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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
21

Sobre a Geometria de Imersões Riemannianas

Santos, Fábio Reis dos Santos 26 May 2015 (has links)
Submitted by Maike Costa (maiksebas@gmail.com) on 2016-03-23T11:16:42Z No. of bitstreams: 1 arquivototal.pdf: 1343904 bytes, checksum: dfca90c2164204a1513fc4a55eca4527 (MD5) / Made available in DSpace on 2016-03-23T11:16:43Z (GMT). No. of bitstreams: 1 arquivototal.pdf: 1343904 bytes, checksum: dfca90c2164204a1513fc4a55eca4527 (MD5) Previous issue date: 2015-05-26 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / Our purpose is to study the geometry of Riemannian immersions in certain semi- Riemannian manifolds. Initially, considering linearWeingarten hypersurfaces immersed in locally symmetric manifolds and, imposing suitable constraints on the scalar curvature, we guarantee that such a hypersurface is either totally umbilical or isometric to a isoparametric hypersurface with two distinct principal curvatures, one of them being simple. In higher codimension, we use a Simons type formula to obtain new characterizations of hyperbolic cylinders through the study of submanifolds having parallel normalized mean curvature vector field in a semi-Riemannian space form. Finally, we investigate the rigidity of complete spacelike hypersurfaces immersed in the steady state space via applications of some maximum principles. / Nos propomos estudar a geometria de imersões Riemannianas em certas variedades semi-Riemannianas. Inicialmente, consideramos hipersuperfícies Weingarten lineares imersas em variedades localmente simétricas e, impondo restrições apropriadas à curvatura escalar, garantimos que uma tal hipersuperfície é totalmente umbílica ou isométrica a uma hipersuperfície isoparamétrica com duas curvaturas principais distintas, sendo uma destas simples. Em codimensão alta, usamos uma fórmula do tipo Simons para obter novas caracterizações de cilindros hiperbólicos a partir do estudo de subvariedades com vetor curvatura média normalizado paralelo em uma forma espacial semi-Riemanniana. Finalmente, investigamos a rigidez de hipersuperfícies tipo-espaço completas imersas no steady state space via aplicações de alguns princípios do máximo.
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22

Propriedades de simetria para soluções de equações elípticas quase lineares em modelos riemannianos

Costa, Ricardo Pinheiro da 25 July 2014 (has links)
Made available in DSpace on 2015-05-15T11:46:20Z (GMT). No. of bitstreams: 1 arquivototal.pdf: 1326144 bytes, checksum: 8caf7598b3ff31900cccda592a06981f (MD5) Previous issue date: 2014-07-25 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / In this work we investigate monotonicity and symmetry properties of of solutions to equations involving the p-Laplace-Beltrami operator in hyperbolic space and sphere. The main tools used to obtain the result is a variant of the method of moving planes and a careful use of the maximum and comparison principles / Neste trabalho investigamos propriedades de simetria e monotonicidade de soluções para equações envolvendo o operador de p-Laplace-Beltrami no espaço hiperbólico e na esfera. As principais ferramentas empregadas para obtenção do resultado é uma variante do método dos planos móveis e um cuidadoso uso de princípios do máximo e de comparação
23

CONTRIBUTION OF INFORMATION AND COMMUNICATION TECHNOLOGY (ICT) ACCESSIBILITY FOR PEOPLE WITH VISUAL IMPAIRMENT: THE CASE OF THE FEDERAL UNIVERSITY OF CEARÃ / CONTRIBUIÃÃO DAS TECNOLOGIAS DA INFORMAÃÃO E COMUNICAÃÃO (TICS) PARA A ACESSIBILIDADE DE PESSOAS COM DEFICIÃNCIA VISUAL: O CASO DA UNIVERSIDADE FEDERAL DO CEARÃ

Vera Lucia Pontes Juvencio 25 July 2013 (has links)
nÃo hà / This study points to access, permanence and autonomy of people with visual impairment, poor vision or total blindness, with the use of information and communication technologies (ICTs), the informatics and its augmentation with communication capabilities, as tools of interaction with environments found at the Federal University of Cearà (UFC). We present a theoretical framework of the issue through the following topics: special education and inclusive education, assistive technology, visual impairment, the legal system, including higher education, the use of ICT, usability and ergonomics, accessibility and inclusion, universal design, web accessibility, programs with speech synthesizers, building websites for full development to make them accessible to the visually impaired, as well as the accessibility at the Federal University of CearÃ. The methodology was exploratory, descriptive, and application of instruments: questionnaires, interviews and tests, people with visual impairments that make up the university community, students and employees. The questionnaire was sent via internet and a visit for the interview and testing was scheduled by e-mail, phone or in person. The answers to the questionnaires for data collection were sent by e-mail. The research was conducted with eight people, one teacher and seven students, all totally blind or with poor vision. In the chapter on Methodology, besides addressing the collecting, processing and data analysis technique, details of the research are also provided. The results address the life course of the research subjects and the perception of these people in relation to accessibility in UFC. In addition, the specific objectives and analysis of results were also verified. A list of recommendations was then released. / O objetivo deste estudo aponta para o acesso, autonomia e permanÃncia de pessoas com deficiÃncia visual, com baixa visÃo ou com cegueira, com suporte na utilizaÃÃo de tecnologias da informaÃÃo e comunicaÃÃo (TICs), da informÃtica e da sua potencializaÃÃo com os recursos de comunicaÃÃo, como ferramentas de interaÃÃo com ambientes normovisuais, na Universidade Federal do Cearà (UFC). Demonstra-se uma fundamentaÃÃo teÃrica sobre a temÃtica, por via dos seguintes tÃpicos: educaÃÃo especial e educaÃÃo inclusiva; tecnologias assistivas; deficiÃncia visual; ordenamento jurÃdico; inclusÃo no ensino superior; uso das TICs; usabilidade e ergonomia; acessibilidade e inclusÃo; desenho universal; acessibilidade na Web; programas com sintetizadores de voz; construÃÃo de sites para todos; desenvolvimento para tornÃ-los acessÃveis aos deficientes visuais; e acessibilidade na Universidade Federal do CearÃ. A metodologia utilizada foi exploratÃria e descritiva, com aplicaÃÃo de instrumentos - questionÃrios, entrevistas e testes com as pessoas com deficiÃncia visual que constituem a comunidade universitÃria, seus servidores e alunos. O questionÃrio foi enviado via internet, e a visita para a entrevista e os testes foi agendada atravÃs de email, telefonema ou pessoalmente. As respostas dos questionÃrios para coleta de dados foram enviadas por email. A pesquisa foi realizada com oito pessoas, sendo um docente e sete alunos, cegos ou de baixa visÃo. O capÃtulo da Metodologia, alÃm de se abordar a coleta, o tratamento e a tÃcnica de anÃlise dos dados, detalha a pesquisa. Os resultados tratam da trajetÃria de vida dos sujeitos da pesquisa e a percepÃÃo dessas pessoas em relaÃÃo à acessibilidade na UFC. Realizaram-se, ainda, uma verificaÃÃo dos objetivos especÃficos e anÃlise dos resultados. Em seguida, foi disponibilizada uma lista de recomendaÃÃes.
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24

Estudo comparativo de reconhecimento de palavras e satisfação auditiva de usuários de aparelho de amplificação sonora implantados com a prótese de orelha média totalmente implantável-Esteem® / Comparative study of word recognition and satisfaction in users of hearing aids implanted with the totally implantable middle ear device-Esteem®

Mariana Hausen Pinna 05 November 2012 (has links)
Objetivo: comparar o reconhecimento de fala na situação de silêncio e ruído com a prótese auditiva de orelha média totalmente implantável Esteem® em relação à prótese auditiva. Descrever a satisfação auditiva e as complicações cirúrgicas encontradas. Desenho do Estudo: estudo exploratório, prospectivo, intragrupo, sujeito como seu próprio controle. Pacientes: usuários de prótese auditiva com perda neurossensoraial moderada a severa bilateral. Intervenção: dez pacientes submetidos a cirurgia para colocação da prótese totalmente implantável Esteem®. Aplicação de questionário SADL no pré- e pós-operatório. Desfechos: reconhecimento de fala no silêncio e ruído, resultados do SADL e complicações do procedimento foram avaliadas. Resultados: Não houve diferença estatisticamente significante entre reconhecimento de fala nas condições de silencio e ruído em relação as próteses auditivas (p=0,23 e p= 0,0438). Houve diferença estatisticamente significante no score do SADL pré- e pós-operatório (p= 0,0076). Houve três necessidades de reintervenção cirúrgica, em uma delas a prótese precisou ser removida. Conclusões: Melhora da satisfação auditiva, tendência a melhora no reconhecimento de fala nas situações de silêncio e ruído. Procedimento deve ser realizado por cirurgiões otológicos experientes. / Objective: to compare speech discrimination in silence and in noise with the Esteem® totally implantable hearing device versus hearing aids, and to describe satisfaction with amplification and surgical complications in patients undergoing implantation of the Esteem® device. Study Design: this was an exploratory, prospective, within-group, subject-as-own-control study. Setting: tertiary referral center. Patients: hearing aid users with moderate to severe bilateral sensorineural hearing loss. Interventions: ten patients underwent placement of the Esteem® totally implantable hearing device. The Satisfaction with Amplification in Daily Life (SADL) questionnaire was administered pre- and postoperatively. Main Outcome Measures: speech discrimination in silence and noise, SADL scores, and complications were evaluated. Results: there were no statistically significant differences between hearing aids and the Esteem® device in speech discrimination in silence (p=0.23) or noise (p=0.0438). There was a significant difference between pre and postoperative SADL scores (p=0.0076). Three patients required reintervention, and one ultimately required explantation of the device. Conclusions: Use of the Esteem® device was associated with improved satisfaction with amplification and a trend toward improvement in speech discrimination in silence and noise. Implantation of the device is challenging and should be performed by experienced otologic surgeons.
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25

Approches duales dans la résolution de problèmes stochastiques / Dual approaches in stochastic programming

Letournel, Marc 27 September 2013 (has links)
Le travail général de cette thèse consiste à étendre les outils analytiques et algébriques usuellement employés dans la résolution de problèmes combinatoires déterministes à un cadre combinatoire stochastique. Deux cadres distincts sont étudiés : les problèmes combinatoires stochastiques discrets et les problèmes stochastiques continus. Le cadre discret est abordé à travers le problème de la forêt couvrante de poids maximal dans une formulation Two-Stage à multi-scénarios. La version déterministe très connue de ce problème établit des liens entre la fonction de rang dans un matroïde et la formulation duale, via l'algorithme glouton. La formulation stochastique discrète du problème de la forêt maximale couvrante est transformée en un problème déterministe équivalent, mais du fait de la multiplicité des scénarios, le dual associé est en quelque sorte incomplet. Le travail réalisé ici consiste à comprendre en quelles circonstances la formulation duale atteint néanmoins un minimum égal au problème primal intégral. D'ordinaire, une approche combinatoire classique des problèmes de graphes pondérés consiste à rechercher des configurations particulières au sein des graphes, comme les circuits, et à explorer d'éventuelles recombinaisons. Pour donner une illustration simple, si on change d'une manière infinitésimale les valeurs de poids des arêtes d'un graphe, il est possible que la forêt couvrante de poids maximal se réorganise complètement. Ceci est vu comme un obstacle dans une approche purement combinatoire. Pourtant, certaines grandeurs analytiques vont varier de manière continue en fonction de ces variations infinitésimales, comme la somme des poids des arêtes choisies. Nous introduisons des fonctions qui rendent compte de ces variations continues, et nous examinons dans quels cas les formulations duales atteignent la même valeur que les formulations primales intégrales. Nous proposons une méthode d'approximation dans le cas contraire et nous statuons sur la NP complétude de ce type de problème.Les problèmes stochastiques continus sont abordés via le problème de sac à dos avec contrainte stochastique. La formulation est de type ``chance constraint'', et la dualisation par variable lagrangienne est adaptée à une situation où la probabilité de respecter la contrainte doit rester proche de $1$. Le modèle étudié est celui d'un sac à dos où les objets ont une valeur et un poids déterminés par des distributions normales. Dans notre approche, nous nous attachons à appliquer des méthodes de gradient directement sur la formulation en espérance de la fonction objectif et de la contrainte. Nous délaissons donc une possible reformulation classique du problème sous forme géométrique pour détailler les conditions de convergence de la méthode du gradient stochastique. Cette partie est illustrée par des tests numériques de comparaison avec la méthode SOCP sur des instances combinatoires avec méthode de Branch and Bound, et sur des instances relaxées. / The global purpose of this thesis is to study the conditions to extend analytical and algebraical properties commonly observed in the resolution of deterministic combinatorial problems to the corresponding stochastic formulations of these problems. Two distinct situations are treated : discrete combinatorial stochastic problems and continuous stochastic problems. Discrete situation is examined with the Two Stage formulation of the Maximum Weight Covering Forest. The well known corresponding deterministic formulation shows the connexions between the rank function of a matroid, the greedy algorithm , and the dual formulation. The discrete stochastic formulation of the Maximal Covering Forest is turned into a deterministic equivalent formulation, but, due to the number of scenarios, the associated dual is not complete. The work of this thesis leads to understand in which cases the dual formulation still has the same value as the primal integer formulation. Usually, classical combinatorial approaches aim to find particular configurations in the graph, as circuits, in order to handle possible reconfigurations. For example, slight modifications of the weights of the edges might change considerably the configuration of the Maximum Weight Covering Forest. This can be seen as an obstacle to handle pure combinatorial proofs. However, some global relevant quantities, like the global weight of the selected edges during the greedy algorithm, have a continuous variation in function of slight modifications. We introduce some functions in order to outline these continuous variations. And we state in which cases Primal integral problems have the same objective values as dual formulations. When it is not the case, we propose an approximation method and we examine the NP completeness of this problem.Continuous stochastic problems are presented with the stochastic Knapsack with chance constraint. Chance constraint and dual Lagrangian formulation are adapted in the case where the expected probability of not exceeding the knapsack capacity is close to $1$. The introduced model consists in items whose costs and rewards follow normal distributions. In our case, we try to apply direct gradient methods without reformulating the problem into geometrical terms. We detail convergence conditions of gradient based methods directly on the initial formulation. This part is illustrated with numerical tests on combinatorial instances and Branch and Bound evaluations on relaxed formulations.
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26

Contributions au rendement des protocoles de diffusion à ordre total et aux réseaux tolérants aux délais à base de RFID / Contributions to efficiency of total order broadcast protocols and to RFID-based delay tolerant networks

Simatic, Michel 04 October 2012 (has links)
Dans les systèmes répartis asynchrones, l'horloge logique et le vecteur d'horloges sont deux outils fondamentaux pour gérer la communication et le partage de données entre les entités constitutives de ces systèmes. L'objectif de cette thèse est d'exploiter ces outils avec une perspective d'implantation. Dans une première partie, nous nous concentrons sur la communication de données et contribuons au domaine de la diffusion uniforme à ordre total. Nous proposons le protocole des trains : des jetons (appelés trains) circulent en parallèle entre les processus participants répartis sur un anneau virtuel. Chaque train est équipé d'une horloge logique utilisée pour retrouver les train(s) perdu(s) en cas de défaillance de processus. Nous prouvons que le protocole des trains est un protocole de diffusion uniforme à ordre total. Puis, nous créons une nouvelle métrique : le rendement en termes de débit. Cette métrique nous permet de montrer que le protocole des trains a un rendement supérieur au meilleur, en termes de débit, des protocoles présentés dans la littérature. Par ailleurs, cette métrique fournit une limite théorique du débit maximum atteignable en implantant un protocole de diffusion donné. Il est ainsi possible d'évaluer la qualité d'une implantation de protocole. Les performances en termes de débit du protocole des trains, notamment pour les messages de petites tailles, en font un candidat remarquable pour le partage de données entre coeurs d'un même processeur. De plus, sa sobriété en termes de surcoût réseau en font un candidat privilégié pour la réplication de données entre serveurs dans le cloud. Une partie de ces travaux a été implantée dans un système de contrôle-commande et de supervision déployé sur plusieurs dizaines de sites industriels. Dans une seconde partie, nous nous concentrons sur le partage de données et contribuons au domaine de la RFID. Nous proposons une mémoire répartie partagée basée sur des étiquettes RFID. Cette mémoire permet de s'affranchir d'un réseau informatique global. Pour ce faire, elle s'appuie sur des vecteurs d'horloges et exploite le réseau formé par les utilisateurs mobiles de l'application répartie. Ainsi, ces derniers peuvent lire le contenu d'étiquettes RFID distantes. Notre mémoire répartie partagée à base de RFID apporte une alternative aux trois architectures à base de RFID disponibles dans la littérature. Notre mémoire répartie partagée a été implantée dans un jeu pervasif qui a été expérimenté par un millier de personnes. / In asynchronous distributed systems, logical clock and vector clocks are two core tools to manage data communication and data sharing between entities of these systems. The goal of this PhD thesis is to exploit these tools with a coding viewpoint. In the first part of this thesis, we focus on data communication and contribute to the total order broadcast domain. We propose trains protocol: Tokens (called trains) rotate in parallel between participating processes distributed on a virtual ring. Each train contains a logical clock to recover lost train(s) in case of process(es) failure. We prove that trains protocol is a uniform and totally ordered broadcast protocol. Afterwards, we create a new metric: the throughput efficiency. With this metric, we are able to prove that, from a throughput point of view, trains protocol performs better than protocols presented in literature. Moreover, this metric gives the maximal theoretical throughput which can be reached when coding a given protocol. Thus, it is possible to evaluate the quality of the coding of a protocol. Thanks to its throughput performances, in particular for small messages, trains protocol is a remarkable candidate for data sharing between the cores of a processor. Moreover, thanks to its temperance concerning network usage, it can be worthwhile for data replication between servers in the cloud. Part of this work was implemented inside a control-command and supervision system deployed among several dozens of industrial sites. In the second part of this thesis, we focus on data sharing and contribute to RFID domain. We propose a distributed shared memory based on RFID tags. Thanks to this memory, we can avoid installing a computerized global network. This is possible because this memory uses vector clocks and relies on the network made by the mobile users of the distributed application. Thus, the users are able to read the contents of remote RFID tags. Our RFID-based distributed shared memory is an alternative to the three RFID-based architectures available in the literature. This distributed shared memory was implemented in a pervasive game tested by one thousand users.
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27

Managing Weeds and Soilborne Pests with Fumigant and Non-Fumigant Alternatives to Methyl Bromide

McAvoy, Theodore Porter 06 June 2012 (has links)
Methyl bromide (MBr) was widely used as a soil fumigant to manage soilborne pests in plasticulture vegetable production; however, it has been banned by the United Nations Environment Programme. Alternatives to MBr must be implemented to sustain fresh market tomato productivity. Possible MBr alternatives include new fumigant compounds, improved plastic mulch, and grafting. Methyl iodide (MeI) and dimethyl disulfide (DMDS) were tested as fumigant alternatives to MBr for the control of yellow nutsedge and soilborne pathogens of tomato. Virtually impermeable film (VIF) and totally impermeable film (TIF) were tested for fumigant retention and yellow nutsedge control in tomato. Grafting onto resistant rootstocks was tested for bacterial wilt and nematode management in tomato. In the absence of a soil fumigant, TIF suppressed yellow nutsedge better than VIF. TIF increased fumigant retention compared to VIF at similar application rates. Reduced fumigant application rates could be used in combination with TIF while maintaining fumigant concentrations, weed control, and crop yields comparable to greater use rates with VIF. Shank applied DMDS rates could be lowered to 281 L/ha under TIF from 468 L/ha under VIF; shank applied MeI application rates could be reduced to 56 L/ha under TIF compared to 93 L/ha under VIF and drip applied DMDS could be reduced from 561 L/ha under VIF film to 374 L/ha under TIF. Grafting susceptible commercial tomato cultivars onto resistant tomato hybrid rootstocks increased yields and plant survival in bacterial wilt infested fields. "Cheong Gang", "BHN 998", and "BHN 1054" were the best performing rootstocks for bacterial wilt resistance and tomato fruit yield in severely infested fields. Grafting increased tomato yield and decreased root galling from root-knot nematodes in an infested field. Hybrid rootstock "RST 106" resulted in the lowest root-knot nematode galling. In conclusion, TIF with reduced rates of DMDS or MeI is a viable MBr alternative for fresh market tomato production to retain effective doses of fumigant, manage yellow nutsedge and maintain yields. Grafting is an effective MBr alternative to manage bacterial wilt and root-knot nematode and maintain tomato yields. / Ph. D.
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28

Modélisation numérique des phénomènes aérothermiques dans les machines électriques en vue d’optimisation de leur conception : application aux machines électriques des véhicules hybrides et électriques / Numerical modeling of the aerothermal behavior inside electrical machines in order to optimize their design : applications for automotive vehicles

Ben Nachouane, Ayoub 21 March 2017 (has links)
Implanter une machine électrique dans un véhicule hybride pose avant tout des problèmes d’encombrement. Sous-dimensionner la machine semble légitime compte tenu de l’usage qui en est fait sur véhicule. Par contre, cela suppose que les aspects thermiques soient pris en compte non seulement lors de l’utilisation, mais aussi lors de la conception de la machine. Le phénomène majeur limitant la densité de puissance massique des machines électriques est l’échauffement interne des bobines et des aimants. La modélisation thermique de la machine est complexe compte tenu de la diversité des sources de chaleur et de la coexistence de différents modes de transferts thermiques : conduction dans la matière, convection avec l’eau de refroidissement, conduction, convection et rayonnement dans l’entrefer. En termes de géométrie, si une première approche peut être réalisée en ne considérant que des flux de chaleur radiaux, la composante axiale doit nécessairement être prise en compte dès lors qu’on veut tenir compte aussi des extrémités de machine, et notamment de la chaleur produite par les roulements et les têtes de bobines. Ainsi pour pouvoir analyser pertinemment les transferts thermiques dans la machine, des méthodes numériques de type CFD ont été utilisées pour caractériser le transfert thermique par convection. La caractérisation des échanges thermiques par convection naturelle et forcée a été réalisée à l’intérieur d’une machine synchrone à aimants permanents internes (MAPI). Des relations empiriques ont été proposées afin de prendre en compte le couplage entre la thermique et l’aérodynamique dans les cavités des machines électriques totalement fermées. Afin de valider la pertinence des modèles numériques dans le cadre de ce travail, des mesures thermiques à l’aide des moyens d’essais de l’UTC ont été réalisées. Les résultats de cette étude sont utilisés pour construire des circuits thermiques équivalents qui prennent en compte les phénomènes thermiques complexes dans les machines électriques fermées utilisées dans les véhicules hybrides et électriques. Ces recommandations de conception permettront l’optimisation de l’effort investi pour le refroidissement de la machine électrique dans ses différentes phases de fonctionnement. / The integration of an electrical machine into modern hybrid vehicles is associated with new technical constraints such as the integrability into small volume without losing certainly in performance. Therefore, the development of compacter electrical machines is a well-founded argument for car manufacturers as well as electrical machine designers. On the other hand, this finding assumes that the thermal aspects are undertaken not only during the operation of the electrical machine, but also during the design process. The internal heat generated in different areas impacts strongly the power density and the magnet health which deeply reduce the electrical machine reliability. Heat transfer modeling inside electrical machines is a tricky task because of the strong coupling between the different physics governing their operations. Indeed, the generated losses spread inside the electrical machine through three heat transfer modes which are: conduction (heat diffusion), convection(heat transport) and radiation (heat scattering). In terms of geometry, if a first approach can be carried out by considering only radial heat fluxes, the axially-transferred heat must be undertaken when it is also necessary to consider end caps effects, and particularly the heat released by the bearings. In order to carry out relevantly the thermal analysis of a permanent magnets synchronous machine, CFD based methods are used to characterize the convective heat transfer inside this machine over a large operating range. Both natural and forced convection are analyzed and the corresponding heat transfer coefficients are numerically-estimated. Empirical equations are proposed in order to take into account the coupling between thermal and fluid dynamics inside the cavities of the studied totally-enclosed machine. These correlations are integrated then into a detailed and reduced thermal network. Experimental tests are carried out using a test bench in order to measure temperature distribution in different areas of the electrical machine. Afterward, a comparison between estimated and measured temperatures shows that the results of the numerically-enhanced thermal network are in a good agreement with measurements. Thus, the proposed recommendations based on CFD modeling allow the convective heat transfer to be characterize quickly and precisely. These correlations are useful for upcoming studies dealing with convection inside automotive electrical machines as well as high speed electrical machines.
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29

Information on a default time : Brownian bridges on a stochastic intervals and enlargement of filtrations / Information sur le temps de défaut : ponts browniens sur des intervalles stochastiques et grossissement de filtrations

Bedini, Matteo 12 October 2012 (has links)
Dans ce travail de thèse le processus d'information concernant un instant de défaut τ dans un modèle de risque de crédit est décrit par un pont brownien sur l'intervalle stochastique [0, τ]. Un tel processus de pont est caractérisé comme plus adapté dans la modélisation que le modèle classique considérant l'indicatrice I[0,τ]. Après l'étude des formules de Bayes associées, cette approche de modélisation de l'information concernant le temps de défaut est reliée avec d'autres informations sur le marché financier. Ceci est fait à l'aide de la théorie du grossissement de filtration, où la filtration générée par le processus d'information est élargie par la filtration de référence décrivant d'autres informations n'étant pas directement liées avec le défaut. Une attention particulière est consacrée à la classification du temps de défaut par rapport à la filtration minimale mais également à la filtration élargie. Des conditions suffisantes, sous lesquelles τ est totalement inaccessible, sont discutées, mais également un exemple est donné dans lequel τ évite les temps d'arrêt, est totalement inaccessible par rapport à la filtration minimale et prévisible par rapport à la filtration élargie. Enfin, des contrats financiers comme, par exemple, des obligations privée et des crédits default swaps, sont étudiés dans le contexte décrit ci-dessus. / In this PhD thesis the information process concerning a default time τ in a credit risk model is described by a Brownian bridge over the random time interval [0, τ]. Such a bridge process is characterised as to be a more adapted model than the classical one considering the indicator function I[0,τ]. After the study of related Bayes formulas, this approach of modelling information concerning the default time is related with other financial information. This is done with the help of the theory of enlargement of filtration, where the filtration generated by the information process is enlarged with a reference filtration modelling other information not directly associated with the default. A particular attention is paid to the classification of the default time with respect to the minimal filtration but also with respect to the enlarged filtration. Sufficient conditions under which τ is totally inaccessible are discussed, but also an example is given of a τ avoiding the stopping times of the reference filtration, which is totally inaccessible with respect to its own filtration and predictable with respect to the enlarged filtration. Finally, common financial contracts like defaultable bonds and credit default swaps are considered in the above described settings.
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