Numerical error for SDE: Asymptotic expansion and hyperdistributions

The principal part of the error in the Euler scheme for an SDE with smooth coefficients can be expressed as a generalized Watanabe distribution on Wiener space. To cite this article: P. Malliavin, A. Thalmaier, C. R. Acad. Sci. Paris, Ser. I 336 (2003).     

Riesz transform and integration by parts formulas for random variables

We use integration by parts formulas to give estimates for the L^p norm of the Riesz transform. This is motivated by the representation formula for conditional expectations of functionals on the Wiener space already given in Malliavin and Thalmaier (2006) [13]. As a consequence, we obtain regularity and estimates for the density of non-degenerated functionals on the Wiener space. We also give a semi-distance which characterizes the convergence to the boundary of the set of the strict positivity points for the density.     

Positivity and Lower Bounds for the Density of Wiener Functionals

We consider a functional on the Wiener space which is smooth and not degenerated in Malliavin sense and we give a criterion for the strict positivity of the density, that we can use to state lower bounds as well. The results are based on the representation of the density in terms of the Riesz transform introduced in Malliavin and Thalmaier (2006) and on the estimates of the Riesz transform given in Bally and Caramellino (Stoch Process Their Appl 121:1332–1355, 2011).     

Instantaneous liquidity rate,its econometric measurement by volatility feedbackPrime instantanée de liquidité et sa mesure économétrique par les volatilités itérées

In the univariate case we show mathematical existence, in real time and model free, of the instantaneous liquidity rate, which is a measure of the market stability. We give a mathematical formula expressing the instantaneous liquidity rate in terms of self cross volatilities, which, for frequently traded assets, are econometrically measurable. To cite this article: P. Malliavin, M.E. Mancino, C. R. Acad. Sci. Paris, Ser. I 334 (2002) 505–508.     

Monte-Carlo simulation of stochastic differential systems — a geometrical approach

We develop some numerical schemes for d$d$-dimensional stochastic differential equations derived from Milstein approximations of diffusions which are obtained by lifting the solutions of the stochastic differential equations to higher dimensional spaces using geometrical tools, in the line of the work [A.B. Cruzeiro, P. Malliavin, A. Thalmaier, Geometrization of Monte-Carlo numerical analysis of an elliptic operator: Strong approximation, C. R. Acad. Sci. Paris, Ser. I 338 (2004) 481–486].     

Nash equilibrium point for one kind of stochastic nonzero-sum game problem and BSDEs

In this Note, we deal with one kind of stochastic nonzero-sum differential game problem for N players. Using the theory of backward stochastic differential equations and Malliavin calculus, we give the explicit form of a Nash equilibrium point. To cite this article: J.-P. Lepeltier et al., C. R. Acad. Sci. Paris, Ser. I 347 (2009).     

Stochastic calculus of variations and Harnack inequality on Riemannian path spacesCalcul de variations stochastiques et l'inéqualité de Harnack sur l'espace de chemins riemanniens

We describe the tangent space of Riemannian path space as a space of tangent processes localized on Brownian sheets; the bundle of adapted frames above a Riemannian path space and its structural equation are given. The stochastic calculus of variations allows us to derive Harnack–Bismut inequality for the Norris semigroup. To cite this article: A.-B. Cruzeiro, P. Malliavin, C. R. Acad. Sci. Paris, Ser. I 335 (2002) 817–820.     

Tools for Malliavin Calculus in UMD Banach Spaces

In this paper we study the Malliavin derivatives and Skorohod integrals for processes taking values in an infinite dimensional space. Such results are motivated by their applications to SPDEs and in particular financial mathematics. Vector-valued Malliavin theory in Banach space E is naturally restricted to spaces E which have the so-called umd property, which arises in harmonic analysis and stochastic integration theory. We provide several new results and tools for the Malliavin derivatives and Skorohod integrals in an infinite dimensional setting. In particular, we prove weak characterizations, a chain rule for Lipschitz functions, a sufficient condition for pathwise continuity and an Itô formula for non-adapted processes.     

Smoothness of Wigner densities on the affine algebra

The non-commutative Malliavin calculus on the Heisenberg–Weyl algebra (see (i) C. R. Acad. Sci. Paris, Sér. I 328 (11) (1999) 1061–1066, (ii) Infin. Dimens. Anal. Quantum Probab. Relat. Top. 4 (1) (2001) 11–38) is extended to the affine algebra. A differential calculus is established, which generalizes the corresponding commutative integration by parts formulas. As an application we obtain sufficient conditions for the smoothness of Wigner type laws of non-commutative random variables with gamma and continuous binomial marginals. To cite this article: U. Franz et al., C. R. Acad. Sci. Paris, Ser. I 337 (2003).     

Surface Measures and Tightness of (r,p)-Capacities on Poisson Space

We prove tightness of (r,p)-Sobolev capacities on configuration spaces equipped with Poisson measure. By using this result we construct surface measures on configuration spaces in the spirit of the Malliavin calculus. A related Gauss-Ostrogradskii formula is obtained.     

A Gel’fand-type spectral radius formula and stability of linear constrained switching systems

Using ergodic theory, in this paper we present a Gel’fand-type spectral radius formula which states that the joint spectral radius is equal to the generalized spectral radius for a matrix multiplicative semigroup S⁺ restricted to a subset that need not carry the algebraic structure of S⁺ This generalizes the Berger–Wang formula. Using it as a tool, we study the absolute exponential stability of a linear switched system driven by a compact subshift of the one-sided Markov shift associated to S.     

Freidlin-Wentzell's large deviations for homeomorphism flows of non-Lipschitz SDEs

We prove a Freidlin-Wentzell large deviation principle for multi-dimensional stochastic differential equations with non-Lipschitz coefficients and apply it to the Brownian motion on the diffeomorphism group of the disc constructed recently by Airault, Malliavin and Thalmaier.     

A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s

In this article we develop a new approach to construct solutions of stochastic equations with merely measurable drift coefficients. We aim at demonstrating the principles of our technique by analyzing strong solutions of stochastic differential equations driven by Brownian motion. An important and rather surprising consequence of our method which is based on Malliavin calculus is that the solutions derived by Veretennikov (Theory Probab Appl 24:354–366, 1979) for Brownian motion with bounded and measurable drift in $\mathbb{R }^{d}$ are Malliavin differentiable. Further, a strength of our approach, which does not rely on a pathwise uniqueness argument, is that it can be transferred and applied to the analysis of various other types of (stochastic) equations: We obtain a Bismut–Elworthy–Li formula (Elworthy and Li, J Funct Anal 125:252–286, 1994) for spatial derivatives of solutions to the Kolmogorov equation with bounded and measurable drift coefficients. To derive the formula, we use that our approach can be applied to obtain Sobolev differentiability in the initial condition in addition to Malliavin differentiability of the associated stochastic differential equations. Another application of our technique is the construction of unique solutions of the stochastic transport equation with irregular vector fields. Moreover, our approach is also applicable to the construction of solutions of stochastic evolution equations on Hilbert spaces.     

L p -Norms, Log-Barriers and Cramer Transform in Optimization

We show that the Laplace approximation of a supremum by L ^p -norms has interesting consequences in optimization. For instance, the logarithmic barrier functions (LBF) of a primal convex problem P and its dual P ^* appear naturally when using this simple approximation technique for the value function g of P or its Legendre–Fenchel conjugate g ^*. In addition, minimizing the LBF of the dual P ^* is just evaluating the Cramer transform of the Laplace approximation of g. Finally, this technique permits to sometimes define an explicit dual problem P ^* in cases when the Legendre–Fenchel conjugate g ^* cannot be derived explicitly from its definition.     

Determinants of Period Matrices and an Application to Selberg's Multidimensional Beta Integral

In work on critical values of linear functions and hyperplane arrangements, A. Varchenko (Izv. Akad. Nauk SSSR Ser. Mat.53 (1989), 1206–1235; 54 (1990), 146–158) defined certain period matrices whose entries are Euler-type integrals representing hypergeometric functions of several variables and derived remarkable closed-form expressions for the determinants of those matrices. In this article, we present elementary proofs of some of Varchenko's determinant formulas. By the same method, we obtain proofs of variations of Varchenko's determinants. As an application, we deduce new proofs of the multidimensional beta integrals of Selberg and of Aomoto. Further, we obtain a new proof of a determinant formula of A. Varchenko (Funct. Anal. Appl.25 (1999), 304–305) in which the entries are multidimensional Selberg-type integrals.     

An exact Block–Newton algorithm for solving fluid–structure interaction problems

In this Note, we introduce a partitioned Newton based method for solving nonlinear coupled systems arising in the numerical approximation of fluid–structure interaction problems. The originality of this Schur–Newton algorithm lies in the exact Jacobians evaluation involving the fluid–structure linearized subsystems which are here fully developed. To cite this article: M.Á. Fernández, M. Moubachir, C. R. Acad. Sci. Paris, Ser. I 336 (2003).     

Division des distributions et applications à l'étude d'idéaux de fonctions holomorphes

In this Note, we construct residue currents without Hironaka's theorem. As an application, we obtain a representation formula for holomorphic function as in Passare (Math. Scand. 62 (1988) 75–152). To cite this article: E. Mazzilli, C. R. Acad. Sci. Paris, Ser. I 338 (2004).     

Beurling–Deny formula of semi-Dirichlet forms

In this Note we announce a structure result for non-symmetric Dirichlet forms and semi-Dirichlet forms. Our result is regarded as an extension of the celebrated Beurling–Deny formula which is up to now available only for symmetric Dirichlet forms. The result can also be regarded as an extension of Lévy–Khinchine formula or more generally, an extension of Courrège's Theorem in the semi-Dirichlet forms setting. To cite this article: Z.-C. Hu, Z.-M. Ma, C. R. Acad. Sci. Paris, Ser. I 338 (2004).     

Malliavin calculus for highly degenerate 2D stochastic Navier–Stokes equations

This Note mainly presents the results from “Malliavin calculus and the randomly forced Navier–Stokes equation” by J.C. Mattingly and E. Pardoux. It also contains a result from “Ergodicity of the degenerate stochastic 2D Navier–Stokes equation” by M. Hairer and J.C. Mattingly. We study the Navier–Stokes equation on the two-dimensional torus when forced by a finite dimensional Gaussian white noise. We give conditions under which the law of the solution at any time $t>0$, projected on a finite dimensional subspace, has a smooth density with respect to Lebesgue measure. In particular, our results hold for specific choices of four dimensional Gaussian white noise. Under additional assumptions, we show that the preceding density is everywhere strictly positive. This Note's results are a critical component in the ergodic results discussed in a future article. To cite this article: M. Hairer et al., C. R. Acad. Sci. Paris, Ser. I 339 (2004).     

Consistency of a simple multidimensional scheme for Hamilton–Jacobi–Bellman equations

This Note presents an approximation scheme for second-order Hamilton–Jacobi–Bellman equations arising in stochastic optimal control. The scheme is based on a Markov chain approximation method. It is easy to implement in any dimension. The consistency of the scheme is proved, which guarantees its convergence. To cite this article: R. Munos, H. Zidani, C. R. Acad. Sci. Paris, Ser. I 340 (2005).