31 research outputs found
Logarithmic asymptotics of the densities of SPDEs driven by spatially correlated noise
We consider the family of stochastic partial differential equations indexed
by a parameter \eps\in(0,1], \begin{equation*} Lu^{\eps}(t,x) =
\eps\sigma(u^\eps(t,x))\dot{F}(t,x)+b(u^\eps(t,x)), \end{equation*}
(t,x)\in(0,T]\times\Rd with suitable initial conditions. In this equation,
is a second-order partial differential operator with constant coefficients,
and are smooth functions and is a Gaussian noise, white
in time and with a stationary correlation in space. Let p^\eps_{t,x} denote
the density of the law of u^\eps(t,x) at a fixed point
(t,x)\in(0,T]\times\Rd. We study the existence of \lim_{\eps\downarrow 0}
\eps^2\log p^\eps_{t,x}(y) for a fixed . The results apply to a class
of stochastic wave equations with and to a class of stochastic
heat equations with .Comment: 39 pages. Will be published in the book " Stochastic Analysis and
Applications 2014. A volume in honour of Terry Lyons". Springer Verla
Non elliptic SPDEs and ambit fields: existence of densities
Relying on the method developed in [debusscheromito2014], we prove the
existence of a density for two different examples of random fields indexed by
(t,x)\in(0,T]\times \Rd. The first example consists of SPDEs with Lipschitz
continuous coefficients driven by a Gaussian noise white in time and with a
stationary spatial covariance, in the setting of [dalang1999]. The density
exists on the set where the nonlinearity of the noise does not vanish.
This complements the results in [sanzsuess2015] where is assumed to be
bounded away from zero. The second example is an ambit field with a stochastic
integral term having as integrator a L\'evy basis of pure-jump, stable-like
type.Comment: 23 page
On the solvability of degenerate stochastic partial differential equations in Sobolev spaces
Systems of parabolic, possibly degenerate parabolic SPDEs are considered.
Existence and uniqueness are established in Sobolev spaces. Similar results are
obtained for a class of equations generalizing the deterministic first order
symmetric hyperbolic systems.Comment: 26 page
Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs
We show that the lack of arbitrage in a model with both fixed and
proportional transaction costs is equivalent to the existence of a family of
absolutely continuous single-step probability measures, together with an
adapted process with values between the bid-ask spreads that satisfies the
martingale property with respect to each of the measures. This extends Harrison
and Pliska's classical Fundamental Theorem of Asset Pricing to the case of
combined fixed and proportional transaction costs