Incomplete markets provide many challenges for both investment decisions and valuation problems. While both problems have received extensive attention in complete markets, there remain many open areas in the theory of incomplete markets. We present the results in three parts. In the first essay we consider the Merton investment problem of optimal portfolio choice when the traded instruments are the set of zero-coupon bonds. Working within a Markovian Heath-Jarrow-Morton framework of the interest rate term structure driven by an infinite dimensional Wiener process, we give sufficient conditions for the existence and uniqueness of an optimal investment strategy. When there is uniqueness, we provide a characterization of the optimal portfolio. Furthermore, we show that a specific Gauss-Markov random field model can be treated within this framework, and explicitly calculate the optimal portfolio. We show that the optimal portfolio in this case can be identified with the discontinuities of a certain function of the market parameters. In the second essay we price a claim, using the indifference valuation methodology, in the model presented in the first section. We appeal to the indifference pricing framework instead of the classic Black-Scholes method due to the natural incompleteness in such a market model. Because we price time-sensitive interest rate claims, the units in which we price are very important. This will require us to take care in formulating the investor’s utility function in terms of the units in which we express the wealth function. This leads to new results, namely a general change-of-numeraire theorem in incomplete markets via indifference pricing. Lastly, in the third essay, we propose a method to price credit derivatives, namely collateralized debt obligations (CDOs) using indifference. We develop a numerical algorithm for pricing such CDOs. The high illiquidity of the CDO market coupled with the allowance of default in the underlying traded assets creates a very incomplete market. We explain the market-observed prices of such credit derivatives via the risk aversion of investors. In addition to a general algorithm, several approximation schemes are proposed. / text

Submitted by Lenieze Lira (leniezeblira@gmail.com) on 2016-08-01T14:34:07Z No. of bitstreams: 1 Dissertação - Raimundo N. V. de Oliveira.pdf: 1180188 bytes, checksum: c115f87106ecc3e857d9523454d71ff4 (MD5) / Approved for entry into archive by Divisão de Documentação/BC Biblioteca Central (ddbc@ufam.edu.br) on 2016-08-19T15:47:13Z (GMT) No. of bitstreams: 1 Dissertação - Raimundo N. V. de Oliveira.pdf: 1180188 bytes, checksum: c115f87106ecc3e857d9523454d71ff4 (MD5) / Approved for entry into archive by Divisão de Documentação/BC Biblioteca Central (ddbc@ufam.edu.br) on 2016-08-22T12:47:49Z (GMT) No. of bitstreams: 1 Dissertação - Raimundo N. V. de Oliveira.pdf: 1180188 bytes, checksum: c115f87106ecc3e857d9523454d71ff4 (MD5) / Made available in DSpace on 2016-08-22T12:47:49Z (GMT). No. of bitstreams: 1 Dissertação - Raimundo N. V. de Oliveira.pdf: 1180188 bytes, checksum: c115f87106ecc3e857d9523454d71ff4 (MD5) Previous issue date: 2016-03-11 / CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / In this present work, we study the “no validity” of Peano Theorem of Weak Form in Banach spaces with separable quotient of infinite dimension, in a more precise way, we show that if X is a Banach space with the quotient separable infinite-dimensional, then there is a continuous map f : X ! X such that autonomous differential equation x0 = f(x) has no solution at any point. / Neste presente trabalho, faremos o estudo da “não validade” da Forma Fraca do Teorema de Peano em espaços de Banach com quociente separável de dimensão infinita ou, de uma forma mais precisa, mostraremos que se X é um espaço de Banach com quociente separável de dimensão infinita, então existe uma aplicação contínua f : X ! X tal que a equação diferencial autônoma x0 = f(x) não tem solução em qualquer ponto.

Les techniques d’optimisation non-lisse permettent de résoudre des problèmes difficiles de l’ingénieur automaticien qui étaient inaccessibles avec les techniques classiques. Il s’agit en particulier de problèmes de commande ou de filtrage impliquant de multiples modèles ou faisant intervenir des contraintes de structure pour la réduction des couts et de la complexité. Il en résulte que ces techniques sont plus à même de fournir des solutions réalistes dans des problématiques pratiques difficiles. Les industriels européens de l’aéronautique et de l’espace ont récemment porté un intérêt tout particulier à ces nouvelles techniques. Ces dernières font parfois partie du "process" industriel (THALES, AIRBUS DS Satellite, DASSAULT A) ou sont utilisées dans les bureaux d’étude: (SAGEM, AIRBUS Transport). Des études sont également en cours comme celle concernant le pilotage atmosphérique des futurs lanceurs tels d’Ariane VI. L’objectif de cette thèse concerne l'exploration, la spécialisation et le développement des techniques et outils de l'optimisation non-lisse pour des problématiques d'ingénierie non résolues de façon satisfaisante - incertitudes de différente nature - optimisation de l'observabilité et de la contrôlabilité - conception simultanée système et commande Il s’agit aussi d’évaluer le potentiel de ces techniques par rapport à l’existant avec comme domaines applicatifs l’aéronautique, le spatial ou les systèmes de puissance de grande dimension qui fournissent un cadre d’étude particulièrement exigeant. / Non-smooth optimization techniques help solving difficult engineering problems that would be unsolvable otherwise. Among them, control problems with multiple models or with constraints regarding the structure of the controller. The thesis objectives consist in the exploitation, specialization and development of non smooth optmization techniques and tools for solving engineering problems that are not satisfactorily solved to the present.

We study nonlinear stability of steady state solutions of partial differential equations governing the thermomechanical evolution of viscoelastic fluids; materials that exhibit both viscous as well as elastic response when undergoing deformation. It is well-known that thermodynamical concepts can be gainfully exploited in the construction of Lya- punov functionals for nonlinear stability analysis of spatially homogeneous equilibrium rest states in thermodynamically closed systems. We show that the thermodynamically oriented approach can be utilized in the nonlinear stability analysis of spatially inhomo- geneous non-equilibrium steady states in thermodynamically open systems as well. The thesis consists of two parts. In the first part, we revisit the classical construction of Lyapunov functionals in thermodynamically closed systems and we apply the nonlinear stability theory to compressible heat-conducting viscoelastic fluids modeled by a multi- scale, as well as a purely macroscopic approach. In the second part, we focus on two special instances of thermodynamically open systems. First, we show that the spatially inhomogeneous non-equilibrium steady state of an incompressible heat-conducting vis- coelastic fluid, which occupies a mechanically isolated vessel with walls kept at spatially non-uniform...

Inspired by problems in gauge field theory, this thesis is concerned with various aspects of infinite-dimensional differential geometry. In the first part, a local normal form theorem for smooth equivariant maps between tame Fréchet manifolds is established. Moreover, an elliptic version of this theorem is obtained. The proof these normal form results is inspired by the Lyapunov–Schmidt reduction for dynamical systems and by the Kuranishi method for moduli spaces, and uses a slice theorem for Fréchet manifolds as the main technical tool. As a consequence of this equivariant normal form theorem, the abstract moduli space obtained by factorizing a level set of the equivariant map with respect to the group action carries the structure of a Kuranishi space, i.e., such moduli spaces are locally modeled on the quotient by a compact group of the zero set of a smooth map. In the second part of the thesis, the theory of singular symplectic reduction is developed in the infinite-dimensional Fréchet setting. By refining the above construction, a normal form for momentum maps similar to the classical Marle–Guillemin–Sternberg normal form is established. Analogous to the reasoning in finite dimensions, this normal form result is then used to show that the reduced phase space decomposes into smooth manifolds each carrying a natural symplectic structure. Finally,the singular symplectic reduction scheme is further investigated in the situation where the original phase space is an infinite-dimensional cotangent bundle. The fibered structure of the cotangent bundle yields a refinement of the usual orbit-momentum type strata into so-called seams. Using a suitable normal form theorem, it is shown that these seams are manifolds. Taking the harmonic oscillator as an example, the influence of the singular seams on dynamics is illustrated. The general results stated above are applied to various gauge theory models. The moduli spaces of anti-self-dual connections in four dimensions and of Yang–Mills connections in two dimensions is studied. Moreover, the stratified structure of the reduced phase space of the Yang–Mills–Higgs theory is investigated in a Hamiltonian formulation after a (3 + 1)-splitting.

[pt] Decompõe-se o espaço das curvas não-degeneradas sobre a n-esfera sujeitas a uma dada matriz de monodromia (munido de uma estrutura de variedade de Hilbert adequada) em uma coleção enumerável de células contráteis parametrizadas pelos itinerários admissíveis para os levantamentos a SOn+1 das referidas curvas através das células obtidas de uma estratificação de SOn+1 estreitamente relacionada com a clássica decomposição de Bruhat de GLn+1. A expressão itinerário admissível significa aqui uma sequência finita de células sujeitas a umas poucas restrições que, ademais, são naturalmente insinuadas pela geometria do problema. O principal interesse dessa nova abordagem é que essa combinatorialização funciona homogeneamente em todas as dimensões n (não obstante óbvias dificuldades computacionais), diferentemente dos métodos ad-hoc, de cunho mais geométrico, até aqui empregados para obter informações topológicas sobre esses e outros espaços de curvas relacionados (que têm sido bem sucedidos apenas em dimensões n baixas). Essa abordagem pode ser considerada como uma primeira tentativa de chegar a um método unificado para a determinação do tipo homotópico de tais espaços, e ajuda a dispensar certos argumentos de análise funcional usualmente empregados na definição da topologia correta para os referidos espaços de curvas. / [en] The space of nondegenerate curves on the n-sphere subject to a fixed monodromy matrix (provided with a suitable Hilbert manifold structure) is decomposed into a countable collection of contractible cells parameterized by the SOn+1-lifted curves admissible itineraries through cells arriving from a stratification of SOn+1 closely related to the classical Bruhat decomposition of GLn+1. The expression admissible itinerary herein stands for a finite sequence of cells subject to a few constraints that are otherwise naturally suggested by the geometry of the problem. The main interest of such a new approach is that this combinatorialization works homogeneously in any dimension n (with obvious computational difficulties), unlike the more geometry-flavoured ad-hoc methods for achieving topological information about these and related spaces of curves (which usually have had a good run only in low dimensions n). This approach can be regarded as a first attempt at a unified method for figuring out the homotopy-type of such spaces, and it helps to override some functional analysis arguments usually deployed in defining the right topology for these spaces of curves.

Ce travail porte sur la régulation de la sortie des systèmes aux paramètres distribués. Pour ce faire, un simple contrôleur proportionnel intégral est utilisé, puis la stabilité du système en boucle fermée est démontrée à l'aide d'une fonction de Lyapunov. La principale contribution de ce travail est la construction d'un nouveau type de fonction de Lyapunov qui s'inspire d'une méthode bien connue dans le cadre des systèmes non-linéaires : le forwarding.Dans une première partie, le système est établi avec des opérateurs dont les propriétés sont données dans le cadre des semigroupes, puis la problématique de la régulation par contrôleur P-I est posé. Grâce à cette construction de Lyapunov, on peut répondre à cette problématique sous certaines hypothèses. Le lien est alors fait avec les résultats existants dans ce contexte. Dans la seconde partie, la problématique de la régulation est posée pour un système composé de n × n équations hyperboliques linéaires où l'entrée et la sortie se situent sur les conditions aux frontières des EDPs. Sous certaines hypothèses, le résultat permet de réguler n'importe quel vecteur de sortie composé linéairement des conditions aux frontières du système. Cela généralise de nombreux travaux portant sur les systèmes composés d'équations hyperboliques et l'utilisation de contrôleur P-I. Enfin dans le dernier chapitre, les vibrations mécaniques dans les tiges de forage sont étudiées comme cas d'application. Dans un premier temps, le comportement de solutions issues de différents modèles utilisés pour l'étude de ces déformations est détaillé. Dans un second temps, il est montré que la nouvelle fonctionnelle de Lyapunov permet de prendre en compte des modèles plus complexes et d'obtenir la régulation de la vitesse de la tige au fond du forage en ne mesurant que la vitesse en haut du puits. A la fin du chapitre, de nombreuses simulations numériques viennent illustrer nos résultats théoriques / This monograph is devoted to the output regulation of some distributed parameters systems. To reach this objective, a simply proportional integral controller is implemented. Then the stability of the closed loop is proved using a Lyapunov functional that can be built given a Lyapunov functional for the open-loop system. The main contribution of this work is the method to build the Lyapunov functional, it is inspired by a well-known method in non-linear system theory : the forwarding. In a first part, the system studied is an abstract Cauchy problem and the problematic is stated using semigroup theory. Thanks to the Lyapunov employed, the regulation can be guaranteed providing some assumption on the systems operators. The second part detailed how the output regulation can be obtain for all linear outputs when the system is a n × n systems of linear balance laws in one space dimension. The result is given in the case where inputs and outputs act on the PDE’s boundary conditions and for open-loop stabilizable system. It generalize many contribution in the topic of output regulation for systems of linear balance laws. Last but not least, a part is devoted to the study of mechanicals vibrations in a drill pipe. In a first time, the behavior of the solutions for different kind of models use to model the drill pipe is detailed. Then, it is shown that the new Lyapunov functional allow to take into account complex, infinite dimensional model and to regulate the drill pipe velocity at the bottom of the wellbore by only measuring the surface velocity and with a P-I controller. At the end, some simulations are given that illustrate the result

La recherche d'une compactification de l'ensemble des métriques Riemanniennes à singularités coniques sur une surface amène naturellement à l'étude des "surfaces à Courbure Intégrale Bornée au sens d'Alexandrov". Il s'agit d'une géométrie singulière, développée par A. Alexandrov et l'école de Leningrad dans les années 1970, et dont la caractéristique principale est de posséder une notion naturelle de courbure, qui est une mesure. Cette large classe géométrique contient toutes les surfaces "raisonnables" que l'on peut imaginer.Le résultat principal de cette thèse est un théorème de compacité pour des métriques d'Alexandrov sur une surface ; un corollaire immédiat concerne les métriques Riemanniennes à singularités coniques. On décrit dans ce manuscrit trois hypothèses adaptées aux surfaces d'Alexandrov, à la manière du théorème de compacité de Cheeger-Gromov qui concerne les variétés Riemanniennes à courbure bornée, rayon d'injectivité minoré et volume majoré. On introduit notamment la notion de rayon de contractibilité, qui joue le rôle du rayon d'injectivité dans ce cadre singulier.On s'est également attachés à étudier l'espace (de module) des métriques d'Alexandrov sur la sphère, à courbure positive le long d'une courbe fermée. Un sous-ensemble intéressant est constitué des convexes compacts du plan, recollés le long de leurs bords. A la manière de W. Thurston, C. Bavard et E. Ghys, qui ont considéré l'espace de module des polyèdres et polygones (convexes) à angles fixés, on montre que l'identification d'un convexe à sa fonction de support fait naturellement apparaître une géométrie hyperbolique de dimension infinie, dont on étudie les premières propriétés. / If we look for a compactification of the space of Riemannian metrics with conical singularities on a surface, we are naturally led to study the "surfaces with Bounded Integral Curvature in the Alexandrov sense". It is a singular geometry, developed by A. Alexandrov and the Leningrad's school in the 70's, and whose main feature is to have a natural notion of curvature, which is a measure. This large geometric class contains any "reasonable" surface we may imagine.The main result of this thesis is a compactness theorem for Alexandrov metrics on a surface ; a straightforward corollary concerns Riemannian metrics with conical singularities. We describe here three hypothesis which pair with the Alexandrov surfaces, following Cheeger-Gromov's compactness theorem, which deals with Riemannian manifolds with bounded curvature, injectivity radius bounded by below and volume bounded by above. Among other things, we introduce the new notion of contractibility radius, which plays the role of the injectivity radius in this singular setting.We also study the (moduli) space of Alexandrov metrics on the sphere, with non-negative curvature along a closed curve. An interesting subset is the set of compact convex sets, glued along their boundaries. Following W. Thurston, C. Bavard and E. Ghys, who considered the moduli space of (convex) polyhedra and polygons with fixed angles, we show that the identification between a convex set and its support function give rise to an infinite dimensional hyperbolic geometry, for which we study the first properties.

L'objectif principal de ce travail de recherche est de contrôler l'évolution de la distribution des tailles de cristaux (DTC) dans un procédé de cristallisation en batch. Nous avons été amenés à chercher une résolution numérique du bilan de population et à proposer un algorithme rapide et précis. La méthode numérique a été étendue au cas de la taille des cristaux multidimensionnels en utilisant un maillage mouvant. Nous avons étudié le problème de la commandabilité du système à partir de son modèle discrétisé et puis à partir du modèle continu. Nous avons conçu une loi de commande en boucle fermée pour atteindre la DTC désirée à partir de la condition initiale. Pour compenser l'incertitude des paramètres du modèle, nous avons ajouté un second contrôle par retour d'état afin d'assurer la poursuite de la DTC désirée en présence de l'incertitude des paramètres. Nous avons construit un observateur qui nous permet d'avoir en ligne l'estimation des variables d'états. Ces variables d'état estimées sont utilisées dans la synthèse de la loi du contrôle / The main objective of this research is to control the evolution of the Crystal Size Distribution (CSD) in a batch crystallization process. We are led to study a numerical resolution of the population balance and propose an algorithm for fast and accurate simulation. This method was extended to the case of the two-dimensional crystal by using a moving mesh. We studied the problem of controllability of the system from its discretized model and then from the continuous model. To compensate the uncertainty of the model parameters, we added the second state feedback control to ensure the tracking of the desired CSD in presence of parameter uncertainty. We constructed an observer who provides us with on-line estimation of state variables. These state variables estimated are used in the control law synthesis

Dans ce mémoire nous avons développé des méthodes de réduction des systèmes hamiltoniens à port en dimension finie et infinie qui préservent leur structure. Dans la première partie, nous avons défini une représentation des systèmes hamiltoniens à port avec contraintes sous la forme d'équations différentielles algébriques (DEA) de type de système descripteur. De cette forme nous avons déduit une réalisation équilibrée du système hamiltonien à port exprimée sous forme de système descripteur contenant les mêmes systèmes d'équations de contrainte. Dans la deuxième partie, nous avons défini une classe de problèmes de commande LQG tels que le contrôleur dynamique LQG est passif et admet une réalisation hamiltonien à port. Deux méthodes de synthèse de commande passive LQG sont proposées et une de ces méthodes LQG nous a permis de définir une réalisation équilibrée LQG. Puis nous avons appliqué la méthode de contrainte de l'effort pour réduire le système hamiltonien à port et obtenir une commande LQG passive d'ordre réduit. Ce contrôleur LQG admettant une réalisation hamiltonienne, la structure hamiltonienne est préservée pour le système en boucle fermée par interconnexion de systèmes hamiltoniens à port. Dans la troisième partie, nous avons généralisé les résultats précédents aux systèmes hamiltoniens à ports linéaires de dimension infinie. Pour cela nous avons considéré une classe de systèmes hamiltoniens à ports de dimension infinie dont l'opérateur d'entrée est borné et un problème de commande LQG passif. Sous des conditions de nucléarité de l'opérateur de Hankel lié au problème LQG, nous définissons une réalisation équilibrée LQG passive du système et une approximation en dimension finie. Le contrôleur LQG passif d'ordre réduit obtenu par cette approximation admet une réalisation hamiltonienne à port et par conséquent la structure hamiltonienne et la passivité sont préservées en boucle fermée / In this thesis we have developed different structure preserving reduction methods for finite and infinite dimensional port Hamiltonian systems by using a balanced model reduction approach. In the first part we have defined a descriptor representation of port Hamiltonian systems with constraints. The balanced realization of the descriptor system has been used for reducing the port Hamiltonian descriptor system and conserving explicitly the constraint equations. In the second part, conditions have been derived on the weighting matrices of the LQG control problem such that the dynamical LQG controller is passive and has a port Hamiltonian realization. Two passive LQG control design methods have been suggested and one of them allows us to define a LQG balanced realization. Based on this realization, the effort constraint method has been used to reduce the LQG balanced port Hamiltonian system and obtain a reduced order passive LQG controller. In this way the closed-loop system is derived from the interconnection of 2 port Hamiltonian systems, hence the Hamiltonian structure has been preserved. In the third part, the proceeding results have been extended to a class of infinite dimensional port Hamiltonian system with bounded input operator. A passive LQG control design method for infinite dimensional port Hamiltonian system has been derived as by Control by Interconnection (CbI). Based on the balanced realization associated with this passive LQG control design, a finite dimensional approximation has been achieved and a reduced order passive LQG controller has been derived. As a consequence, the system in closed-loop with this reduced order LQG controller again admits a port Hamiltonian structure and satisfies the passivity