Self-Averaging Scaling Limits of Two-Frequency Wigner Distribution for Random Paraxial Waves

Two-frequency Wigner distribution is introduced to capture the asymptotic behavior of the space-frequency correlation of paraxial waves in the radiative transfer limits. The scaling limits give rises to deterministic transport-like equations. Depending on the ratio of the wavelength to the correlation length the limiting equation is either a Boltzmann-like integral equation or a Fokker-Planck-like differential equation in the phase space. The solutions to these equations have a probabilistic representation which can be simulated by Monte Carlo method. When the medium fluctuates more rapidly in the longitudinal direction, the corresponding Fokker-Planck-like equation can be solved exactly.Comment: typos correcte

Rectification of thermal fluctuations in ideal gases

We calculate the systematic average speed of the adiabatic piston and a thermal Brownian motor, introduced in [Van den Broeck, Kawai and Meurs, \emph{Microscopic analysis of a thermal Brownian motor}, to appear in Phys. Rev. Lett.], by an expansion of the Boltzmann equation and compare with the exact numerical solution.Comment: 18 page

Large Deviations Principle for a Large Class of One-Dimensional Markov Processes

We study the large deviations principle for one dimensional, continuous, homogeneous, strong Markov processes that do not necessarily behave locally as a Wiener process. Any strong Markov process $X_{t}$ in $\mathbb{R}$ that is continuous with probability one, under some minimal regularity conditions, is governed by a generalized elliptic operator $D_{v}D_{u}$, where $v$ and $u$ are two strictly increasing functions, $v$ is right continuous and $u$ is continuous. In this paper, we study large deviations principle for Markov processes whose infinitesimal generator is $\epsilon D_{v}D_{u}$ where $0<\epsilon\ll 1$. This result generalizes the classical large deviations results for a large class of one dimensional "classical" stochastic processes. Moreover, we consider reaction-diffusion equations governed by a generalized operator $D_{v}D_{u}$. We apply our results to the problem of wave front propagation for these type of reaction-diffusion equations.Comment: 23 page

CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE- TO CONTINUOUS-TIME FINANCIAL MODELS 1

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/75553/1/j.1467-9965.1994.tb00059.x.pd

The time to extinction for an SIS-household-epidemic model

We analyse a stochastic SIS epidemic amongst a finite population partitioned into households. Since the population is finite, the epidemic will eventually go extinct, i.e., have no more infectives in the population. We study the effects of population size and within household transmission upon the time to extinction. This is done through two approximations. The first approximation is suitable for all levels of within household transmission and is based upon an Ornstein-Uhlenbeck process approximation for the diseases fluctuations about an endemic level relying on a large population. The second approximation is suitable for high levels of within household transmission and approximates the number of infectious households by a simple homogeneously mixing SIS model with the households replaced by individuals. The analysis, supported by a simulation study, shows that the mean time to extinction is minimized by moderate levels of within household transmission

Cut Points and Diffusions in Random Environment

In this article we investigate the asymptotic behavior of a new class of multi-dimensional diffusions in random environment. We introduce cut times in the spirit of the work done by Bolthausen, Sznitman and Zeitouni, see [4], in the discrete setting providing a decoupling effect in the process. This allows us to take advantage of an ergodic structure to derive a strong law of large numbers with possibly vanishing limiting velocity and a central limit theorem under the quenched measure.Comment: 44 pages; accepted for publication in "Journal of Theoretical Probability

Central Limit Theorem and Large Deviation Principle for Continuous Time Open Quantum Walks

International audienceOpen Quantum Walks (OQWs), originally introduced in [2], are quantum generalizations of classical Markov chains. Recently, natural continuous time models of OQW have been developed in [24]. These models, called Continuous Time Open Quantum Walks (CTOQWs), appear as natural continuous time limits of discrete time OQWs. In particular they are quantum extensions of continuous time Markov chains. This article is devoted to the study of homogeneous CTOQW on Z^d. We focus namely on their associated quantum trajectories which allow us to prove a Central Limit Theorem for the "position" of the walker as well as a Large Deviation Principle

Systemic Risk and Default Clustering for Large Financial Systems

As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and computational tools for the quantification of such phenomena. Limiting analysis such as law of large numbers and central limit theorems allow to approximate the distribution in large systems and study quantities such as the loss distribution in large portfolios. Large deviations analysis allow us to study the tail of the loss distribution and to identify pathways to default clustering. Sensitivity analysis allows to understand the most likely ways in which different effects, such as contagion and systematic risks, combine to lead to large default rates. Such results could give useful insights into how to optimally safeguard against such events.Comment: in Large Deviations and Asymptotic Methods in Finance, (Editors: P. Friz, J. Gatheral, A. Gulisashvili, A. Jacqier, J. Teichmann) , Springer Proceedings in Mathematics and Statistics, Vol. 110 2015

Stochastic Reaction-diffusion Equations Driven by Jump Processes

We establish the existence of weak martingale solutions to a class of second order parabolic stochastic partial differential equations. The equations are driven by multiplicative jump type noise, with a non-Lipschitz multiplicative functional. The drift in the equations contains a dissipative nonlinearity of polynomial growth.Comment: See journal reference for teh final published versio