[pt] Esta pesquisa tem como objetivo o desenvolvimento de uma metodologia com base no método de elementos finitos para o estudo do problema de contato com atrito que surge na interação solo-duto no comportamento de dutos enterrados. O tratamento das restrições de contato e a incorporação da lei do atrito (tipo Coulomb) é feita através do Método da Penalidade, tomando como referência o trabalho de Laursen e Simo (2002), onde as restrições de contato são impostas de maneira aproximada com o uso de parâmetros de penalidade para as forças normal e tangencial no contato. As relações cinemáticas são descritas em termos de uma função diferenciável da distancia entre os corpos (gap). Para a discretização são empregados elementos hexaedricos de 8 nós com uma formulação híbrida - Enhanced Assumed Strain (EAS) e os efeitos de comportamento não-linear dos materiais envolvidos são considerados na presença de grandes deslocamentos e grandes deformações. A teoria da plasticidade é utilizada para modelar a natureza não-linear das relações constitutivas do duto. Aplicações considerando o problema de contato com atrito que surge na interação solo-duto são apresentadas. / [en] This research aims the development of a methodology based on the finite element method for 3D frictional contact problems such as the frictional contact problem that arises from the soil-pipe interaction of buried pipelines. The treatment of the contact restrictions and the incorporation of the friction law of the Coulomb type are carried out through a penalty method, where the contact restrictions are imposed in an approximated manner using penalty parameters for both normal and tangential forces. The cinematic relations are established in terms of the diferential funtion of the gap between bodies. Hexahedral eight-node elements are employed based on the Enhanced Assumed Strain (EAS) concept and the effects of the non-linear behavior of the materials are considered in presence of large displacements and large deformations. The theory of plasticity is used to model the non-linear nature of the constitutive relations of the pipe. Applications are presented considering the frictional contact problem that arises on the interaction surfaces of a buried structure such as an oil pipeline.

Au cours de cette thèse, nous nous sommes intéressés à la modélisation des interactions fluide-structure entre un fluide visqueux, incompressible et une structure pouvant être déformable. Après avoir présenté les différentes approches possibles de modélisation, nous introduisons une nouvelle méthode de type frontière immergée : la méthode IPC ("Image Point Correction"). Combinant approches Ghost-Cell et Pénalisation, cette méthode mixte du second degré globalement et localement en vitesse, est validée sur différents cas tests (comparaisons des coefficients aérodynamiques pour des cylindres fixes ou mobiles, sédimentation 2D d'un cylindre). Nous avons ensuite appliqué la méthode IPC à la simulation de la nage. Dans un premier temps, le solveur 2D a été couplé avec un algorithme d'optimisation mathématique afin de déterminer la loi de nage optimale pour une géométrie de poisson donnée. Puis, dans un second temps, nous avons simulé la nage 3D après reconstruction approchée de la géométrie, basée sur des images du nageur. Enfin, grâce à l'outil du squelette, une reconstruction réaliste du poisson est proposée. / The aim of this thesis is to investigate the modeling of fluid-structure interactions. The fluid is viscous and incompressible, and the structure is subject to an imposed deformation. After a survey of the different existing approachs to model fluid-structure interactions, we introduce a new immersed boundary method: the IPC method (”Image Point Correction”). This ap-proach merges Ghost-Cell and Penalty concepts. It is globally and locally second order in velocity, and it is validated through several canonical simulations. Then, we apply the IPC method to fish-like swimming. First, the 2D solver is paired up with a mathematical optimization algorithm to determine the optimal swimming law for a given fish geometry. Secondly, we simulate a 3D swimmer after performing an approximated reconstruction of the geometry based on actual fish pictures. Finally, thanks to the skeleton approach, a realistic reconstruction of the fish is exposed.

An option is a contract between two parties where the holder has the option to buy or sell some underlying asset after a predefined exercise time. Options where the holder only has the right to buy or sell at the exercise time is said to be of European-style, while options that can be exercised any time before the exercise time is said to be of American-style. Asian options are options where the payoff is determined by some average value of the underlying asset, e.g., the arithmetic or the geometric average. For arithmetic Asian options, there are no closed-form pricing formulas, and one must apply numerical methods. Several methods have been proposed and tested for Asian options. For example, the Monte Carlo method isslowforEuropean-styleAsianoptionsandnotapplicableforAmerican-styleAsian options. In contrast, the finite difference method have successfully been applied to price both European- and American-style Asian options. But from a financial point of view, one is also interested in different measures of sensitivity, called the Greeks, which are hard approximate with the finite difference method. For more accurate approximations of the Greeks, researchers have turned to the finite element method with promising results for European-style Asian options. However, the finite element method has never been applied to American-style Asian options, which still lack accurate approximations of the Greeks. Here we present a study of pricing European- and American-style Asian options using the finite element method. For European-style options, we consider two different pricing PDEs. The first equation we consider is a convection-dominated problem, which we solve by applying the so-called streamline-diffusion method. The second equation comes from modelling Asian options as options on a traded account, which we solve by using the so-called cG(1)cG(1) method. For American-style options, the model based on options on a traded account is not applicable. Therefore, we must consider the first convection-dominated problem. To handle American-style options, we study two different methods, a penalty method and the projected successive over-relaxation method. For European-style Asian options, both approaches give good results, but the model based on options on a traded account show more accurate results. For American-style Asian options, the penalty method give accurate results. Meanwhile, the projected successive over-relaxation method does not converge properly for the tested parameters. Our result is a first step towards an accurate and fast method to calculate the price and the Greeks of both European- and American-style Asian options. Because good estimations of the Greeks are crucial when hedging and trading of options, we anticipate that the ideas presented in this work can lead to new ways of trading with Asian options.

[pt] Neste trabalho apresenta-se a formulação e implementação de um modelo bidimensional de elementos finitos para análise estática, isotérmica, linear elástica de cascas finas tridimensionais isotrópicas submetidas à carregamentos gerais. A Geometria e o campo associado de deslocamentos do elemento quadrilateral proposto são representados por número variável de 4 a 16 pontos nodais definidos na superfície mediana de casca. O modelo emprega a formulação isoparamétrica, e a cinemática de deformação da casca é representada por três graus-de-liberdade à translação, definidos na superfície mediana do elemento. A partir da condição de que segmentos inicialmente retos e perpendiculares à superfície mediana da casca, permanecem retos, normais e inextensíveis durante e após o processo de deformação – teoria de LOVE para cascas finas – as rotações são definidas nas direções de curvatura principais da casca com os graus-de-liberdade à translação. As condições de contorno de continuidade da rotação da normal à casca entre elementos ou de nulidade da rotação no contorno de um elemento, devido à fixação, são garantidos utilizando-se o Método de Penalidades. No estado plano de deformação considerado os mecanismos de flexão e distensão da casca são associadas às direções das curvaturas principais em cada ponto da superfície mediana, devido à simplicidade da expressão analítica das equações de compatibilidade geométrica. Soluções numéricas para algumas estruturas, utilizando o modelo proposto, são comparadas com outros resultados analíticos e/ou numéricos disponíveis na literatura, demonstrando a aplicabilidade do elemento na representação de cascas finas tridimensionais utilizando apenas graus-de-liberdade à translação. / [en] The formulation of a simple but effective bi dimensional isoparametric displacemnet –based element for 3/D thin shell analysis is presented. The geometry and displacement fields are approximated using cubic interpolation functions defined on the shell mid –surface and represented by three spatial coordinates and three displacements only. The element Kinematics incorporates membrane and bending strain components with the assumption of zero transverse shear deformations being imposed in both shell curvature principal directions. This condition allows formulation of the element without using rotation as an independent degree-of-freedom, but the continuity conditions between two adjoining elements or the fixity condition between an element and a rigid wall are modeled by using a penalty procedure to enforce the boundary conditions on the local coordinate derivatives in the element mid-surface radial displacements. The element formulation has been implemented and the results of various sample analyses are given in order to illustrate the effectiveness of the proposed model in handling typical engineering shell analysis.

In this thesis we study the utility maximization problem for assets whose prices are cointegrated, which arises from the investment practice of convergence trading and its special forms, pairs trading and spread trading. The major theme in the first two chapters of the thesis, is to investigate the assumption of market-neutrality of the optimal convergence trading strategies, which is a ubiquitous assumption taken by practitioners and academics alike. This assumption lacks a theoretical justification and, to the best of our knowledge, the only relevant study is Liu and Timmermann (2013) which implies that the optimal convergence strategies are, in general, not market-neutral. We start by considering a minimalistic pairs-trading scenario with two cointegrated stocks and solve the Merton investment problem with power and logarithmic utilities. We pay special attention to when/if the stochastic control problem is well-posed, which is overlooked in the study done by Liu and Timmermann (2013). In particular, we show that the problem is ill-posed if and only if the agent’s risk-aversion is less than a constant which is an explicit function of the market parameters. This condition, in turn, yields the necessary and sufficient condition for well-posedness of the Merton problem for all possible values of agent’s risk-aversion. The resulting well-posedness condition is surprisingly strict and, in particular, is equivalent to assuming the optimal investment strategy in the stocks to be market-neutral. Furthermore, it is shown that the well-posedness condition is equivalent to applying Novikov’s condition to the market-price of risk, which is a ubiquitous sufficient condition for imposing absence of arbitrage. To the best of our knowledge, these are the only theoretical results for supporting the assumption of market-neutrality of convergence trading strategies. We then generalise the results to the more realistic setting of multiple cointegrated assets, assuming risk factors that effects the asset returns, and general utility functions for investor’s preference. In the process of generalising the bivariate results, we also obtained some well-posedness conditions for matrix Riccati differential equations which are, to the best of our knowledge, new. In the last chapter, we set up and justify a Merton problem that is related to spread-trading with two futures assets and assuming proportional transaction costs. The model possesses three characteristics whose combination makes it different from the existing literature on proportional transaction costs: 1) finite time horizon, 2) Multiple risky assets 3) stochastic opportunity set. We introduce the HJB equation and provide rigorous arguments showing that the corresponding value function is the viscosity solution of the HJB equation. We end the chapter by devising a numerical scheme, based on the penalty method of Forsyth and Vetzal (2002), to approximate the viscosity solution of the HJB equation.

[pt] Apresenta-se a formulação de um modelo isoparamétrico para a análise de viga tridimensional por elementos finitos que inclui a cinemática de deformação axial, de flexão, de torção e do empenamento da seção reta. A geometria do elemento e o campo de deslocamentos são aproximados, na direção longitudinal, por funções cúbicas de interpolação definidas na linha central. O elemento possui três graus-de-liberdade de translação e um grau-de-liberdade de rotação em torno do eixo axial da viga que permitem representar as deformações lineares longitudinais e de cisalhamento devidas aos esforços axiais, de flexão e de torção na viga. Além destes um número de graus-de-liberdade generalizados é utilizado na representação do estado de deformações resultante do empenamento da seção reta. Condições de compatibilidade dos deslocamentos entre elementos contíguos ou entre um elemento e uma parede rígida são obtidas através de um procedimento de penalização na expressão da energia de deformação. A condensação estática dos graus-de-liberdade generalizados na matriz de rigidez do elemento permite reduzir o desenvolvimento a uma formulação com quatro graus-de-liberdade por nó. A formulação foi implementada e resultados numéricos são utilizados para ilustrar as características do elemento em representar análises típicas de engenharia com vigas. / [en] The formulation of a three-dimension isoparametric beam elemento model that includes kinematics of axial, bending, torsional and warping displacements is presented. The element geometry and displacement fields are approximated using cubic interpolation functions along the element lenght coordinate, on the beam center axis. The displacements are represented by three translation and one rotation degrees-of-freedom, that account for linear and shear strains, and a number of generalized degrees-of-freedom to represent strains in the beam due to cross-section warping. Continuity conditions between adjoining element and between an element and a rigid wall are achieved by using rotation compatibility conditions at the common node. These are obtained with a penalty procedure added to the element strain energy. Static condensation of the generalized degrees-of-freedom is performed in the element stiffness matrix such the formulation results into a four degree-of-freedom per node element. The formulation has been implemented and some sample analysis results are furnished to illustrate the element capabilities in handling typical engineering beam analyses.

Der Vortrag beschreibt die zugrunde liegende Theorie und die Softwarefunktionalität des in PTC Creo Simulate 3.0 eingeführten Kontaktmodells mit endlicher Reibung und vergleicht dieses mit den bis Creo Simulate 2.0 exklusiv verwendeten Kontaktmodellen (ideal reibungsfrei und unendlich reibungsbehaftet). An zwei Modellbeispielen (ein von zwei Bremsbacken geklemmtes Bremsschwert und ein verschraubtes Schwungrad) wird versucht, die Funktionsweise des neuen Modells zu demonstrieren. Wegen aktueller Qualitätsprobleme der Software wird die Brauchbarkeit der Kontaktmodelle für den Anwender bewertet (Stand Creo 3.0 M080 / Creo 2.0 M200) und umfangreiches Feedback an den Softwarehersteller PTC gegeben. / The presentation describes the underlying theory and software functionality of the finite friction contact model introduced with PTC Creo Simulate 3.0. It is being compared with the friction-free and infinite friction contact model used exclusively until Creo Simulate 2.0. It is being tried to demonstrate the mode of operation of the new model with help of two examples: A brake sword clamped by two brake pads and a bolted flywheel. Because of actual software quality problems, the usability of the contact model for the user is being rated (status Creo 3.0 M080 / Creo 2.0 M200). Furthermore, comprehensive feedback is given to the software developer PTC.

Zusammenfassung Diese Arbeit ist ein Versuch, verschiedene klassische und neuere Methodender glatten bzw. nichtglatten Optimierung zu verallgemeinern und in ihrem Zusammenhang darzustellen. Als Hauptinstrument erweist sich dabei die sogenannte verallgemeinerte Kojima-Funktion. Neben reichlichen Beispielen setzen wir einen besonderen Akzent auf die Betrachtung von Variationsungleichungen, Komplementaritaetsaufgaben und der Standartaufgabeder mathematischen Programmierung. Unter natuerlichen Voraussetzungen an diese Probleme kann man u.a. Barriere-, Straf- und SQP-Typ-Methoden, die auf Newton-Verfahrenbasieren, aber auch Modelle, die sogenannte NCP-Funktionen benutzen, mittelsspezieller Stoerungen der Kojima-Funktion exakt modellieren. Daneben werdendurch explizite und natuerliche Wahl der Stoerungsparameter auch neue Methoden dieser Arten vorgeschlagen. Die Vorteile solcher Modellierungsind ueberzeugend vor allem wegen der direkt moeglichen (auf Stabilitaetseigenschaften der Kojima-Gleichung beruhendenden)Loesungsabschaetzungen und weil die entsprechenden Nullstellen ziemlich einfach als Loesungen bekannter Ersatzprobleme interpretiert werden koennen. Ein weiterer Aspekt der Arbeit besteht in der genaueren Untersuchungder "nichtglatten Faelle". Hier wird die Theorie von verschiedenen verallgemeinerten Ableitungen und dadurch entstehenden verallgemeinerten Newton-Verfahren, die im Buch "Nonsmooth Equations in Optimization" von B. Kummer und D. Klatte vorgeschlagen und untersucht wurde, intensiv benutzt. Entscheidend ist dabei, dass die benutzten verallgemeinerten Ableitungen auch praktisch angewandt werden koennen, da man sie exakt ausrechnen kann. / This work attempts to generalize various classical and new methods of smooth or nonsmooth optimization and to show them in their interrelation. The main tool for doing this is the so-called generalized Kojima-function. In addition to numerous examples we specialy emphasize the consideration of variational inequalities, complementarity problems and the standard problem of mathematical programming. Under natural assumptions on these problems we can model e.g. barrier-, penalty-, and SQP-Type-methods basing on Newton methods, and also methods using the so-called NCP-function exactly by means of special perturbations of the Kojima-function. Furthermore, by the explicit and natural choice of the perturbation parameters new methods of these kinds are introduced. The benefit of such a modelling is obvious, first of all due to the direct solution estimation (basing on stability properties of the Kojima-equation) and because the corresponding zeros can easily be interpreted as solutions of known subproblems. A further aspect considered in this paper is the detailed investigation of "nonsmooth cases". The theory of various generalized derivatives and resulting generalized Newton methods, which is introduced and investigated in the book "Nonsmooth Equations in Optimization" of B. Kummer and D. Klatte, is intensely used here. The crucial point is the applicability of the used generalized derivatives in practice, since they can be calculated exactly.

Cette thèse porte sur une méthode cartésienne parallèle pour résoudre des problèmes elliptiques avec interfaces complexes et sur son application aux problèmes elliptiques en domaine irrégulier dans le cadre d'un modèle de croissance tumorale.La méthode est basée sur un schéma aux différences finies et sa précision est d’ordre deux sur tout le domaine. L'originalité de la méthode consiste en l'utilisation d'inconnues additionnelles situées sur l'interface et qui permettent d’exprimer les conditions de transmission à l'interface. La méthode est décrite et les détails sur la parallélisation, réalisé avec la bibliothèque PETSc, sont donnés. La méthode est validée et les résultats sont comparés avec ceux d'autres méthodes du même type disponibles dans la littérature. Une étude numérique de la méthode parallélisée est fournie.La méthode est appliquée aux problèmes elliptiques dans un domaine irrégulier apparaissant dans un modèle continue et tridimensionnel de croissance tumorale, le modèle à deux espèces du type Darcy . L'approche utilisée dans cette application est basée sur la pénalisation des conditions de transmission à l'interface, afin de imposer des conditions de Neumann homogènes sur le border d'un domaine irrégulier. Les simulations du modèle sont fournies et montrent la capacité de la méthode à imposer une bonne approximation de conditions au bord considérées. / This theses deals with a parallel Cartesian method to solve elliptic problems with complex interfaces and its application to elliptic irregular domain problems in the framework of a tumor growth model.This method is based on a finite differences scheme and is second order accurate in the whole domain. The originality of the method lies in the use of additional unknowns located on the interface, allowing to express the interface transmission conditions. The method is described and the details of its parallelization, performed with the PETSc library, are provided. Numerical validations of the method follow with comparisons to other related methods in literature. A numerical study of the parallelized method is also given.Then, the method is applied to solve elliptic irregular domain problems appearing in a three-dimensional continuous tumor growth model, the two-species Darcy model. The approach used in this application is based on the penalization of the interface transmission conditions, in order to impose homogeneous Neumann boundary conditions on the border of an irregular domain. The simulations of model are provided and they show the ability of the method to impose a good approximation of the considered boundary conditions. / Questa tesi introduce un metodo parallelo su griglia cartesiana per risolvere problemi ellittici con interfacce complesse e la sua applicazione ai problemi ellittici in dominio irregolare presenti in un modello di crescita tumorale.Il metodo è basato su uno schema alle differenze finite ed è accurato al secondo ordine su tutto il dominio di calcolo. L'originalità del metodo consiste nell'introduzione di nuove incognite sull'interfaccia, le quali permettono di esprimere le condizioni di trasmissione sull'interfaccia stessa. Il metodo viene descritto e i dettagli della sua parallelizzazione, realizzata con la libreria PETSc, sono forniti. Il metodo è validato e i risultati sono confrontati con quelli di metodi dello stesso tipo trovati in letteratura. Uno studio numerico del metodo parallelizzato è inoltre prodotto.Il metodo è applicato ai problemi ellittici in dominio irregolare che compaiono in un modello continuo e tridimensionale di crescita tumorale, il modello a due specie di tipo Darcy. L'approccio utilizzato è basato sulla penalizzazione delle condizioni di trasmissione sull'interfaccia, al fine di imporre condizioni di Neumann omogenee sul bordo di un dominio irregolare. Le simulazioni del modello sono presentate e mostrano la capacità del metodo di imporre una buona approssimazione delle condizioni al bordo considerate.

Der Vortrag beschreibt die zugrunde liegende Theorie und die Softwarefunktionalität des in PTC Creo Simulate 3.0 eingeführten Kontaktmodells mit endlicher Reibung und vergleicht dieses mit den bis Creo Simulate 2.0 exklusiv verwendeten Kontaktmodellen (ideal reibungsfrei und unendlich reibungsbehaftet). An zwei Modellbeispielen (ein von zwei Bremsbacken geklemmtes Bremsschwert und ein verschraubtes Schwungrad) wird versucht, die Funktionsweise des neuen Modells zu demonstrieren. Wegen aktueller Qualitätsprobleme der Software wird die Brauchbarkeit der Kontaktmodelle für den Anwender bewertet (Stand Creo 3.0 M080 / Creo 2.0 M200) und umfangreiches Feedback an den Softwarehersteller PTC gegeben. / The presentation describes the underlying theory and software functionality of the finite friction contact model introduced with PTC Creo Simulate 3.0. It is being compared with the friction-free and infinite friction contact model used exclusively until Creo Simulate 2.0. It is being tried to demonstrate the mode of operation of the new model with help of two examples: A brake sword clamped by two brake pads and a bolted flywheel. Because of actual software quality problems, the usability of the contact model for the user is being rated (status Creo 3.0 M080 / Creo 2.0 M200). Furthermore, comprehensive feedback is given to the software developer PTC.