Propriété de Markov des équations stationnaires discrètes quasi-linéaires

AbstractIn this paper, we consider the stochastic discrete equation − ΔU(x)+ƒ(U(x))=A(x) where x runs over a finite domain Θ of Zd, Δ is a discretization od the Laplacian operator, {A(x)} is a sequence of i.i.d. Gaussian variables, and we impose the Dirchlet condition U(x)=0 for x∉Θ. We prove existence and uniquesness of a solution assuming monotonicity condition on ƒ, and we study the Markov property of the solution

Continued fraction solution of Krein's inverse problem

The spectral data of a vibrating string are encoded in its so-called characteristic function. We consider the problem of recovering the distribution of mass along the string from its characteristic function. It is well-known that Stieltjes' continued fraction provides a solution of this inverse problem in the particular case where the distribution of mass is purely discrete. We show how to adapt Stieltjes' method to solve the inverse problem for a related class of strings. An application to the excursion theory of diffusion processes is presented.Comment: 18 pages, 2 figure

A detector interferometric calibration experiment for high precision astrometry

Context: Exoplanet science has made staggering progress in the last two decades, due to the relentless exploration of new detection methods and refinement of existing ones. Yet astrometry offers a unique and untapped potential of discovery of habitable-zone low-mass planets around all the solar-like stars of the solar neighborhood. To fulfill this goal, astrometry must be paired with high precision calibration of the detector. Aims: We present a way to calibrate a detector for high accuracy astrometry. An experimental testbed combining an astrometric simulator and an interferometric calibration system is used to validate both the hardware needed for the calibration and the signal processing methods. The objective is an accuracy of 5e-6 pixel on the location of a Nyquist sampled polychromatic point spread function. Methods: The interferometric calibration system produced modulated Young fringes on the detector. The Young fringes were parametrized as products of time and space dependent functions, based on various pixel parameters. The minimization of func- tion parameters was done iteratively, until convergence was obtained, revealing the pixel information needed for the calibration of astrometric measurements. Results: The calibration system yielded the pixel positions to an accuracy estimated at 4e-4 pixel. After including the pixel position information, an astrometric accuracy of 6e-5 pixel was obtained, for a PSF motion over more than five pixels. In the static mode (small jitter motion of less than 1e-3 pixel), a photon noise limited precision of 3e-5 pixel was reached

On small-noise equations with degenerate limiting system arising from volatility models

The one-dimensional SDE with non Lipschitz diffusion coefficient $dX_{t} = b(X_{t})dt + \sigma X_{t}^{\gamma} dB_{t}, \ X_{0}=x, \ \gamma<1$ is widely studied in mathematical finance. Several works have proposed asymptotic analysis of densities and implied volatilities in models involving instances of this equation, based on a careful implementation of saddle-point methods and (essentially) the explicit knowledge of Fourier transforms. Recent research on tail asymptotics for heat kernels [J-D. Deuschel, P.~Friz, A.~Jacquier, and S.~Violante. Marginal density expansions for diffusions and stochastic volatility, part II: Applications. 2013, arxiv:1305.6765] suggests to work with the rescaled variable $X^{\varepsilon}:=\varepsilon^{1/(1-\gamma)} X$: while allowing to turn a space asymptotic problem into a small-$\varepsilon$ problem with fixed terminal point, the process $X^{\varepsilon}$ satisfies a SDE in Wentzell--Freidlin form (i.e. with driving noise $\varepsilon dB$). We prove a pathwise large deviation principle for the process $X^{\varepsilon}$ as $\varepsilon \to 0$. As it will become clear, the limiting ODE governing the large deviations admits infinitely many solutions, a non-standard situation in the Wentzell--Freidlin theory. As for applications, the $\varepsilon$-scaling allows to derive exact log-asymptotics for path functionals of the process: while on the one hand the resulting formulae are confirmed by the CIR-CEV benchmarks, on the other hand the large deviation approach (i) applies to equations with a more general drift term and (ii) potentially opens the way to heat kernel analysis for higher-dimensional diffusions involving such an SDE as a component.Comment: 21 pages, 1 figur

On Sharp Large Deviations for the bridge of a general Diffusion

We provide sharp Large Deviation estimates for the probability of exit from a domain for the bridge of a $d$-dimensional general diffusion process $X$, as the conditioning time tends to $0$. This kind of results is motivated by applications to numerical simulation. In particular we investigate the influence of the drift $b$ of $X$. It turns out that the sharp asymptotics for the exit time probability are independent of the drift, provided $b$ enjoyes a simple condition that is always satisfied in dimension $1$. On the other hand, we show that the drift can be influential if this assumption is not satisfied.

Meixner class of non-commutative generalized stochastic processes with freely independent values I. A characterization

Let $T$ be an underlying space with a non-atomic measure $\sigma$ on it (e.g. $T=\mathbb R^d$ and $\sigma$ is the Lebesgue measure). We introduce and study a class of non-commutative generalized stochastic processes, indexed by points of $T$, with freely independent values. Such a process (field), $\omega=\omega(t)$, $t\in T$, is given a rigorous meaning through smearing out with test functions on $T$, with $\int_T \sigma(dt)f(t)\omega(t)$ being a (bounded) linear operator in a full Fock space. We define a set $\mathbf{CP}$ of all continuous polynomials of $\omega$, and then define a con-commutative $L^2$-space $L^2(\tau)$ by taking the closure of $\mathbf{CP}$ in the norm $\|P\|_{L^2(\tau)}:=\|P\Omega\|$, where $\Omega$ is the vacuum in the Fock space. Through procedure of orthogonalization of polynomials, we construct a unitary isomorphism between $L^2(\tau)$ and a (Fock-space-type) Hilbert space $\mathbb F=\mathbb R\oplus\bigoplus_{n=1}^\infty L^2(T^n,\gamma_n)$, with explicitly given measures $\gamma_n$. We identify the Meixner class as those processes for which the procedure of orthogonalization leaves the set $\mathbf {CP}$ invariant. (Note that, in the general case, the projection of a continuous monomial of oder $n$ onto the $n$-th chaos need not remain a continuous polynomial.) Each element of the Meixner class is characterized by two continuous functions $\lambda$ and $\eta\ge0$ on $T$, such that, in the $\mathbb F$ space, $\omega$ has representation \omega(t)=\di_t^\dag+\lambda(t)\di_t^\dag\di_t+\di_t+\eta(t)\di_t^\dag\di^2_t, where \di_t^\dag and \di_t are the usual creation and annihilation operators at point $t$

A detailed spectropolarimetric analysis of the planet hosting star WASP-12

The knowledge of accurate stellar parameters is paramount in several fields of stellar astrophysics, particularly in the study of extrasolar planets, where often the star is the only visible component and therefore used to infer the planet's fundamental parameters. Another important aspect of the analysis of planetary systems is the stellar activity and the possible star-planet interaction. Here we present a self-consistent abundance analysis of the planet hosting star WASP-12 and a high-precision search for a structured stellar magnetic field on the basis of spectropolarimetric observations obtained with the ESPaDOnS spectropolarimeter. Our results show that the star does not have a structured magnetic field, and that the obtained fundamental parameters are in good agreement with what was previously published. In addition we derive improved constraints on the stellar age (1.0-2.65 Gyr), mass (1.23-1.49 M/M0), and distance (295-465 pc). WASP-12 is an ideal object to look for pollution signatures in the stellar atmosphere. We analyse the WASP-12 abundances as a function of the condensation temperature and compare them with those published by several other authors on planet hosting and non-planet hosting stars. We find hints of atmospheric pollution in WASP-12's photosphere, but are unable to reach firm conclusions with our present data. We conclude that a differential analysis based on WASP-12 twins will probably clarify if an atmospheric pollution is present, the nature of this pollution and its implications in the planet formation and evolution. We attempt also the direct detection of the circumstellar disk through infrared excess, but without success.Comment: 49 pages, 11 figures, Accepted for publication on Ap

Intertwinings for general β Laguerre and Jacobi processes

We show that, for β≥1, the semigroups of β-Laguerre and β-Jacobi processes of different dimensions are intertwined in analogy to a similar result for β-Dyson Brownian motion recently obtained in Ramanan and Shkolnikov (Intertwinings of β-Dyson Brownian motions of different dimensions, 2016. arXiv:1608.01597). These intertwining relations generalize to arbitrary β≥1 the ones obtained for β=2 in Assiotis et al. (Interlacing diffusions, 2016. arXiv:1607.07182) between h-transformed Karlin–McGregor semigroups. Moreover, they form the key step toward constructing a multilevel process in a Gelfand–Tsetlin pattern leaving certain Gibbs measures invariant. Finally, as a by-product, we obtain a relation between general β-Jacobi ensembles of different dimensions