Stochastic cohomology of Chen–Souriau and line bundle over the Brownian bridge

We define a stochastic cohomology theory related to a stochastic diffeology for the Hoelder loop space. We show that the stochastic de Rham cohomology groups are equal to the deterministic de Rham cohomology groups of the Hoelder loop space. As an application, we show that a stochastic line bundle over the Brownian bridge (with fiber almost surely defined) is isomorphic to a true line bundle over the Hoelder loop space. Received: 9 November 1998 / Revised version: 14 July 2000 / Published online: 26 April 2001     

Discretization of Stationary Solutions of Stochastic Systems Driven by Fractional Brownian Motion

In this article we study the behavior of dissipative systems with additive fractional noise of any Hurst parameter. Under a one-sided dissipative Lipschitz condition on the drift the continuous stochastic system is shown to have a unique stationary solution, which pathwise attracts all other solutions. The same holds for the discretized stochastic system, if the drift-implicit Euler method is used for the discretization. Moreover, the unique stationary solution of the drift-implicit Euler scheme converges to the unique stationary solution of the original system as the stepsize of the discretization decreases. Partially supported by the DAAD, Ministerio de Educación y Ciencia (Spain) and FEDER (European Community) under grants MTM2005-01412 and HA2005-0082, by Junta de Andalucía under the Proyecto de Excelencia P07-FQM-02468, and the DFG-project “Pathwise numerics and dynamics of stochastic evolution equations”.     

Mesures stochastiques à valeurs dans des espaces L 0

Résumé Dans de précédents articles, les auteurs ont étudié l'intégrale stochastique en tant qu'intégrale relativement à un type particulier de mesures vectorielles, appelées mesures stochastiques.L'originalité de cet article est de considérer des mesures stochastiques pouvant prendre leurs valeurs dans L ₀, et engendrées par des processus admettant un ensemble d'indices trés général (non nécessairement ordonné).Dans cette situation générale, un théoréme de représentation de Rie\ est obtenu pour les mesures stochastiques.

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Summary In previous papers, the authors have studied stochastic integrals as integrals with respect to a particular type of vector measures called stochastic measures.The special feature of this paper is that the here considered stochastic measures may take their values in L ₀, and that the generating process admits a quite general (not necessarily ordered) set of indexes.In this general setting, a Rie\-representation theorem for stochastic measures is obtained.

     

Analysis and comparisons of some solution concepts for stochastic programming problems

The aim of this study is to analyse the resolution of Stochastic Programming Problems in which the objective function depends on parameters which are continuous random variables with a known distribution probability. In the literature on these questions different solution concepts have been defined for problems of these characteristics. These concepts are obtained by applying a transformation criterion to the stochastic objective which contains a statistical feature of the objective, implying that for the same stochastic problem there are different optimal solutions available which, in principle, are not comparable. Our study analyses and establishes some relations between these solution concepts. The work of these authors was supported byMinisterio de Ciencia y Tecnología andConsejería de Educación y Ciencia, Junta de Andalucía.     

Contrôle de processus alternants et applications

Résumé L'objet de cet article est d'appliquer des méthodes de la théorie générale des processus et de théorie du potentiel à la résolution de problèmes de contrôle de processus alternants, et en particulier à des problèmes de contrôle impulsionnel. Cet article reprend et étend les résultats préalablement obtenus par l'auteur dans ce domaine.

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Summary The purpose of this paper is to apply the general theory of stochastic processes and potential theory to solve various control problems of alternating processes, and in particular problems of impulse control. This paper extends results previously obtained by the author in stochastic control.

     

Sur le théoreme d'atiyah-singer

Résumé On donne une version simplifiée de la démonstration probabiliste du théoreme de l'indice pour l'opérateur de Dirac, donnée par J.M. Bismut. Au lieu d'utiliser la construction du mouvement brownien au moyen du fibré des reperes, on utilise la construction de Schwartz en plongeant la variété ambiante dans un espace vectoriel de dimension plus grande. On évite aussi l'utilisation de la décomposition de l'espace de Wiener en deux utilisée par J.M. Bismut, le calcul des variations stochastiques étant notre outil principal. De ce fait, on perd la relation avec la cohomologie de l'espace des lacets.

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Summary We give a simplified version of Bismut's probabilistic proof of the index theorem for the Dirac operator. By using Schwartz's construction of a Brownian motion over a manifold, we expect to give a simpler approach to the computations of stochastic geometry. Our main tool is the calculus of stochastic variations, rather than the splitting of the Wiener space into two pieces. For that reason, we loose the relation with the cohomology of the loop space.

     

Backward doubly stochastic differential equations and systems of quasilinear SPDEs

Summary We introduce a new class of backward stochastic differential equations, which allows us to produce a probabilistic representation of certain quasilinear stochastic partial differential equations, thus extending the Feynman-Kac formula for linear SPDE's.The research of this author was partially supported by DRET under contract 901636/A000/DRET/DS/SRThe research of this author was supported by a grant from the French Ministère de la Recherche et de la Technologie, which is gratefully acknowledged     

The stochastic approach for non-Hamiltonian systems

The stochastic quantization of dissipative systems is discussed. It is shown that in order to stochastically quantize a system with dissipation, one has to restrict the Fourier transform of the space-time variable to the positive half domain in the complex plane. This breaks the time-reversal invariance, which manifests itself in the formulation through the resulting noninvariant forms for the propagators. The relation of the stochastic approach with the Caldeira and Leggett path-integral method is also analyzed.Department d'Estructura i Constituents de la Matéria, Universitat de Barcelona, E-08028 Barcelona, Spain. Published in Teoreticheskaya i Matematicheskaya Fizika, Vol. 100, No. 1, pp. 153–159, July, 1994.     

一类具有扩散的奇异型随机控制的非对称平稳模型

该文讨论了一类奇异型随机控制的平稳模型,其费用结构中的函数不限于偶函数,其状态过程为扩散型且具有“非对称的”(关于原点)漂移及扩散系数.因此,奇异型随机控制中的平稳问题被实质性地推广到更一般的形式。该文求得了与此类问题有关的一个变分方程组的解,并且证明了最佳控制的存在性.     

Stochastic Algebraic de Rham Complexes

We define completion of the algebraic de Rham complex associated to the algebras of functionals smooth in the Chen–Souriau sense or in the Nualart–Pardoux sense over the loop space. We show that the stochastic algebraic de Rham cohomology groups are equal to the deterministic cohomology groups of the loop space.     

Algorithms for the solution of stochastic dynamic minimax problems

In this paper, we present algorithms for the solution of the dynamic minimax problem in stochastic programs. This dynamic minimax approach is suggested for the analysis of multi-stage stochastic decision problems when there is only partial knowledge on the joint probability distribution of the random data. The algorithms proposed in this paper are based on projected sub-gradient and bundle methods.

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Résumé Dans cet article, nous proposons des algorithmes pour la solution du problème du minimax dynamique stochastique. Ce problème se présente par exemple lorsque, dans un problème de décision dynamique stochastique, l'information disponible au sujet des distributions de probabilité des paramètres est incomplète. Les algorithmes proposés sont fondés sur la méthode de sous-gradient projeté et la méthode des faisceaux.

     

Global martingale solution for the stochastic Boussinesq system with zero dissipation

We study the two-dimensional stochastic Boussinesq system with zero dissipation and multiplicative noise. We show the existence of a martingale solution by a priori estimates using stochastic calculus, and applications of Prokhorov's, Skorokhod's, and martingale representation theorems. Due to the lack of dissipation, the proof requires higher regularity estimates, taking advantage of the structure of the nonlinear term. Moreover, we obtain the existence of the pressure term via an application of de Rham's theorem for processes.     

Splash effect and ergodic properties of solution of the classic difference-differential equation

In this paper one of the classical models of stochastic movements going back to almost 250 years is studied (Bernoulli, D. Memoires de la' academie Royale de Berlin, 9,1753, pp. 147-172; Lagrange, G.L., Mechanique Analitique, Paris, 1788). The relationship between ergodic property of this model and splash effect (Filimonov, A.M., Computes Rendus Acad. Sci. Paris t. 315, Serie 1, 1992, 957-961) is described     

Anticipating stochastic differential systems with memory

This article establishes existence and uniqueness of solutions to two classes of stochastic systems with finite memory subject to anticipating initial conditions which are sufficiently smooth in the Malliavin sense. The two classes are semilinear stochastic functional differential equations (sfdes) and fully nonlinear sfdes with a sublinear drift term. For the semilinear case, we use Malliavin calculus techniques, existence of the stochastic semiflow and an infinite-dimensional substitution theorem. For the fully nonlinear case, we employ an anticipating version of the Itô–Ventzell formula due to Ocone and Pardoux [D. Ocone, E. Pardoux, A generalized Itô–Ventzell formula. Application to a class of anticipating stochastic differential equations, Annales de l’Institut Henri Poincaré. Probabilité s et Statistiques 25 (1) (1989) 39–71]. In both cases, the use of Malliavin calculus techniques is necessitated by the infinite dimensionality of the initial condition.     

Perpetual Options on Multiple Underlyings

Abstract

We study three classes of perpetual option with multiple uncertainties and American-style exercise boundaries, using a partial differential equation-based approach. A combination of accurate numerical techniques and asymptotic analyses is implemented, with each approach informing and confirming the other. The first two examples we study are a put basket option and a call basket option, both involving two stochastic underlying assets, whilst the third is a (novel) class of real option linked to stochastic demand and costs (the details of the modelling for this are described in the paper). The Appendix addresses the issue of pricing American-style perpetual options involving (just) one stochastic underlying, but in which the volatility is also modelled stochastically, using the Heston (1993) framework.     

A new stochastic Petri net model and its applications to logistics systems

This is a summary of the author’s PhD thesis supervised by Lionel Amodeo and Hoaxun Chen and defended on 29 November 2005 at the Université de Technologie de Troyes (France). The thesis is written in French and is available from the author upon request. This work deals with a new stochastic Petri net model and its applications for modeling and studying logistics systems and more generally discrete event dynamic systems.      

On the Stochastic Strichartz Estimates and the Stochastic Nonlinear Schrödinger Equation on a Compact Riemannian Manifold

We prove the existence and the uniqueness of a solution to the stochastic NSLEs on a two-dimensional compact riemannian manifold. Thus we generalize (and improve) a recent work by Burq et al. (J Nonlinear Math Phys 10(1):12–27, 2003) and a series of papers by de Bouard and Debussche, see e.g. de Bouard and Debussche (Commun Math Phys 205(1):161–181, 1999 and Stoch Anal Appl 21(1):97–126, 2003) who have examined similar questions in the case of the flat euclidean space. We prove the existence and the uniqueness of a local maximal solution to stochastic nonlinear Schrödinger equations with multiplicative noise on a compact d-dimensional riemannian manifold. Under more regularity on the noise, we prove that the solution is global when the nonlinearity is of defocusing or of focusing type, d?=?2 and the initial data belongs to the finite energy space. Our proof is based on improved stochastic Strichartz inequalities.     

On the coherence function for stochastic systems

A practical implementation of the coherence function for evaluating the linear degree of a stochastic system is developed. It is applied to several well known linear and nonlinear systems. This paper has been partially supported by projects BFM2000-1466 and BFM2000-1103 from Plan Nacional de Investigación Científica, Desarrollo e Innovación Tecnológico. Ministerio de Ciencia y Tecnología. Spain. The authors are grateful to the Associated Editor and two anonymous referees whose comments and suggestions were helpful in improving the final version of this paper.     

On stationary distributions for the KPP equation with branching noise

This paper applies the method of Harris's convergence theorem for additive particle systems to a stochastic PDE that arises as the limit of long range contact processes. This is used to study the uniqueness of a translation invariant stationary distribution and its domain of attraction.

Résumé

On applique la méthode conduisant au théorème de convergence de Harris pour les systèmes de particules additifs à une EDP stochastique qui apparaît comme limite d'un processus de contact à longue portée. On étudie ainsi l'unicité de la mesure stationnaire invariante par translation et son domaine d'attraction.