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Pointwise convergence of Boltzmann solutions for grazing collisions in a Maxwell gas via a probabilitistic interpretation

Hélène Guérin (2004)

ESAIM: Probability and Statistics

Using probabilistic tools, this work states a pointwise convergence of function solutions of the 2-dimensional Boltzmann equation to the function solution of the Landau equation for Maxwellian molecules when the collisions become grazing. To this aim, we use the results of Fournier (2000) on the Malliavin calculus for the Boltzmann equation. Moreover, using the particle system introduced by Guérin and Méléard (2003), some simulations of the solution of the Landau equation will be given. This result...

Pointwise convergence of Boltzmann solutions for grazing collisions in a Maxwell gas via a probabilitistic interpretation

Hélène Guérin (2010)

ESAIM: Probability and Statistics


Using probabilistic tools, this work states a pointwise convergence of function solutions of the 2-dimensional Boltzmann equation to the function solution of the Landau equation for Maxwellian molecules when the collisions become grazing. To this aim, we use the results of Fournier (2000) on the Malliavin calculus for the Boltzmann equation. Moreover, using the particle system introduced by Guérin and Méléard (2003), some simulations of the solution of the Landau equation will be given. This result...

Positivity of the density for the stochastic wave equation in two spatial dimensions

Mireille Chaleyat-Maurel, Marta Sanz-Solé (2003)

ESAIM: Probability and Statistics

We consider the random vector u ( t , x ̲ ) = ( u ( t , x 1 ) , ⋯ , u ( t , x d ) ) , where t > 0 , x 1 , ⋯ , x d are distinct points of ℝ 2 and u denotes the stochastic process solution to a stochastic wave equation driven by a noise white in time and correlated in space. In a recent paper by Millet and Sanz–Solé [10], sufficient conditions are given ensuring existence and smoothness of density for u ( t , x ̲ ) . We study here the positivity of such density. Using techniques developped in [1] (see also [9]) based on Analysis on an abstract Wiener space, we characterize the set of...

Positivity of the density for the stochastic wave equation in two spatial dimensions

Mireille Chaleyat–Maurel, Marta Sanz–Solé (2010)

ESAIM: Probability and Statistics

We consider the random vector u ( t , x ̲ ) = ( u ( t , x 1 ) , ⋯ , u ( t , x d ) ) , where t > 0, x1,...,xd are distinct points of ℝ 2 and u denotes the stochastic process solution to a stochastic wave equation driven by a noise white in time and correlated in space. In a recent paper by Millet and Sanz–Solé [10], sufficient conditions are given ensuring existence and smoothness of density for u ( t , x ̲ ) . We study here the positivity of such density. Using techniques developped in [1] (see also [9]) based on Analysis on an abstract Wiener space, we characterize...

Potential confinement property of the parabolic Anderson model

Gabriela Grüninger, Wolfgang König (2009)

Annales de l'I.H.P. Probabilités et statistiques

We consider the parabolic Anderson model, the Cauchy problem for the heat equation with random potential in ℤd. We use i.i.d. potentials ξ:ℤd→ℝ in the third universality class, namely the class of almost bounded potentials, in the classification of van der Hofstad, König and Mörters [Commun. Math. Phys.267 (2006) 307–353]. This class consists of potentials whose logarithmic moment generating function is regularly varying with parameter γ=1, but do not belong to the class of so-called double-exponentially...

Pricing forward-start options in the HJM framework; evidence from the Polish market

P. Sztuba, A. Weron (2001)

Applicationes Mathematicae

We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.

Pricing rules under asymmetric information

Shigeyoshi Ogawa, Monique Pontier (2007)

ESAIM: Probability and Statistics

We consider an extension of the Kyle and Back's model [Back, Rev. Finance Stud.5 (1992) 387–409; Kyle, Econometrica35 (1985) 1315–1335], meaning a model for the market with a continuous time risky asset and asymmetrical information. There are three financial agents: the market maker, an insider trader (who knows a random variable V which will be revealed at final time) and a non informed agent. Here we assume that the non informed agent is strategic, namely he/she uses a utility function to...

Probabilistic analysis of singularities for the 3D Navier-Stokes equations

Franco Flandoli, Marco Romito (2002)

Mathematica Bohemica

The classical result on singularities for the 3D Navier-Stokes equations says that the 1 -dimensional Hausdorff measure of the set of singular points is zero. For a stochastic version of the equation, new results are proved. For statistically stationary solutions, at any given time t , with probability one the set of singular points is empty. The same result is true for a.e. initial condition with respect to a measure related to the stationary solution, and if the noise is sufficiently non degenerate...

Currently displaying 1081 – 1100 of 1721