In this thesis, we present three projects. First, we investigate the numerical approximation of Hamilton-Jacobi equations with the Caputo time-fractional derivative. We introduce an explicit in time discretization of the Caputo derivative and a finite-difference scheme for the approximation of the Hamiltonian. We show that the approximation scheme so obtained is stable under an appropriate condition on the discretization parameters and converges to the unique viscosity solution of the Hamilton-Jacobi equation. Also, we study the numerical approximation of a system of PDEs which arises from an optimal control problem for the time-fractional Fokker-Planck equation with time-dependent drift. The system is composed of a backward time-fractional Hamilton-Jacobi-Bellman equation and a forward time-fractional Fokker-Planck equation. We approximate Caputo derivatives in the system by means of L1 schemes and the Hamiltonian by finite differences. The scheme for the Fokker-Planck equation is constructed in such a way that the duality structure of the PDE system is preserved on the discrete level. We prove the well-posedness of the scheme and the convergence to the solution of the continuous problem. Finally, we study a particle approximation for one-dimensional first-order Mean-Field-Games with local interactions with planning conditions. Our problem comprises a system of a Hamilton-Jacobi equation coupled with a transport equation. As we are dealing with the planning problem, we prescribe initial and terminal distributions for the transport equation. The particle approximation builds on a semi-discrete variational problem. First, we address the existence and uniqueness of the semi-discrete variational problem. Next, we show that our discretization preserves some conserved quantities. Finally, we prove that the approximation by particle systems preserves displacement convexity. We use this last property to establish uniform estimates for the discrete problem. All results for the discrete problem are illustrated with numerical examples.

In this work, we construct numerical methods to solve a wide range of problems in finance. This includes the valuation under affine jump diffusion processes, chaotic and hyperchaotic systems, and pricing fractional cryptocurrency models. These problems are of extreme importance in the area of finance. With today’s rapid economic growth one has to get a reliable method to solve chaotic problems which are found in economic systems while allowing synchronization. Moreover, the internet of things is changing the appearance of money. In the last decade, a new form of financial assets known as cryptocurrencies or cryptoassets have emerged. These assets rely on a decentralized distributed ledger called the blockchain where transactions are settled in real time. Their transparency and simplicity have attracted the main stream economy players, i.e, banks, financial institutions and governments to name these only. Therefore it is very important to propose new mathematical models that help to understand their dynamics. In this thesis we propose a model based on fractional differential equations. Modeling these problems in most cases leads to solving systems of nonlinear ordinary or fractional differential equations. These equations are known for their stiffness, i.e., very sensitive to initial conditions generating chaos and of multiple fractional order. For these reason we design numerical methods involving Chebyshev polynomials. The work is done from the frequency space rather than the physical space as most spectral methods do. The method is tested for valuing assets under jump diffusion processes, chaotic and hyperchaotic finance systems, and also adapted for asset price valuation under fraction Cryptocurrency. In all cases the methods prove to be very accurate, reliable and practically easy for the financial manager. / Thesis (PhD)--University of Pretoria, 2021. / Mathematics and Applied Mathematics / PhD / Unrestricted

L’étude expérimentale du transport de soluté dans les milieux poreux montre des écarts à la loi de Fick. D’autre part, des progrès importants ont été accomplis sur le transport en milieu poreux, en supposant que les fluides (et les traceurs) en mouvement dans ces milieux sont arrêtés pendant des durées aléatoires. La matrice solide rend cette idée plausible. Nous étudions un modèle utilisant cette idée en l’associant à des durées d’immobilisation sans moyenne finie, en fait distribuées par des lois de Lévy. On arrive ainsi au modèle MIM fractionnaire, ou fractal.Ce modèle est une équation aux dérivées partielles pour la densité de traceur. Il équivaut à supposer que les particules de fluide et de traceur font des déplacements régis par un processus stochastique. Ce dernier est la limite hydrodynamique de marches au hasard fondées sur des déplacements convectifs, des sauts gaussiens, et des arrêts distribués suivant une loi de Lévy. Ces deux versions du même modèle donnent deux méthodes de simulation numérique.Nous montrons comment mettre en œuvre ces méthodes. Ceci a pour but la maîtrise d’outils de simulation, afin de comparer avec des données expérimentales pour savoir si ce modèle convient pour décrire le transport dans un milieu donné. Cette simulation, pour être efficace, nécessite la connaissance des paramètres du transport de soluté au sein du milieu donné. Ils sont difficilement mesurables et/ou identifiables en pratique. Donc, il faut pouvoir les estimer à partir de grandeurs qu’on sait mesurer directement, comme la densité d’un traceur. Pour cela, nous avons mis en place une méthode d’inversion qui permet d’extraire les paramètres du modèle MIM fractionnaire, à partir de données expérimentales. Cette méthode d’inversion est basée sur la transformation de Laplace. Elle utilise le lien entre les paramètres de transport du modèle MIM fractionnaire, et les dérivées de la transformée de Laplace des solutions de ce modèle. Ce lien est exact dans un milieu semi-infini, et seulement approché dans un milieu fini.Après avoir testé cette méthode en l’appliquant à des données numériques en essayant de retrouver leurs paramètres à "l’aveugle", nous l’appliquons à des données issues d’une expérience de traçage en milieu poreux insaturé / Appealing models for mass transport in porous media assume that fluid and tracer particles can be trapped during random periods. Among them, the fractional version of the Mobile Immobile Model (f-MIM) was found to agree with several tracer test data recorded in environmental media.This model is equivalent to a stochastic process whose density probability function satisfies an advection-diffusion equation equipped with a supplementary time derivative, of non-integer order. The stochastic process is the hydrodynamic limit of random walks accumulating convective displacements, diffusive displacements, and stagnation steps of random duration distributed by a stable Lévy law having no finite average. Random walk and fractional differential equation provide complementary simulation methods.We describe that methods, in view of having tools for comparing the model with tracer test data consisting of time concentration curves. An other essential step in this direction is finding the four parameters of the fractional equation which make its solutions fit at best given sets of such data. Hence, we also present an inversion method adapted to the f-MIM. This method is based on Laplace transform. It exploits the link between model's parameters and Laplace transformed solutions to f-MIM equation. The link is exact in semi-infinite domains. After having checked inverse method's efficiency for numerical artificial data, we apply it to real tracer test data recorded in non-saturated porous sand

The present paper introduces 10 Appell’s type generalized functions Ni, i = 1, 2, ...... 10 by considering the product of n − 3F2 functions. The paper contains Fractional derivative representations, Integral representations and symbolic forms similar to those obtained by J. L. Burchnall and T. W.Chaundy for the four Appell’s functions, have been obtained for these newly defined functions N1, N2.......N10. The results obtained are believed to be new. / El presente artículo introduce 10 tipo de funciones generalizadas tipo Appell Ni, 1 ≤ i ≤ 10, considerando el producto de n funciones 3F2. El artículo contiene representaciones por derivadas fraccionales, representaciones integrales y formas simbólicas similares a aquellas obtenidas por J. L. Burchnall y T. W. Chaundy para las cuatro funciones de Appell, han sido obtenidas para estas nuevas funciones N1, N2.......N10. Los resultados parecen ser nuevos.

Orientador: Edmundo Capelas de Oliveira / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica / Made available in DSpace on 2018-08-24T12:52:57Z (GMT). No. of bitstreams: 1 Teodoro_GrazianeSales_M.pdf: 8150080 bytes, checksum: 07ef5ddebc25d941750b2dee59bd4022 (MD5) Previous issue date: 2014 / Resumo: O cálculo fracionário, nomenclatura utilizada para cálculo de ordem não inteira, tem se mostrado importante e, em muitos casos, imprescindível na discussão de problemas advindos de diversas áreas da ciência, como na matemática, física, engenharia, economia e em muitos outros campos. Neste contexto, abordamos a integral fracionária e as derivadas fracionárias, segundo Caputo e segundo Riemann-Liouville. Dentre as funções relacionadas ao cálculo fracionário, uma das mais importantes é a função de Mittag-Leffler, surgindo naturalmente na solução de várias equações diferenciais fracionárias com coeficientes constantes. Tendo em vista a importância dessa função, a clássica função de Mittag-Leffler e algumas de suas várias generalizações são apresentadas neste trabalho. Na aplicação resolvemos a equação diferencial associada ao problema do oscilador harmônico fracionário, utilizando a transformada de Laplace e a derivada fracionária segundo Caputo / Abstract: The fractional calculus, which is the nomenclature used to the non-integer order calculus, has important applications due to its direct involvement in problem resolution and discussion in many fields, such as mathematics, physics, engineering, economy, applied sciences and many others. In this sense, we studied the fractional integral and fractional derivates: one proposed by Caputo and the other by Riemann-Liouville. Among the fractional calculus's functions, one of most important is the Mittag-Leffler function. This function naturally occurs as the solution for fractional order differential equations with constant coeficients. Due to the importance of the Mittag-Leffler functions, various properties and generalizations are presented in this dissertation. We also presented an application in fractional calculus, in which we solved the differential equation associated the with fractional harmonic oscillator. To solve this fractional oscillator equation, we used the Laplace transform and Caputo fractional derivate / Mestrado / Matematica Aplicada / Mestra em Matemática Aplicada

Dans cette thèse, nous nous intéressons aux équations aux dérivées fractionnaires et leurs applications au traitement d'images. Une attention particulière a été apportée à un système non linéaire d'équations différentielles fractionnaires. En particulier, nous avons étudié les propriétés qualitatives des solutions d'un système non linéaire d'équations différentielles fractionnaires qui explosent en temps fini. L'existence des solutions locales pour le système, le profil des solutions qui explosent en temps fini sont présentés. Nous étudierons le problème inverse pour l'équation de diffusion linéaire en une dimension et en deux dimensions. Nous sommes intéressés par trouver un terme source inconnu d'une équation de diffusion non locale. Les conditions aux limites considérées sont non locales et le problème spectral est non auto-adjoint. L'existence et l'unicité de la solution du problème inverse sont présentées.D'autre part, nous proposons un modèle basé sur l'équation de la chaleur linéaire avec une dérivée fractionnaire en temps pour le débruitage d'images numériques. L'approche utilise une technique de pixel par pixel, ce qui détermine la nature du filtre. En contraste avec certain modèles basés sur les équations aux dérivées partielles pour le débruitage de l'image, le modèle proposé est bien posé et le schéma numérique est convergent. Une amélioration de notre modèle proposé est suggéré. / In this thesis we study a nonlinear system of fractional differential equations with power nonlinearities; the solution of the system blows up in a finite time. We provide the profile of the blowing-up solutions of the system by finding upper and lower estimates of the solution. Moreover, bilateral bounds on the blow-up time are given.We consider the inverse problem concerning a linear time fractional diffusion equation for the determination of the source term (supposed to be independent of the time variable) and temperature distribution from initial and final temperature data. The uniqueness and existence of the continuous solution of the inverse problem is proved. We also consider the inverse source problem for a two dimensional fractional diffusion equation. The results about the existence, uniqueness and continuous dependence of the solution of the inverse problem on the data are presented.We apply the linear heat equation involving a fractional derivative in time for denoising (simplification, smoothing, restoration or enhancement) of digital images. The order of the fractional derivative has been used for controling the diffusion process, which in result preserves the fine structures in the image during denoising process. Furthermore, an improvement in the proposed model is suggested by using the structure tensor of the images.

This thesis presents results in two apparently disparate mathematical fields which can both be examined -- and even united -- by means of pure analysis. Fractional calculus is the study of differentiation and integration to non-integer orders. Dating back to Leibniz, this idea was considered by many great mathematical figures, and in recent decades it has been used to model many real-world systems and processes, but a full development of the mathematical theory remains incomplete. Many techniques for partial differential equations (PDEs) can be extended to fractional PDEs too. Three chapters below cover my results in this area: establishing the elliptic regularity theorem, Malgrange-Ehrenpreis theorem, and unified transform method for fractional PDEs. Each one is analogous to a known result for classical PDEs, but the proof in the general fractional scenario requires new ideas and modifications. Fractional derivatives and integrals are not uniquely defined: there are many different formulae, each of which has its own advantages and disadvantages. The most commonly used is the classical Riemann-Liouville model, but others may be preferred in different situations, and now new fractional models are being proposed and developed each year. This creates many opportunities for new research, since each time a model is proposed, its mathematical fundamentals need to be examined and developed. Two chapters below investigate some of these new models. My results on the Atangana-Baleanu model proposed in 2016 have already had a noticeable impact on research in this area. Furthermore, this model and the results concerning it can be extended to more general fractional models which also have certain desirable properties of their own. Fractional calculus and zeta functions have rarely been united in research, but one chapter below covers a new formula expressing the Lerch zeta function as a fractional derivative of an elementary function. This result could have many ramifications in both fields, which are yet to be explored fully. Zeta functions are very important in analytic number theory: the Riemann zeta function relates to the distribution of the primes, and this field contains some of the most persistent open problems in mathematics. Since 2012, novel asymptotic techniques have been applied to derive new results on the growth of the Riemann zeta function. One chapter below modifies some of these techniques to prove asymptotics to all orders for the Hurwitz zeta function. Many new ideas are required, but the end result is more elegant than the original one for Riemann zeta, because some of the new methodologies enable different parts of the argument to be presented in a more unified way. Several related problems involve asymptotics arbitrarily near a stationary point. Ideally it should be possible to find uniform asymptotics which provide a smooth transition between the integration by parts and stationary phase methods. One chapter below solves this problem for a particular integral which arises in the analysis of zeta functions.

This thesis, gathering four papers, concerns the enhancement in understanding and modelling of the audible dynamic stiffness of vibration rubber isolators including experimental measurements. Paper A studies the performances of three different types of vibration isolator using an indirect measurement technique to estimate the blocked dynamic transfer stiffness of each specimen. The measurements are performed over a wide audible frequency range of 200 to 1000 Hz in a specially designed test rig enabling the investigation of arbitrary preload influences. Paper B addresses the modelling of the audible-frequency stiffness of the rubber conical mount experimentally appraised in Paper A accounting for preload effects. The model is based on a simpliflied waveguide approach approximating the nonlinearities attributed to the predeformations by adopting shape factor considerations. The carbon black filled rubber is assumed incompressible, displaying a viscoelastic behavior based on a fractional derivative Kelvin-Voigt model efficiently reducing the number of required material parameters. In Paper C the focus is on the axial dynamic stiffness modelling of an arbitrary long rubber bushing within the audible frequency range. The problems of simultaneously satisfying the locally non-mixed boundary conditions at the radial and end surfaces are solved by adopting a waveguide approach, using the dispersion relation for axially symmetric waves in thick-walled infinite plates, while fulfilling the radial boundary conditions by mode-matching. The results obtained are successfully compared with simpliflied models but display discrepancies when increasing the diameter-to-length ratios since the influence of higher order modes and dispersion augments. Paper D develops an effective waveguide model for a pre-compressed cylindrical vibration isolator within the audible frequency domain at arbitrary compressions. The original, mathematically arduous problem of simultaneously modelling the preload and frequency dependence is solved by applying a novel transformation of the pre-strained isolator into a globally equivalent homogeneous and isotropic configuration enabling the straightforward application of a waveguide model to satisfy the boundary conditions. The results obtained present good agreement with the non-linear finite element results for a wide frequency range of 20 to 2000 Hz at different preloads. / QC 20101001

Made available in DSpace on 2016-12-12T20:25:13Z (GMT). No. of bitstreams: 1 Thais Clara da Costa Haveroth.pdf: 3726370 bytes, checksum: 204349100247f52ea6bf4916ec49a0ab (MD5) Previous issue date: 2015-10-26 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Dentre a vasta gama de polímeros estruturais atualmente disponíveis no mercado, este trabalho está particularmente voltado ao estudo do polietileno de alta densidade. Embora este material já tenha sido investigado por diversos autores, seu típico comportamento viscoelástico não-linear apresenta dificuldades na modelagem. Visando uma nova contribuição, este trabalho propõe a descrição de tal comportamento utilizando uma abordagem baseada em derivadas fracionários. Esta formulação produz equações constitutivas fracionais que resultam em boas propriedades de ajuste de curvas com menos parâmetros a serem identificados que nos métodos tradicionais. Neste sentido, os resultados experimentais de fluência para o polietileno de alta densidade, avaliados em diferentes níveis de tensão, são ajustados por este esquema. Para estimar a deformação à níveis de tensão que não tenham sido medidos experimentalmente, o princípio da equivalência tensão-tempo é utilizado e os resultados são comparados com aqueles apresentados por uma interpolação linear dos parâmetros. Além disso, o princípio da superposição modificado é aplicado para predizer a comportamento de materiais sujeitos a níveis de tensão que mudam abruptamente ao longo do tempo. Embora a abordagem fracionária simplifique o problema de otimização inversa subjacente, é observado um grande aumento no esforço computacional. Assim, alguns algoritmos que objetivam economia computacional, são estudados. Conclui-se que, quando acurária é necessária ou quando um modelo de séries Prony requer um número muito grande de parâmetros, a abordagem fracionária pode ser uma opção interessante. / Among the wide range of structural polymers currently available in the market, this work is concerned particularly with high density polyethylene. The typical nonlinear viscoelastic behavior presented by this material is not trivial to model, and has already been investigated by many authors in the past. Aiming at a further contribution, this work proposes modeling this material behavior using an approach based on fractional derivatives. This formulation produces fractional constitutive equations that result in good curve-fitting properties with less parameters to be identified when compared to traditional methods. In this regard, experimental creep results of high density polyethylene evaluated at different stress levels are fitted by this scheme. To estimate creep at stress levels that have not been measured experimentally, the time-stress equivalence principle is used and the results are compared with those presented by a linear interpolation of the parameters. Furthermore, the modified superposition principle is applied to predict the strain for materials subject to stress levels which change abruptly from time to time. Some comparative results are presented showing that the fractional approach proposed in this work leads to better results in relation to traditional formulations described in the literature. Although the fractional approach simplifies the underlying inverse optimization problem, a major increase in computational effort is observed. Hence, some algorithms that show computational cost reduction, are studied. It is concluded that when high accuracy is mandatory or when a Prony series model requires a very large number of parameters, the fractional approach may be an interesting option.

Orientador: Edmundo Capelas de Oliveira / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica / Made available in DSpace on 2018-08-26T00:53:38Z (GMT). No. of bitstreams: 1 Oliveira_DanieladosSantosde_M.pdf: 3702602 bytes, checksum: c0b05792ff3ac3c5bdd5fad1b7586dd5 (MD5) Previous issue date: 2014 / Resumo: Neste trabalho apresentamos um estudo sobre as funções de Mittag-Leffler de um, dois e três parâmetros. Apresentamos a função de Mittag-Leffler como uma generalização da função exponencial bem como a relação que esta possui com outras funções especiais, tais como as funções beta, gama, gama incompleta e erro. Abordamos, também, a integração fracionária que se faz necessária para introduzir o conceito de derivação fracionária. Duas formulações para a derivada fracionária são estudadas, as formulações proposta por Riemann-Liouville e por Caputo. Investigamos quais regras clássicas de derivação são estendidas para estas formulações. Por fim, como uma aplicação, utilizamos a metodologia da transformada de Laplace para resolver a equação diferencial fracionária associada ao problema do oscilador harmônico fracionário / Abstract: This work presents a study about the one- two- and three-parameters Mittag-Leffler functions. We show that the Mittag-Leffler function is a generalization of the exponential function and present its relations to other special functions beta, gamma, incomplete gamma and error functions. We also approach fractional integration, which is necessary to introduce the concept of fractional derivatives. Two formulations for the fractional derivative are studied, the formulations proposed by Riemann-Liouville and by Caputo. We investigate which classical derivatives rules can be extended to these formulations. Finally, as an application, using the Laplace transform methodology, we discuss the fractional differential equation associated with the harmonic oscillator problem / Mestrado / Matematica Aplicada / Mestra em Matemática Aplicada