A convertible bond (CB) is a financial derivative, a so called hybrid security. It is an issued contract from a company or a government, which is paid for up-front. The contract yields a known amount at the specified maturity date, unless the holder chooses to convert it into an amount of the underlying asset. This kind of financial products can have complex features affecting the contract price and the optimal exercising situation. The partial differential equation (PDE) approach used for pricing financial derivatives makes it possible to describe convertible bonds with a physical model, a reversed diffusion described by a parabolic PDE. One can sometimes find both analytical and numerical solutions for this type of PDEs and interpret the solutions from a financial point of view, as they suggest predictable behaviour of the contract price.

This work is a numerical study of the 2-D heat equation with Dirichlet boundary conditions over a polygonal domain. The motivation for this study is a chemical vapor deposition (CVD) reactor in which a substrate is heated while being exposed to a gas containing precursor molecules. The interaction between the gas and the substrate results in the deposition of a compound thin film on the substrate. Two different numerical approximations are implemented to produce numerical solutions describing the conduction of thermal energy in the reactor. The first method used is a Crank-Nicholson finite difference technique which tranforms the 2-D heat equation into an algebraic system of equations. For the second method, a semi-discrete method is used which transforms the partial differential equation into a system of ordinary differential equations. The goal of this work is to investigate the influence of boundary conditions, domain geometry, and initial condition on thermal conduction throughout the reactor. Once insight is gained with respect to the aforementioned conditions, optimal design and control can be investigated. This work represents a first step in our long term goal of developing optimal design and control of such CVD systems. This work has been funded through Partnerships in Research Excellence and Transition (PRET) grant number F49620-96-1-0329. / Master of Science

Ce travail s’inscrit dans un contexte de contrôle de la pollution des ressources en eau. On s’intéresse plus particulièrement à l’impact des engrais d’origine agricole sur la qualité de l’eau, en alliant modélisation économique et hydrogéologique. Pour cela, nous définissons d’une part un objectif économique spatio-temporel prenant en compte le compromis entre l’utilisation d’engrais et les coûts de dépollution. D’autre part, nous décrivons le transport du polluant dans le sous-sol (3D en espace) par un système non linéaire d’équations aux dérivées partielles couplées de type parabolique (réaction-convection-dispersion) et elliptique dans un domaine borné. Nous prouvons l’existence globale d’une solution au problème de contrôle optimal. L’unicité est quant à elle démontrée par analyse asymptotique pour le problème effectif tenant compte de la faible concentration d’engrais en sous-sol. Nous établissons les conditions nécessaires d’optimalité et le problème adjoint associé à notre modèle. Quelques exemples analytiques sont donnés et illustrés. Nous élargissons ces résultats au cadre de la théorie des jeux, où plusieurs joueurs interviennent, et prouvons notamment l’existence d’un équilibre de Nash. Enfin, ce travail est illustré par des résultats numériques (2D en espace), obtenus en couplant un schéma de type Éléments Finis Mixtes avec un algorithme de gradient conjugué non linéaire. / This work is devoted to water ressources pollution control. We especially focus on the impact of agricultural fertilizer on water quality, by combining economical and hydrogeological modeling. We define, on one hand, the spatio-temporal objective, taking into account the trade off between fertilizer use and the cleaning costs. On an other hand, we describe the pollutant transport in the underground (3D in space) by a nonlinear system coupling a parabolic partial differential equation (reaction-advection-dispersion) with an elliptic one in a bounded domain. We prove the global existence of the solution of the optimal control problem. The uniqueness is proved by asymptotic analysis for the effective problem taking into account the low concentration fertilizer. We define the optimal necessary conditions and the adjoint problem associated to the model. Some analytical results are provided and illustrated. We extend these results within the framework of game theory, where several players are involved, and we prove the existence of a Nash equilibrium. Finally, this work is illustrated by numerical results (2D in space), produced by coupling a Mixed Finite Element scheme with a nonlinear conjugate gradient algorithm.