for the additional delay, whereas some of the perturbation factors, i.e. entry delays, only showed a minor impact. The infrastructure factor, distance between overtaking stations, showed complex relationships with several interactions, principally with timetable factors. / QC20100622 / Framtida infrastruktur och kvalitet i tågföring

This dissertation focuses on the material transport system design problem (MTSDP), integrating decisions of technology selection and flow network design. This research is motivated by the design of material transport systems (MTS) in manufacturing plants. The objective is to design a MTS with minimum lifetime costs, subject to service requirements, flow network restrictions, and limited resources. We characterize the MTSDP from the perspectives of task requirements, transport technology, and space utilization. A classification is proposed for transport technologies such that instances in the same class share the same properties, and a decision framework is proposed to emphasize the inter-relationships of three major decisions: task clustering, network connecting, and technology selection. We consider fixed and variable costs, arc capacities, and empty travel in our formulations. We propose two solution approaches for the MTSDP. The first is the compact formulation (CF) approach where the three major decisions are handled by a mixed integer non-linear programming (MINLP) formulation. Relaxation techniques are applied to linearize the model. The solution of the resulting linear formulation (MILP) provides a lower bound to that of MINLP. A tightened formulation reduces the computational time by a factor of 3.85. The experiment also shows that when control system costs are significant, designs with multiple-task clusters are more economical than those restricted to single-task clusters. The other approach is clustering/set partition (CSP), where the three decisions are decomposed and solved sequentially. In an example MTS design problem, three methods are compared: CSP, a GREEDY approach from the literature, and enumeration. CSP finds the optimal solution, while GREEDY results in 31% greater costs. A similar comparison with another example is made for the CF and CSP approaches. We apply the CSP approach in a case problem, using data from an auto parts manufacturer. We include flow path crossing constraints and perform experiments to determine solution quality over a range of small problem sizes. The largest difference from optimality is 3.34%, and the average is 0.98%. More importantly, based on these experiments, it seems there is no evidence that the difference percentage grows with an increase in the number of tasks.

科学研究費補助金 研究種目:基盤研究(C)(2) 課題番号:14510644 研究代表者:田所 光男 研究期間:2002-2003年度

<p>The study catered for empirical and metaphysical dimensions of science and IKS. The study employed a quasi-experimental design as well as a qualitative research design. Two cohorts of students from a fictitiously named &ldquo / Culture Secondary School&rdquo / have been used in this study. The list of instruments for data collection were as follows: Conceptions of Fermentation (COF) questionnaire which was used to elicit learners&rsquo / pre- and post-test conceptions of fermentation with special reference to traditional beer or &ldquo / Umqombothi&rdquo / , an Attitudes to Science (ATS) questionnaire which was used to find out the learners&rsquo / worldviews, a Science Achievement Test (SAT) which was used to assess the learners&rsquo / generalised knowledge of fermentation, a classroom observation schedule as well as a focus group interview schedule to gather additional qualitative data. All the instruments were in English with all technical and difficult terms in both English and isiXhosa (the learners&rsquo / home language). Both groups were exposed to Science/IKS-based lessons. The only difference between the two groups was that, the experimental group (E group) was exposed to a Dialogical Argumentation Teaching Model (DAIM) and the comparison group (C group) to a traditional teaching approach. The data gatherred were both analyzed in terms of qualitative and quantitative descriptions.</p>

En génomique comparative, on considère classiquement trois forces déterminant l'évolution des séquences : la mutation, la sélection et la dérive génétique. Récemment, lors de l'étude de l'origine évolutive des variations de la composition en base des génomes, un quatrième agent a été identifié : la conversion génique biaisée (BGC). Le BGC est intimement lié à la recombinaison méiotique et semble présent chez la plupart des eucaryotes. Ce phénomène introduit une surreprésentation de certains allèles dans les produits méiotiques aboutissant à une augmentation de la fréquence de ces variants dans la population. Ce processus est capable de mimer et d'interférer avec la sélection naturelle. Il est donc important de le caractériser afin de pouvoir le distinguer efficacement de la sélection dans l'étude de l'adaptation à l'échelle moléculaire. C'est ce que nous nous attachons à faire dans le cadre de ce travail. Pour cela nous utilisons deux espèces modèles. Premièrement la levure Saccharomyces cerevisiae pour laquelle une carte de recombinaison haute résolution permettant l'analyse du processus de conversion, est disponible. L'étude approfondie de cette carte nous a permis de lever le voile sur les mécanismes moléculaires qui sous-tendent le BGC. Deuxièmement, grâce à des découvertes récentes sur la détermination des patrons de recombinaison via la protéine PRDM9 chez les mammifères, nous avons quantifié la dynamique et l'intensité de ce processus dans l'histoire évolutive récente de l'homme. Ces résultats nous ont permis de confirmer la place du BGC comme quatrième force d'évolution moléculaire, mais aussi de discuter de l'origine évolutive de ce phénomène

Larvae of Pareuchaetes insulata were released in South Africa for the biological control of the invasive weed Chromolaena odorata. Pareuchaetes insulata has proved to be a difficult agent to establish in the field in South Africa, for various possible reasons. Populations collected from Florida and Jamaica (their aboriginal home) were released separately at several sites each in South Africa, but only one population (Florida) was definitely established. It is possible that adults from this established population interbred with adults from the Jamaican population released at nearby sites. The aims of this study were to determine whether there were any differences in biology between the two populations and whether hybridization affected the fitness of either. Trials involved: (i) pure-breeding of both Florida (F) and Jamaica (J) populations; (ii) cross-breeding of the two populations and; (iii) back-crossing of the hybrids with the parent populations. The fitness of these populations was determined by measuring adult longevity and fecundity, egg viability, and larval development and survival rates. The F population was superior to the J population in most of parameters measured, including fecundity. Hybridization of these populations reduced the fitness of the F population. It is unknown whether these differences in fitness reflect differences in their native regions, laboratory cultures or response to South African C. odorata. It appears that different populations of P. insulata have different levels of fitness, and that hybridization negatively affects the fitness of stronger populations. The lower fitness of the J population may have reduced its likelihood of establishing successfully, and even reduced the fitness of the established F population where the populations came into contact. These results caution that the possible consequences of mixing different genotypes of a biocontrol agent species should be properly investigated prior to their release in the same country. / Thesis (M.Sc.)-University of KwaZulu-Natal, Pietermaritzburg, 2008.