In this dissertation we study positive solutions to a singular p-Laplacian elliptic boundary value problem on a bounded domain with smooth boundary when a positive parameter varies. Our main focus is the analysis of a challenging class of singular p-Laplacian problems. We establish the existence of a positive solution for all positive values of the parameter and the existence of at least two positive solutions for a certain explicit range of the parameter. In the Laplacian case, we also prove the uniqueness of the positive solution for large values of the parameter. We extend our existence and multiplicity results to classes of singular systems and to the case when a domain is an exterior domain. We prove our existence and multiplicity results by the method of sub and supersolutions and our uniqueness result by establishing apriori and boundary estimates. Such results are well known in the literature for the nonsingular case. In this study, we extend these results to the more difficult singular case.

Submitted by Marlene Santos (marlene.bc.ufg@gmail.com) on 2014-09-01T19:21:42Z No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Dassael Fabricio dos Reis Santos - Dissertação de Mestrado.pdf: 2389476 bytes, checksum: 8ca3d9cabd2862c5e82bc4db0cec4071 (MD5) / Made available in DSpace on 2014-09-01T19:21:42Z (GMT). No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Dassael Fabricio dos Reis Santos - Dissertação de Mestrado.pdf: 2389476 bytes, checksum: 8ca3d9cabd2862c5e82bc4db0cec4071 (MD5) Previous issue date: 2014-03-28 / Conselho Nacional de Pesquisa e Desenvolvimento Científico e Tecnológico - CNPq / In this work we study existence and multiplicity of non-negative solutions of the nonlinear elliptic problem −div(A(x,∇u)) = λf(x,u) in Ω, u = 0 in ∂Ω where Ω⊂IRN is a bounded domain with smooth boundary∂Ω,λ≥ 0 is a parameter, f :Ω×[0,∞)−→ IR and A :Ω×IRN−→ IRN satisfy the Carathéodory conditions, A is monotone and f satisfies a growth condition. To this end we use the method of Sub and Supersolutions, Topological Degree Theory, simmetry arguments and variational methods. / Neste trabalho estudaremos existência e multiplicidade de soluções não-negativas do problema elíptico não-linear −div(A(x,∇u)) = λf(x,u) em Ω, u = 0 em ∂Ω, Onde Ω ⊂ IRN é um domínio limitado com fronteira∂Ω suave,λ≥ 0 é um parâmetro, f :Ω×[0,∞)−→ IR e A :Ω×IRN−→ IRN satisfazem as condições de Carathéodory, A é monotônico e f satisfaz uma condição de crescimento. Para este fim utilizaremos o método de Sub e Super Soluções, Teoria do Grau Topológico, argumentos de simetria e métodos variacionais.

Submitted by Maike Costa (maiksebas@gmail.com) on 2016-03-29T13:33:49Z No. of bitstreams: 1 arquivo total.pdf: 5320246 bytes, checksum: 158dd460a20ce46c96d4a34623612264 (MD5) / Made available in DSpace on 2016-03-29T13:33:49Z (GMT). No. of bitstreams: 1 arquivo total.pdf: 5320246 bytes, checksum: 158dd460a20ce46c96d4a34623612264 (MD5) Previous issue date: 2011-08-25 / This work is mainly concerned with the existence and nonexistence of classical solution to the nonhomogeneous semilinear equation Δu + up + f(x) = 0 in Rn, u > 0 in Rn, when n 3, where f 0 is a Hölder continuous function. The nonexistence of classical solution is established when 1 < p n=(n 􀀀 2). For p > n=(n 􀀀 2) there may be both existence and nonexistence results depending on the asymptotic behavior of f at infinity. The existence results were obtained by employed sub and supersolutions techniques and fixed point theorem. For the nonexistence of classical solution we used a priori integral estimates obtained via averaging. / Neste trabalho, estamos interessados na existência e não existência de solução clássica para a equação não homogênea semilinear Δu + up + f(x) = 0 em Rn; u > 0 em Rn, n 3 onde f 0 é uma função Hölder contínua. A não existência de solução clássica é estabelecida quando 1 < p n=(n 􀀀 2). Para p > n=(n 􀀀 2), temos resultados de existência e não existência de solução clássica, dependendo do comportamento assin- tótico de f no infinito. Os resultados de existência foram obtidos usando o método de sub e supersolução e teoremas de ponto fixo. A não existência de solução clássica é obtida usando-se estimativas integrais a priori via média esférica.

Im ersten Teil der Arbeit analysieren wir BSDEs mit Generatoren, die monoton in y, convex in z, gemeinsam unterhalbstetig und von unten durch eine affine Funktion der Kontrollvariable beschränkt sind. Das erste Hauptresultat ist der Nachweis der Existenz und Eindeutigkeit einer minimalen Superlösung. Wir zeigen, dass für die minimale Superlösung wichtige Eigenschaften, wie zum Beispiel die Flusseigenschaft und die Projektivität gelten. Es stellt sich heraus, dass das Funktional welches die Endbedingung auf das Infimum über alle Wertprozesse zur Zeit null abbildet nicht nur den gleichen Definitionsbereich wie der Erwartungswert hat, sondern auch einige seiner wichtigsten Eigenschaften, wie monotone Konvergenz und Fatou''s Lemma teilt. Das führt im Weiteren zur Unterhalbstetigkeit und zu dualen Darstellungen dieses Funktionals. Schlussendlich zeigen wir eine Lösung des Nutzenmaximierungsproblems für die Exponentialnutzenfunktion. Im zweiten Teil der Arbeit untersuchen wir die quadratische Absicherung von finanziellen Risikopositionen unter Basisrisiko. Zuerst zeigen wir wie optimal abgesichert wird, wenn die Differenz der Logarithmen von Absicherungsinstrument und Risiko asymptotisch stationär ist. Für lineare Risikopositionen leiten wir explizite Formeln für den Absicherungsfehler her und zeigen, dass für nichtlineare Positionen eine schnelle Simulation möglich ist. Zweitens untersuchen wir ein Modell in dem die Korrelation zwischen Absicherungsinstrument und Basiswert stochastisch ist. Wir nehmen an, dass die Korrelation ein Prozess ist, der sich gemäß einer stochastischen Differentialgleichung mit Werten zwischen -1 und 1 entwickelt. Wir leiten eine Integrabilitätsbedingung bezüglich des Korrelationsprozesses her, die uns erlaubt die optimale quadratische Absicherung durch eine einfache Formel zu beschreiben. Weiterhin zeigen wir, dass unsere Bedingungen von einer großen Klasse von Korrelationsdynamiken erfüllt werden. / In the first part of the thesis we analyze BSDEs with generators that are monotone in y, convex in z, jointly lower semicontinuous, and bounded below by an affine function of the control variable. The first central result establishes existence and uniqueness of a minimal supersolution. We show that our setting allows to derive important properties of the minimal supersolution such as the flow property and the projectivity. We find that the functional which maps the terminal condition to the infimum over all value processes evaluated at time zero is not only defined on the same domain as the original expectation operator, but also shares some of its main properties such as monotone convergence and Fatou''s Lemma. Moreover, this leads to lower semincontinuity and dual representations of the functional. Finally, we demonstrate a solution of the problem of maximizing expected exponential utility. In the second part of the thesis we investigate quadratic hedging of contingent claims with basis risk. We first show how to optimally cross-hedge risk when the logspread between the hedging instrument and the risk is asymptotically stationary. For linear risk positions we derive explicit formulas for the hedge error, while for non-linear positions swift simulation analysis is possible. Secondly, we study a model where the correlation between the hedging instrument and the underlying of the contingent claim is random itself. We assume that the correlation is a process which evolves according to a stochastic differential equation with values between the boundaries -1 and 1. We derive an integrability condition on the correlation process that allows to describe the quadratic hedge by means of a simple hedging formula. Furthermore we show that our conditions are fulfilled by a large class of correlation dynamics.

In dieser Arbeit untersuchen wir Superlösungen stochastischer Rückwärtsdifferentialgleichungen (BSDEs) und ein Gleichgewichtsmodell angewandt auf zwei spezifische verallgemeinerte Capital Asset Pricing Models (CAPMs). Unter der Annahme, dass Generatoren der BSDEs unterhalbstetig und von unten durch eine affine Funktion der Kontrollvariablen beschränkt sind sowie eine spezifische Normalisierungseigenschaft erfüllen, beweisen wir Existenz und Eindeutigkeit der minimalen Superlösung, wobei wir Semimartingalkonvergenz und eine geeignet definierte Präorder in Verbindung mit dem Zornschen Lemma nutzen. Anschließend betrachten wir konvexe Generatoren und restringieren admissible Kontrollen auf stetige Semimartingale, wobei wir eine Abhängigkeit des Generators von den Zerlegungsteilen zulassen. Wir beweisen Existenz von Superlösungen, die an endlich vielen Zeitpunkten minimal sind. Neben Stabilitätsresultaten für den nichtlinearen Operator, der einer Endbedingung den Wert der minimalen Superlösung zum Zeitpunk null zuordnet, leiten wir dessen duale Darstellung her und geben eine explizite Form dieser im Falle eines quadratischen Generators an. Ferner geben wir mittels der Dualität Bedingungen für die Existenz von Lösungen unter Nebenbedingungen. Im zweiten Teil der Arbeit behandeln wir ein Gleichgewichtsmodell in stetiger Zeit für verallgemeinerte CAPMs, das endlich viele Agenten und Finanzprodukte umfasst. Die Agenten maximieren exponentielle Nutzenfunktionen und ihre Anfangsausstattung wird von den gehandelten Produkten aufgespannt. Wir zeigen Existenz eines Gleichgewichts, in welchem die optimalen Handelsstrategien konstant sind und von jeweiliger Risikoaversion und Anfangsausstattung abhängen. Hiernach werden affine Prozesse sowie die Theorie des sogenannten Information-based Asset Pricing zur Modellierung herangezogen. Wir leiten semi-explizite Preisformeln her, die sich für effiziente numerische Berechnungen eignen, da keine Monte-Carlo-Methoden gebraucht werden. / In this thesis we study supersolutions of backward stochastic differential equations (BSDEs) and equilibrium pricing within two specific generalized capital asset pricing models (CAPMs). In the first part of the thesis we begin by assuming that the generators of the BSDEs under consideration are jointly lower semicontinuous, bounded from below by an affine function of the control variable, and satisfy a specific normalization property. We prove the existence and uniqueness of the minimal supersolution making use of a particular kind of semimartingale convergence and a suitably defined preorder in combination with Zorn''s lemma. Next, we assume generators to be convex and introduce constraints by restricting admissible controls to continuous semimartingales, where we allow for a dependence of the generator on the respective decomposition parts. We prove existence of supersolutions that are minimal at finitely many fixed times. Besides providing stability results for the non-linear operator that maps a terminal condition to the value of the minimal supersolution at time zero, we give a dual representation of it, including an explicit computation of the conjugate in the case of a quadratic generator, and derive conditions for the existence of solutions under constraints by means of the duality results. In the second part of the thesis we study equilibrium pricing in continuous time within generalized CAPMs. Our model comprises finitely many economic agents and tradable securities. The agents seek to maximize exponential utilities and their endowments are spanned by the securities. We show that an equilibrium exists and the agents'' optimal trading strategies are constant and dependent on their risk aversion and endowment. Affine processes, and the theory of information-based asset pricing are then used for modeling purposes. We derive semi-explicit pricing formulae which lend themselves to efficient numerical computations, as no Monte Carlo methods are needed.

Submitted by Erika Demachki (erikademachki@gmail.com) on 2015-01-16T17:13:32Z No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Tese - Marcos Roberto Marcial - 2014.pdf: 1577179 bytes, checksum: ac1649c996b2193bad6b704f05eca30c (MD5) / Approved for entry into archive by Erika Demachki (erikademachki@gmail.com) on 2015-01-16T17:40:15Z (GMT) No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Tese - Marcos Roberto Marcial - 2014.pdf: 1577179 bytes, checksum: ac1649c996b2193bad6b704f05eca30c (MD5) / Made available in DSpace on 2015-01-16T17:40:15Z (GMT). No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Tese - Marcos Roberto Marcial - 2014.pdf: 1577179 bytes, checksum: ac1649c996b2193bad6b704f05eca30c (MD5) Previous issue date: 2014-06-23 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / In this work, we study the topological structure of the solution set for a class of problems −Δpu = λ f (u)+μg(u)|∇u|p+Ψ(x) in Ω, u > 0 in Ω, u = 0 on ∂Ω, where Ω ⊂ IRN is a bounded domain with ∂Ω smooth, p, λ, μ are constants with p > 1, λ ≥ 0, μ ∈ IR and f ,g : (0,∞)→IR Ψ : Ω→IR are continuous functions. We will use Variational and Topological Methods, which includes minimization of energy functional and building connected components of solutions in a sense that we will define. Also we will employ arguments about the theory of regularity for p-Laplacian operator, approach arguments , maximum principles, results about sub and supersolutions and also arguments including monotonic type operators. / Neste trabalho estudamos a estrutura topológica do conjunto de soluções da classe de problemas −Δpu = λ f (u)+μg(u)|∇u|p+Ψ(x) em Ω, u > 0 em Ω, u = 0 sobre ∂Ω, onde Ω⊂IRN é um domínio limitado com fronteira ∂Ω regular, p, λ, μ são constantes com p > 1, λ ≥ 0, μ ∈ IR e f ,g : (0,∞)→IR, Ψ : Ω→IR são funções contínuas. Utilizamos Métodos Variacionais e Topológicos, que incluem minimização de funcionais energia e construção de componentes conexas de soluções em um sentido que definiremos. Empregamos também argumentos sobre a teoria da regularidade para o operador p- Laplaciano, argumentos de aproximação, bem como princípios de máximo, resultados sobre sub e supersoluções e também argumentos com operadores tipo monotônico.