Cette Thèse se divise en deux parties. Dans la partie mathématique, nous étudions différentes edp d'ordre supérieur à 3 issues des neurosciences avec un point de vue probabiliste. Nous démontrons une formule de FK pour une grande classe de solutions de KdV (pas seulement les n-solitons), à l'aide des déterminants de Fredholm et des transformées de Laplace d'intégrales de Skorohod itérées. Concernant les edp d'ordre supérieur à 3, les processus itérés qui consistent en la composition de deux processus indépendants, l'un correspondant à la position et l'autre au temps, sont liés à leurs solutions. En effet, nous montrons une formule de FK pour des solutions d'edp d'ordre supérieur à 3 basée sur des fonctionnelles de processus itérés, même dans le cas non Markovien, étendant ainsi les résultats existants. Nous proposons aussi un schéma numérique pour la simulation de trajectoires de diffusions itérées basé sur le schéma d'Euler, qui converge p.s., uniformément en temps, avec un taux de convergence d'ordre $1/4$. Une estimation de l'erreur est proposée. Dans la partie biologique, nous avons collecté plusieurs articles en neuroscience et d'autres domaines de biologie, où les edp précédentes sont utilisées. En particulier, on s'intéresse à la simulation et à la propagation du potentiel d'action lorsque la capacité de la membrane cellulaire n'est pas supposée constante. Ces articles ont en commun le fait qu'ils remettent en question le fameux modèle d'Hodgkin-Huxley datant des années cinquante. En effet, même si ce modèle a été très efficace pour la compréhension du signal neuronal, il ne prend pas en compte tous les phénomènes résultants de la propagation du potentiel d'action. / This Thesis consists of two parts. In the mathematical part we study Korteweg--de Vries (KdV) equation and high-order pdes with a probabilistic point of view in order to obtain Feynman-Kac (FK) type formulas. This study was motivated by recent biological models. We prove a FK representation for a larger class of solutions of KdV equation (not only n-solitons), using Fredholm determinants and Laplace transforms of iterated Skorohod integrals. Regarding higher order pdes, iterated processes that consist in the composition of two independent processes, one corresponding to position and the other one to time, are naturally related to their solutions. Indeed, we prove FK formulas for solutions of high order pdes based on functionals of iterated processes even in the non Markovian case, thus extending the existing results. We also propose a scheme for the simulation of iterated diffusions trajectories based on Euler scheme, that converges a.s., uniformly in time, with a rate of convergence of order $1/4$. An estimation of the error is proposed. In the biological part, we have collected several papers in neuroscience and other fields of biology where the previous types of pdes are involved. In particular, we are interested in the simulation of the propagation of the action potential when the capacitance of the cell membrane is not assumed to be constant. These papers have in common the fact that they question the famous Hodgkin Huxley model dating back to the fifties. Indeed this model even if it has been very efficient for the understanding of neuronal signaling does not take into account all the phenomena that occur during the propagation of the action potential.

Les modèles de chaînes de Markov cachées ou plus généralement ceux de Feynman-Kac sont aujourd'hui très largement utilisés. Ils permettent de modéliser une grande diversité de séries temporelles (en finance, biologie, traitement du signal, ...) La complexité croissante de ces modèles a conduit au développement d'approximations via différentes méthodes de Monte-Carlo, dont le Markov Chain Monte-Carlo (MCMC) et le Sequential Monte-Carlo (SMC). Les méthodes de SMC appliquées au filtrage et au lissage particulaires font l'objet de cette thèse. Elles consistent à approcher la loi d'intérêt à l'aide d'une population de particules définies séquentiellement. Différents algorithmes ont déjà été développés et étudiés dans la littérature. Nous raffinons certains de ces résultats dans le cas du Forward Filtering Backward Smoothing et du Forward Filtering Backward Simulation grâce à des inégalités de déviation exponentielle et à des contrôles non asymptotiques de l'erreur moyenne. Nous proposons également un nouvel algorithme de lissage consistant à améliorer une population de particules par des itérations MCMC, et permettant d'estimer la variance de l'estimateur sans aucune autre simulation. Une partie du travail présenté dans cette thèse concerne également les possibilités de mise en parallèle du calcul des estimateurs particulaires. Nous proposons ainsi différentes interactions entre plusieurs populations de particules. Enfin nous illustrons l'utilisation des chaînes de Markov cachées dans la modélisation de données financières en développant un algorithme utilisant l'Expectation-Maximization pour calibrer les paramètres du modèle exponentiel d'Ornstein-Uhlenbeck multi-échelles / Hidden Markov chain models or more generally Feynman-Kac models are now widely used. They allow the modelling of a variety of time series (in finance, biology, signal processing, ...) Their increasing complexity gave birth to approximations using Monte-Carlo methods, among which Markov Chain Monte-Carlo (MCMC) and Sequential Monte-Carlo (SMC). SMC methods applied to particle filtering and smoothing are dealt with in this thesis. These methods consist in approximating the law of interest through a particle population sequentially defined. Different algorithms have already been developed and studied in the literature. We make some of these results more precise in the particular of the Forward Filtering Backward Smoothing and Forward Filtering Backward Simulation by showing exponential deviation inequalities and by giving non-asymptotic upper bounds to the mean error. We also introduce a new smoothing algorithm improving a particle population through MCMC iterations and allowing to estimate the estimator variance without further simulation. Part of the work presented in this thesis is devoted to the parallel computing of particle estimators. We study different interaction schemes between several particle populations. Finally, we also illustrate the use of hidden Markov chains in the modelling of financial data through an algorithm using Expectation-Maximization to calibrate the exponential Ornstein-Uhlenbeck multiscale stochastic volatility model

Many phenomena in our world can be described as differential equations in high dimensions. However, they are notoriously challenging to solve numerically due to the exponential growth in computational cost with increasing dimensions. This thesis explores an algorithm, known as deep BSDE, for solving high-dimensional partial differential equations and applies it to finance, namely European option pricing. In addition, an implementation of the method is provided that seemingly shortens the runtime by a factor of two, compared with the results in previous studies. From the results, we can conclude that the deep BSDE method does handle high-dimensional problems well. Lastly, the thesis gives the relevant prerequisites required to be able to digest the theory from an undergraduate level.

Wir untersuchen die analytische Struktur von Feynman Integralen als mengenwertige holomorphe Funktionen mit topologischen Methoden, spezifisch mit Techniken für singuläre Integrale. Der Hauptfokus liegt auf dem Ein-Schleifen-Fall. Zunächst geben wir einen gründlichen Überblick über die Theorie der singulären Integrale und füllen einige Lücken in der Literatur. Anschließend untersuchen wir die Topologie von endlichen Vereinigungen und Schnitten von bestimmten nicht-degenerierten affinen komplexes Quadriken, welche die relevante Geometrie von Ein-Schleifen Feynman Integralen darstellen. Wir etablieren einige grundsätzliche topologische Eigenschaften und führen eine Kompaktifizierung von Bündeln solcher Räume und eine Whitney Stratifizierung dieser ein. Des Weiteren berechnen wir die Homologiegruppen der Fasern durch eine Dekomposition in die auftretenden Schnitte komplexer Sphären. Das Einführen einer CW-Dekomposition einer spezifischen Faser führt zu einer kombinatorischen Studie, welche es uns erlaubt explizite Generatoren in Sinne dieser CW-Strukture zu berechnen. Unter Verwendung dieser Generatoren berechnen wir die relevanten Schnittindizes, welche im Ramifizierungsproblem auftreten. Durch Anwendung dieser Resultate auf Ein-Schleifen Feynman Integrale finden wir die klassischen Landau Gleichungen wieder und erhalten einen vollständigen Beweis von Cutkoskys Theorem. Des Weiteren untersuchen wir, wie viel dieses Mechanismus sich auf den Mehr-Schleifen Fall überträgt. Insbesondere betrachten wir zwei Beispiele von Mehr-Schleifen Integralen und erhalten Resultate die über den aktuellen Stand der Literatur hinaus gehen. / We investigate the analytic structure of Feynman integrals as multivalued holomorphic functions with topological methods, specifically with techniques for singular integrals. The main focus lies on the one-loop case. First, we conduct a thorough review of the theory of singular integrals, filling some gaps in the literature. Then, we investigate the topology of finite unions and intersections of certain non-degenerate affine complex quadrics which constitute the relevant geometry of one-loop Feynman integrals. We establish some basic topological properties and introduce a compactification of bundles of such spaces and a Whitney stratification thereof. Furthermore, we compute the homology groups of the fibers via a decomposition into the direct sum of all occurring intersections of complex spheres. Introducing a CW-decomposition of a specific fiber leads to a combinatorial study, allowing us to obtain explicit generators in terms of this CW-structure. Using these generators, we compute the relative intersection indices that occur in the ramification problem. Applying these results to one-loop Feynman integrals, we retrieve the classical Landau equations and obtain a full proof of Cutkosky's Theorem. Furthermore, we investigate how much of this machinery applies to the multi-loop case. In particular, we consider two examples of multi-loop integrals and obtain results beyond the current state of the literature.

Uma nova metodologia para a medida absoluta da fração efetiva de nêutrons atrasados βeff, baseada em técnicas de análise de ruído microscópico e no modelo de Duas- Regiões, foi desenvolvida no reator IPEN/MB-01. Diferentemente das demais técnicas, tais como o Método de Bennet Modificado, o Método do Número de Nelson e o Método da fonte de 252Cf, a principal vantagem da metodologia proposta é a obtenção de βeff de um modo puramente experimental, sem a necessidade de quaisquer outros parâmetros, sejam estes calculados ou provenientes de outros experimentos. Com a finalidade de validar este novo método, uma série de experimentos Rossi-α e Feynman-α foram realizados no reator IPEN/MB-01. De acordo com a metodologia proposta, βeff foi estimado com uma incerteza de 0.67%, a qual atende aos requisitos de precisão almejados. Além disso, o tempo de geração de nêutrons prontos , dentre outros parâmetros, também foi obtido experimentalmente via esta metodologia. Em geral, os parâmetros medidos estão em acordo com resultados provenientes de experimentos de análise de ruído macroscópico. Nas comparações teoria-experimento, os valores de βeff medidos neste trabalho mostram que a biblioteca JENDL3.3 apresenta a melhor performance (dentro de 1%). Esta concordância justifica a redução no yield de fissão do 235U proposta por Sakurai e Okajima. / A new method for absolute measurement of the effective delayed neutron fraction, βeff , based on microscopic noise experiments and the Two-Region Model was developed at the IPEN/MB-01 Research Reactor facility. In contrast with other techniques like the Modified Bennet Method, Nelson-Number Method and 252Cf-Source Method, the main advantage of this new methodology is to obtain the effective delayed neutron parameters in a purely experimental way, eliminating all parameters that are difficult to measure or calculate. In this way, Rossi-α and Feynman-α experiments for validation of this method were performed at the IPEN/MB-01 facility, and adopting the present approach, βeff was measured with a 0.67% uncertainty. In addition, the prompt neutron generation time, , and other parameters were also obtained in an absolute experimental way. In general, the final results agree well with values from frequency analysis experiments. The theory-experiment comparison reveals that JENDL-3.3 shows deviation for βeff lower than 1% which meets the desired accuracy for the theoretical determination of this parameter. This work supports the reduction of the 235U thermal yield as proposed by Okajima and Sakurai.

Estudamos a Eletrodinâmica de Wheeler-Feynman usando um princípio variacional para um funcional de ação finito acoplado a um problema de valor na fronteira. Para trajetórias C2 por trechos, a condição de ponto crítico desse funcional fornece as equações de movimento de Wheeler-Feynman mais uma condição de continuidade dos momentos parciais e energias parciais, conhecida como condição de quina de Weierstrass-Erdmann. Estudamos em detalhe um sub-caso mais simples, onde os dados de fronteira têm um comprimento mínimo. Nesse caso, mostramos que a condição de extremo se reduz a um problema de valor na chegada para uma equação diferencial com retardo misto dependente do estado e do tipo neutro. Resolvemos numericamente esse problema usando um método de shooting e um método de Runge-Kutta de quarta ordem. Para os casos em que as fronteiras mínimas têm velocidades descontínuas, elaboramos uma técnica para resolver as condições de quina de Weierstrass-Erdmann junto com o problema de valor na chegada. As trajetórias com velocidades descontínuas previstas pelo método variacional foram verificadas por experimentos numéricos. Em um segundo desenvolvimento, para o caso mais difícil de fronteiras de comprimento arbitrário, implementamos um método de minimização com gradiente fraco para o princípio variacional e problema de fronteira acima citado. Elaboramos dois métodos numéricos, ambos implementados em MATLAB, para encontrar soluções do problema eletromagnético de dois corpos. O primeiro combina o método de elementos finitos com o método de Newton para encontrar as soluções que anulam o gradiente fraco do funcional para fronteiras genéricas. O segundo usa o método do declive máximo para encontrar as soluções que minimizam a ação. Nesses dois métodos as trajetórias são aproximadas dentro de um espaço de dimensão finita gerado por uma Galerkiana que suporta velocidades descontínuas. Foram realizados diversos testes e experimentos numéricos para verificar a convergência das trajetórias calculada numericamente; também comparamos os valores do funcional calculados numericamente com alguns resultados analíticos sobre órbitas circulares. / We study the Wheeler-Feynman electrodynamics using a variational principle for an action functional coupled to a finite boundary value problem. For piecewise C2 trajectories, the critical point condition for this functional gives the Wheeler-Feynman equations of motion in addition to a continuity condition of partial moments and partial energies, known as the Weierstrass-Erdmann corner conditions. In the simplest case, for the boundary value problem of shortest length, we show that the critical point condition reduces to a two-point boundary value problem for a state-dependent mixed-type neutral differential-delay equation. We solve this special problem numerically using a shooting method and a fourth order Runge-Kutta. For the cases where the boundary segment has discontinuous velocities we developed a technique to solve the Weierstrass-Erdmann corner conditions and the two-point boundary value problem together. The trajectories with discontinuous velocities presupposed by the variational method were verified by numerical experiments. In a second development, for the harder case with boundaries of arbitrary length, we implemented a method of minimization with weak gradient for the variational principle quoted above. Two numerical methods were implemented in MATLAB to find solutions of the two-body electromagnetic problem. The first combines the finite element method with Newtons method to find the solutions that vanish the weak gradient. The second uses the method of steepest descent to find the solutions that minimize the action. In both methods the trajectories are approximated within a finite-dimensional space generated by a Galerkian that supports discontinuous velocities. Many tests and numerical experiments were performed to verify the convergence of the numerically calculated trajectories; also were compared the values of the functional computed numerically with some known analytical results on circular orbits.

Uma nova metodologia para a medida absoluta da fração efetiva de nêutrons atrasados βeff, baseada em técnicas de análise de ruído microscópico e no modelo de Duas- Regiões, foi desenvolvida no reator IPEN/MB-01. Diferentemente das demais técnicas, tais como o Método de Bennet Modificado, o Método do Número de Nelson e o Método da fonte de 252Cf, a principal vantagem da metodologia proposta é a obtenção de βeff de um modo puramente experimental, sem a necessidade de quaisquer outros parâmetros, sejam estes calculados ou provenientes de outros experimentos. Com a finalidade de validar este novo método, uma série de experimentos Rossi-α e Feynman-α foram realizados no reator IPEN/MB-01. De acordo com a metodologia proposta, βeff foi estimado com uma incerteza de 0.67%, a qual atende aos requisitos de precisão almejados. Além disso, o tempo de geração de nêutrons prontos , dentre outros parâmetros, também foi obtido experimentalmente via esta metodologia. Em geral, os parâmetros medidos estão em acordo com resultados provenientes de experimentos de análise de ruído macroscópico. Nas comparações teoria-experimento, os valores de βeff medidos neste trabalho mostram que a biblioteca JENDL3.3 apresenta a melhor performance (dentro de 1%). Esta concordância justifica a redução no yield de fissão do 235U proposta por Sakurai e Okajima. / A new method for absolute measurement of the effective delayed neutron fraction, βeff , based on microscopic noise experiments and the Two-Region Model was developed at the IPEN/MB-01 Research Reactor facility. In contrast with other techniques like the Modified Bennet Method, Nelson-Number Method and 252Cf-Source Method, the main advantage of this new methodology is to obtain the effective delayed neutron parameters in a purely experimental way, eliminating all parameters that are difficult to measure or calculate. In this way, Rossi-α and Feynman-α experiments for validation of this method were performed at the IPEN/MB-01 facility, and adopting the present approach, βeff was measured with a 0.67% uncertainty. In addition, the prompt neutron generation time, , and other parameters were also obtained in an absolute experimental way. In general, the final results agree well with values from frequency analysis experiments. The theory-experiment comparison reveals that JENDL-3.3 shows deviation for βeff lower than 1% which meets the desired accuracy for the theoretical determination of this parameter. This work supports the reduction of the 235U thermal yield as proposed by Okajima and Sakurai.

第一筆金融交換出現以來，短短的十一、二年 場成長迅速，成為不可或 缺的財務工具。有鑑鷟艦瘣城竣@簡要的介紹，並建立金融交換之定 珓洶妨堨腄A主要承襲S. Sundaresan 對金融交bS. Sundaresan 的研究中 ，只針對一般的金融交A未考慮特殊型態的金融交換。所以本文的目的在B 下利率限制的金融交融之定價模型，主要定價的般的、capped、floored 、及 collared金融交換。漱隤k上，採用與其他研究不同的Feynman-Kac So- 融交換定價模型之前，必須先建立一般的金融交C再利用利率caps 和floors之特性，加入一般金融A以推導出有上下利率限制的金融交換定 價模型。F導出金融交換之定價模型外，並對所建立的模型k，計算出金融 交換和collar的價值，同時分析@般金融交換與collar金融交換的價值。 提供銀j眾，在進行金融交換時作為參考。

Estudamos a Eletrodinâmica de Wheeler-Feynman usando um princípio variacional para um funcional de ação finito acoplado a um problema de valor na fronteira. Para trajetórias C2 por trechos, a condição de ponto crítico desse funcional fornece as equações de movimento de Wheeler-Feynman mais uma condição de continuidade dos momentos parciais e energias parciais, conhecida como condição de quina de Weierstrass-Erdmann. Estudamos em detalhe um sub-caso mais simples, onde os dados de fronteira têm um comprimento mínimo. Nesse caso, mostramos que a condição de extremo se reduz a um problema de valor na chegada para uma equação diferencial com retardo misto dependente do estado e do tipo neutro. Resolvemos numericamente esse problema usando um método de shooting e um método de Runge-Kutta de quarta ordem. Para os casos em que as fronteiras mínimas têm velocidades descontínuas, elaboramos uma técnica para resolver as condições de quina de Weierstrass-Erdmann junto com o problema de valor na chegada. As trajetórias com velocidades descontínuas previstas pelo método variacional foram verificadas por experimentos numéricos. Em um segundo desenvolvimento, para o caso mais difícil de fronteiras de comprimento arbitrário, implementamos um método de minimização com gradiente fraco para o princípio variacional e problema de fronteira acima citado. Elaboramos dois métodos numéricos, ambos implementados em MATLAB, para encontrar soluções do problema eletromagnético de dois corpos. O primeiro combina o método de elementos finitos com o método de Newton para encontrar as soluções que anulam o gradiente fraco do funcional para fronteiras genéricas. O segundo usa o método do declive máximo para encontrar as soluções que minimizam a ação. Nesses dois métodos as trajetórias são aproximadas dentro de um espaço de dimensão finita gerado por uma Galerkiana que suporta velocidades descontínuas. Foram realizados diversos testes e experimentos numéricos para verificar a convergência das trajetórias calculada numericamente; também comparamos os valores do funcional calculados numericamente com alguns resultados analíticos sobre órbitas circulares. / We study the Wheeler-Feynman electrodynamics using a variational principle for an action functional coupled to a finite boundary value problem. For piecewise C2 trajectories, the critical point condition for this functional gives the Wheeler-Feynman equations of motion in addition to a continuity condition of partial moments and partial energies, known as the Weierstrass-Erdmann corner conditions. In the simplest case, for the boundary value problem of shortest length, we show that the critical point condition reduces to a two-point boundary value problem for a state-dependent mixed-type neutral differential-delay equation. We solve this special problem numerically using a shooting method and a fourth order Runge-Kutta. For the cases where the boundary segment has discontinuous velocities we developed a technique to solve the Weierstrass-Erdmann corner conditions and the two-point boundary value problem together. The trajectories with discontinuous velocities presupposed by the variational method were verified by numerical experiments. In a second development, for the harder case with boundaries of arbitrary length, we implemented a method of minimization with weak gradient for the variational principle quoted above. Two numerical methods were implemented in MATLAB to find solutions of the two-body electromagnetic problem. The first combines the finite element method with Newtons method to find the solutions that vanish the weak gradient. The second uses the method of steepest descent to find the solutions that minimize the action. In both methods the trajectories are approximated within a finite-dimensional space generated by a Galerkian that supports discontinuous velocities. Many tests and numerical experiments were performed to verify the convergence of the numerically calculated trajectories; also were compared the values of the functional computed numerically with some known analytical results on circular orbits.

Dans cette thèse, on étudie le problème de la consommation et de l’investissement pour le marché financier de "spread" (différence entre deux actifs) défini par le processus Ornstein-Uhlenbeck (OU). Ce manuscrit se compose de sept chapitres. Le chapitre 1 présente une revue générale de la littérature et un bref résumé des principaux résultats obtenus dans cetravail où différentes fonctions d’utilité sont considérées. Dans le chapitre 2, on étudie la stratégie optimale de consommation / investissement pour les fonctions puissances d’utilité pour un intervalle de temps réduit a 0 < t < T < T0. Dans ce chapitre, nous étudions l’équation de Hamilton–Jacobi–Bellman (HJB) par la méthode de Feynman - Kac (FK). L’approximation numérique de la solution de l’équation de HJB est étudiée et le taux de convergence est établi. Il s’avère que dans ce cas, le taux de convergencedu schéma numérique est super–géométrique, c’est-à-dire plus rapide que tous ceux géométriques. Les principaux théorèmes sont énoncés et des preuves de l’existence et de l’unicité de la solution sont données. Un théorème de vérification spécial pour ce cas des fonctions puissances est montré. Le chapitre 3 étend notre approche au chapitre précédent à la stratégie de consommation/investissement optimale pour tout intervalle de temps pour les fonctions puissances d’utilité où l’exposant γ doit être inférieur à 1/4. Dans le chapitre 4, on résout le problème optimal de consommation/investissement pour les fonctions logarithmiques d’utilité dans le cadre du processus OU multidimensionnel en se basant sur la méthode de programmation dynamique stochastique. En outre, on montre un théorème de vérification spécial pour ce cas. Le théorème d’existence et d’unicité pour la solution classique de l’équation de HJB sous forme explicite est également démontré. En conséquence, les stratégies financières optimales sont construites. Quelques exemples sont donnés pour les cas scalaires et pour les cas multivariés à volatilité diagonale. Le modèle de volatilité stochastique est considéré dans le chapitre 5 comme une extension du chapitre précédent des fonctions logarithmiques d’utilité. Le chapitre 6 propose des résultats et des théorèmes auxiliaires nécessaires au travail.Le chapitre 7 fournit des simulations numériques pour les fonctions puissances et logarithmiques d’utilité. La valeur du point fixe h de l’application de FK pour les fonctions puissances d’utilité est présentée. Nous comparons les stratégies optimales pour différents paramètres à travers des simulations numériques. La valeur du portefeuille pour les fonctions logarithmiques d’utilité est également obtenue. Enfin, nous concluons nos travaux et présentons nos perspectives dans le chapitre 8. / This thesis studies the consumption/investment problem for the spread financial market defined by the Ornstein–Uhlenbeck (OU) process. Recently, the OU process has been used as a proper financial model to reflect underlying prices of assets. The thesis consists of 8 Chapters. Chapter 1 presents a general literature review and a short view of the main results obtained in this work where different utility functions have been considered. The optimal consumption/investment strategy are studied in Chapter 2 for the power utility functions for small time interval, that 0 < t < T < T0. Main theorems have been stated and the existence and uniqueness of the solution has been proven. Numeric approximation for the solution of the HJB equation has been studied and the convergence rate has been established. In this case, the convergence rate for the numerical scheme is super geometrical, i.e., more rapid than any geometrical ones. A special verification theorem for this case has been shown. In this chapter, we have studied the Hamilton–Jacobi–Bellman (HJB) equation through the Feynman–Kac (FK) method. The existence and uniqueness theorem for the classical solution for the HJB equation has been shown. Chapter 3 extended our approach from the previous chapter of the optimal consumption/investment strategies for the power utility functions for any time interval where the power utility coefficient γ should be less than 1/4. Chapter 4 addressed the optimal consumption/investment problem for logarithmic utility functions for multivariate OU process in the base of the stochastic dynamical programming method. As well it has been shown a special verification theorem for this case. It has been demonstrated the existence and uniqueness theorem for the classical solution for the HJB equation in explicit form. As a consequence the optimal financial strategies were constructed. Some examples have been stated for a scalar case and for a multivariate case with diagonal volatility. Stochastic volatility markets has been considered in Chapter 5 as an extension for the previous chapter of optimization problem for the logarithmic utility functions. Chapter 6 proposed some auxiliary results and theorems that are necessary for the work. Numerical simulations has been provided in Chapter 7 for power and logarithmic utility functions. The fixed point value h for power utility has been presented. We study the constructed strategies by numerical simulations for different parameters. The value function for the logarithmic utilities has been shown too. Finally, Chapter 8 reflected the results and possible limitations or solutions