Rough paths analysis of general Banach space-valued Wiener processes

AbstractIn this article, we carry out a rough paths analysis for Banach space-valued Wiener processes. We show that most of the features of the classical Wiener process pertain to its rough path analog. To be more precise, the enhanced process has the same scaling properties and it satisfies a Fernique type theorem, a support theorem and a large deviation principle in the same Hölder topologies as the classical Wiener process does. Moreover, the canonical rough paths of finite dimensional approximating Wiener processes converge to the enhanced Wiener process. Finally, a new criterion for the existence of the enhanced Wiener process is provided which is based on compact embeddings. This criterion is particularly handy when analyzing Kunita flows by means of rough paths analysis which is the topic of a forthcoming article

Weighted distances in scale-free preferential attachment models

We study three preferential attachment models where the parameters are such that the asymptotic degree distribution has infinite variance. Every edge is equipped with a non-negative i.i.d. weight. We study the weighted distance between two vertices chosen uniformly at random, the typical weighted distance, and the number of edges on this path, the typical hopcount. We prove that there are precisely two universality classes of weight distributions, called the explosive and conservative class. In the explosive class, we show that the typical weighted distance converges in distribution to the sum of two i.i.d. finite random variables. In the conservative class, we prove that the typical weighted distance tends to infinity, and we give an explicit expression for the main growth term, as well as for the hopcount. Under a mild assumption on the weight distribution the fluctuations around the main term are tight.Comment: Revised version, results are unchanged. 30 pages, 1 figure. To appear in Random Structures and Algorithm

Quadratic optimal functional quantization of stochastic processes and numerical applications

In this paper, we present an overview of the recent developments of functional quantization of stochastic processes, with an emphasis on the quadratic case. Functional quantization is a way to approximate a process, viewed as a Hilbert-valued random variable, using a nearest neighbour projection on a finite codebook. A special emphasis is made on the computational aspects and the numerical applications, in particular the pricing of some path-dependent European options.Comment: 41 page

Convergence of multi-dimensional quantized SDESDE's

We quantize a multidimensional $SDE$ (in the Stratonovich sense) by solving the related system of $ODE$'s in which the $d$-dimensional Brownian motion has been replaced by the components of functional stationary quantizers. We make a connection with rough path theory to show that the solutions of the quantized solutions of the $ODE$ converge toward the solution of the $SDE$. On our way to this result we provide convergence rates of optimal quantizations toward the Brownian motion for $\frac 1q$-H\" older distance, $q>2$, in $L^p(\P)$.Comment: 43 page

Constraints and entropy in a model of network evolution

Barab´asi-Albert’s ‘Scale Free’ model is the starting point for much of the accepted theory of the evolution of real world communication networks. Careful comparison of the theory with a wide range of real world networks, however, indicates that the model is in some cases, only a rough approximation to the dynamical evolution of real networks. In particular, the exponent γ of the power law distribution of degree is predicted by the model to be exactly 3, whereas in a number of real world networks it has values between 1.2 and 2.9. In addition, the degree distributions of real networks exhibit cut offs at high node degree, which indicates the existence of maximal node degrees for these networks. In this paper we propose a simple extension to the ‘Scale Free’ model, which offers better agreement with the experimental data. This improvement is satisfying, but the model still does not explain why the attachment probabilities should favor high degree nodes, or indeed how constraints arrive in non-physical networks. Using recent advances in the analysis of the entropy of graphs at the node level we propose a first principles derivation for the ‘Scale Free’ and ‘constraints’ model from thermodynamic principles, and demonstrate that both preferential attachment and constraints could arise as a natural consequence of the second law of thermodynamics

Multilevel Monte Carlo methods

The author's presentation of multilevel Monte Carlo path simulation at the MCQMC 2006 conference stimulated a lot of research into multilevel Monte Carlo methods. This paper reviews the progress since then, emphasising the simplicity, flexibility and generality of the multilevel Monte Carlo approach. It also offers a few original ideas and suggests areas for future research

Cooling down stochastic differential equations: almost sure convergence

We consider almost sure convergence of the SDE $dX_t=\alpha_t d t + \beta_t d W_t$ under the existence of a $C^2$-Lyapunov function $F:\mathbb R^d \to \mathbb R$. More explicitly, we show that on the event that the process stays local we have almost sure convergence in the Lyapunov function $(F(X_t))$ as well as $\nabla F(X_t)\to 0$, if $|\beta_t|=\mathcal O( t^{-\beta})$ for a $\beta>1/2$. If, additionally, one assumes that $F$ is a Lojasiewicz function, we get almost sure convergence of the process itself, given that $|\beta_t|=\mathcal O(t^{-\beta})$ for a $\beta>1$. The assumptions are shown to be optimal in the sense that there is a divergent counterexample where $|\beta_t|$ is of order $t^{-1}$