The Black-Scholes model is one of the most important concepts in modern financial theory. It was developed in 1973 by Fisher Black, Robert Merton and Myron Scholes and is still widely used today, and regarded as one of the best ways of determining fair prices of options. In the classical Black-Scholes model for the market, it consists of an essentially riskless bond and a single risky asset. So far there is a number of straightforward extensions of the Black-Scholes analysis. Here we consider more complex products where each component in a portfolio entails several variables with constraints. This leads to elegant models based on multivariable stochastic integration, and describing several securities simultaneously. We derive a general asymptotic solution in a short time interval using the heat kernel expansion on a Riemannian metric. We then use our formula to predict the better price of options on multiple underlying assets. Especially, we apply our method to the case known as the one of two-color rainbow ptions, outperformance option, i.e., the special case of the model with two underlying assets. This asymptotic solution is important, as it explains hidden effects in a class of financial models.

The abstract boundary construction of Scott and Szekeres has proven a practical classification scheme for boundary points of pseudo-Riemannian manifolds. It has also proved its utility in problems associated with the re-embedding of exact solutions containing directional singularities in space-time. Moreover it provides a model for singularities in space-time - essential singularities. However the literature has been devoid of abstract boundary results which have results of direct physical applicability.¶ This thesis presents several theorems on the existence of essential singularities in space-time and on how the abstract boundary allows definition of optimal em- beddings for depicting space-time. Firstly, a review of other boundary constructions for space-time is made with particular emphasis on the deficiencies they possess for describing singularities. The abstract boundary construction is then pedagogically defined and an overview of previous research provided.¶ We prove that strongly causal, maximally extended space-times possess essential singularities if and only if they possess incomplete causal geodesics. This result creates a link between the Hawking-Penrose incompleteness theorems and the existence of essential singularities. Using this result again together with the work of Beem on the stability of geodesic incompleteness it is possible to prove the stability of existence for essential singularities.¶ Invariant topological contact properties of abstract boundary points are presented for the first time and used to define partial cross sections, which are an generalization of the notion of embedding for boundary points. Partial cross sections are then used to define a model for an optimal embedding of space-time.¶ Finally we end with a presentation of the current research into the relationship between curvature singularities and the abstract boundary. This work proposes that the abstract boundary may provide the correct framework to prove curvature singularity theorems for General Relativity. This exciting development would culminate over 30 years of research into the physical conditions required for curvature singularities in space-time.

My dissertation focuses on the existence of metrics of non-positive curvature for the simplicial complexes constructed recently by Tom Brady and Daan Krammer for the braid groups and other Artin groups of finite type. In particular, for each Artin group of finite type, there is a recently constructed finite simplicial Eilenberg-Mac Lane space known as its Brady-Krammer complex. The Brady-Krammer complexes are highly symmetric objects. Prior work on the relationship between the Brady-Krammer complexes and the theory of CAT(0)spaces has produced some positive results in low-dimensions. More specifically, the Brady-Krammer complexes of dimension at most 3 have been shown to support piecewise Euclidean metrics of non-positive curvature. Similarly, the 4dimensional Brady-Krammer complexes of type A4 and type B4 also support such metrics. In every instance, the metrics assigned respect all of the symmetries alluded to above. The main results of my dissertation show that this pattern does not extend to the Brady-Krammer complexes of type F4 and D4. These are the first negative results known about the curvature of these Brady-Krammer complexes. The proofs of my main theorems involve a combination of combinatorial results and computer calculations. These negative results are particularly striking since Ruth Charney, John Meier and Kim Whittlesey have shown that a particular complex closely related to each Brady-Krammer complex admits an asymmetric metric satisfying a weak version of non-positive curvature. Thus, one corollary of my results is that the weak asymmetric version of a CAT(0) metric (initially defined by Mladen Bestvina) is strictly weaker than the traditional version.

Simulation and modelling of turbulent flows under influence of streamline curvature and system rotation have been considered. Direct numerical simulations have been performed for fully developed rotating turbulent channel flow using a pseudo-spectral code. The rotation numbers considered are larger than unity. For the range of rotation numbers studied, an increase in rotation number has a damping effect on the turbulence. DNS-data obtained from previous simulations are used to perform a priori tests of different pressure-strain and dissipation rate models. Furthermore, the ideal behaviour of the coefficients of different model formulations is investigated. The main part of the modelling is focused on explicit algebraic Reynolds stress models (EARSMs). An EARSM based on a pressure strain rate model including terms that are tensorially nonlinear in the mean velocity gradients is proposed. The new model is tested for a number of flows including a high-lift aeronautics application. The linear extensions are demonstrated to have a significant effect on the predictions. Representation techniques for EARSMs based on incomplete sets of basis tensors are also considered. It is shown that a least-squares approach is favourable compared to the Galerkin method. The corresponding optimality aspects are considered and it is deduced that Galerkin based EARSMs are not optimal in a more strict sense. EARSMs derived with the least-squares method are, on the other hand, optimal in the sense that the error of the underlying implicit relation is minimized. It is further demonstrated that the predictions of the least-squares EARSMs are in significantly better agreement with the corresponding complete EARSMs when tested for fully developed rotating turbulent pipe flow. / QC 20100825

Multiphase flow and transport in fractured rock is of importance to many practical and engineering applications. In the field of groundwater hydrology an issue of significant environmental concern is the release of dense non-aqueous phase liquids (DNAPLs) which can cause long-term groundwater contamination in fractured aquifers. This study deals with two fundamental processes – fluid displacement and interphase mass transfer – concerning the behavior of the multiphase contaminants in fractured media. The focus of this work has been placed on improving the current understanding of small-scale (single fracture) physics by a combined effort of numerical modeling analysis, laboratory experiments and model development. This thesis contributes to the improved understanding through several aspects. Firstly, the effect of aperture variability, as characterized by geostatistical parameters such as standard deviation and correlation length, on the DNAPL entrapment, dissolution and source-depletion behaviors in single fractures was revealed. Secondly, a novel, generalized approach (adaptive circle fitting approach) to account for the effect of in-plane curvature of fluid-fluid interfaces on immiscible fluid displacement was developed; the new approach has demonstrated good performance when applied to simulate previously published experimental data. Thirdly, the performance of a continuum-based two-phase flow model and an invasion percolation model was compared for modeling fluid displacement in a variable-aperture fracture and the dependence of fracture-scale capillary pressure – saturation relationships on aperture variability was studied. Lastly, through experimental studies and mechanistic numerical modeling of DNAPL dissolution, kinetic mass transfer characteristics of two different entrapment configurations (residual blobs and dead-end pools) were investigated. The obtained understanding from this thesis will be useful for predictive modeling of multiphase contaminant behavior at a larger (fracture network) scale. / Flerfasflöde och ämnestransport i sprickigt berg är av betydelse för många praktiska och tekniska problem. Tunga, svårlösliga organiska vätskor (engelska: dense non-aqueous phase liquids: DNAPLs; t.ex. klorerade lösningsmedel) kan orsaka långvarig förorening av vattenresurser, inklusive akviferer i sprickigt berg, och utgör ett viktigt miljöproblem inom grundvattenhydrologin. Denna studie behandlar två fundamentala processer för spridning av flerfasföroreningar i sprickiga medier – utbredning av den organiska vätskan och massöverföring mellan organisk vätska och vatten. Arbetet har fokuserat på att förbättra nuvarande kunskap om de fysikaliska processerna på liten skala (enskilda sprickor) genom en kombination av numerisk modellering, laboratorieexperiment och modellutveckling. Avhandlingen har bidragit till utökad processförståelse i flera avseenden. För det första har arbetet belyst effekterna av sprickaperturens variabilitet, uttryckt med geostatistiska parametrar som standardavvikelse och rumslig korrelationslängd, på fastläggning och lösning av organiska vätskor i enskilda sprickor, samt utmattningsbeteendet hos dessa källor till grundvattenförorening. För det andra har en ny, generell metod (adaptiva cirkelpassningsmetoden) för att ta hänsyn till effekten av krökningen av gränsytan mellan organisk vätska och vatten i sprickplanet utvecklats; denna metod har visats fungera väl i simuleringar av tidigare publicerade experimentella data. För det tredje, har en jämförelse gjorts mellan en kontinuumbaserad tvåfasflödesmodell och en invasions-perkolationsmodell med avseende på hur väl de kan simulera tvåfasflöde i en spricka med varierande apertur. Här studerades även hur relationen mellan kapillärtryck och mättnadsgrad på sprickplansskala beror av variabiliteten i sprickapertur. Till sist undersöktes lösning av den organiska vätskan i grundvatten för två fastläggningsscenarier (fastläggning i immobila droppar och ansamling i fällor – ”återvändssprickor”) både genom experiment och mekanistisk numerisk modellering. Kunskapen som tagits fram i denna avhandling bedöms vara användbar även för att modellera spridningen av flerfasföroreningar på större (spricknätverks-) skalor.

Lipid bilayers are key components of biomembranes; they are self-assembled two-dimensional structures, primarily serving as barriers to the leakage of cell's contents. Lipid bilayers are typically charged in aqueous solution and may electrostatically interact with each other and with their environment. In this work, we investigate electrostatics of charged lipid bilayers with the main focus on the binding and bending of the bilayers. We first present a theoretical approach to charge-correlation attractions between like-charged lipid bilayers with neutralizing counterions assumed to be localized to the bilayer surface. In particular, we study the effect of nonzero ionic sizes on the attraction by treating the bilayer charges (both backbone charges and localized counterions) as forming a two-dimensional ionic fluid of hard spheres of the same diameter <i>D</i>. Using a two-dimensional Debye-Hückel approach to this system, we examine how ion sizes influence the attraction. We find that the attraction gets stronger as surface charge densities or counterion valency increase, consistent with long-standing observations. Our results also indicate non-trivial dependence of the attraction on separations <i>h</i>: The attraction is enhanced by ion sizes for <i>h</i> ranges of physical interest, while it crosses over to the known <i>D</i>-independent universal behavior as <i>h</i> &rarr; &infin;; it remains finite as <i>h</i> &rarr; 0, as expected for a system of finite-sized ions. We also study the preferred curvature of an asymmetrically charged bilayer, in which the inner leaflet is negatively charged, while the outer one is neutral. In particular, we calculate the relaxed area difference &Delta; <i>A</i>₀ and the spontaneous curvature <i>C</i>₀ of the bilayer. We find &Delta; <i>A</i>₀ and <i>C</i>₀ are determined by the balance of a few distinct contributions: net charge repulsions, charge correlations, and the entropy associated with counterion release from the bilayer. The entropic effect is dominant for weakly charged surfaces in the presence of monovalent counterions only and tends to expand the inner leaflet, leading to negative &Delta; <i>A</i>₀ and <i>C</i>₀. In the presence of even a small concentration of divalent counterions, however, charge correlations counterbalance the entropic effect and shrink the inner leaflet, leading to positive &Delta; <i>A</i>₀ and <i>C</i>₀. We outline biological implications of our results.

Courses in analytical mechanics for undergraduate students are often limited to treatment of holonomic constraints, which are constraints on coordinates. The concept of nonholonomic constraints, constraints on velocities, is usually only mentioned briefly and it is easy to get a wrongful idea of what they are and how to treat them. This text explains and compares the methods of deriving the Euler-Lagrange equations and the consequences when imposing different kinds of constraints. One way to properly treat both holonomic and nonholonomic constraints is given, pinpointing the difficulties and common errors. Along the way, the treatment in local coordinates is also put in more modern terms, in the language of differential geometry, which is the language most commonly used in modern texts on the subject.

My dissertation focuses on the existence of metrics of non-positive curvature for the simplicial complexes constructed recently by Tom Brady and Daan Krammer for the braid groups and other Artin groups of &#64257;nite type. In particular, for each Artin group of &#64257;nite type, there is a recently constructed &#64257;nite simplicial Eilenberg-Mac Lane space known as its Brady-Krammer complex. The Brady-Krammer complexes are highly symmetric objects. Prior work on the relationship between the Brady-Krammer complexes and the theory of CAT(0)spaces has produced some positive results in low-dimensions. More speci&#64257;cally, the Brady-Krammer complexes of dimension at most 3 have been shown to support piecewise Euclidean metrics of non-positive curvature. Similarly, the 4dimensional Brady-Krammer complexes of type A4 and type B4 also support such metrics. In every instance, the metrics assigned respect all of the symmetries alluded to above. The main results of my dissertation show that this pattern does not extend to the Brady-Krammer complexes of type F4 and D4. These are the &#64257;rst negative results known about the curvature of these Brady-Krammer complexes. The proofs of my main theorems involve a combination of combinatorial results and computer calculations. These negative results are particularly striking since Ruth Charney, John Meier and Kim Whittlesey have shown that a particular complex closely related to each Brady-Krammer complex admits an asymmetric metric satisfying a weak version of non-positive curvature. Thus, one corollary of my results is that the weak asymmetric version of a CAT(0) metric (initially de&#64257;ned by Mladen Bestvina) is strictly weaker than the traditional version.

Autonomous mobile robots - both aerial and terrestrial vehicles - have gained immense importance due to the broad spectrum of their potential military and civilian applications. One of the indispensable requirements for the autonomy of a mobile vehicle is the vehicle's capability of planning and executing its motion, that is, finding appropriate control inputs for the vehicle such that the resulting vehicle motion satisfies the requirements of the vehicular task. The motion planning and control problem is inherently complex because it involves two disparate sub-problems: (1) satisfaction of the vehicular task requirements, which requires tools from combinatorics and/or formal methods, and (2) design of the vehicle control laws, which requires tools from dynamical systems and control theory. Accordingly, this problem is usually decomposed and solved over two levels of hierarchy. The higher level, called the geometric path planning level, finds a geometric path that satisfies the vehicular task requirements, e.g., obstacle avoidance. The lower level, called the trajectory planning level, involves sufficient smoothening of this geometric path followed by a suitable time parametrization to obtain a reference trajectory for the vehicle. Although simple and efficient, such hierarchical separation suffers a serious drawback: the geometric path planner has no information of the kinematic and dynamic constraints of the vehicle. Consequently, the geometric planner may produce paths that the trajectory planner cannot transform into a feasible reference trajectory. Two main ideas appear in the literature to remedy this problem: (a) randomized sampling-based planning, which eliminates altogether the geometric planner by planning in the vehicle state space, and (b) geometric planning supported by feedback control laws. The former class of methods suffer from a lack of optimality of the resultant trajectory, while the latter class of methods makes a restrictive assumption concerning the vehicle kinematic model. In this thesis, we propose a hierarchical motion planning framework based on a novel mode of interaction between these two levels of planning. This interaction rests on the solution of a special shortest-path problem on graphs, namely, one using costs defined on multiple edge transitions in the path instead of the usual single edge transition costs. These costs are provided by a local trajectory generation algorithm, which we implement using model predictive control and the concept of effective target sets for simplifying the non-convex constraints involved in the problem. The proposed motion planner ensures "consistency" between the two levels of planning, i.e., a guarantee that the higher level geometric path is always associated with a kinematically and dynamically feasible trajectory. We show that the proposed motion planning approach offers distinct advantages in comparison with the competing approaches of discretization of the state space, of randomized sampling-based motion planning, and of local feedback-based, decoupled hierarchical motion planning. Finally, we propose a multi-resolution implementation of the proposed motion planner, which requires accurate descriptions of the environment and the vehicle only for short-term, local motion planning in the immediate vicinity of the vehicle.

The construction of horizontally curved bridges with skewed supports requires careful consideration. These types of bridges exhibit three-dimensional response characteristics that are not commonly seen in straight bridges with normal supports. As a result, engineers may face difficulties during the construction, when the components of the bridge do not fit together or the final geometry of the structure does not correspond to that intended by the designer. These complications can lead to problems that compromise the serviceability aspects of the bridge and in some cases, its structural integrity. The three dimensional response that curved and skewed bridges exhibit is directly influenced by the bracing system used to configure the structure. In I-girder bridges, cross-frames are provided to integrate the structure, transforming the individual girders into a structural system that can support larger loads than when the girders work separately. In general, they facilitate the construction of the structure. However, they can also induce undesired collateral effects that can be a detriment to the performance of the system. These effects must be considered in the design of a curved and skewed bridge because, in some cases, they can modify substantially its response. This research is focused on understanding how the bracing system affects the performance of curved and skewed I-girder bridges, as well as, the ability of the approximate analysis methods to capture the structural behavior. In this research, techniques that can be implemented in the creation of 2D-grid models are developed to overcome the limitations of this analysis method. In addition, efficient cross-frame arrangements that mitigate the collateral effects of skew are developed. These mitigation schemes reduce the undesired cross-frame forces and flange lateral bending stresses associated with the transverse stiffness of the structure, while ensuring that the bracing system still performs its intended functions.