Orientadores: Fanny Béron, Kleber Roberto Pirota / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Física Gleb Wataghin / Made available in DSpace on 2018-08-30T20:53:23Z (GMT). No. of bitstreams: 1 Velo_MuriloFerreira_M.pdf: 6384347 bytes, checksum: 64859a7498ff2d02184a4fff9787d436 (MD5) Previous issue date: 2016 / Resumo: Interações dipolares são amplamente estudadas em magnetismo, devido ao fato de que elas têm um papel fundamental na maioria dos sistemas magnéticos. Porém, para vários sistemas, o cálculo das interações magnetostáticas é feito de duas maneiras: considerando-se apenas o primeiro termo da expansão multipolar e/ou aproximando as entidades magnéticas por dipolos perfeitos. Neste trabalho iremos realizar este cálculo de maneira exata, através da expansão multipolar, considerando a forma geométrica da entidade magnética. Para tal montamos um sistema macroscópico bidimensional composto por agulhas magnéticas de bússola, no qual foi automatizado a aquisição de imagens e o controle de campo magnético. No objetivo de verificar a exatidão do nosso cálculo, implementamos uma simulação utilizando o método de Monte Carlo para comparar com os resultados experimentais. Focamos o estudo sobre sistemas de duas e cinco agulhas, sendo que o primeiro permite a comparação com a solução analítica exata do problema. Observamos que a introdução dos termos de ordem mais alta na expansão multipolar modifica o potencial magnético gerado por uma agulha de bússola. A expansão multipolar do potencial mostrou que devemos considerar termos de ordem l = 1, 3 e 5, sendo que os termos de ordem par são nulos e termos l ? 7 são desprezíveis. A simulação de Monte Carlo reproduziu com fidelidade o comportamento dos sistemas experimentais, mostrando uma boa concordância entre as curvas de histerese simuladas e experimentais. Explicamos os resultados a partir do fato que a expansão multipolar introduz mínimos locais nos diagramas de energia de interação de duas partículas com campo magnético aplicado nulo. Estas regiões são conhecidas como os pontos de equilíbrio metaestáveis de um sistema magnético. Para um sistema de duas agulhas, descrevemos como os saltos na curva de histerese estão relacionados com descontinuidades na trajetória no espaço de fases de energia do sistema, criadas pelos termos de ordem mais alta. Dos nossos resultados, concluímos que para descrevermos o comportamento magnético de um sistema de agulhas de bússola, devemos levar em conta termos de ordem mais alta na expansão multipolar, bem como a geometria desta entidade / Abstract: Dipolar interactions are widely studied in magnetism, since they play a key role in most magnetic systems. However, for several systems the magnetostatic interactions calculation is done through two ways: considering only the multipole expansion first term and/or approximating the magnetic entities as perfect dipoles. In this work we will perform this calculation exactly, through the multipole expansion, considering the magnetic entities geometric shape. For such, we set up a two-dimensional macroscopic system made of magnetic compass needles, where we automated the image acquisition and the magnetic field control. In the objective of verifying our calculation accuracy, we implemented a simulation using the Monte Carlo¿s method to compare with the experimental results. We focused the study on systems of two and five needles, since the first one allowing comparing with the experimental results. We observed that the introduction of higher order terms in the multipole expansion modifies the magnetic potential generated by a compass needle. The multipole expansion showed that we need to consider order terms of l = 1, 3 and 5, with nulls even terms are and terms of l ? 7 are negligible. The Monte Carlo simulation accurately reproduced the experimental systems behaviors, exhibiting a good agreement between the simulated and experimental hysteresis curves. We explained the results through the fact that the multipole expansion introduces local minima in the two magnetic particles interaction energy diagrams with null applied magnetic field. These regions are known as metastable equilibrium points in a magnetic system. For a two-needle system, we described in detail how the hysteresis curve drops are related to trajectory discontinuities in the system energy phase space, created by the higher order terms. From our results, we conclude that to describe the magnetic behavior of a compass needle system, one must take into account higher order terms in the multipole expansion, as well as the entity geometry / Mestrado / Física / Mestre em Física / 1374983/2014 / CAPES

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Nous développons dans cette thèse, des méthodes de bootstrap pour les données financières de hautes fréquences. Les deux premiers essais focalisent sur les méthodes de bootstrap appliquées à l’approche de "pré-moyennement" et robustes à la présence d’erreurs de microstructure. Le "pré-moyennement" permet de réduire l’influence de l’effet de microstructure avant d’appliquer la volatilité réalisée. En se basant sur cette ap- proche d’estimation de la volatilité intégrée en présence d’erreurs de microstructure, nous développons plusieurs méthodes de bootstrap qui préservent la structure de dépendance et l’hétérogénéité dans la moyenne des données originelles. Le troisième essai développe une méthode de bootstrap sous l’hypothèse de Gaussianité locale des données financières de hautes fréquences. Le premier chapitre est intitulé: "Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns". Nous proposons dans ce chapitre, des méthodes de bootstrap robustes à la présence d’erreurs de microstructure. Particulièrement nous nous sommes focalisés sur la volatilité réalisée utilisant des rendements "pré-moyennés" proposés par Podolskij et Vetter (2009), où les rendements "pré-moyennés" sont construits sur des blocs de rendements à hautes fréquences consécutifs qui ne se chevauchent pas. Le "pré-moyennement" permet de réduire l’influence de l’effet de microstructure avant d’appliquer la volatilité réalisée. Le non-chevauchement des blocs fait que les rendements "pré-moyennés" sont asymptotiquement indépendants, mais possiblement hétéroscédastiques. Ce qui motive l’application du wild bootstrap dans ce contexte. Nous montrons la validité théorique du bootstrap pour construire des intervalles de type percentile et percentile-t. Les simulations Monte Carlo montrent que le bootstrap peut améliorer les propriétés en échantillon fini de l’estimateur de la volatilité intégrée par rapport aux résultats asymptotiques, pourvu que le choix de la variable externe soit fait de façon appropriée. Nous illustrons ces méthodes en utilisant des données financières réelles. Le deuxième chapitre est intitulé : "Bootstrapping pre-averaged realized volatility under market microstructure noise". Nous développons dans ce chapitre une méthode de bootstrap par bloc basée sur l’approche "pré-moyennement" de Jacod et al. (2009), où les rendements "pré-moyennés" sont construits sur des blocs de rendements à haute fréquences consécutifs qui se chevauchent. Le chevauchement des blocs induit une forte dépendance dans la structure des rendements "pré-moyennés". En effet les rendements "pré-moyennés" sont m-dépendant avec m qui croît à une vitesse plus faible que la taille d’échantillon n. Ceci motive l’application d’un bootstrap par bloc spécifique. Nous montrons que le bloc bootstrap suggéré par Bühlmann et Künsch (1995) n’est valide que lorsque la volatilité est constante. Ceci est dû à l’hétérogénéité dans la moyenne des rendements "pré-moyennés" au carré lorsque la volatilité est stochastique. Nous proposons donc une nouvelle procédure de bootstrap qui combine le wild bootstrap et le bootstrap par bloc, de telle sorte que la dépendance sérielle des rendements "pré-moyennés" est préservée à l’intérieur des blocs et la condition d’homogénéité nécessaire pour la validité du bootstrap est respectée. Sous des conditions de taille de bloc, nous montrons que cette méthode est convergente. Les simulations Monte Carlo montrent que le bootstrap améliore les propriétés en échantillon fini de l’estimateur de la volatilité intégrée par rapport aux résultats asymptotiques. Nous illustrons cette méthode en utilisant des données financières réelles. Le troisième chapitre est intitulé: "Bootstrapping realized covolatility measures under local Gaussianity assumption". Dans ce chapitre nous montrons, comment et dans quelle mesure on peut approximer les distributions des estimateurs de mesures de co-volatilité sous l’hypothèse de Gaussianité locale des rendements. En particulier nous proposons une nouvelle méthode de bootstrap sous ces hypothèses. Nous nous sommes focalisés sur la volatilité réalisée et sur le beta réalisé. Nous montrons que la nouvelle méthode de bootstrap appliquée au beta réalisé était capable de répliquer les cummulants au deuxième ordre, tandis qu’il procurait une amélioration au troisième degré lorsqu’elle est appliquée à la volatilité réalisée. Ces résultats améliorent donc les résultats existants dans cette littérature, notamment ceux de Gonçalves et Meddahi (2009) et de Dovonon, Gonçalves et Meddahi (2013). Les simulations Monte Carlo montrent que le bootstrap améliore les propriétés en échantillon fini de l’estimateur de la volatilité intégrée par rapport aux résultats asymptotiques et les résultats de bootstrap existants. Nous illustrons cette méthode en utilisant des données financières réelles. / We develop in this thesis bootstrap methods for high frequency financial data. The first two chapters focalise on bootstrap methods for the "pre-averaging" approach, which is robust to the presence of market microstructure effects. The main idea underlying this approach is that we can reduce the impact of the noise by pre-averaging high frequency returns that are possibly contaminated with market microstructure noise before applying a realized volatility-like statistic. Based on this approach, we develop several bootstrap methods, which preserve the dependence structure and the heterogeneity in the mean of the original data. The third chapter shows how and to what extent the local Gaussian- ity assumption can be explored to generate a bootstrap approximation for covolatility measures. The first chapter is entitled "Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns". The main contribution of this chapter is to propose bootstrap methods for realized volatility-like estimators defined on pre-averaged returns. In particular, we focus on the pre-averaged realized volatility estimator proposed by Podolskij and Vetter (2009). This statistic can be written (up to a bias correction term) as the (scaled) sum of squared pre-averaged returns, where the pre-averaging is done over all possible non-overlapping blocks of consecutive observations. Pre-averaging reduces the influence of the noise and allows for realized volatility estimation on the pre-averaged returns. The non-overlapping nature of the pre-averaged returns implies that these are asymptotically independent, but possibly heteroskedastic. This motivates the application of the wild bootstrap in this context. We provide a proof of the first order asymptotic validity of this method for percentile and percentile-t intervals. Our Monte Carlo simulations show that the wild bootstrap can improve the finite sample properties of the existing first order asymptotic theory provided we choose the external random variable appropriately. The second chapter is entitled "Bootstrapping pre-averaged realized volatility under market microstructure noise ". In this chapter we propose a bootstrap method for inference on integrated volatility based on the pre-averaging approach of Jacod et al. (2009), where the pre-averaging is done over all possible overlapping blocks of consecutive observations. The overlapping nature of the pre-averaged returns implies that these are m-dependent with m growing slowly with the sample size n. This motivates the application of a blockwise bootstrap method. We show that the “blocks of blocks” bootstrap method suggested by Politis and Romano (1992) (and further studied by Bühlmann and Künsch (1995)) is valid only when volatility is constant. The failure of the blocks of blocks bootstrap is due to the heterogeneity of the squared pre-averaged returns when volatility is stochastic. To preserve both the dependence and the heterogeneity of squared pre-averaged returns, we propose a novel procedure that combines the wild bootstrap with the blocks of blocks bootstrap. We provide a proof of the first order asymptotic validity of this method for percentile intervals. Our Monte Carlo simulations show that the wild blocks of blocks bootstrap improves the finite sample properties of the existing first order asymptotic theory. The third chapter is entitled "Bootstrapping realized volatility and realized beta under a local Gaussianity assumption". The financial econometric of high frequency data litera- ture often assumed a local constancy of volatility and the Gaussianity properties of high frequency returns in order to carry out inference. In this chapter, we show how and to what extent the local Gaussianity assumption can be explored to generate a bootstrap approximation. We show the first-order asymptotic validity of the new wild bootstrap method, which uses the conditional local normality properties of financial high frequency returns. In addition to that we use Edgeworth expansions and Monte Carlo simulations to compare the accuracy of the bootstrap with other existing approaches. It is shown that at second order, the new wild bootstrap matches the cumulants of realized betas-based t-statistics, whereas it provides a third-order asymptotic refinement for realized volatility. Monte Carlo simulations suggest that our new wild bootstrap methods improve upon the first-order asymptotic theory in finite samples and outperform the existing bootstrap methods for realized covolatility measures. We use empirical work to illustrate its uses in practice.

This thesis is divided into three parts. In the first part we study mixed norm estimates for Riesz transforms associated with various differential operators. First we prove the mixed norm estimates for the Riesz transforms associated with Dunkl harmonic oscillator by means of vector valued inequalities for sequences of operators defined in terms of Laguerre function expansions. In certain cases, the result can be deduced from the corresponding result for Hermite Riesz transforms, for which we give a simple and an independent proof. The mixed norm estimates for Riesz transforms associated with other operators, namely the sub-Laplacian on Heisenberg group, special Hermite operator on C^d and Laplace-Beltrami operator on the group SU(2) are obtained using their L^pestimates and by making use of a lemma of Herz and Riviere along with an idea of Rubio de Francia. Applying these results to functions expanded in terms of spherical harmonics, we deduce certain vector valued inequalities for sequences of operators defined in terms of radial parts of the corresponding operators. In the second part, we study the chaotic behavior of the heat semigroup generated by the Dunkl-Laplacian ∆_κ on weighted L^P-spaces. In the general case, for the chaotic behavior of the Dunkl-heat semigroup on weighted L^p-spaces, we only have partial results, but in the case of the heat semigroup generated by the standard Laplacian, a complete picture of the chaotic behavior is obtained on the spaces L^p ( R^d,〖 (φ_iρ (x ))〗^2 dx) where φ_iρ the Euclidean spherical function is. The behavior is very similar to the case of the Laplace-Beltrami operator on non-compact Riemannian symmetric spaces studied by Pramanik and Sarkar. In the last part, we study mixed norm estimates for the Cesáro means associated with Dunkl-Hermite expansions on〖 R〗^d. These expansions arise when one considers the Dunkl-Hermite operator (or Dunkl harmonic oscillator)〖 H〗_κ:=-Δ_κ+|x|^2. It is shown that the desired mixed norm estimates are equivalent to vector-valued inequalities for a sequence of Cesáro means for Laguerre expansions with shifted parameter. In order to obtain the latter, we develop an argument to extend these operators for complex values of the parameters involved and apply a version of Three Lines Lemma.

<p>We study the expansions of the elements in <em>S</em>(ℝ₊^d) and <em>S</em>&#39;(ℝ₊^d) with respect to the Laguerre orthonormal basis. As a consequence, we obtain the Schwartz kernel theorem for <em>S</em>(ℝ₊^d) and <em>S</em>&#39;(ℝ₊^d). Also we give the extension theorem of Whitney type for <em>S</em>(ℝ₊^d). Next, we consider the G-type spaces i.e. the spaces <em>G</em>_{<em>&alpha;</em>}^{<em>&alpha;</em>}(ℝ₊^d), &alpha;&ge;1&nbsp; and their dual spaces which can be described as analogous to the Gelfand-Shilov spaces and their dual spaces. Actually, we show the exist-ence of the topological isomorphism between the <em>G</em>-type spaces and the subspaces of the Gelfand-Shilov spaces <em>S</em>_&alpha;/2^&alpha;/2(ℝ^d), &alpha;&ge;1&nbsp;consisting of &quot;even&quot; functions. Next, we show that the Fourier Laguerre coecients of the elements in the <em>G</em>-type spaces and their dual spaces characterize these spaces through the exponential and sub-exponentia l growth of the coecients. We provide the full topological description and the kernel theorem is proved. Also two structural theorems for the dual spaces of <em>G</em>-type spaces are obtained. Furthemore, we dene the new class of the Weyl pseudo-dierential operators with radial symbols belonging to the G-type spaces and their dual spaces. The continuity properties of this class of pseudo-dierential operators over the Gelfand-Shilov type spaces and their duals are proved. In this way the class of the Weyl pseudo-dierential operators is extended to the one with the radial symbols with the exponential and sub-exponential growth rate.</p> / <p>Proučavamo razvoje elemenata iz <em>S</em>(ℝ₊^d) i <em>S</em>&#39;(ℝ₊^d) preko Lagerove ortonormirane baze. Kao posledicu dobijamo &Scaron;varcovu teoremu o jezgru za preko Lagerove ortonormirane baze. Kao posledicu dobijamo &Scaron;varcovu teoremu o jezgru za <em>S</em>(ℝ₊^d) i <em>S</em>&#39;(ℝ₊^d). Takođe, pokazujemo i Teoremu Vitnijevog tipa za <em>S</em>(ℝ₊^d) . Zatim, posmatramo prostore G-tipa i.e. prostore <em>G</em>_&alpha;^&alpha;(ℝ^d), &alpha; &ge; 1 i njihove duale koji su analogni sa Geljfand-&Scaron;ilovim prostorima i njihovim dualima. Zapravo, pokazujemo da postoji topolo&scaron;ki izomorfizam između prostora <em>G</em>-tipa i potprostora Geljfand-&Scaron;ilovih prostora <em>S</em>_&alpha;/2^&alpha;/2(ℝ^d), &alpha; &ge; 1 koji sadrže &quot;parne&quot; funkcije. Dalje, dokazujemo da Furije Lagerovi koeficijenti elemenata iz prostora <em>G</em>-tipa i njihovih duala karakteri&scaron;u ove prostore kroz eksponencijalni i sub-eksponencijalni rast tih koeficijenata. Opisujemo topolo&scaron;ku strukturu ovih prostora i dajemo &Scaron;varcovu teoremu o jezgru. Takođe, dve strukturalne teoreme za duale prostora <em>G</em>-tipa su dobijene. Dalje, defini&scaron;emo novu klasu Vejlovih pseudo-diferencijalnih operatora sa radijalnim simbolima koji se nalaze u prostorima <em>G</em>-tipa i njihovim dualima. Pokazana je neprekidnost ove klase Vejlovih pseudo-diferencijalnih operatora na prostorima Geljfand-&Scaron;ilova i na njihovim dualima. Na ovaj način klasa Vejlovih pseudo-diferencijalnih operatora je pro&scaron;irena na radijalne simbole koji imaju eksponencijalni i sub-eksponencijalni rast.</p>

The behaviour of free-surface gravity waves on small Froude number fluid flow past some obstacle cannot be determined using ordinary asymptotic power series methods, as the amplitude of the waves is exponentially small. An exponential asymptotic method is used by Chapman and Vanden-Broeck (2006) to consider the problem of two-dimensional, steady flow past a submerged obstacle in the small Froude number limit, finding that a steady downstream wavetrainis switched on rapidly across a curve known as a Stokes line. Here, equivalent wavetrains on three-dimensional and unsteady flow configurations are considered, and Stokes switching causedby the interaction between exponentially small free-surface components is shown to play an important role in both cases. The behaviour of free-surface gravity waves is introduced by considering the problem of steady free-surface flow due to a line source. A steady wavetrain is shown to exist in the far field, and the behaviour of these waves is compared to existing numerical results. The problem of unsteady flow over a step is subsequently investigated, with the flow behaviour formulated in terms of Lagrangian coordinates so that the position of the free surface is fixed. Initially, the problem is linearized in the step-height, and the steady wavetrain is shown to spread downstream over time. The position of the wavefront is determined by considering the full Stokes structure present in the problem. The equivalent fully-nonlinear problem is then considered, with the position of the Stokes lines, and hence the wavefront, being determined numerically. Finally, linearized three-dimensional free-surface flow past an obstacle is considered in both the steady and unsteady case. The surface is shown to contain downstream longitudinal and transverse waves. These waves are shown to propagate downstream in the unsteady case, with the position of the wavefront again determined by considering the full Stokes structure of the problem.

Ice sheets, such as the Greenland Ice Sheet or Antarctic Ice Sheet, have a fundamental impact on landscape formation, the global climate system, and on sea level rise. The slow, creeping flow of ice can be represented by a non-linear version of the Stokes equations, which treat ice as a non-Newtonian, viscous fluid. Large spatial domains combined with long time spans and complexities such as a non-linear rheology, make ice sheet simulations computationally challenging. The topic of this thesis is the efficiency and error control of large simulations, both in the sense of mathematical modelling and numerical algorithms. In the first part of the thesis, approximative models based on perturbation expansions are studied. Due to a thick boundary layer near the ice surface, some classical assumptions are inaccurate and the higher order model called the Second Order Shallow Ice Approximation (SOSIA) yields large errors. In the second part of the thesis, the Ice Sheet Coupled Approximation Level (ISCAL) method is developed and implemented into the finite element ice sheet model Elmer/Ice. The ISCAL method combines the Shallow Ice Approximation (SIA) and Shelfy Stream Approximation (SSA) with the full Stokes model, such that the Stokes equations are only solved in areas where both the SIA and SSA is inaccurate. Where and when the SIA and SSA is applicable is decided automatically and dynamically based on estimates of the modeling error. The ISCAL method provides a significant speed-up compared to the Stokes model. The third contribution of this thesis is the introduction of Radial Basis Function (RBF) methods in glaciology. Advantages of RBF methods in comparison to finite element methods or finite difference methods are demonstrated. / eSSENCE

Disertacijoje tiriamas operatorių pusgrupių Eulerio ir Josidos approximacijų konvergavimas. Gauti Eulerio aproksimacijų asimptotiniai skleidiniai ir optimalūs liekamųjų narių įverčiai. Taip pat pateiktos įvairios šių skleidinių koeficientų analizinės išraiškos. Josidos aproksimacijoms buvo rasti du optimalūs konvergavimo greičio įverčiai su optimaliomis konstantomis. Taip pat gauti Josidos aproksimacijų asimptotiniai skleidiniai ir liekamųjų narių įverčiai. / In this thesis we investigate the convergence of Euler's and Yosida approximations of operator semigroups. We obtain asymptotic expansions for Euler's approximations of semigroups with optimal bounds for the remainder terms. We provide various explicit formulas for the coefficients for these expansions. For Yosida approximations of semigroups we obtain two optimal error bounds with optimal constants. We also construct asymptotic expansions for Yosida approximations of semigroups and provide optimal bounds for the remainder terms of these expansions.

In this thesis we investigate the convergence of Euler's and Yosida approximations of operator semigroups. We obtain asymptotic expansions for Euler's approximations of semigroups with optimal bounds for the remainder terms. We provide various explicit formulas for the coefficients for these expansions. For Yosida approximations of semigroups we obtain two optimal error bounds with optimal constants. We also construct asymptotic expansions for Yosida approximations of semigroups and provide optimal bounds for the remainder terms of these expansions. / Disertacijoje tiriamas operatorių pusgrupių Eulerio ir Josidos approximacijų konvergavimas. Gauti Eulerio aproksimacijų asimptotiniai skleidiniai ir optimalūs liekamųjų narių įverčiai. Taip pat pateiktos įvairios šių skleidinių koeficientų analizinės išraiškos. Josidos aproksimacijoms buvo rasti du optimalūs konvergavimo greičio įverčiai su optimaliomis konstantomis. Taip pat gauti Josidos aproksimacijų asimptotiniai skleidiniai ir liekamųjų narių įverčiai.

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