144 research outputs found
On small time asymptotics for rough differential equations driven by fractional Brownian motions
We survey existing results concerning the study in small times of the density
of the solution of a rough differential equation driven by fractional Brownian
motions. We also slightly improve existing results and discuss some possible
applications to mathematical finance.Comment: This is a survey paper, submitted to proceedings in the memory of
Peter Laurenc
Intersection local times of independent fractional Brownian motions as generalized white noise functionals
In this work we present expansions of intersection local times of fractional
Brownian motions in , for any dimension , with arbitrary Hurst
coefficients in . The expansions are in terms of Wick powers of white
noises (corresponding to multiple Wiener integrals), being well-defined in the
sense of generalized white noise functionals. As an application of our
approach, a sufficient condition on for the existence of intersection local
times in is derived, extending the results of D. Nualart and S.
Ortiz-Latorre in "Intersection Local Time for Two Independent Fractional
Brownian Motions" (J. Theoret. Probab.,20(4)(2007), 759-767) to different and
more general Hurst coefficients.Comment: 28 page
On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples
We show a concise extension of the monotone stability approach to backward
stochastic differential equations (BSDEs) that are jointly driven by a Brownian
motion and a random measure for jumps, which could be of infinite activity with
a non-deterministic and time inhomogeneous compensator. The BSDE generator
function can be non convex and needs not to satisfy global Lipschitz conditions
in the jump integrand. We contribute concrete criteria, that are easy to
verify, for results on existence and uniqueness of bounded solutions to BSDEs
with jumps, and on comparison and a-priori -bounds. Several
examples and counter examples are discussed to shed light on the scope and
applicability of different assumptions, and we provide an overview of major
applications in finance and optimal control.Comment: 28 pages. Added DOI
https://link.springer.com/chapter/10.1007%2F978-3-030-22285-7_1 for final
publication, corrected typo (missing gamma) in example 4.1
Numerical Schemes for Rough Parabolic Equations
This paper is devoted to the study of numerical approximation schemes for a
class of parabolic equations on (0, 1) perturbed by a non-linear rough signal.
It is the continuation of [8, 7], where the existence and uniqueness of a
solution has been established. The approach combines rough paths methods with
standard considerations on discretizing stochastic PDEs. The results apply to a
geometric 2-rough path, which covers the case of the multidimensional
fractional Brownian motion with Hurst index H \textgreater{} 1/3.Comment: Applied Mathematics and Optimization, 201
Lectures on Gaussian approximations with Malliavin calculus
In a seminal paper of 2005, Nualart and Peccati discovered a surprising
central limit theorem (called the "Fourth Moment Theorem" in the sequel) for
sequences of multiple stochastic integrals of a fixed order: in this context,
convergence in distribution to the standard normal law is equivalent to
convergence of just the fourth moment. Shortly afterwards, Peccati and Tudor
gave a multidimensional version of this characterization. Since the publication
of these two beautiful papers, many improvements and developments on this theme
have been considered. Among them is the work by Nualart and Ortiz-Latorre,
giving a new proof only based on Malliavin calculus and the use of integration
by parts on Wiener space. A second step is my joint paper "Stein's method on
Wiener chaos" (written in collaboration with Peccati) in which, by bringing
together Stein's method with Malliavin calculus, we have been able (among other
things) to associate quantitative bounds to the Fourth Moment Theorem. It turns
out that Stein's method and Malliavin calculus fit together admirably well.
Their interaction has led to some remarkable new results involving central and
non-central limit theorems for functionals of infinite-dimensional Gaussian
fields. The current survey aims to introduce the main features of this recent
theory. It originates from a series of lectures I delivered at the Coll\`ege de
France between January and March 2012, within the framework of the annual prize
of the Fondation des Sciences Math\'ematiques de Paris. It may be seen as a
teaser for the book "Normal Approximations Using Malliavin Calculus: from
Stein's Method to Universality" (jointly written with Peccati), in which the
interested reader will find much more than in this short survey.Comment: 72 pages. To be published in the S\'eminaire de Probabilit\'es. Mild
update: typos, referee comment
Meixner class of non-commutative generalized stochastic processes with freely independent values I. A characterization
Let be an underlying space with a non-atomic measure on it (e.g.
and is the Lebesgue measure). We introduce and study a
class of non-commutative generalized stochastic processes, indexed by points of
, with freely independent values. Such a process (field),
, , is given a rigorous meaning through smearing out
with test functions on , with being a
(bounded) linear operator in a full Fock space. We define a set
of all continuous polynomials of , and then define a con-commutative
-space by taking the closure of in the norm
, where is the vacuum in the Fock
space. Through procedure of orthogonalization of polynomials, we construct a
unitary isomorphism between and a (Fock-space-type) Hilbert space
, with
explicitly given measures . We identify the Meixner class as those
processes for which the procedure of orthogonalization leaves the set invariant. (Note that, in the general case, the projection of a
continuous monomial of oder onto the -th chaos need not remain a
continuous polynomial.) Each element of the Meixner class is characterized by
two continuous functions and on , such that, in the
space, 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
Fractional smoothness and applications in finance
This overview article concerns the notion of fractional smoothness of random
variables of the form , where is a certain
diffusion process. We review the connection to the real interpolation theory,
give examples and applications of this concept. The applications in stochastic
finance mainly concern the analysis of discrete time hedging errors. We close
the review by indicating some further developments.Comment: Chapter of AMAMEF book. 20 pages
Stationary distributions for diffusions with inert drift
Consider reflecting Brownian motion in a bounded domain in that acquires drift in proportion to the amount of local time spent on the boundary of the domain. We show that the stationary distribution for the joint law of the position of the reflecting Brownian motion and the value of the drift vector has a product form. Moreover, the first component is uniformly distributed on the domain, and the second component has a Gaussian distribution. We also consider more general reflecting diffusions with inert drift as well as processes where the drift is given in terms of the gradient of a potential
H\"older-continuous rough paths by Fourier normal ordering
We construct in this article an explicit geometric rough path over arbitrary
-dimensional paths with finite -variation for any
. The method may be coined as 'Fourier normal ordering', since
it consists in a regularization obtained after permuting the order of
integration in iterated integrals so that innermost integrals have highest
Fourier frequencies. In doing so, there appear non-trivial tree combinatorics,
which are best understood by using the structure of the Hopf algebra of
decorated rooted trees (in connection with the Chen or multiplicative property)
and of the Hopf shuffle algebra (in connection with the shuffle or geometric
property). H\"older continuity is proved by using Besov norms. The method is
well-suited in particular in view of applications to probability theory (see
the companion article \cite{Unt09} for the construction of a rough path over
multidimensional fractional Brownian motion with Hurst index , or
\cite{Unt09ter} for a short survey in that case).Comment: 50 pages, 6 figure
Time separation as a hidden variable to the Copenhagen school of quantum mechanics
The Bohr radius is a space-like separation between the proton and electron in
the hydrogen atom. According to the Copenhagen school of quantum mechanics, the
proton is sitting in the absolute Lorentz frame. If this hydrogen atom is
observed from a different Lorentz frame, there is a time-like separation
linearly mixed with the Bohr radius. Indeed, the time-separation is one of the
essential variables in high-energy hadronic physics where the hadron is a bound
state of the quarks, while thoroughly hidden in the present form of quantum
mechanics. It will be concluded that this variable is hidden in Feynman's rest
of the universe. It is noted first that Feynman's Lorentz-invariant
differential equation for the bound-state quarks has a set of solutions which
describe all essential features of hadronic physics. These solutions explicitly
depend on the time separation between the quarks. This set also forms the
mathematical basis for two-mode squeezed states in quantum optics, where both
photons are observable, but one of them can be treated a variable hidden in the
rest of the universe. The physics of this two-mode state can then be translated
into the time-separation variable in the quark model. As in the case of the
un-observed photon, the hidden time-separation variable manifests itself as an
increase in entropy and uncertainty.Comment: LaTex 10 pages with 5 figure. Invited paper presented at the
Conference on Advances in Quantum Theory (Vaxjo, Sweden, June 2010), to be
published in one of the AIP Conference Proceedings serie
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