Calcul de Malliavin pour les diffusions avec sauts : existence d'une densité dans le cas unidimensionnel
Calculs stochastiques directs sur les trajectoires et propriétés des boréliens porteurs
Chaos Expansion Methods for Stochastic Differential Equations Involving the Malliavin Derivative–Part I
Chaos Expansion Methods for Stochastic Differential Equations Involving the Malliavin Derivative–Part II
Classical and variational differentiability of BSDEs with quadratic growth.
Comparison principle approach to utility maximization
We consider the problem of optimal investment for maximal expected utility in an incomplete market with trading strategies subject to closed constraints. Under the assumption that the underlying utility function has constant sign, we employ the comparison principle for BSDEs to construct a family of supermartingales leading to a necessary and sufficient condition for optimality. As a consequence, the value function is characterized as the initial value of a BSDE with Lipschitz growth.
Comparison results for reflected jump-diffusions in the orthant with variable reflection directions and stability applications.
Computational fluctuating fluid dynamics
This paper describes the extension of a recently developed numerical solver for the Landau-Lifshitz Navier-Stokes (LLNS) equations to binary mixtures in three dimensions. The LLNS equations incorporate thermal fluctuations into macroscopic hydrodynamics by using white-noise fluxes. These stochastic PDEs are more complicated in three dimensions due to the tensorial form of the correlations for the stochastic fluxes and in mixtures due to couplings of energy and concentration fluxes (e.g., Soret...
Computer simulation of a nonlinear model for electrical circuits with α-stable noise
The aim of this paper is to apply the appropriate numerical, statistical and computer techniques to the construction of approximate solutions to nonlinear 2nd order stochastic differential equations modeling some engineering systems subject to large random external disturbances. This provides us with quantitative results on their asymptotic behavior.
Computer-aided modeling and simulation of electrical circuits with α-stable noise
The aim of this paper is to demonstrate how the appropriate numerical, statistical and computer techniques can be successfully applied to the construction of approximate solutions of stochastic differential equations modeling some engineering systems subject to large disturbances. In particular, the evolution in time of densities of stochastic processes solving such problems is discussed.
Condition UT et stabilité en loi des solutions d'équations différentielles stochastiques
Conditional expectations for derivatives of certain stochastic flows
Conditions d'existence et d'unicité de la solution pour une équation différentielle fonctionnelle stochastique
Conditions for maximal local diffusions in multi-dimensional case
Conditions for strong maximality of local diffusions in multi-dimensional case
Conditions implying regularity of the three dimensional Navier-Stokes equation
We obtain logarithmic improvements for conditions for regularity of the Navier-Stokes equation, similar to those of Prodi-Serrin or Beale-Kato-Majda. Some of the proofs make use of a stochastic approach involving Feynman-Kac-like inequalities. As part of our methods, we give a different approach to a priori estimates of Foiaş, Guillopé and Temam.
Constrained controllability of nonlinear stochastic impulsive systems
This paper is concerned with complete controllability of a class of nonlinear stochastic systems involving impulsive effects in a finite time interval by means of controls whose initial and final values can be assigned in advance. The result is achieved by using a fixed-point argument.
Construction de solutions d'«équations de structure»
Construction directe d'une diffusion sur une variété
Continuity Properties of the Extension of a Locally Lipschitz Continuous Map to the Space of Probability Measures.