Stochastic particle models: mean reversion and burgers dynamics. An application to commodity markets

The aim of this study is to propose a stochastic model for commodity markets linked with the Burgers equation from fluid dynamics. We construct a stochastic particles method for commodity markets, in which particles represent market participants. A discontinuity in the model is included through an interacting kernel equal to the Heaviside function and its link with the Burgers equation is given. The Burgers equation and the connection of this model with stochastic differential equations are also studied. Further, based on the law of large numbers, we prove the convergence, for large N, of a system of stochastic differential equations describing the evolution of the prices of N traders to a deterministic partial differential equation of Burgers type. Numerical experiments highlight the success of the new proposal in modeling some commodity markets, and this is confirmed by the ability of the model to reproduce price spikes when their effects occur in a sufficiently long period of time.

Group-invariant solutions of semilinear Schrodinger equations in multi-dimensions

Symmetry group methods are applied to obtain all explicit group-invariant radial solutions to a class of semilinear Schr¨odinger equations in dimensions n = 1. Both focusing and defocusing cases of a power nonlinearity are considered, including the special case of the pseudo-conformal power p = 4/n relevant for critical dynamics. The methods involve, first, reduction of the Schr¨odinger equations to group-invariant semilinear complex 2nd order ordinary differential equations (ODEs) with respect to an optimal set of one-dimensional point symmetry groups, and second, use of inherited symmetries, hidden symmetries, and conditional symmetries to solve each ODE by quadratures. Through Noether’s theorem, all conservation laws arising from these point symmetry groups are listed. Some group-invariant solutions are found to exist for values of n other than just positive integers, and in such cases an alternative two-dimensional form of the Schr¨odinger equations involving an extra modulation term with a parameter m = 2−n = 0 is discussed.

Reconstruction des structures magnéto-convectives solaires sous une région active, par l’utilisation conjointe d’un modèle de convection anélastique et d’une méthode d’assimilation de données.

L’utilisation d’une méthode d’assimilation de données, associée à un modèle de convection anélastique, nous permet la reconstruction des structures physiques d’une partie de la zone convective située en dessous d’une région solaire active. Les résultats obtenus nous informent sur les processus d’émergence des tubes de champ magnétique au travers de la zone convective ainsi que sur les mécanismes de formation des régions actives. Les données solaires utilisées proviennent de l’instrument MDI à bord de l’observatoire spatial SOHO et concernent principalement la région active AR9077 lors de l’ ́évènement du “jour de la Bastille”, le 14 juillet 2000. Cet évènement a conduit à l’avènement d’une éruption solaire, suivie par une importante éjection de masse coronale. Les données assimilées (magnétogrammes, cartes de températures et de vitesses verticales) couvrent une surface de 175 méga-mètres de coté acquises au niveau photosphérique. La méthode d’assimilation de données employée est le “coup de coude direct et rétrograde”, une méthode de relaxation Newtonienne similaire à la méthode “quasi-linéaire inverse 3D”. Elle présente l’originalité de ne pas nécessiter le calcul des équations adjointes au modèle physique. Aussi, la simplicité de la méthode est un avantage numérique conséquent. Notre étude montre au travers d’un test simple l’applicabilité de cette méthode à un modèle de convection utilisé dans le cadre de l’approximation anélastique. Nous montrons ainsi l’efficacité de cette méthode et révélons son potentiel pour l’assimilation de données solaires. Afin d’assurer l’unicité mathématique de la solution obtenue nous imposons une régularisation dans tout le domaine simulé. Nous montrons enfin que l’intérêt de la méthode employée ne se limite pas à la reconstruction des structures convectives, mais qu’elle permet également l’interpolation optimale des magnétogrammes photosphériques, voir même la prédiction de leur évolution temporelle.

Sur un modèle d'érythropoïèse comportant un taux de mortalité dynamique

Ce mémoire concerne la modélisation mathématique de l’érythropoïèse, à savoir le processus de production des érythrocytes (ou globules rouges) et sa régulation par l’érythropoïétine, une hormone de contrôle. Nous proposons une extension d’un modèle d’érythropoïèse tenant compte du vieillissement des cellules matures. D’abord, nous considérons un modèle structuré en maturité avec condition limite mouvante, dont la dynamique est capturée par des équations d’advection. Biologiquement, la condition limite mouvante signifie que la durée de vie maximale varie afin qu’il y ait toujours un flux constant de cellules éliminées. Par la suite, des hypothèses sur la biologie sont introduites pour simplifier ce modèle et le ramener à un système de trois équations différentielles à retard pour la population totale, la concentration d’hormones ainsi que la durée de vie maximale. Un système alternatif composé de deux équations avec deux retards constants est obtenu en supposant que la durée de vie maximale soit fixe. Enfin, un nouveau modèle est introduit, lequel comporte un taux de mortalité augmentant exponentiellement en fonction du niveau de maturité des érythrocytes. Une analyse de stabilité linéaire permet de détecter des bifurcations de Hopf simple et double émergeant des variations du gain dans la boucle de feedback et de paramètres associés à la fonction de survie. Des simulations numériques suggèrent aussi une perte de stabilité causée par des interactions entre deux modes linéaires et l’existence d’un tore de dimension deux dans l’espace de phase autour de la solution stationnaire.

Caractère intrinsèque des matrices de Stokes

Il est connu qu’une équation différentielle linéaire, x^(k+1)Y' = A(x)Y, au voisinage d’un point singulier irrégulier non-résonant est uniquement déterminée (à isomorphisme analytique près) par : (1) sa forme normale formelle, (2) sa collection de matrices de Stokes. La définition des matrices de Stokes fait appel à un ordre sur les parties réelles des valeurs propres du système, ordre qui peut être perturbé par une rotation en x. Dans ce mémoire, nous avons établi le caractère intrinsèque de cette relation : nous avons donc établi comment la nouvelle collection de matrices de Stokes obtenue après une rotation en x qui change l’ordre des parties réelles des valeurs propres dépend de la collection initiale. Pour ce faire, nous donnons un chapitre de préliminaires généraux sur la forme normale des équations différentielles ordinaires puis un chapitre sur le phénomène de Stokes pour les équations différentielles linéaires. Le troisième chapitre contient nos résultats.

Studies on Some Aspects of Light Beam Propagation Through Certain Nonlinear Media

This thesis deals with the study of light beam propagation through different nonlinear media. Analytical and numerical methods are used to show the formation of solitonS in these media. Basic experiments have also been performed to show the formation of a self-written waveguide in a photopolymer. The variational method is used for the analytical analysis throughout the thesis. Numerical method based on the finite-difference forms of the original partial differential equation is used for the numerical analysis.In Chapter 2, we have studied two kinds of solitons, the (2 + 1) D spatial solitons and the (3 + l)D spatio-temporal solitons in a cubic-quintic medium in the presence of multiphoton ionization.In Chapter 3, we have studied the evolution of light beam through a different kind of nonlinear media, the photorcfractive polymer. We study modulational instability and beam propagation through a photorefractive polymer in the presence of absorption losses. The one dimensional beam propagation through the nonlinear medium is studied using variational and numerical methods. Stable soliton propagation is observed both analytically and numerically.Chapter 4 deals with the study of modulational instability in a photorefractive crystal in the presence of wave mixing effects. Modulational instability in a photorefractive medium is studied in the presence of two wave mixing. We then propose and derive a model for forward four wave mixing in the photorefractive medium and investigate the modulational instability induced by four wave mixing effects. By using the standard linear stability analysis the instability gain is obtained.Chapter 5 deals with the study of self-written waveguides. Besides the usual analytical analysis, basic experiments were done showing the formation of self-written waveguide in a photopolymer system. The formation of a directional coupler in a photopolymer system is studied theoretically in Chapter 6. We propose and study, using the variational approximation as well as numerical simulation, the evolution of a probe beam through a directional coupler formed in a photopolymer system.

Orthogonal polynomials and recurrence equations, operator equations and factorization

This article surveys the classical orthogonal polynomial systems of the Hahn class, which are solutions of second-order differential, difference or q-difference equations. Orthogonal families satisfy three-term recurrence equations. Example applications of an algorithm to determine whether a three-term recurrence equation has solutions in the Hahn class - implemented in the computer algebra system Maple - are given. Modifications of these families, in particular associated orthogonal systems, satisfy fourth-order operator equations. A factorization of these equations leads to a solution basis.

Elimination in Operator Algebras

A large class of special functions are solutions of systems of linear difference and differential equations with polynomial coefficients. For a given function, these equations considered as operator polynomials generate a left ideal in a noncommutative algebra called Ore algebra. This ideal with finitely many conditions characterizes the function uniquely so that Gröbner basis techniques can be applied. Many problems related to special functions which can be described by such ideals can be solved by performing elimination of appropriate noncommutative variables in these ideals. In this work, we mainly achieve the following: 1. We give an overview of the theoretical algebraic background as well as the algorithmic aspects of different methods using noncommutative Gröbner elimination techniques in Ore algebras in order to solve problems related to special functions. 2. We describe in detail algorithms which are based on Gröbner elimination techniques and perform the creative telescoping method for sums and integrals of special functions. 3. We investigate and compare these algorithms by illustrative examples which are performed by the computer algebra system Maple. This investigation has the objective to test how far noncommutative Gröbner elimination techniques may be efficiently applied to perform creative telescoping.

On Degeneracy of Linear Reconstruction from Three Views: Linear Line Complex and Applications

This paper investigates the linear degeneracies of projective structure estimation from point and line features across three views. We show that the rank of the linear system of equations for recovering the trilinear tensor of three views reduces to 23 (instead of 26) in the case when the scene is a Linear Line Complex (set of lines in space intersecting at a common line) and is 21 when the scene is planar. The LLC situation is only linearly degenerate, and we show that one can obtain a unique solution when the admissibility constraints of the tensor are accounted for. The line configuration described by an LLC, rather than being some obscure case, is in fact quite typical. It includes, as a particular example, the case of a camera moving down a hallway in an office environment or down an urban street. Furthermore, an LLC situation may occur as an artifact such as in direct estimation from spatio-temporal derivatives of image brightness. Therefore, an investigation into degeneracies and their remedy is important also in practice.

Preconditioning and iterative solution of symmetric indefinite linear systems arising from interior point methods for linear programming

We study the preconditioning of symmetric indefinite linear systems of equations that arise in interior point solution of linear optimization problems. The preconditioning method that we study exploits the block structure of the augmented matrix to design a similar block structure preconditioner to improve the spectral properties of the resulting preconditioned matrix so as to improve the convergence rate of the iterative solution of the system. We also propose a two-phase algorithm that takes advantage of the spectral properties of the transformed matrix to solve for the Newton directions in the interior-point method. Numerical experiments have been performed on some LP test problems in the NETLIB suite to demonstrate the potential of the preconditioning method discussed.

MA158exam01

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Exam 1997

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