Local and nonlocal integro-differential reaction-diffusion models for protein dynamics in Alzheimer's disease

In this work, integro-differential reaction-diffusion models are presented for the description of the temporal and spatial evolution of the concentrations of Abeta and tau proteins involved in Alzheimer's disease. Initially, a local model is analysed: this is obtained by coupling with an interaction term two heterodimer models, modified by adding diffusion and Holling functional terms of the second type. We then move on to the presentation of three nonlocal models, which differ according to the type of the growth (exponential, logistic or Gompertzian) considered for healthy proteins. In these models integral terms are introduced to consider the interaction between proteins that are located at different spatial points possibly far apart. For each of the models introduced, the determination of equilibrium points with their stability and a study of the clearance inequalities are carried out. In addition, since the integrals introduced imply a spatial nonlocality in the models exhibited, some general features of nonlocal models are presented. Afterwards, with the aim of developing simulations, it is decided to transfer the nonlocal models to a brain graph called connectome. Therefore, after setting out the construction of such a graph, we move on to the description of Laplacian and convolution operations on a graph. Taking advantage of all these elements, we finally move on to the translation of the continuous models described above into discrete models on the connectome. To conclude, the results of some simulations concerning the discrete models just derived are presented.

Orthogonal gamma-based expansions for volatility option prices under jump-diffusion dynamics

In my work I derive closed-form pricing formulas for volatility based options by suitably approximating the volatility process risk-neutral density function. I exploit and adapt the idea, which stands behind popular techniques already employed in the context of equity options such as Edgeworth and Gram-Charlier expansions, of approximating the underlying process as a sum of some particular polynomials weighted by a kernel, which is typically a Gaussian distribution. I propose instead a Gamma kernel to adapt the methodology to the context of volatility options. VIX vanilla options closed-form pricing formulas are derived and their accuracy is tested for the Heston model (1993) as well as for the jump-diffusion SVJJ model proposed by Duffie et al. (2000).

Gyrokinetic modelling of plasma transport and investigation on test particle dynamics

Turbulent plasmas inside tokamaks are modeled and studied using guiding center theory, applied to charged test particles, in a Hamiltonian framework. The equations of motion for the guiding center dynamics, under the conditions of a constant and uniform magnetic field and turbulent electrostatic field are derived by averaging over the fast gyroangle, for the first and second order in the guiding center potential, using invertible changes of coordinates such as Lie transforms. The equations of motion are then made dimensionless, exploiting temporal and spatial periodicities of the model chosen for the electrostatic potential. They are implemented numerically in Python. Fast Fourier Transform and its inverse are used. Improvements to the original Python scripts are made, notably the introduction of a power-law curve fitting to account for anomalous diffusion, the possibility to integrate the equations in two steps to save computational time by removing trapped trajectories, and the implementation of multicolored stroboscopic plots to distinguish between trapped and untrapped guiding centers. The post-processing of the results is made in MATLAB. The values and ranges of the parameters chosen for the simulations are selected based on numerous simulations used as feedback tools. In particular, a recurring value for the threshold to detect trapped trajectories is evidenced. Effects of the Larmor radius, the amplitude of the guiding center potential and the intensity of its second order term are studied by analyzing their diffusive regimes, their stroboscopic plots and the shape of guiding center potentials. The main result is the identification of cases anomalous diffusion depending on the values of the parameters (mostly the Larmor radius). The transitions between diffusive regimes are identified. The presence of highways for the super-diffusive trajectories are unveiled. The influence of the charge on these transitions from diffusive to ballistic behaviors is analyzed.