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This thesis focuses on the development and analysis of efficient simulation and inference techniques for Markovian pure jump processes with a view towards applications in dense communication networks. These techniques are especially relevant for modeling networks of smart devices —tiny, abundant microprocessors with integrated sensors and wireless communication abilities— that form highly complex and diverse communication networks. During 2010, the number of devices connected to the Internet exceeded the number of people on Earth: over 12.5 billion devices. By 2015, Cisco’s Internet Business Solutions Group predicts that this number will exceed 25 billion. The first part of this work proposes novel numerical methods to estimate, in an efficient and accurate way, observables from realizations of Markovian jump processes. In particular, hybrid Monte Carlo type methods are developed that combine the exact and approximate simulation algorithms to exploit their respective advantages. These methods are tailored to keep a global computational error below a prescribed global error tolerance and within a given statistical confidence level. Indeed, the computational work of these methods is similar to the one of an exact method, but with a smaller constant. Finally, the methods are extended to systems with a disparity of time scales. The second part develops novel inference methods to estimate the parameters of Markovian pure jump process. First, an indirect inference approach is presented, which is based on upscaled representations and does not require sampling. This method is simpler than dealing directly with the likelihood of the process, which, in general, cannot be expressed in closed form and whose maximization requires computationally intensive sampling techniques. Second, a forward-reverse Monte Carlo Expectation-Maximization algorithm is provided to approximate a local maximum or saddle point of the likelihood function of the parameters given a set of observations. The third part is devoted to applications in communication networks where also mean field or fluid approximations techniques, to substantially reduce the computational work of simulating large communication networks are explored. These methods aim to capture the global behaviour of systems with large state spaces by using an aggregate approximation, which is often described by means of a non-linear dynamical system.

Dans cette thèse, on s'intéresse au groupe de Brauer non ramifié des espaces homogènes à stabilisateur non connexe et à ses applications arithmétiques. On développe notamment différentes formules de nature algébrique et/ou arithmétique permettant de calculer explicitement, tant sur un corps fini que sur un corps de caractéristique 0, la partie algébrique du groupe de Brauer non ramifié d'un espace homogène G\G' sous un groupe linéaire G' semi-simple simplement connexe à stabilisateur fini G, le tout en donnant des exemples de calculs que l'on peut faire avec ces formules. Pour ce faire, on démontre au préalable (à l'aide d'un théorème de Gabber sur les altérations) un résultat décrivant la partie de torsion première à p du groupe de Brauer non ramifié d'une variété V lisse et géométriquement intègre sur un corps fini ou sur un corps global de caractéristique p au moyen de l'évaluation des éléments de Br(V) sur ses points locaux. Les formules pour un stabilisateur fini sont ensuite généralisées au cas d'un stabilisateur G quelconque via une réduction de la cohomologie galoisienne du groupe G à celle d'un certain sous-quotient fini. Enfin, pour K un corps global et G un K-groupe fini résoluble, on démontre sous certaines hypothèses sur une extension déployant G que l'espace homogène V:=G\G' avec G' un K-groupe semi-simple simplement connexe vérifie l'approximation faible (ces hypothèses assurant la nullité du groupe de Brauer non ramifié algébrique). On utilise une version plus précise de ce résultat pour démontrer ensuite le principe de Hasse pour des espaces homogènes X sous un K-groupe G' semi-simple simplement connexe à stabilisateur géométrique fini et résoluble, sous certaines hypothèses sur le K-lien défini par X. / This thesis studies the unramified Brauer group of homogeneous spaces with non connected stabilizer and its arithmetic applcations. In particular, we develop different formulas of algebraic and/or arithmetic nature allowing an explicit calculation, both over a finite field and over a field of characteristic 0, of the algebraic part of the unramified Brauer group of a homogeneous space G\G' under a semisimple simply connected linear group G' with finite stabilizer G. We also give examples of the calculations that can be done with these formulas. For achieving this goal, we prove beforehand (using a theorem of Gabber on alterations) a result describing the prime-to-p torsion part of the unramified Brauer group of a smooth and geometrically integral variety V over a global field of characteristic p or over a finite field by evaluating the elements of Br(V) at its local points. The formulas for finite stabilizers are later generalised to the case where the stabilizer G is any linear algebraic group using a reduction of the Galois cohomology of the group G to that of a certain finite subquotient.Finally, for a global field K and a finite solvable K-group G, we show under certain hypotheses concerning the extension splitting G that the homogeneous space V:=G\G' with G' a semi-simple simply connected K-group has the weak approximation property (the hypotheses ensuring the triviality of the unramified algebraic Brauer group). We use then a more precise version of this result to prove the Hasse principle forhomogeneous spaces X under a semi-simple simply connected K-group G' with finite solvable geometric stabilizer, under certain hypotheses concerning the K-kernel (or K-lien) defined by X.

Le thème principal de cette thèse est l’interaction entre le “comportement” des points rationnels sur certaines classes de variétés définies sur des corps globaux et locaux, et la cohomologie de ces variétés.Dans la partie I, on étudie l’obstruction de Brauer-Manin à la validité des principes locaux-globaux (comme le principe de Hasse et l’approximation faible) qui vient du groupe de Brauer d’une variété. Dans certains cas, pour des fibrations en torseurs sous un tore constant défini sur un corps de nombres, on démontre que l’obstruction de Brauer-Manin est suffisante pour expliquer le défaut des principes locaux-globaux. On donne également des nouveaux examples de variétés pour lesquelles l’obstruction de Brauer-Manin et ses raffinements ne suffisent pas pour expliquer le défaut du principe de Hasse.Dans la partie II, on étudie la relation entre le volume rationnel d’une variété lisse, projective sur un corps strictement local, et la trace de l’opérateur de monodromie modérée sur la cohomologie étale de la variété. Ceci est motivé par un travail de Nicaise-Sebag sur une formule de traces pour l’invariant de Serre motivique, inspiré par la formule de Grothendieck-Lefschetz pour les variétés sur les corps fini. On utilise ici le formalisme de la géométrie logarithmique. / The main theme of this thesis is the interplay between the “behaviour” of the rational points on certain classes of algebraic varieties defined over global and local fields, andthe cohomology of these varieties. Part I studies the Brauer-Manin obstruction to the validity of local-global principles (such as the Hasse principle and weak approximation) coming from the Brauer groupof a variety. In some cases, for certain families of torsors under a constant torusdefined over a number field, we prove that the Brauer-Manin obstruction is sufficientto explain the failure of these local-global principles. We also give new examples of varieties for which the Brauer-Manin obstruction and its refinements are insufficientto explain the failure of the Hasse principle.In Part II, we investigate the relationship between the rational volume of a smooth, projective variety defined over a strictly local field, and the trace of the tame monodromy operator on the étale cohomology of this variety. The motivation is work of Nicaise–Sebag on a trace formula for the motivic Serre invariant, inspired by the Grothendieck–Lefschetz trace formula for varieties over finite fields. We study this relationship using the framework of logarithmic geometry.

Wir betrachten die stochastische Differentialgleichung mit Gedächtnis (SDDE) mit Gedächtnislänge r dX(t) = b(X(u);u in [t-r,t])dt + sigma(X(u);u in [t-r,t])dB(t) mit eindeutiger schwacher Lösung. Dabei ist B eine Brownsche Bewegung, b and sigma sind stetige, lokal beschränkte Funktionen mit Definitionsbereich C[-r,0], und X(u);u in [t-r,t] bezeichnet das Segment der Werte von X(u) für Zeitpunkte u im Intervall [t,t-r]. Unser Ziel ist eine Folge von diskreten Zeitreihen Xh höherer Ordung zu konstruieren, so dass mit h gegen 0 die Zeitreihen Xh schwach gegen die Lösung X der stochastischen Differentialgleichung mit Gedächtnis konvergieren. Desweiteren werden wir Bedingungen angeben, unter denen eine gegeben Folge von Zeitreihen Xh höherer Ordung schwach gegen die Lösung X einer stochastischen Differentialgleichung mit Gedächtnis konvergiert. Als ein Beispiel werden wir den schwachen Grenzwert einer Folge von diskreten GARCH-Prozessen höherer Ordnung ermitteln. Dieser Grenzwert wird sich als schwache Lösung einer stochastischen Differentialgleichung mit Gedächtnis herausstellen. / Consider the stochastic delay differential equation (SDDE) with length of memory r dX(t) = b(X(u);u in [t-r,t])dt + sigma(X(u);u in [t-r,t])dB(t), which has a unique weak solution. Here B is a Brownian motion, b and sigma are continuous, locally bounded functions defined on the space C[-r,0], and X(u);u in [t-r,t] denotes the segment of the values of X(u) for time points u in the interval [t,t-r]. Our aim is to construct a sequence of discrete time series Xh of higher order, such that Xh converges weakly to the solution X of the stochastic differential delay equation as h tends to zero. On the other hand we shall establish under which conditions time series Xh of higher order converge weakly to a weak solution X of a stochastic differential delay equation. As an illustration we shall derive a weak limit of a sequence of GARCH processes of higher order. This limit tends out to be the weak solution of a stochastic differential delay equation.

Cette thèse traite des équations différentielles stochastiques rétrogrades réfléchies du second ordre dans une filtration générale . Nous avons traité tout d'abord la réflexion à une barrière inférieure puis nous avons étendu le résultat dans le cas d'une barrière supérieure. Notre contribution consiste à démontrer l'existence et l'unicité de la solution de ces équations dans le cadre d'une filtration générale sous des hypothèses faibles. Nous remplaçons la régularité uniforme par la régularité de type Borel. Le principe de programmation dynamique pour le problème de contrôle stochastique robuste est donc démontré sous les hypothèses faibles c'est à dire sans régularité sur le générateur, la condition terminal et la barrière. Dans le cadre des Équations Différentielles Stochastiques Rétrogrades (EDSRs ) standard, les problèmes de réflexions à barrières inférieures et supérieures sont symétriques. Par contre dans le cadre des EDSRs de second ordre, cette symétrie n'est plus valable à cause des la non linéarité de l'espérance sous laquelle est définie notre problème de contrôle stochastique robuste non dominé. Ensuite nous un schéma d'approximation numérique d'une classe d'EDSR de second ordre réfléchies. En particulier nous montrons la convergence de schéma et nous testons numériquement les résultats obtenus. / This thesis deals with the second-order reflected backward stochastic differential equations (2RBSDEs) in general filtration. In the first part , we consider the reflection with a lower obstacle and then extended the result in the case of an upper obstacle . Our main contribution consists in demonstrating the existence and the uniqueness of the solution of these equations defined in the general filtration under weak assumptions. We replace the uniform regularity by the Borel regularity(through analytic measurability). The dynamic programming principle for the robust stochastic control problem is thus demonstrated under weak assumptions, that is to say without regularity on the generator, the terminal condition and the obstacle. In the standard Backward Stochastic Differential Equations (BSDEs) framework, there is a symmetry between lower and upper obstacles reflection problem. On the contrary, in the context of second order BSDEs, this symmetry is no longer satisfy because of the nonlinearity of the expectation under which our robust stochastic non-dominated stochastic control problem is defined. In the second part , we get a numerical approximation scheme of a class of second-order reflected BSDEs. In particular we show the convergence of our scheme and we test numerically the results.

The main motivation behind writing this thesis was to construct numerical methods to approximate solutions to differential equations driven by rough paths, where the solution is considered in the rough path-sense. Rough paths of inhomogeneous degree of smoothness as driving noise are considered. We also aimed to find applications of these numerical methods to stochastic differential equations. After sketching the core ideas of the Rough Paths Theory in Chapter 1, the versions of the core theorems corresponding to the inhomogeneous degree of smoothness case are stated and proved in Chapter 2 along with some auxiliary claims on the continuity of the solution in a certain sense, including an RDE-version of Gronwall's lemma. In Chapter 3, numerical schemes for approximating solutions to differential equations driven by rough paths of inhomogeneous degree of smoothness are constructed. We start with setting up some principles of approximations. Then a general class of local approximations is introduced. This class is used to construct global approximations by pasting together the local ones. A general sufficient condition on the local approximations implying global convergence is given and proved. The next step is to construct particular local approximations in finite dimensions based on solutions to ordinary differential equations derived locally and satisfying the sufficient condition for global convergence. These local approximations require strong conditions on the one-form defining the rough differential equation. Finally, we show that when the local ODE-based schemes are applied in combination with rough polynomial approximations, the conditions on the one-form can be weakened. In Chapter 4, the results of Gyurko & Lyons (2010) on path-wise approximation of solutions to stochastic differential equations are recalled and extended to the truncated signature level of the solution. Furthermore, some practical considerations related to the implementation of high order schemes are described. The effectiveness of the derived schemes is demonstrated on numerical examples. In Chapter 5, the background theory of the Kusuoka-Lyons-Victoir (KLV) family of weak approximations is recalled and linked to the results of Chapter 4. We highlight how the different versions of the KLV family are related. Finally, a numerical evaluation of the autonomous ODE-based versions of the family is carried out, focusing on SDEs in dimensions up to 4, using cubature formulas of different degrees and several high order numerical ODE solvers. We demonstrate the effectiveness and the occasional non-effectiveness of the numerical approximations in cases when the KLV family is used in its original version and also when used in combination with partial sampling methods (Monte-Carlo, TBBA) and Romberg extrapolation.

The thesis consists of four papers on numerical complexityanalysis of weak approximation of ordinary and partialstochastic differential equations, including illustrativenumerical examples. Here by numerical complexity we mean thecomputational work needed by a numerical method to solve aproblem with a given accuracy. This notion offers a way tounderstand the efficiency of different numerical methods. The first paper develops new expansions of the weakcomputational error for Itˆo stochastic differentialequations using Malliavin calculus. These expansions have acomputable leading order term in a posteriori form, and arebased on stochastic flows and discrete dual backward problems.Beside this, these expansions lead to efficient and accuratecomputation of error estimates and give the basis for adaptivealgorithms with either deterministic or stochastic time steps.The second paper proves convergence rates of adaptivealgorithms for Itˆo stochastic differential equations. Twoalgorithms based either on stochastic or deterministic timesteps are studied. The analysis of their numerical complexitycombines the error expansions from the first paper and anextension of the convergence results for adaptive algorithmsapproximating deterministic ordinary differential equations.Both adaptive algorithms are proven to stop with an optimalnumber of time steps up to a problem independent factor definedin the algorithm. The third paper extends the techniques to theframework of Itˆo stochastic differential equations ininfinite dimensional spaces, arising in the Heath Jarrow Mortonterm structure model for financial applications in bondmarkets. Error expansions are derived to identify differenterror contributions arising from time and maturitydiscretization, as well as the classical statistical error dueto finite sampling. The last paper studies the approximation of linear ellipticstochastic partial differential equations, describing andanalyzing two numerical methods. The first method generates iidMonte Carlo approximations of the solution by sampling thecoefficients of the equation and using a standard Galerkinfinite elements variational formulation. The second method isbased on a finite dimensional Karhunen- Lo`eve approximation ofthe stochastic coefficients, turning the original stochasticproblem into a high dimensional deterministic parametricelliptic problem. Then, adeterministic Galerkin finite elementmethod, of either h or p version, approximates the stochasticpartial differential equation. The paper concludes by comparingthe numerical complexity of the Monte Carlo method with theparametric finite element method, suggesting intuitiveconditions for an optimal selection of these methods. 2000Mathematics Subject Classification. Primary 65C05, 60H10,60H35, 65C30, 65C20; Secondary 91B28, 91B70. / QC 20100825

This thesis consists of a summary and four scientific articles. All four articles consider various aspects of stochastic differential equations and the purpose of the summary is to provide an introduction to this subject and to supply the notions required in order to fully understand the articles. In the first article we conduct a thorough study of the multi-dimensional Skorohod problem in time-dependent domains. In particular we prove the existence of cádlág solutions to the Skorohod problem with oblique reflection in time-independent domains with corners. We use this existence result to construct weak solutions to stochastic differential equations with oblique reflection in time-dependent domains. In the process of obtaining these results we also establish convergence results for sequences of solutions to the Skorohod problem and a number of estimates for solutions, with bounded jumps, to the Skorohod problem. The second article considers the problem of determining the sensitivities of a solution to a second order parabolic partial differential equation with respect to perturbations in the parameters of the equation. We derive an approximate representation of the sensitivities and an estimate of the discretization error arising in the sensitivity approximation. We apply these theoretical results to the problem of determining the sensitivities of the price of European swaptions in a LIBOR market model with respect to perturbations in the volatility structure (the so-called ‘Greeks’). The third article treats stopped diffusions in time-dependent graph domains with low regularity. We compare, numerically, the performance of one adaptive and three non-adaptive numerical methods with respect to order of convergence, efficiency and stability. In particular we investigate if the performance of the algorithms can be improved by a transformation which increases the regularity of the domain but, at the same time, reduces the regularity of the parameters of the diffusion. In the fourth article we use the existence results obtained in Article I to construct a projected Euler scheme for weak approximation of stochastic differential equations with oblique reflection in time-dependent domains. We prove theoretically that the order of convergence of the proposed algorithm is 1/2 and conduct numerical simulations which support this claim.

Dans cette thèse, nous nous intéressons à l'arithmétique de certains corps de fonctions. Nous cherchons à établir dans un premier temps des théorèmes de dualité arithmétique sur ces corps, pour les appliquer ensuite à l'étude des points rationnels sur certaines variétés algébriques. Dans les trois premiers chapitres, nous travaillons sur le corps des fonctions d'une courbe sur un corps local supérieur (comme Qp, Qp((t)), C((t)) ou C((t))((u))). Dans le premier chapitre, nous établissons sur un tel corps des théorèmes de dualité arithmétique « à la Poitou-Tate » pour les modules finis, les tores, et même pour certains complexes de tores. Nous montrons aussi l'existence, sous certaines hypothèses, de certaines portions des suites exactes de Poitou-Tate correspondantes. Ces résultats sont appliqués dans le deuxième chapitre à l'étude du principe local-global pour les algèbres simples centrales, de l'approximation faible pour les tores, et des obstructions au principe local-global pour les torseurs sous des groupes linéaires connexes. Dans le troisième chapitre, nous nous penchons sur les variétés abéliennes et établissons des théorèmes de dualité arithmétique « à la Cassels-Tate ». Cela demande aussi de mener une étude fine des variétés abéliennes sur les corps locaux supérieurs. Dans le quatrième et dernier chapitre, nous travaillons sur les corps des fractions de certaines algèbres locales normales de dimension 2 (typiquement C((x, y)) ou Fp((x, y))). Nous établissons d'abord un théorème de dualité en cohomologie étale « à la Artin-Verdier » dans ce contexte. Cela nous permet ensuite de montrer des théorèmes de dualité arithmétique en cohomologie galoisienne « à la Poitou-Tate » pour les modules finis et les tores. Nous appliquons finalement ces résultats à l'étude de l'approximation faible pour les tores et des obstructions au principe local-global pour les torseurs sous des groupes linéaires connexes. / In this thesis, we are interested in the arithmetic of some function fields. We first want to establish arithmetic duality theorems over those fields, in order to apply them afterwards to the study of rational points on algebraic varieties. In the first three chapters, we work on the function field of a curve defined over a higher-dimensional local field (such as Qp, Qp((t)), C((t)) or C((t))((u))). In the first chapter, we establish "Poitou-Tate type" arithmetic duality theorems over such fields for finite modules, tori and even some complexes of tori. We also prove the existence, under some hypothesis, of parts of the corresponding Poitou-Tate exact sequences. These results are applied in the second chapter to the study of the local-global principle for central simple algebras, of weak approximation for tori, and of obstructions to local-global principle for torsors under connected linear algebraic groups. In the third chapter, we are interested in abelian varieties and we establish "Cassels-Tate type" arithmetic duality theorems. To do so, we also need to carry out a precise study of abelian varieties over higher-dimensional local fields. In the fourth and last chapter, we work on the field of fractions of some 2-dimensional normal local algebras (such as C((x, y)) or Fp((x, y))). We first establish in this context an "Artin-Verdier type" duality theorem in étale cohomology. This allows us to prove "Poitou-Tate type" arithmetic duality theorems in Galois cohomology for finite modules and tori. In the end, we apply these results to the study of weak approximation for tori and of obstructions to local-global principle for torsors under connected linear algebraic groups.