Composition of independent stochastic variables
Computation of Greeks for barrier and look-back options using Malliavin calculus.
Computation of Greeks using Malliavin's calculus in jump type market models.
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.
Concentration of the Brownian bridge on Cartan-Hadamard manifolds with pinched negative sectional curvature
We study the rate of concentration of a Brownian bridge in time one around the corresponding geodesical segment on a Cartan-Hadamard manifold with pinched negative sectional curvature, when the distance between the two extremities tends to infinity. This improves on previous results by A. Eberle, and one of us . Along the way, we derive a new asymptotic estimate for the logarithmic derivative of the heat kernel on such manifolds, in bounded time and with one space parameter...
Concrete representation of martingales.
Condiciones suficientes de estabilidad para ecuaciones en derivadas parciales estocásticas con retardos.
Condition UT et stabilité en loi des solutions d'équations différentielles stochastiques
Conditional distributions, exchangeable particle systems, and stochastic partial differential equations
Stochastic partial differential equations (SPDEs) whose solutions are probability-measure-valued processes are considered. Measure-valued processes of this type arise naturally as de Finetti measures of infinite exchangeable systems of particles and as the solutions for filtering problems. In particular, we consider a model of asset price determination by an infinite collection of competing traders. Each trader’s valuations of the assets are given by the solution of a stochastic differential equation,...
Conditional expectations for derivatives of certain stochastic flows
Conditionally positive definite functions on linear spaces
Conditions d'existence et d'unicité de la solution pour une équation différentielle fonctionnelle stochastique
Conditions for global existence of solutions of ordinary differential, stochastic differential, and parabolic equations.
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.
Conformal martingales and analytic functions.
Conservation property of symmetric jump processes
Motivated by the recent development in the theory of jump processes, we investigate its conservation property. We will show that a jump process is conservative under certain conditions for the volume-growth of the underlying space and the jump rate of the process. We will also present examples of jump processes which satisfy these conditions.