From rough path estimates to multilevel Monte Carlo

New classes of stochastic differential equations can now be studied using rough path theory (e.g. Lyons et al. [LCL07] or Friz--Hairer [FH14]). In this paper we investigate, from a numerical analysis point of view, stochastic differential equations driven by Gaussian noise in the aforementioned sense. Our focus lies on numerical implementations, and more specifically on the saving possible via multilevel methods. Our analysis relies on a subtle combination of pathwise estimates, Gaussian concentration, and multilevel ideas. Numerical examples are given which both illustrate and confirm our findings.Comment: 34 page

Physics of SNeIa and Cosmology

We give an overview of the current understanding of Type Ia supernovae relevant for their use as cosmological distance indicators. We present the physical basis to understand their homogeneity of the observed light curves and spectra and the observed correlations. This provides a robust method to determine the Hubble constant, 67 +- 8 (2 sigma) km/Mpc/sec, independently from primary distance indicators. We discuss the uncertainties and tests which include SNe Ia based distance determinations prior to delta-Ceph. measurements for the host galaxies. Based on detailed models, we study the small variations from homogeneities and their observable consequences. In combination with future data, this underlines the suitability and promises the refinements needed to determine accurate relative distances within 2 to 3 % and to use SNe Ia for high precision cosmology.Comment: to be published in "Stellar Candles", eds. Gieren et al. Lecture Notes in Physics (http://link.springer.de/series/lnpp

Large Deviation Principle for Enhanced Gaussian Processes

We study large deviation principles for Gaussian processes lifted to the free nilpotent group of step N. We apply this to a large class of Gaussian processes lifted to geometric rough paths. A large deviation principle for enhanced (fractional) Brownian motion, in Hoelder- or modulus topology, appears as special case.Comment: minor corrections; this version to appear in Annales de l'I.H.

Sixty original plays for primary grades

Thesis (Ed.M.)--Boston Universit

An analysis of voice and language characteristics in an oral recall situation

Thesis (Ed.M.)--Boston Universit

Nonparametric Bayesian estimation of a H\"older continuous diffusion coefficient

We consider a nonparametric Bayesian approach to estimate the diffusion coefficient of a stochastic differential equation given discrete time observations over a fixed time interval. As a prior on the diffusion coefficient, we employ a histogram-type prior with piecewise constant realisations on bins forming a partition of the time interval. Specifically, these constants are realizations of independent inverse Gamma distributed randoma variables. We justify our approach by deriving the rate at which the corresponding posterior distribution asymptotically concentrates around the data-generating diffusion coefficient. This posterior contraction rate turns out to be optimal for estimation of a H\"older-continuous diffusion coefficient with smoothness parameter $0<\lambda\leq 1.$ Our approach is straightforward to implement, as the posterior distributions turn out to be inverse Gamma again, and leads to good practical results in a wide range of simulation examples. Finally, we apply our method on exchange rate data sets

Global regularity of three-dimensional Ricci limit spaces

In their recent work [ST17], Miles Simon and the second author established a local bi-Hölder correspondence between weakly noncollapsed Ricci limit spaces in three dimensions and smooth manifolds. In particular, any open ball of finite radius in such a limit space must be bi-Hölder homeomorphic to some open subset of a complete smooth Riemannian three-manifold. In this work we build on the technology from [ST16, ST17] to improve this local correspondence to a global-local correspondence. That is, we construct a smooth three-manifold M, and prove that the entire (weakly) noncollapsed three-dimensional Ricci limit space is homeomorphic to M via a globally-defined homeomorphism that is bi-Hölder once restricted to any compact subset. Here the bi-Hölder regularity is with respect to the distance dg on M, where g is any smooth complete metric on M. A key step in our proof is the construction of local pyramid Ricci flows, existing on uniform regions of spacetime, that are inspired by Hochard’s partial Ricci flows [Hoc16]. Suppose (M, g0, x0) is a complete smooth pointed Riemannian three-manifold that is (weakly) noncollapsed and satisfies a lower Ricci bound. Then, given any k ∈ N, we construct a smooth Ricci flow g(t) living on a subset of spacetime that contains, for each j ∈ {1, . . . , k}, a cylinder Bg0 (x0, j) × [0, Tj ], where Tj is dependent only on the Ricci lower bound, the (weakly) noncollapsed volume lower bound and the radius j (in particular independent of k) and with the property that g(0) = g0 throughout Bg0 (x0, k).</p