In this thesis, we study these models and design and analyze robust numerical methods to solve them. To proceed in this direction, first we study the sub-models and then the full model. The first sub-model describes the transmission dynamics of HIV that accounts for behavior change. The impact of HIV educational campaigns is also studied. Further, we explore the effects of behavior change and different responses of individuals to educational campaigns in a situation where individuals may not react immediately to these campaigns. This is done by considering a distributed time delay in the HIV sub-model. This leads to Hopf bifurcations around the endemic equilibria of the model. These bifurcations correspond to the existence of periodic solutions that oscillate around the equilibria at given thresholds. Further, we show how the delay can result in more HIV infections causing more increase in the HIV prevalence. Part of this study is then extended to study a co-infection model of HIV-TB. A thorough bifurcation analysis is carried out for this model. Robust numerical methods are then designed and analyzed for these models. Comparative numerical results are also provided for each model.

Options are a special type of derivative securities because their values are derived from the value of some underlying security. Most options can be grouped into either of the two categories: European options which can be exercised only on the expiration date, and American options which can be exercised on or before the expiration date. American options are much harder to deal with than European ones. The reason being the optimal exercise policy of these options which led to free boundary problems. Ever since the seminal work of Black and Scholes [J. Pol. Econ. 81(3) (1973), 637-659], the differential equation approach in pricing options has attracted many researchers. Recently, numerical singular perturbation techniques have been used extensively for solving many differential equation models of sciences and engineering. In this thesis, we explore some of those methods which are based on spline approximations to solve the option pricing problems. We show a systematic construction and analysis of these methods to solve some European option problems and then extend the approach to solve problems of pricing American options as well as some exotic options. Proposed methods are analyzed for stability and convergence. Thorough numerical results are presented and compared with those seen in the literature.

<p>The global impact of the converging dual epidemics of tuberculosis (TB) and human immunodeficiency virus (HIV) is one of the major public health challenges of our time, because in many countries, human immunodeficiency virus (HIV) and mycobacterium tuberculosis (TB) are among the leading causes of morbidity and mortality. It is found that infection with HIV increases the risk of reactivating latent TB infection, and HIV-infected individuals who acquire new TB infections have high rates of disease progression. Research has shown that these two diseases are enormous public health burden, and unfortunately, not much has been done in terms of modeling the dynamics of HIV-TB co-infection at a population level. In this thesis, we study these models and design and analyze robust numerical methods to solve them. To proceed in this direction, first we study the sub-models and then the full model. The first sub-model describes the transmission dynamics of HIV that accounts for behavior change. The impact of HIV educational campaigns is also studied. Further, we explore the effects of behavior change and different responses of individuals to educational campaigns in a situation where individuals may not react immediately to these campaigns. This is done by considering a distributed time delay in the HIV sub-model. This leads to Hopf bifurcations around the endemic equilibria of the model. These bifurcations correspond to the existence of periodic solutions that oscillate around the equilibria at given thresholds. Further, we show how the delay can result in more HIV infections causing more increase in the HIV prevalence. Part of this study is then extended to study a co-infection model of HIV-TB. A thorough bifurcation analysis is carried out for this model. Robust numerical methods are then designed and analyzed for these models.&nbsp / Comparative numerical results are also provided for each model.</p>

A robust computational framework is presented for the risk-neutral valuation of capital guarantees written on discretely-reallocated portfolios following the Constant Proportion Portfolio Insurance (CPPI) strategy. Aiming to address the (arguably more realistic) cases where analytical results are unavailable, this framework accommodates risky-asset jumps, volatility surfaces, borrowing restrictions, nonuniform reallocation schedules and autonomous CPPI floor trajectories. The two-asset state space representation developed herein facilitates visualising the CPPI strategy, which in turn provides insight into grid design and interpolation. It is demonstrated that given a deterministic process for the risk-free rate, the pricing problem can be cast as solving cascading systems of 1D partial integro-differential equations (PIDEs). This formulation’s stability and monotonicity are studied. In addition to making more sense financially, the limited borrowing variant of the CPPI strategy is found to be better suited than the classical (unlimited borrowing) counterpart for bounded-domain calculations. Consequently, it is demonstrated how the unlimited borrowing problem can be approximated by imposing an artificial borrowing limit. For implementation validation, analytical solutions to special cases are derived. Numerical tests are presented to demonstrate the versatility of this framework.

There is often freedom in choosing the location of actuators on systems governed by partial differential equations. The actuator locations should be selected in order to optimize the performance criterion of interest. The main focus of this thesis is to consider H-∞-performance with state-feedback. That is, both the controller and the actuator locations are chosen to minimize the effect of disturbances on the output of a full-information plant. Optimal H-∞-disturbance attenuation as a function of actuator location is used as the cost function. It is shown that the corresponding actuator location problem is well-posed. In practice, approximations are used to determine the optimal actuator location. Conditions for the convergence of optimal performance and the corresponding actuator location to the exact performance and location are provided. Examples are provided to illustrate that convergence may fail when these conditions are not satisfied. Systems of large model order arise in a number of situations; including approximation of partial differential equation models and power systems. The system descriptions are sparse when given in descriptor form but not when converted to standard first-order form. Numerical calculation of H-∞-attenuation involves iteratively solving large H-∞-algebraic Riccati equations (H-∞-AREs) given in the descriptor form. An iterative algorithm that preserves the sparsity of the system description to calculate the solutions of large H-∞-AREs is proposed. It is shown that the performance of our proposed algorithm is similar to a Schur method in many cases. However, on several examples, our algorithm is both faster and more accurate than other methods. The calculation of H-∞-optimal actuator locations is an additional layer of optimization over the calculation of optimal attenuation. An optimization algorithm to calculate H-∞-optimal actuator locations using a derivative-free method is proposed. The results are illustrated using several examples motivated by partial differential equation models that arise in control of vibration and diffusion.

We apply some recent numerical solutions to diffusion bridges written in Iacus (2008). One is an approximate scheme from Bladt and S{\o}rensen (2007), another one, from  Beskos et al (2006), is an algorithm which is exact: no numerical error at given grid points!

<p>We apply some recent numerical solutions to diffusion bridges written in Iacus (2008). One is an approximate scheme from Bladt and S{\o}rensen (2007), another one, from  Beskos et al (2006), is an algorithm which is exact: no numerical error at given grid points!</p>

A two-dimensional Boundary Element Method (BEM) is developed to study the strongly nonlinear interaction between a surface-piercing body and the free-surface. The scheme is applied to problems with and without the possibility of ventilation resulting from the motion and geometric configuration of the surface-piercing body. The main emphasis of this research work is on the development of numerical methods to improve the performance prediction of surface-piercing propellers by including the whole range of free-surface nonlinearities. The scheme is applied to predict the ventilated cavity shapes resulting from the vertical and rotational motion of a blade-section with fully nonlinear free-surface boundary conditions. The current method is able to predict the ventilated cavity shapes for a wide range of angles of attack and Froude numbers, and is in good agreement with existing experimental results. Through a comparison with a linearized free-surface method, the current method highlights the shortcomings of the negative image approach used commonly in two-dimensional and three-dimensional numerical methods for surface-piercing hydrofoils or propellers. The current method with all its capabilities makes it a unique contribution to improving numerical tools for the performance prediction of surface-piercing propellers. The scheme is also applied to predict the roll and heave dynamics of two-dimensional Floating Production Storage and Offloading (FPSO) vessel hull sections within a potential flow framework. The development of the potential flow model is aimed at validating the free-surface dynamics of an independently developed Navier Stokes Solver for predicting the roll characteristics of two-dimensional hull sections with bilge keels. / text

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