Dissertations / Theses on the topic 'Méthode des sauts de cycles'
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Cao, Jiangping. "Modélisation numérique des problèmes d'interfaces sable-pieu pour les très grands nombres de cycles : développement d'une méthode de sauts de cycles." Thesis, Lille 1, 2010. http://www.theses.fr/2010LIL10133/document.
This thesis deals with a numerical analysis of structure-soil interface under the cyclic loading by finite different method. The principal of this work relates to the development of a constitutive law, including the nonlinear kinematic hardening which allows to simulate the behavior of structure under the cyclic loading. Instead of using a method calculation cycle by cycle, we develop a method called « Cycles Skipped », which gives the possibility to reduce the computation time of the simulation. The thesis is organized as follow: The first chapter discusses about the synthesis bibliography of cyclic loading in geotechnical engineering. Based on the laboratory tests, some experimental observations are presented and analyzed in this chapter. Besides, the principal existed methods are presented to describe the behavior of elementary soil or interface under cyclic loading. The second chapter; from the laboratory and in-situ observations, the different models are presented to describe the behavior of structure under cyclic loading. Particularly, a cyclic constitutive law « Modjoin » in elastoplasticity model (Shahrour, 1997) is proposed and improved to decrease the ratchet phenomenon of cyclic loading for analyzing the behavior of structure under a very large number of cyclic loading (n>103). A deep study of its potential is realized and some numerical applications are presented in this chapter. The third chapter proposes a Modjoin modeling, which involves the validity of this model and the analysis of the behavior of structure under cycles load. Two modelings with thousand cycle loads are carried out to verify that the law is correctly implanted in finite difference code. The fourth chapter concerns about the development of a method « cycles skipped » which allows to estimate the structure behavior under a large number of loading cycles without calculating cycle by cycle. This method based on an extrapolation of plastic deformation which is injected into the model as the nodal forces. The extrapolation of plastic deformation consists of Taylor’s expansion and least squares regression. Finally, some calculations are performed and a comparison of results observed between different methods will be presented
Hendrycks, Baptiste. "Modélisation de l'assemblage roue/essieu ferroviaire et de sa tenue en fatigue sous chargement cyclique." Electronic Thesis or Diss., Université de Lille (2022-....), 2023. http://www.theses.fr/2023ULILN049.
The objective of this thesis is to propose numerical models allowing a better understanding of the fatigue behavior of the railway wheel-axle assembly.A first model simulates the press fit operation in the assembly of a railway axle and wheel. A particular attention was paid to the friction between the wheel and the axle, which notably made it possible to show a dependence of the friction factor on the contact pressure. Also, the simulation highlights the creation of a geometric singularity at the start of the operation having an influence on the distribution of stresses in the structure.Then, a model simulates the multiaxial cyclic stress on a scale 1 test specimen wheel/axle assembly. A behavior model for the EA1N steel, used for the axles, was developed in order to be used for both monotonic and cyclic problems. This model, with a high loading level, shows a significant deformation of the wheel seat with the contact opening.The skipped cycles method was chosen in order to quickly calculate a stabilized mechanical state. The use of this method initially on a simplified wheel/axle assembly, then on a real case shows good precision of the results despite a dependence on local refinement and the developed material behavior which can constrain the calculation time.Finally, we calculate the fatigue strength of the structure with the application of a fatigue criterion. We also propose a discussion based on loading paths, in particular on the appearance of alternating shear on the wheel seat
Laporte, Francis. "Méthode d'inférence utilisant la vraisemblance empirique basée sur l'entropie pour les modèles de diffusion avec sauts." Master's thesis, Université Laval, 2019. http://hdl.handle.net/20.500.11794/33909.
With the advent of increasingly sophisticated models for modeling stock market returns, the classical maximum likelihood method for inferring parameters is generally no longer applicable since, for example, the density function has no closed form or very difficult to calculate numerically. In the literature, inference by the method of moments (MM) is therefore generally suggested. In this master’s thesis, a more efficient inference method, the maximum empirical entropy likelihood (MEEL), is proposed for two particular cases of the Lévy process, namely the Merton and Tsay models. First, a review of some models developed in the past is done. The flaws of the geometric Brownian motion are presented to justify the use of more sophisticated models. Then, the two models, Merton and Tsay, and their properties are presented in more detail. Subsequently, there is a comparative analysis between the effectiveness of the MEEL and the MM; an example with real data is also presented. Finally, two approaches to pricing derivatives are presented.
Serafino, Aldo. "Méthode d'optimisation robuste multi-fidélité pour les cycles organiques de Rankine." Thesis, Paris, HESAM, 2020. http://www.theses.fr/2020HESAE055.
Robust design optimization (RDO) is an important tool for the design of industrial products underuncertainty. It combines optimization algorithms and uncertainty quantification (UQ) techniques. Quantificationof uncertainties is generally too expensive for complex numerical models of engineering systems. With the aimof developing efficient RDO strategies designed for industrial applications, the coupling of parsimonious UQtechniques with a multi-objective genetic algorithm based on surrogate models (SMOGA) was studied. In thisregard, a promising RDO technique was used, based on the coupling of two nested surrogate models: the firstis used for UQ, while the response surface of the second is used to accelerate optimization; an infill criterion isused to update the surrogate model during optimizer convergence. Several UQ methods using information onthe gradients of the solution with respect to the uncertain variables were implemented and compared in termsof precision and computational cost. We then selected a so-called “low fidelity” UQ method, i.e. inexpensivebut not very accurate, and a “high fidelity” method in order to build a multi-fidelity surrogate model for robustoptimization. This model allows to have an accuracy close to the high fidelity model for a much lower computationcost. The methods under investigation were applied to the RDO of organic Rankine cycles (ORC) and to theshape optimization of an ORC turbine blade grid, with very promising results
Jraifi, Abdelilah. "Analyse numérique de modèles de diffusion-sauts à volatilité stochastique : cas de l'évaluation des options." Thesis, Valenciennes, 2014. http://www.theses.fr/2014VALE0002.
In the modern economic world, the options contracts are used because they allow to hedge against the vagaries and risks refers to fluctuations in the prices of the underlying assets. The determination of the price of these contracts is of great importance for investors.We are interested in problems of options pricing, actually the European and Quanto options on a financial asset. The price of that asset is modeled by a multi-dimentional jump diffusion with stochastic volatility. Otherwise, the first model considers the volatility as a continuous process and the second model considers it as a jump process. Finally in the 3rd model, the underlying asset is without jump and volatility follows a model CEV without jump. This model allow better to take into account some phenomena observed in the markets. We develop numerical methods that determine the values of prices for these options. We first write the model as an integro-differential stochastic equations system "EIDS", of which we study existence and unicity of solutions. Then we relate the resolution of PIDE to the computation of the option value. This link, which is based on the notion of infinitesimal generators, allows us to use different numerical methods. We therefore introduce the variational equation associated with the PIDE, and drawing on the work of Zhang [106], we show that it admits a unique solution in a weights Sobolev space We focus on the numerical approximation of the price of the option, by treating the problem in a bounded domain. We use the finite elements method of type (P1), and the scheme of Euler-Maruyama, for this serve, on the one hand the finite differences method in time, and on the other hand the method of Monte Carlo and the Quasi Monte Carlo method. For this last method we use of Halton sequences to improve the speed of convergence.We present a comparative study of the different numerical results in many different cases in order to investigate the performance and effectiveness of the used methods
Loulidi, Sanae. "Modélisation stochastique en finance, application à la construction d’un modèle à changement de régime avec des sauts." Thesis, Bordeaux 1, 2008. http://www.theses.fr/2008BOR13675/document.
Abstract
Nguyen, Laurent. "Calibration de modèles financiers par minimisation d'entropie relative et modèles avec sauts." Phd thesis, Ecole des Ponts ParisTech, 2003. http://tel.archives-ouvertes.fr/tel-00005766.
La calibration de modèles financiers par minimisation de lentropie relative a été proposée récemment dans le cadre de la méthode de Monte Carlo. On a étudié la convergence et la stabilité de cette méthode et on a étendu les résultats à des critères plus généraux que lentropie relative. La prise en compte des contraintes sur le sous-jacent assurant labsence dopportunité darbitrage a été abordée sous langle dun problème de moments.
Dans la seconde partie, on a considéré un modèle simple du phénomène de krach en introduisant en particulier des sauts dans la volatilité du sous-jacent. On a calculé le risque quadratique et effectué un développement approché du smile utile pour la calibration.
Finalement, dans la troisième partie, on utilise lentropie relative pour calibrer lintensité des sauts dun modèle de diffusion avec sauts et volatilité locale. La stabilité de la méthode a été prouvée grâce à des techniques de contrôle optimal ainsi quau théorème des fonctions implicites.
Suparman, Suparman. "Problèmes de choix de modèles par simulation de type Monte Carlo par chaînes de Markov à sauts réversibles." Toulouse 3, 2003. http://www.theses.fr/2003TOU30005.
Roche, Sébastien. "Méthodes de poursuite de phase pour signaux GNSS multifréquence en environnement dégradé." Thesis, Toulouse, ISAE, 2013. http://www.theses.fr/2013ESAE0047/document.
This thesis aims at introducing multifrequency phase tracking algorithms operating in low C/N0environment. The objective is to develop new structures whose tracking limits are lower than thatof current algorithms used in mass market receivers. Phase tracking suffers from a lack of robustnessdue to the cycle slip phenomenon. Works have thus been focused on elaborating new phaseunwrapping systems. To do so, two different tracking approaches were studied. First, we have developed new monofrequency tracking loops based on a conventional DPLL. These structures aimat predicting the discriminator output by analyzing, thanks to a polynomial model, the last outputsamples of either the discriminator or the loop filter. Once the discriminator output is predicted,the estimated value is pre-compensated so that the phase dynamics to be tracked is reduced aswell as the cycle slip rate. Then, the unwrapping structure analyzing the loop filter outputs hasbeen extended to multifrequency signals. Using a data fusion step, the new multifrequency structuretakes advantage of the frequency diversity of a GNSS signal (i.e., proportionality of Dopplerfrequencies) to improve the tracking performances. Secondly, studies have been focused on developing a new multifrequency tracking algorithm using variational Bayesian filtering technique.This tracking method, which also uses the GNSS frequency diversity, assumes a Markovian phasedynamics that enforces the smoothness of the phase estimation and unwraps it
Tounsi, Abdelmajid. "Cycles repère : de l'espace scénique à l'espace écranique." Thesis, Université Laval, 2009. http://www.theses.ulaval.ca/2009/26332/26332.pdf.
Dicko, Fatoumata Nene. "Amélioration de la méthode d'échantillonnage en deux cycles et application à l'estimation du total de la population." Mémoire, Université de Sherbrooke, 2010. http://savoirs.usherbrooke.ca/handle/11143/4847.
Duparc, Jacqueline. "Contribution à la mise au point d'une méthode de dépouillement d'images en temps différé, application à l'analyse des sauts records de B. Beamon et C. Lewis." Poitiers, 1990. http://www.theses.fr/1990POIT2344.
Liang, Yongqi. "Principe local-global pour les zéro-cycles." Phd thesis, Université Paris Sud - Paris XI, 2011. http://tel.archives-ouvertes.fr/tel-00630560.
Zorgnotti, Valentin. "Mesure d’impédance acoustique pour la caractérisation des cycles limites de moteurs thermoacoustiques." Thesis, Le Mans, 2019. http://www.theses.fr/2019LEMA1005/document.
This manuscript deals with the experimental characterization of the acoustic limit cycle reached by self-sustained oscillations generated in thermoacoustic engines.A specially designed, high amplitude, acoustic impedance sensor was developed to perform measurements of the input impedance of a thermoacoustic core, as a function of the heating power supplied to the device, of the frequency, and of the amplitude of acoustic forcing.Those measurements can then be used to predict the spontaneous generation of acoustic oscillations and their saturation up to a certain steady-state.Those predictions were successful for various acoustic loads connected to the thermoacoustic core.Moreover, the measurements of acoustic impedance as a function of the amplitude of acoustic oscillations are compared to a model based on the linear thermoacoustic theory, and this comparaison provides insights into the processes controlling the saturation of acoustic oscillations.The experimental procedure described in this manuscript also leads to a pratical way of optimizing the coupling between the thermoacoustic core and the load, in the way that the potential efficiency of thermoacoustic energy conversion is maximized.Finally, an experimental method is described and allows to study the stability of limit cycles, i.e. the temporal evolution of the self-oscillation amplitude, in the case of a system that is able to give rise to a spontaneous periodic \textit{trigg and stop} behavior
Mateescu, Marcel. "Étude statistique des chroniques des paramètres climatiques en Europe dans la période instrumentale : l'analyse des cycles par la méthode fréquentielle ondelette." Nice, 2011. http://www.theses.fr/2011NICE2045.
Thibault, Arleen. "La méthode Vittoz au service du développement des compétences des utilisateurs des Cycles Repère : évaluation de la pertinence de l'insertion d'une série d'exercices inspirée par la méthode Vittoz dans la démarche de création des Cycles Repère par le biais d'une expérimentation effectuée lors du projet "Carnets du Nord"." Thesis, Université Laval, 2009. http://www.theses.ulaval.ca/2009/25931/25931.pdf.
Bonnet, Delphine. "Effet de la diversité nutritionnelle du microplancton sur le zooplancton : étude de processus démographiques et trophiques de copépodes marins dans des conditions de laboratoire et in situ." Paris 6, 2001. http://www.theses.fr/2001PA066499.
Pollet, Éric. "Mise en œuvre et modélisation d'un procédé continu de polymérisation anionique coordinée par ouverture de cycles." Lyon 1, 2001. http://www.theses.fr/2001LYO10179.
Thouzé, Arsène. "Méthode numérique d'estimation du mouvement des masses molles." Thèse, Poitiers, 2013. http://hdl.handle.net/1866/10763.
Biomechanical analysis of human movement using optoelectronic system and skin markers considers body segments as rigid bodies. However the soft tissue motion relative to the bone, including muscles, fat mass, results in relative displacement of markers. This displacement is the results of two components, an own component which corresponds to a random motion of each marker and an in-unison component corresponding to the common movement of skin markers resulting from the movement of the underlying wobbling mass. While most studies aim to minimize these displacements, computer simulation models have shown that the movement of the soft tissue motion relative to the bones reduces the joint kinetics. This observation is only available using computer simulations because there are no methods able to distinguish the kinematics of wobbling mass of the bones kinematics. The main objective of this thesis is to develop a numerical method able to distinguish this different kinematics. The first aim of this thesis was to assess a local optimisation method for estimating the soft tissue motion using intra-cortical pins screwed into the humerus in three subjects. The results show that local optimisation underestimates of 50% the marker displacements. Also it leads to a different marker ranking in terms of displacement. The limit of local optimisation comes from the fact that it does not consider all the components of the soft tissue motion, especially the in-unison component. The second aim of this thesis was to develop a numerical method that accounts for all the component of the soft tissue motion. More specifically, this method should provide similar kinematics and estimate large marker displacement and distinguish the two components to conventional approaches. The lower limb is modeled using a 10 degree of freedom chain model reconstructed using global optimisation and the markers placed only on the pelvis and the medial face of the shank. The original estimate of joint kinematics without considering the markers placed on the thigh and on the calf avoids the influences of these markers displacement on the kinematic model reconstruction. This method was tested on 13 subjects who performed hopping trials and obtained up to 2.1 times of marker displacement depending the method considered ensuring similar joint-kinematics. A vector approach shown that marker displacements is more induce by the in-unison component. A matrix approach combining the local optimisation and the kinematic model shown that the wobbling mass moves around the longitudinal axis and along the antero-posterior axis of the bone. The originality of this thesis is to numerically distinguish the bone kinematics from the wobbling mass kinematics and the two components of the soft tissue motion. The methods developed in this thesis increases the knowledge on soft tissue motion and allow future studies to consider their movement in joint kinetics calculation.
Papon, Aurélie. "Modélisation numérique du comportement des sols sous très grands nombres de cycles : homogénéisation temporelle et identification des paramètres." Phd thesis, Université de Nantes, 2010. http://tel.archives-ouvertes.fr/tel-00649079.
Fuoco, Geneviève. "La méthode Jacques Lecoq et les Cycles Repère. Deux outils de travail complémentaires dans la création du spectacle Le temps nous est gare." Thesis, Université Laval, 2007. http://www.theses.ulaval.ca/2007/24945/24945.pdf.
Amorino, Chiara. "Bias correction for drift and volatility estimation of jump diffusion processes and non - parametric adaptive estimation of the invariant measure." Thesis, université Paris-Saclay, 2020. https://www.biblio.univ-evry.fr/theses/2020/2020UPASE006.pdf.
The thesis deal with the parametric and non-parametric inference in jump process models.It consists of 3 parts which gather 4 chapters.The first part, which contains 2 chapters, focuses on the estimation of the drift and volatility parameters via some contrast function methods starting from a discretely observed process.The main goal is to minimise the conditions on the discretization step so that it can go to $0$ arbitrarily slowly.The second part of the thesis regards some asymptotic developments, and bias correction, for the estimation of the integrated volatility.The third part of the thesis is about the adaptive estimation of the invariant measure for jump processes
Pham, Ngoc Diep. "Contribution à l'identification de la nature des rayons cosmiques d'énergie extrême à l'Observatoire Pierre Auger." Phd thesis, Université Paris Sud - Paris XI, 2010. http://tel.archives-ouvertes.fr/tel-00630205.
Guillon, Théophile. "Comportement hydromécanique des argilites du Callovo-Oxfordien lors de cycles de désaturation-resaturation." Thesis, Vandoeuvre-les-Nancy, INPL, 2011. http://www.theses.fr/2011INPL101N/document.
The Callovo-Oxfordian claystones’ properties make them reliable as a geological barrier for the confinement of radioactive wastes. In order to optimally predict their behavior, how they respond to various short and long terms loadings has to be studied. Particularly during the exploitation phase, air is continuously ventilated throughout the galleries. The climatic properties of this air are not balanced with those of the rock, and may perturb its hydromechanical (HM) attributes. Thus, assessing the HM response of the rock under hydric loading seems to be a priority.This dissertation begins with laboratory tests to propose an appropriate physical model. Drying tests were studied as they focus on the HM response of samples undergoing hydric loadings. A first 2D isotropic model is proposed, and then enhanced to 3D by considering a transversely isotropic Young modulus. Secondly, experimental results provide relevant data to estimate poroelastic and transport parameters involved in the model. Estimation is achieved according to an inverse procedure, which minimizes the error between measurements and model predictions. Finally, a real-size test is simulated using 2D models: an isotropic plastic one and a transversely isotropic elastic one.Model predictions reproduce well the laboratory tests data. When simulating the in situ behavior, a rather good agreement is obtained between the numerical and experimental results (although using the parameters estimated at the laboratory scale). However, the model highlights a limited influence of plasticity in the laboratory tests, while dissipative phenomena obviously occur in situ. 3D laboratory simulations do not improve the precision of 2D results, but reproduce more experimental data (mass variations, axial and lateral strains). Moreover, the inversion process is more efficient when ran over various kinds of data. Furthermore, stability of the algorithm is improved when adopting a two-phase convergence (simplex, followed by a gradient-like method). Numerical estimates of the parameters are in agreement with the direct experimental measurements obtained through other tests
Arairo, Wahib. "Influence des cycles hydriques de la dessiccation et de l'humidification sur le comportement hydromécanique des géomatériaux non saturés." Phd thesis, INSA de Lyon, 2013. http://tel.archives-ouvertes.fr/tel-00943471.
Baron, Standley-Réginald. "Cycle économique et modélisation de la structure à terme du spread CDS : implémentation de la simulation de Monte Carlo au modèle dynamique de Nelson-Siegel." Master's thesis, Université Laval, 2016. http://hdl.handle.net/20.500.11794/27368.
Sally, Orianne. "Stratégies de calcul pour la prévision de durée de vie des structures composites soumises à des chargements complexes : Application aux composites Oxyde/Oxyde." Thesis, université Paris-Saclay, 2020. http://www.theses.fr/2020UPASN024.
This study focuses on damage and lifetimeprediction of oxide/oxide composite structures,introduced in the hot parts of aircraft engines. It ispart of a project named MECACOMP, led by Safran.This PhD aims to propose a calculation strategycapable of predicting the strength and service life ofcomposite structures subjected to real fatigue loads(multi-axial, long-lasting and potentially random).A two-step approach is implemented. First, a damagemodel, using an incremental formalism, is proposedin order to represent the experimental behaviourobserved on both static and fatigue loadings. Adedicated identification protocol is proposed. Themechanical test campaign carried out made itpossible to characterize the studied material and toidentify the parameters of the model. However, the computational costs being too highto simulate the behaviour of a composite structuresubjected to long-term fatigue loadings, acalculation strategy is developed, in a second step,to reduce drastically the computational time andmake the model usable in design offices. It consistsin a non-linear cycle jumps method, based on theproposed incremental damage law. This strategywas implemented in a commercial Finite Elementcode and applied to polycyclic fatigue calculationson both academic structures, for which the modelpredictions are evaluated by comparison with testresults, and structures of industrial complexity
Herbland, Thibault. "Une méthode de correction élastoplastique pour le calcul en fatigue des zones de concentration de contraintes sous chargement cyclique multiaxial non proportionnel." Phd thesis, École Nationale Supérieure des Mines de Paris, 2009. http://tel.archives-ouvertes.fr/tel-00479991.
Arairo, Wahib. "Influence des cycles hydriques de la dessiccation et de l’humidification sur le comportement hydromécanique des géomatériaux non saturés." Thesis, Lyon, INSA, 2013. http://www.theses.fr/2013ISAL0028/document.
This work focuses on the behaviour of porous triphasic media, particularly on unsaturated soils subjected to hydromechanical loading. A coupled elastoplastic constitutive model has been developed. This original model is formulated according to the following principles: (1) a constitutive law describing the behaviour of different phases (solid skeleton, liquid and gas). (2) coupling relationships between each phase. For the behaviour of the solid skeleton, a non associated elastoplastic constitutive law is adopted, with two loading surfaces: shear surface and compression cap surface. The hydric part is discribed using a formulation which allows to take into account the hysteresis effect. This model has been extended using a hydromechanical coupling relation between the air entry value and the porosity. Then the coupling is completed with the Bishop effective stress, using a new definition for the suction parameter χ. Using this formulation, the various phenomena present in the porous media behaviour under different loading can be reproduced. The developed model has been validated through a comparison with experimental data on different types of soil (sand, silt,…). This model is implemented in the french finite element code Cast3M. The analysis of specific problems, such as (1) the study of shallow foundation subjected to cyclic rain event, as well as (2) the study of slope stability, show the model capacity to reproduce the behaviour of unsaturated porous media
Sicot, Olivier. "Détermination des contraintes résiduelles dans les matériaux composites stratifiés et étude de leur influence sur le comportement mécanique." Troyes, 2003. http://www.theses.fr/2003TROY0003.
This work takes place in a broader study relative to the problem of the residual stresses in the composites laminates. The first part of this study is dedicated to the adaptation of the incremental hole-drilling method to the case of the composites laminates. For that, we developed a numerical software to calculate the calibration coefficients used to determine the residual stresses. This new computation allows to improvie the interest of this method. The validity field of this method is drawn thanks to the study of the experimental parameters influence as the delpth of the drilling increment and the relative position between the gages and the hole's border. The optimised method is used to dermine the residual stresses introduced by different types of cure cycles (modification of the cooling rate, add of a post-cure and introduction of a third isothermial step). In the second part of this work, the influence of the residual stresses on the mechanical behaviour of the composites laminates is investigated. The acoustic emission is used to follow quantitatively and qualitatively the damage evolution during the sollicitation. Whether the sollicitation, the results show a significant influence of the residual stresses on the damage initiation stresses and on the fracture limits
Hamisultane, Hélène. "Evaluation des dérivés climatiques sur degrés-jours." Phd thesis, Université de Nanterre - Paris X, 2007. http://tel.archives-ouvertes.fr/tel-00283848.
Elie, Romuald. "Contrôle stochastique et méthodes numériques en finance mathématique." Phd thesis, Paris 9, 2006. http://tel.archives-ouvertes.fr/tel-00122883.
Nous présentons dans la première partie une méthode non-paramétrique d'estimation des sensibilités des prix d'options. A l'aide d'une perturbation aléatoire du paramètre d'intérêt, nous représentons ces sensibilités sous forme d'espérance conditionnelle, que nous estimons à l'aide de simulations Monte Carlo et de régression par noyaux. Par des arguments d'intégration par parties, nous proposons plusieurs estimateurs à noyaux de ces sensibilités, qui ne nécessitent pas la connaissance de la densité du sous-jacent, et nous obtenons leurs propriétés asymptotiques. Lorsque la fonction payoff est irrégulière, ils convergent plus vite que les estimateurs par différences finies, ce que l'on vérifie numériquement.
La deuxième partie s'intéresse à la résolution numérique de systèmes découplés d'équations différentielles stochastiques progressives rétrogrades. Pour des coefficients Lipschitz, nous proposons un schéma de discrétisation qui converge plus vite que $n^{-1/2+e}$, pour tout $e>0$, lorsque le pas de temps $1/n$ tends vers $0$, et sous des hypothèses plus fortes de régularité, le schéma atteint la vitesse de convergence paramétrique. L'erreur statistique de l'algorithme dûe a l'approximation non-paramétrique d'espérances conditionnelles est également controlée et nous présentons des exemples de résolution numérique de systèmes couplés d'EDP semi-linéaires.
Enfin, la dernière partie de cette thèse étudie le comportement d'un gestionnaire de fond, maximisant l'utilité intertemporelle de sa consommation, sous la contrainte que la valeur de son portefeuille ne descende pas en dessous d'une fraction fixée de son maximum courant. Nous considérons une classe générale de fonctions d'utilité, et un marché financier composé d'un actif risqué de dynamique black-Scholes. Lorsque le gestionnaire se fixe un horizon de temps infini, nous obtenons sous forme explicite sa stratégie optimale d'investissement et de consommation, ainsi que la fonction valeur du problème. En horizon fini, nous caractérisons la fonction valeur comme unique solution de viscosité de l'équation d'Hamilton-Jacobi-Bellman correspondante.
Sinou, Jean-Jacques. "Synthèse non-linéaire des systèmes vibrants : Application aux systèmes de freinage." Phd thesis, Ecole Centrale de Lyon, 2002. http://tel.archives-ouvertes.fr/tel-00260842.
Le but de cette recherche est de développer une procédure d'analyse non-linéaire des systèmes vibrants. Nous nous intéressons plus particulièrement aux systèmes non linéaires présentant des non-linéarités polynomiales. Une attention tout particulière est apportée à la détermination des mécanismes engendrant les instabilitées dues au frottement (stick,-slip, sprag slip, couplage de modes...) et à la réalisation de modéles phénoménologiques permettant de reproduire les principaux modes de vibration des systèmes associés.
La démarche d'analyse non linéaire s'appuie sur deux points particuliers. Le problème staticodynamique où l'analyse dynamique correspond à une linéarisation autour d'une position statique obtenue par la résolution d'un problème non linéaire. Les conditions de stabilité du système sont alors étudiées à partir de la résolution du problème aux valeurs propres. Le second point concerne le problème dynamique non linéaire : nous cherchons à mettre en place des méthodes non-linéaires (méthode de la variété centrale, les approximants multivariables, la méthode de la balance harmonique AFT(alternate frequency/time domain), etc...) pour prédire les niveaux vibratoires, ou cycles limites. Les cycles limites provenant des méthodes non-lineaires sont alors comparés avec ceux obtenus par une intégration temporelle classique afin de valider cette procédure globale qui consiste à utiliser successivement, dans un certain ordre, des méthodes non-linéaires qui réduisent et simplifient le systéme de départ.
Kaddouri, Isma. "Problèmes inverses pour des problèmes d'évolution paraboliques à coefficients périodiques." Electronic Thesis or Diss., Aix-Marseille, 2014. http://www.theses.fr/2014AIXM4322.
This thesis consists in the study of two problems associated to inverse para-bolic equations with periodic coefficients. We are interested in identifying one coefficient by using two different methods. In the first part, we consider a parabolic equation with periodic coefficients and periodic initial condition. Our work consists to consider the case of coefficient with weak regularity and to minimize the constraints of observations which are required to establish our reconstruction result. We establish a result of existence and uniqueness of the solution in adequate energy space. Then we prove a maximum principle adapted to the hypothesis of the problem studied and we work with measurable and bounded coefficients. Finally, we reconstruct the potential by establishing a Carleman estimate. The identification result was achieved via an inequality of stability. In the second work, we are interested to determine a periodic coefficient of the reaction term defined in the whole space ℝ. We establish a uniqueness result by using a new type of observations. The nature of the studied problem allowed us to use the notion of asymptotic speed of propagation. We prove the existence of this speed and we give its characterization. We overdetermin the inverse problem by choosing a family of initial conditions exponentially decaying. Our main result is that the coefficient is uniquely determined up to a symmetry, by the observation of a continuum of asymptotic speed of propagation
Krief, David. "Asymptotic methods for option pricing in finance." Thesis, Sorbonne Paris Cité, 2018. http://www.theses.fr/2018USPCC177/document.
In this thesis, we study several mathematical finance problems, related to the pricing of derivatives. Using different asymptotic approaches, we develop methods to calculate accurate approximations of the prices of certain types of options in cases where no explicit formulas are available.In the first chapter, we are interested in the pricing of path-dependent options, with Monte-Carlo methods, when the underlying is modelled as an affine stochastic volatility model. We prove a long-time trajectorial large deviations principle. We then combine it with Varadhan’s Lemma to calculate an asymptotically optimal measure change, that allows to reduce significantly the variance of the Monte-Carlo estimator of option prices.The second chapter considers the pricing with Monte-Carlo methods of options that depend on several underlying assets, such as basket options, in the Wishart stochastic volatility model, that generalizes the Heston model. Following the approach of the first chapter, we prove that the process verifies a long-time large deviations principle, that we use to reduce significantly the variance of the Monte-Carlo estimator of option prices, through an asymptotically optimal measure change. In parallel, we use the large deviations property to characterize the long-time behaviour of the Black-Scholes implied volatility of basket options.In the third chapter, we study the pricing of options on realized variance, when the spot volatility is modelled as a diffusion process with constant volatility. We use recent asymptotic results on densities of hypo-elliptic diffusions to calculate an expansion of the density of realized variance, that we integrate to obtain an expansion of option prices and their Black-Scholes implied volatility.The last chapter is dedicated to the pricing of interest rate derivatives in the Levy Libor market model, that generaliszes the classical (log-normal) Libor market model by introducing jumps. Writing the first model as a perturbation of the second and using the Feynman-Kac representation, we calculate explicit expansions of the prices of interest rate derivatives and, in particular, caplets and swaptions
Vincent, Matthieu. "Interaction entre défaut de surface et taille de grain en fatigue à grand nombre de cycles : approche expérimentale et numérique sur un fer pur Armco." Thesis, Chasseneuil-du-Poitou, Ecole nationale supérieure de mécanique et d'aérotechnique, 2018. http://www.theses.fr/2018ESMA0018/document.
The objective of this thesis is to study the influence of the ratio between the defect size and themicrostructure characteristic length on the fatigue limit (for a fixed fatigue life) of a metallic material, under highcycle fatigue (HCF). Pure Armco iron is chosen because its simple microstructure has a single characteristic lengthat the mesoscopic scale (grain scale) : the grain size. The aim of the study is thus to study the competition betweena structural effect (surface defect) and a material effect (grain size) in the context of mechanical stresses in HCF.In order to obtain a comparable different grain size, a thermomechanical protocol has been developed. HCF tests,using specimens from both microstructure sizes (initial material and processed hardened material) in which hemisphericaldefects of different sizes were introduced, were performed to estimate the fatigue limits for different defectsize / grain size ratios. When Kitagawa diagrams are presented in relative values (fatigue limit / fatigue limit ofdefect free material versus defect size / grain size), there is a single curve that combines the two microstructures.This dimensionless Kitagawa diagram thus makes it possible to analyze the reduction of the fatigue limit inducedby a defect. The use of the relative size of the defect with respect to the characteristic microstructural dimensionappears to be more relevant than the use of the physical size of the defect.These experimental results are used to reproduce the HCF tests with Finite Element simulations on 3D microstructuresrepresentative of Armco iron. The competition existing between the stress concentration induced by thegeometrical defect and the highly stressed regions of the microstructure generated by the anisotropy of the mechanicalbehavior of the grains is studied. A mesoscopic criterion (involving mechanical quantities averaged by grain)based on a statistical approach allows to find the evolution of the dimensionless Kitagawa diagram, ie the relativesize of the critical defect from which it predominates over the response heterogeneity of the microstructure and thusgoverns the fatigue behavior of the polycrystal. The modification of the mesoscopic criterion by taking into accountintragranular heterogeneities (with the standard deviation per grain of mechanical quantities) is discussed
Mfouapon, Alassa. "Conception et estimation d'un modèle DSGE pour la prévision macroéconomique : un petit modèle d'économie ouverte pour le Cameroun." Thesis, Paris 2, 2015. http://www.theses.fr/2015PA020076/document.
This thesis aims at analyzing the macroeconomic dynamics of the Cameroonian economy. It begins with a quantitative analysis of the business cycle in Cameroon, based on annual macroeconomic data, especially gathered for this purpose. This preliminary inquiry highlights a number of features that can be accounted for in a new-keynesian modelling framework. A dynamic stochastic general equilibrium (DSGE) model of the new-keynesian family is thus constructed as a mean of describing the salient feautures of the Cameroonian economy. It has the traditional blocks of new-keynesian DSGE models (Sticky prices and wages, adjustment costs, etc). But it also accounts for a number of characteristics of the Cameroonian economy that are shown to be influential in the dynamics of the cameroonian economy (e.g. oil revenues or primary goods exports). The model is then estimated and evaluated, based on a Bayesian approach. Its forecasting performance is also assessed through comparison to the performances of a random walk model, a vector autoregressive (VAR) model and a Bayesian VAR (BVAR) model. It turns out that, at least for short horizons, the DSGE model shows the highest perfromance. As to macroeconomic fluctuations, the estimated model suggests that commodity price shocks generate an output expansion, an increase in employment and a fall in inflation. In addition, oil price shocks have a direct impact on marginal costs which increase and provoke a rising in inflation while output and employment tend to fall. Foreign shoks and domestic supply shocks account for a large share of output and investment fluctuations. The evolution of output over the whole sample is dominated by commodity price shocks and oil price shocks as one would expect
Guy, Yann. "L'impact de la finance de marché sur le comportement d'investissement des entreprises : une confrontation des approches microéconomique et macroéconomique." Phd thesis, Université Paris-Diderot - Paris VII, 2012. http://tel.archives-ouvertes.fr/tel-00738271.
Villemot, Sébastien. "Essays on Modeling the Sovereign Default Risk." Paris, EHESS, 2012. http://www.theses.fr/2012EHES0055.
This thesis contributes to the literature on sovereign debt and default risk, building on theoretical models of strategic default and on more recent developments of the quantitative sovereign debt literature. The first contribution is to suggest a solution to the “sovereign default puzzle:” most quantitative sovereign debt models predict a default at very low debt-to-GDP thresholds, in clear contradiction with what is observed in the data. Starting from the observation that countries generally do not want to default but are rather forced into it by the markets, I present a model which can replicate the key stylized facts regarding sovereign risk. As another contribution, I establish a typology of debt crises in three categories: those crises that are the consequence of exogenous shocks, those that are self-fulfilling prophecies, and those self-enforcing crises that are the consequence of a rational tendency to over-borrow when the risk of a negative shock is high. The estimated proportion of self-fulfilling and self-enforcing crises in the data is about 10% in each case. I also study how sovereign default can be understood in the context of small open economy real business cycle models. The conclusion is that these models oscillate between two polar cases: default is either inexistent or too frequent, depending on the chosen parameter values. These models are therefore not well suited for studying sovereign risk, and default needs to be fully endogeneized in order to get meaningful results. Finally, I make a methodological contribution by presenting a new computational method for solving endogenous default models. It is shown to dramatically improve the existing speed-accuracy frontier
Dureau, Clément. "Fatigue d'aciers inoxydables austénitiques traités par grenaillage ultrasonore sévère : contributions expérimentales et numériques à l'étude de l'amorçage et la propagation des fissures." Electronic Thesis or Diss., Université de Lorraine, 2022. http://www.theses.fr/2022LORR0143.
In the high cycle fatigue, cracks initiate most of the time at the surface of workpieces. Therefore, in addition to the overall mechanical properties, surface and sub-surface characteristics such as roughness and residual stresses affect the fatigue life. Roughness essentially influences the cracks initiation phase. Indeed, the presence of surface irregularities induces stress concentrations producing high local strains potentially leading to the formation of crack-like defects. Besides, the presence of residual stresses affects both the crack initiation and propagation phase. They affect the plasticity close to the surface and influence the crack initiation. Moreover, superposed with the macroscopic loading, they locally modify the stress field and therefore may affect the crack propagation behavior as well.The ultrasonic shot peening (SMAT) is a surface mechanical treatment which consists in impacting a sample with shots put in motion by a vibrating device operating at frequencies up to 20 kHz. The repeated impacts lead to a surface plastic strain allowing the formation of compressive residual stresses as well as a microstructure gradient characterized by highly deformed zones in the sub-surface and submicronic grain size just below the surface. Such treatment was carried out to austenitic stainless steels in order to study the fatigue crack initiation and propagation in the complex microstructure and residual stress field induced by the SMAT.Uniaxial high cycle fatigue tests have been conducted for two different load ratios (under tension-compression at RTC=-1 and under tension-tension at RTT=0.1). They allowed to highlight the variable effectiveness of the SMAT with regard of the cyclic loading conditions. Indeed, at RTC, an increase of the fatigue limit was measured whereas for RTT a reduction of the fatigue limit was observed. In order to explain this difference, an in-depth study of the initial state and SMAT treated broken and run-out samples was carried out. It turns out that under the studied loading conditions the modifications of residual stress state can be considered as the primary factor governing the varying fatigue performances and the observed triggering at different initiation sites. Considering the stabilized surface residual stress after fatigue loading, the use of a Crossland criterion allowed to explain both the effects of load ratio and SMAT on the high cycle fatigue behavior of the stainless steel.A modelling method of the mechanical properties and residual stresses gradients was then developed using the finite elements method (via ABAQUS) in order to understand and predict the residual stresses redistributions. The results of the simulations were compared to the experimental measurements, and a good agreement was observed. The capacity of the model to simulate both the strain- and stress-controlled fatigue behavior was evaluated and a good consistency between the numerical and experimental results were obtained.Specimens with an artificial surface defect were then prepared in order to evaluate the surface anomalies sensitivity, and also to study the fatigue crack propagation behavior using the surface replication method. It was shown that the SMAT samples do not exhibit an increased sensitivity to the presence of defects compared to the initial state when loaded at RTT, whereas for RTC a slightly increased sensitivity was identified. Studying the crack propagation at the surface of the specimens highlighted different behaviors for different load ratios. Also, despite the presence of a defect, the crack initiation phase remained important. Finally, crack fronts were marked by different methods which permitted plotting the fatigue crack growth curves. It was then shown that at RTC, fatigue crack growth behavior in the SMAT layer is drastically different from the initial material, whereas at RTT no difference was revealed
Liang, Xiaoyu. "Comportement en fatigue à grand nombre de cycle d’un acier inoxydable 316L obtenu par fabrication additive : effets de la microstructure, de la rugosité et des défauts." Thesis, Paris, HESAM, 2020. http://www.theses.fr/2020HESAE017.
This study aims to investigate the influence of both the microstructure and surface defects on the high cycle fatigue (HCF) behavior of a 316L stainless steel obtained by additive manufacturing (AM). Surface defects and microstructure are dominant factors of fatigue behavior, while the AM materials often exhibit distinguished surface state and microstructure compared to conventional materials. The current study begins with an investigation of the material properties that are related to fatigue behavior. Microstructure observations of the powder and fabricated specimens are undertaken. Profilometry and tomography analyses make the inherent defects visible. The hardness, elastic behavior and elastic-plastic behavior are studied via mechanical tests. Then, load-controlled fatigue tests concerning different surface-treated specimens under different loading types are conducted. To reveal the mechanism of fatigue failure in the studied specimens, a comprehensive fractography analysis is carried out. Experimental research reveals the weakening of fatigue strength due to lack-of-fusion defects. Yet, the effect of the microstructural attributes is difficult to evaluate without numerical tools. A preliminary numerical study about the application of the non-local method in an explicit microstructure sensitive model is undertaken to complement the microstructure-sensitive modeling framework. Based on the data collected in the experimental campaign, a finite element model that can take into consideration of the defects and the microstructure of the SLM SS 316L is built up. Finite element analyses are performed with both cubic elasticity and polycrystal plasticity constitutive laws. With the help of the statistical method, the results from the FE model are used to quantitatively assess the influence of surface roughness and microstructural attributes on the fatigue performance of SLM SS 316L
Sauboua, Emmanuelle. "Modélisation stochastique fonctionnelle du transfert d'eau et d'azote sous culture de maïs : application à l'évaluation de l'impact des pratiques agricoles en plaine de Bièvre." Université Joseph Fourier (Grenoble), 2001. http://www.theses.fr/2001GRE10095.
Kaddouri, Isma. "Problèmes inverses pour des problèmes d'évolution paraboliques à coefficients périodiques." Thesis, Aix-Marseille, 2014. http://www.theses.fr/2014AIXM4322/document.
This thesis consists in the study of two problems associated to inverse para-bolic equations with periodic coefficients. We are interested in identifying one coefficient by using two different methods. In the first part, we consider a parabolic equation with periodic coefficients and periodic initial condition. Our work consists to consider the case of coefficient with weak regularity and to minimize the constraints of observations which are required to establish our reconstruction result. We establish a result of existence and uniqueness of the solution in adequate energy space. Then we prove a maximum principle adapted to the hypothesis of the problem studied and we work with measurable and bounded coefficients. Finally, we reconstruct the potential by establishing a Carleman estimate. The identification result was achieved via an inequality of stability. In the second work, we are interested to determine a periodic coefficient of the reaction term defined in the whole space $mathbb{R}$. We establish a uniqueness result by using a new type of observations. The nature of the studied problem allowed us to use the notion of asymptotic speed of propagation. We prove the existence of this speed and we give its characterization. We overdetermin the inverse problem by choosing a family of initial conditions exponentially decaying. Our main result is that the coefficient is uniquely determined up to a symmetry, by the observation of a continuum of asymptotic speed of propagation
Grusea, Simona. "Applications du calcul des probabilités à la recherche de régions génomiques conservées." Phd thesis, Université de Provence - Aix-Marseille I, 2008. http://tel.archives-ouvertes.fr/tel-00377445.
Un aspect important de notre démarche est le fait de prendre en compte l'existence des familles multigéniques. Dans la deuxième partie nous proposons trois mesures, basées sur la distance de transposition dans le groupe symétrique, pour quantifier l'exceptionalité de l'ordre des gènes dans des régions génomiques conservées. Nous avons obtenu des expressions analytiques pour leur distribution dans le cas d'une permutation aléatoire. Dans la troisième partie nous avons étudié la distribution du nombre de cycles dans le graphe des points de rupture d'une permutation signée aléatoire. Nous avons utilisé la technique ``Markov chain imbedding'' pour obtenir cette distribution en terme d'un produit de matrices de transition d'une certaine chaîne de Markov finie. La connaissance de cette
distribution fournit par la suite une très bonne approximation pour la distribution de la distance d'inversion.
Nehme, Zeinab. "Nanoparticules magnétiques d’architecture complexe core-shell : couplage d'échange bias et interaction dipolaire." Thesis, Le Mans, 2016. http://www.theses.fr/2016LEMA1019.
This thesis is dedicated to the numerical study by means of Monte Carlo (MC) simulations of core@shell Fe3O4@CoO magnetic nanoparticles (NPs) presenting exchange bias properties (EB). In particular, we focused our study on the effect of collective responses (inter-particle interactions as dipolar interactions (DI)) on the magnetic properties of these structures. Our numerical work is motivated by some preliminary experimental results showing the existence of a relationship between the hysteresis loop shift (exchange bias field) and the interaction between NPs. The first part of this thesis is a methodological study to figure out the optimal conditions to simulate hysteresis loops correctly by MC. The results reveal that the coercive field Hc is linearly related to the effective anisotropy constant for non-biased conditions (free algorithm, cone algorithm, mixed algorithm). The second part is dedicated to the study of exchange-biased nanostructures at the atomic scale. We have been able to reproduce both characteristics of EB (hysteresis loop shift, significant increase in Hc). A method allowing the evaluation of the effective anisotropy has been proposed. Considering an assembly of nanoparticles, several models are studied. The experimental results are interpreted according to the degree of aggregation of NPs. It was shown that the aggregation (exchange interactions between NPs) has a direct effect on the exchange bias field, but the role of the ID on the exchange field requires complimentary calculations to be clarified
Petronevich, Anna. "Dynamic factor model with non-linearities : application to the business cycle analysis." Thesis, Paris 1, 2017. http://www.theses.fr/2017PA01E050/document.
This thesis is dedicated to the study of a particular class of non-linear Dynamic Factor Models, the Dynamic Factor Models with Markov Switching (MS-DFM). Combining the features of the Dynamic Factor model and the Markov Switching model, i.e. the ability to aggregate massive amounts of information and to track recurring processes, this framework has proved to be a very useful and convenient instrument in many applications, the most important of them being the analysis of business cycles.In order to monitor the health of an economy and to evaluate policy results, the knowledge of the currentstate of the business cycle is essential. However, it is not easy to determine since there is no commonly accepted dataset and method to identify turning points, and the official institutions announce a newturning point, in countries where such practice exists, with a structural delay of several months. The MS-DFM is able to resolve these issues by providing estimates of the current state of the economy in a timely, transparent and replicable manner on the basis of the common component of macroeconomic indicators characterizing the real sector. The thesis contributes to the vast literature in this area in three directions. In Chapter 3, I compare the two popular estimation techniques of the MS-DFM, the one-step and the two-step methods, and apply them to the French data to obtain the business cycle turning point chronology. In Chapter 4, on the basis of Monte Carlo simulations, I study the consistency of the estimators of the preferred technique -the two-step estimation method, and analyze their behavior in small samples. In Chapter 5, I extend the MS-DFM and suggest the Dynamical Influence MS-DFM, which allows to evaluate the contribution of the financial sector to the dynamics of the business cycle and vice versa, taking into consideration that the interaction between them can be dynamic
"La méthode Vittoz au service du développement des compétences des utilisateurs des Cycles Repère. Évaluation de la pertinence de l'insertion d'une série d'exercices inspirée par la méthode Vittoz dans la démarche de création des Cycles Repère par le biais d'une expérimentation effectuée lors du projet « Carnets du Nord »." Thesis, Université Laval, 2009. http://www.theses.ulaval.ca/2009/25931/25931.pdf.
"La méthode Jacques Lecoq et les Cycles Repère. Deux outils de travail complémentaires dans la création du spectacle Le temps nous est gare." Thesis, Université Laval, 2007. http://www.theses.ulaval.ca/2007/24945/24945.pdf.
Streiff, Dorothee. "Etude de la nucléation et de la propagation dynamique d'une rupture par la méthode des nombres d'ondes discrets." Phd thesis, 1995. http://tel.archives-ouvertes.fr/tel-00744393.
Fu, Xiaorui. "Parallel metaheuristics for stochastic capacitated multicommodity network design." Thèse, 2008. http://hdl.handle.net/1866/7208.