On a pair of random generalized non-linear contractions.
On a probabilistic interpretation of shape derivatives of Dirichlet groundstates with application to Fermion nodes
This paper considers Schrödinger operators, and presents a probabilistic interpretation of the variation (or shape derivative) of the Dirichlet groundstate energy when the associated domain is perturbed. This interpretation relies on the distribution on the boundary of a stopped random process with Feynman-Kac weights. Practical computations require in addition the explicit approximation of the normal derivative of the groundstate on the boundary. We then propose to use this formulation in the...
On a SDE driven by a fractional Brownian motion and with monotone drift.
On a simulation of the oscillation excited by a random force
On a stochastic Burgers equation with Dirichlet boundary conditions.
On a stochastic Korteweg-de Vries equation with homogeneous noise
On a stochastic parabolic PDE arising in climatology.
Estudiamos la existencia y unicidad de soluciones de una ecuación estocástica en derivadas parciales de tipo parabólico propuesta por R. North y R. F. Cahalan en 1982 para la modelización de variabilidad no determinista (como es el caso, por ejemplo, de la acción de volcanes) en el marco de los modelos de balance de energía. El punto más delicado se refiere a la unicidad de soluciones debido a la presencia de un grafo multívoco β en el término de la derecha de la ecuación. En contraste con el caso...
On a stochastic SIR model
We consider a stochastic SIR system and we prove the existence, uniqueness and positivity of solution. Moreover the existence of an invariant measure under a suitable condition on the coefficients is studied.
On a triplet of exponential brownian functionals
On a variant of random homogenization theory: convergence of the residual process and approximation of the homogenized coefficients
We consider the variant of stochastic homogenization theory introduced in [X. Blanc, C. Le Bris and P.-L. Lions, C. R. Acad. Sci. Série I 343 (2006) 717–724.; X. Blanc, C. Le Bris and P.-L. Lions, J. Math. Pures Appl. 88 (2007) 34–63.]. The equation under consideration is a standard linear elliptic equation in divergence form, where the highly oscillatory coefficient is the composition of a periodic matrix with a stochastic diffeomorphism. The homogenized limit of this problem has been identified...
On almost sure convergence of modified Euler-Peano approximation of solution to an S.D.E. driven by a semimartingale
On approximate large deviations for 1D diffusion.
On approximation of solutions to a class of stochastic equations.
On Backward Stochastic Differential Equations Approach to Valuation of American Options
We consider the problem of valuation of American (call and put) options written on a dividend paying stock governed by the geometric Brownian motion. We show that the value function has two different but related representations: by means of a solution of some nonlinear backward stochastic differential equation, and by a weak solution to some semilinear partial differential equation.
On belated differentiation and a characterization of Henstock-Kurzweil-Ito integrable processes
The Henstock-Kurzweil approach, also known as the generalized Riemann approach, has been successful in giving an alternative definition to the classical Itô integral. The Riemann approach is well-known for its directness in defining integrals. In this note we will prove the Fundamental Theorem for the Henstock-Kurzweil-Itô integral, thereby providing a characterization of Henstock-Kurzweil-Itô integrable stochastic processes in terms of their primitive processes.
On changes of measure in stochastic volatility models.
On compact Ito's formulas for martingales of mc4.
We prove that the class mc4 of continuous martingales with parameter set [0,1]2, bounded in L4, is included in the class of semi-martingales Sc∞(L0(P)) defined by Allain in [A]. As a consequence we obtain a compact Itô's formula. Finally we relate this result with the compact Itô formula obtained by Sanz in [S] for martingales of mc4.
On convergence of population processes in random environments to the stochastic heat equation with colored noise.
On convergence of semimartingales
On convex stochastic processes.