Monte Carlo approximations of the Neumann problem

We introduce Monte Carlo methods to compute the solution of elliptic equations with pure Neumann boundary conditions. We first prove that the solution obtained by the stochastic representation has a zero mean value with respect to the invariant measure of the stochastic process associated to the equation. Pointwise approximations are computed by means of standard and new simulation schemes especially devised for local time approximation on the boundary of the domain. Global approximations are computed thanks to a stochastic spectral formulation taking into account the property of zero mean value of the solution. This stochastic formulation is asymptotically perfect in terms of conditioning. Numerical examples are given on the Laplace operator on a square domain with both pure Neumann and mixed Dirichlet-Neumann boundary conditions. A more general convection-diffusion equation is also numerically studied

Long time behavior of a mean-field model of interacting neurons

We study the long time behavior of the solution to some McKean-Vlasov stochastic differential equation (SDE) driven by a Poisson process. In neuroscience, this SDE models the asymptotic dynamic of the membrane potential of a spiking neuron in a large network. We prove that for a small enough interaction parameter, any solution converges to the unique (in this case) invariant measure. To this aim, we first obtain global bounds on the jump rate and derive a Volterra type integral equation satisfied by this rate. We then replace temporary the interaction part of the equation by a deterministic external quantity (we call it the external current). For constant current, we obtain the convergence to the invariant measure. Using a perturbation method, we extend this result to more general external currents. Finally, we prove the result for the non-linear McKean-Vlasov equation

Liquidity costs: a new numerical methodology and an empirical study

We consider rate swaps which pay a fixed rate against a floating rate in presence of bid-ask spread costs. Even for simple models of bid-ask spread costs, there is no explicit strategy optimizing an expected function of the hedging error. We here propose an efficient algorithm based on the stochastic gradient method to compute an approximate optimal strategy without solving a stochastic control problem. We validate our algorithm by numerical experiments. We also develop several variants of the algorithm and discuss their performances in terms of the numerical parameters and the liquidity cost

Global solvability of a networked integrate-and-fire model of McKean-Vlasov type

We here investigate the well-posedness of a networked integrate-and-fire model describing an infinite population of neurons which interact with one another through their common statistical distribution. The interaction is of the self-excitatory type as, at any time, the potential of a neuron increases when some of the others fire: precisely, the kick it receives is proportional to the instantaneous proportion of firing neurons at the same time. From a mathematical point of view, the coefficient of proportionality, denoted by $\alpha$, is of great importance as the resulting system is known to blow-up for large values of $\alpha$. In the current paper, we focus on the complementary regime and prove that existence and uniqueness hold for all time when $\alpha$ is small enough.Comment: Published at http://dx.doi.org/10.1214/14-AAP1044 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

On a toy network of neurons interacting through their dendrites

Consider a large number $n$ of neurons, each being connected to approximately $N$ other ones, chosen at random. When a neuron spikes, which occurs randomly at some rate depending on its electric potential, its potential is set to a minimum value $v_{min}$, and this initiates, after a small delay, two fronts on the (linear) dendrites of all the neurons to which it is connected. Fronts move at constant speed. When two fronts (on the dendrite of the same neuron) collide, they annihilate. When a front hits the soma of a neuron, its potential is increased by a small value $w_n$. Between jumps, the potentials of the neurons are assumed to drift in $[v_{min},\infty)$, according to some well-posed ODE. We prove the existence and uniqueness of a heuristically derived mean-field limit of the system when $n,N \to \infty$ with $w_n \simeq N^{-1/2}$. We make use of some recent versions of the results of Deuschel and Zeitouni \cite{dz} concerning the size of the longest increasing subsequence of an i.i.d. collection of points in the plan. We also study, in a very particular case, a slightly different model where the neurons spike when their potential reach some maximum value $v_{max}$, and find an explicit formula for the (heuristic) mean-field limit

Mathematical model for resistance and optimal strategy

We propose a mathematical model for one pattern of charts studied in technical analysis: in a phase of consolidation, the price of a risky asset goes down $\xi$ times after hitting a resistance level. We construct a mathematical strategy and we calculate the expectation of the wealth for the logaritmic utility function. Via simulations, we compare the strategy with the standard one

Smoluchowski's coagulation equation : probabilistic interpretation of solutions for constant, additive and multiplicative kernels

International audienc

Stability of synchronization under stochastic perturbations in leaky integrate and fire neural networks of finite size.

International audienceIn the present paper, we study the synchronization in a model of neural network which can be considered as a noisy version of the model of \citet{mirollo1990synchronization}, namely, fully-connected and totally excitatory integrate and fire neural network with Gaussian white noises. Using a large deviation principle, we prove the stability of the synchronized state under stochastic perturbations. Then, we give a lower bound on the probability of synchronization for networks which are not initially synchronized. This bound shows the robustness of the emergence of synchronization in presence of small stochastic perturbations

An unbiased Monte Carlo estimator for derivatives. Application to CIR

In this paper, we present extensions of the exact simulation algorithm introduced by Beskos et al. (2006). First, a modification in the order in which the simulation is done accelerates the algorithm. In addition, we propose a truncated version of the modified algorithm. We obtain a control of the bias of this last version, exponentially small in function of the truncation parameter. Then, we extend it to more general drift functions. Our main result is an unbiased algorithm to approximate the two first derivatives with respect to the initial condition x of quantities with the form EΨ(X^x_T). We describe it in details in dimension 1 and also discuss its multi-dimensional extensions for the evaluation of EΨ(X^x_T). Finally, we apply the algorithm to the CIR process and perform numerical tests to compare it with classical approximation procedures