Pathwise Solutions of the 2D Stochastic Primitive Equations

In this work we consider a stochastic version of the Primitive Equations (PEs) of the ocean and the atmosphere and establish the existence and uniqueness of pathwise, strong solutions. The analysis employs novel techniques in contrast to previous works in order to handle a general class of nonlinear noise structures and to allow for physically relevant boundary conditions. The proof relies on Cauchy estimates, stopping time arguments and anisotropic estimates

Pricing and Hedging Basis Risk under No Good Deal Assumption

We consider the problem of pricing and hedging an option written on a non-exchangeable asset when trading in a correlated asset is possible. This is a typical case of incomplete market where it is well known that the super-replication concept provides generally too high prices. Here, following J.H. Cochrane and J. Saá-Requejo, we study valuation under No Good Deal (NGD) Assumption. First, we clarify the notion of NGD for dynamic strategies, compute a lower and an upper bound and prove that in fact NGD price can be strictly higher that the one previously compute in the literature. We also propose a hedging strategy by imposing criterium on the variance of the replication's error. Finally, we provide various numerical illustrations showing the efficiency of NGD pricing and hedging.No Good Deal;basis risk;mean variance hedging

Navier-Stokes equations on the flat cylinder with vorticity production on the boundary

We study the two-dimensional Navier-Stokes system on a flat cylinder with the usual Dirichlet boundary conditions for the velocity field u. We formulate the problem as an infinite system of ODE's for the natural Fourier components of the vorticity, and the boundary conditions are taken into account by adding a vorticity production at the boundary. We prove equivalence to the original Navier-Stokes system and show that the decay of the Fourier modes is exponential for any positive time in the periodic direction, but it is only power-like in the other direction.Comment: 25 page