294 research outputs found
Stochastic flows approach to Dupire's formula
The probabilistic equivalent formulation of Dupire's PDE is the Put-Call
duality equality. In local volatility models including exponential L\'{e}vy
jumps, we give a direct probabilistic proof for this result based on stochastic
flows arguments. This approach also enables us to check the probabilistic
equivalent formulation of various generalizations of Dupire's PDE recently
obtained by Pironneau by the adjoint equation technique in the case of complex
options
Propagation of chaos and Poincar\'e inequalities for a system of particles interacting through their cdf
In the particular case of a concave flux function, we are interested in the
long time behaviour of the nonlinear process associated to the one-dimensional
viscous scalar conservation law. We also consider the particle system obtained
by remplacing the cumulative distribution function in the drift coefficient of
this nonlinear process by the empirical cdf. We first obtain trajectorial
propagation of chaos result. Then, Poincar\'e inequalities are used to get
explicit estimates concerning the long time behaviour of both the nonlinear
process and the particle system
Coupling Index and Stocks
In this paper, we are interested in continuous time models in which the index
level induces some feedback on the dynamics of its composing stocks. More
precisely, we propose a model in which the log-returns of each stock may be
decomposed into a systemic part proportional to the log-returns of the index
plus an idiosyncratic part. We show that, when the number of stocks in the
index is large, this model may be approximated by a local volatility model for
the index and a stochastic volatility model for each stock with volatility
driven by the index. This result is useful in a calibration perspective : it
suggests that one should first calibrate the local volatility of the index and
then calibrate the dynamics of each stock. We explain how to do so in the
limiting simplified model and in the original model
On the long time behavior of stochastic vortices systems
In this paper, we are interested in the long-time behaviour of stochastic
systems of n interacting vortices: the position in R2 of each vortex evolves
according to a Brownian motion and a drift summing the influences of the other
vortices computed through the Biot and Savart kernel and multiplied by their
respective vorticities. For fixed n, we perform the rescalings of time and
space used successfully by Gallay and Wayne [5] to study the long-time
behaviour of the vorticity formulation of the two dimensional incompressible
Navier-Stokes equation, which is the limit as n of the
weighted empirical measure of the system under mean-field interaction. When all
the vorticities share the same sign, the 2n-dimensional process of the rescaled
positions of the vortices is shown to converge exponentially fast as time goes
to infinity to some invariant measure which turns out to be Gaussian if all the
vorticities are equal. In the particular case n = 2 of two vortices, we prove
exponential convergence in law of the 4-dimensional process to an explicit
random variable, whatever the choice of the two vorticities. We show that this
limit law is not Gaussian when the two vorticities are not equal
Convergence of a stochastic particle approximation for fractional scalar conservation laws
We give a probabilistic numerical method for solving a partial differential
equation with fractional diffusion and nonlinear drift. The probabilistic
interpretation of this equation uses a system of particles driven by L\'evy
alpha-stable processes and interacting with their drift through their empirical
cumulative distribution function. We show convergence to the solution for the
associated Euler scheme
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