Magister Scientiae - MSc / Many chemical and physical problems are mathematically described by partial differential equations (PDEs). These PDEs are often highly nonlinear and therefore have no closed form solutions. Thus, it is necessary to recourse to numerical approaches to determine suitable approximations to the solution of such equations. For solutions possessing sharp spatial transitions (such as boundary or interior layers), standard numerical methods have shown limitations as they fail to capture large gradients. The method of lines (MOL) is one of the numerical methods used to solve PDEs. It proceeds by the discretization of all but one dimension leading to systems of ordinary di erential equations. In the case of time-dependent PDEs, the MOL consists of discretizing the spatial derivatives only leaving the time variable continuous. The process results in a system to which a numerical method for initial value problems can be applied. In this project we consider various types of singularly perturbed time-dependent PDEs. For each type, using the MOL, the spatial dimensions will be discretized in many different ways following fitted numerical approaches. Each discretisation will be analysed for stability and convergence. Extensive experiments will be conducted to confirm the analyses.

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

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<p>In this work, we develop several special computational structures of Neural Networks based on some existing approaches such as Auto-Encoder and DeepONet. Combined with classic numerical methods in scientific computing, finite difference and SAV method, our model is able to solve the operator learning tasks of partial differential equations accurately in both data-driven and non-data-driven settings. The high dimensional problem requires a large number of samples for training in the normal settings of Neural network training. The proposed</p> <p>model equipped with auto-encoder performs the dimension reduction for the input operator, which discovers the intrinsic hidden features, to reduce the number of samples needed for training. In addition, the non-linear basis of the hidden variables are constructed</p> <p>for both the operator variable and the solution of the equation, leading to a concise representation of the solution. For non data-driven setting, our method derives the solution of the equation with only initial and boundary condition, where the normal network can not manage to do it, with the assistance of SAV method. Besides, it preserves the advantages of DeepONet. It performs the operator learning with various initial conditions or parametric equations. The modified energy is defined to estimate the true energy of the system and it has the monotonic decreasing property. It also serves as an indicator of the suitable time step, allowing the model to adjust the time step. Finally, the optimization is a key procedure of network training. We propose a new optimization method based on SAV. It allows a much</p> <p>larger learning rate compared to SGD and ADAM, which are most popular methods used nowadays. Moreover, It also allows the adaptive learning rate to pursue the faster speed converging to the critical point.</p>

No / In this paper we discuss a novel method of mathematically modelling facial action units for accurate representation of human facial expressions in 3- dimensions. Our method utilizes the approach of Facial Action Coding System (FACS). It is based on a boundary-value approach, which utilizes a solution to a fourth order elliptic Partial Differential Equation (PDE) subject to a suitable set of boundary conditions. Here the PDE surface generation method for human facial expressions is utilized in order to generate a wide variety of facial expressions in an efficient and realistic way. For this purpose, we identify a set of boundary curves corresponding to the key features of the face which in turn define a given facial expression in 3-dimensions. The action units (AUs) relating to the FACS are then efficiently represented in terms of Fourier coefficients relating to the boundary curves which enables us to store both the face and the facial expressions in an efficient way.

This thesis is devoted to the study of the applications of the error theory using Dirichlet forms. Our work is split into three parts. The first one deals with the models described by stochastic differential equations. After a short technical chapter, an innovative model for order books is proposed. We assume that the bid-ask spread is not an imperfection, but an intrinsic property of exchange markets instead. The uncertainty is carried by the Brownian motion guiding the asset. We find that spread evolutions can be evaluated using closed formulae and we estimate the impact of the underlying uncertainty on the related contingent claims. Afterwards, we deal with the PBS model, a new model to price European options. The seminal idea is to distinguish the market volatility with respect to the parameter used by traders for hedging. We assume the former constant, while the latter volatility being an erroneous subjective estimation of the former. We prove that this model anticipates a bid-ask spread and a smiled implied volatility curve. Major properties of this model are the existence of closed formulae for prices, the impact of the underlying drift and an efficient calibration strategy. The second part deals with the models described by partial differential equations. Linear and non-linear PDEs are examined separately. In the first case, we show some interesting relations between the error and wavelets theories. When non-linear PDEs are concerned, we study the sensitivity of the solution using error theory. Except when exact solution exists, two possible approaches are detailed: first, we analyze the sensitivity obtained by taking "derivatives" of the discrete governing equations. Then, we study the PDEs solved by the sensitivity of the theoretical solutions. In both cases, we show that sharp and bias solve linear PDE depending on the solution of the former PDE itself and we suggest algorithms to evaluate numerically the sensitivities. Finally, the third part is devoted to stochastic partial differential equations. Our analysis is split into two chapters. First, we study the transmission of an uncertainty, present on starting conditions, on the solution of SPDE. Then, we analyze the impact of a perturbation of the functional terms of SPDE and the coefficient of the related Green function. In both cases, we show that the sharp and bias verify linear SPDE depending on the solution of the former SPDE itself

The thesis presents a new method of Symmetry Analysis of the Black-Scholes Merton Finance Model through modi ed Local one-parameter transformations. We determine the symmetries of both the one-dimensional and two-dimensional Black-Scholes equations through a method that involves the limit of in nitesimal ! as it approaches zero. The method is dealt with extensively in [23]. We further determine an invariant solution using one of the symmetries in each case. We determine the transformation of the Black-Scholes equation to heat equation through Lie equivalence transformations. Further applications where the method is successfully applied include working out symmetries of both a Gaussian type partial di erential equation and that of a di erential equation model of epidemiology of HIV and AIDS. We use the new method to determine the symmetries and calculate invariant solutions for operators providing them. / Mathematical Sciences / Applied Mathematics / D. Phil. (Applied Mathematics)

Cette thèse est consacrée au contrôle de quelques équations aux dérivées partielles non linéaires. On s’intéresse notamment à des systèmes paraboliques de réaction-diffusion non linéaires issus de la cinétique chimique. L’objectif principal est de démontrer des résultats de contrôlabilité locale ou globale, en temps petit, ou en temps grand.Dans une première partie, on démontre un résultat de contrôlabilité locale à des états stationnaires positifs en temps petit, pour un système de réaction-diffusion non linéaire.Dans une deuxième partie, on résout une question de contrôlabilité globale à zéro en temps petit pour un système 2 × 2 de réaction-diffusion non linéaire avec un couplage impair.La troisième partie est consacrée au célèbre problème ouvert d’Enrique Fernández-Cara et d’Enrique Zuazua des années 2000 concernant la contrôlabilité globale à zéro de l’équation de la chaleur faiblement non linéaire. On démontre un résultat de contrôlabilité globale à états positifs en temps petit et un résultat de contrôlabilité globale à zéro en temps long.La dernière partie, rédigée en collaboration avec Karine Beauchard et Armand Koenig, est une incursion vers l’hyperbolique. On étudie des systèmes linéaires à coefficients constants, couplant une dynamique transport avec une dynamique parabolique. On identifie leur temps minimal de contrôle et l’influence de leur structure algébrique sur leurs propriétés de contrôle. / This thesis is devoted to the control of nonlinear partial differential equations. We are mostly interested in nonlinear parabolic reaction-diffusion systems in reaction kinetics. Our main goal is to prove local or global controllability results in small time or in large time.In a first part, we prove a local controllability result to nonnegative stationary states in small time, for a nonlinear reaction-diffusion system.In a second part, we solve a question concerning the global null-controllability in small time for a 2 × 2 nonlinear reaction-diffusion system with an odd coupling term.The third part focuses on the famous open problem due to Enrique Fernndez-Cara and Enrique Zuazua in 2000, concerning the global null-controllability of the weak semi-linear heat equation. We show that the equation is globally nonnegative controllable in small time and globally null-controllable in large time.The last part, which is a joint work with Karine Beauchard and Armand Koenig, enters the hyperbolic world. We study linear parabolic-transport systems with constant coeffcients. We identify their minimal time of control and the influence of their algebraic structure on the controllability properties.