Ergodicity for a weakly damped stochastic non-linear Schrödinger equation

We study a damped stochastic non-linear Schr?dinger (NLS) equation driven by an additive noise. It is white in time and smooth in space. Using a coupling method, we establish convergence of the Markov transition semi-group toward a unique invariant probability measure. This kind of method was originally developed to prove exponential mixing for strongly dissipative equations such as the Navier-Stokes equations. We consider here a weakly dissipative equation, the damped nonlinear Schr?dinger equation in the one-dimensional cubic case. We prove that the mixing property holds and that the rate of convergence to equilibrium is at least polynomial of any power.     

Symmetries in the stochastic calculus of variations

Summary. Given a stochastic action integral we define a notion of invariance of this action under a family of one parameter space-time transformations and a notion of prolonged transformations which extend the existing analogs in classical calculus of variations. We prove that a family of prolonged transformations leaves the action integral invariant if and only if it leaves invariant the heat equation associated to it as well as the structure of the extremals. We then prove a stochastic version of Noether theorem: to each family of transformations leaving the action invariant (or symmetries) we can associate a function which gives a martingale when taken along a process minimizing the action under endpoint constraints. Received: 29 June 1996 / In revised form: 19 July 1996     

Exponential convergence for a periodically driven semilinear heat equation

We consider a semilinear heat equation in one space dimension, with a periodic source at the origin. We study the solution, which describes the equilibrium of this system and we prove that, as the space variable tends to infinity, the solution becomes, exponentially fast, asymptotic to a steady state. The key to the proof of this result is a Harnack type inequality, which we obtain using probabilistic ideas.     

SPDEs driven by space-time white noise in high dimensions: absolute continuity of the law and convergence of solutions

In this paper, we consider stochastic partial differential equations driven by space-time white noise in high dimensions. We prove, under reasonable conditions, that the law of the solution admits a density with respect to Lebesgue measure. The stability of the equation, as the higher order differential operator tends to zero, is also studied in the paper.     

Large systems of diffusions interacting through their ranks

We study the limiting behavior of the empirical measure of a system of diffusions interacting through their ranks when the number of diffusions tends to infinity. We prove that under certain assumptions the limiting dynamics is given by a McKean–Vlasov evolution equation. Moreover, we show that the evolution of the cumulative distribution function under the limiting dynamics is governed by the generalized porous medium equation with convection. The implications of the results for rank-based models of capital distributions in financial markets are also explained.     

Small mass asymptotic for the motion with vanishing friction

We consider the small mass asymptotic (Smoluchowski–Kramers approximation) for the Langevin equation with a variable friction coefficient. The friction coefficient is assumed to be vanishing within certain region. We introduce a regularization for this problem and study the limiting motion for the 1-dimensional case and a multidimensional model problem. The limiting motion is a Markov process on a projected space. We specify the generator and the boundary condition of this limiting Markov process and prove the convergence.     

Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form

We consider the Cauchy problem for a semilinear parabolic equation in divergence form with obstacle. We show that under natural conditions on the right-hand side of the equation and mild conditions on the obstacle, the problem has a unique solution and we provide its stochastic representation in terms of reflected backward stochastic differential equations. We also prove regularity properties and approximation results for solutions of the problem.     

Infinite horizon BSDEs in infinite dimensions with continuous driver and applications

This paper is devoted to forward-backward systems of stochastic differential equations in which the forward equation is not coupled to the backward one, both equations are infinite dimensional and on the time interval [0, + ∞). The forward equation defines an Ornstein-Uhlenbeck process, the driver of the backward equation has a linear part which is the generator of a strongly continuous, dissipative, compact semigroup, and a nonlinear part which is assumed to be continuous with linear growth. Under the assumption of equivalence of the laws of the solution to the forward equation, we prove the existence of a solution to the backward equation. We apply our results to a stochastic game problem with infinitely many players.     

Pathwise definition of second-order SDEs

In this article, a class of second-order differential equations on [0,1], driven by a γ-Hölder continuous function for any value of γ∈(0,1) and with multiplicative noise, is considered. We first show how to solve this equation in a pathwise manner, thanks to Young integration techniques. We then study the differentiability of the solution with respect to the driving process and consider the case where the equation is driven by a fractional Brownian motion, with two aims in mind: show that the solution that we have produced coincides with the one which would be obtained with Malliavin calculus tools, and prove that the law of the solution is absolutely continuous with respect to the Lebesgue measure.     

A remark about the justification of the nonlinear Schrödinger equation in quadratic spatially periodic media

We prove the validity of a technical assumption necessary in a proof of the validity of the nonlinear Schr?dinger equation as envelope equation in quadratic spatially periodic media.      

Regularity of the sample paths of a class of second-order spde's

We study the sample path regularity of the solutions of a class of spde's which are second order in time and that includes the stochastic wave equation. Non-integer powers of the spatial Laplacian are allowed. The driving noise is white in time and spatially homogeneous. Continuing with the work initiated in Dalang and Mueller (Electron. J. Probab. 8 (2003) 1), we prove that the solutions belong to a fractional L²-Sobolev space. We also prove Hölder continuity in time and therefore, we obtain joint Hölder continuity in the time and space variables. Our conclusions rely on a precise analysis of the properties of the stochastic integral used in the rigourous formulation of the spde, as introduced by Dalang and Mueller. For spatial covariances given by Riesz kernels, we show that our results are optimal.     

Reverse Hölder inequalities for singular parabolic equations near the boundary

We show that weak solutions to a singular parabolic partial differential equation globally belong to a higher Sobolev space than assumed a priori. To this end, we prove that the gradients satisfy a reverse Hölder inequality near the boundary. The results extend to singular parabolic systems as well. Motivation for studying reverse Hölder inequalities comes partly from applications to regularity theory.     

A diffusion approximation result for two parameter processes

Summary We consider a one-dimensional linear wave equation with a small mean zero dissipative field and with the boundary condition imposed by the so-called Goursat problem. In order to observe the effect of the randomness on the solution we perform a space-time rescaling and we rewrite the problem in a diffusion approximation form for two parameter processes. We prove that the solution converges in distribution toward the solution of a two-parameter stochastic differential equation which we identify. The diffusion approximation results for oneparameter processes are well known and well understood. In fact, the solution of the one-parameter analog of the problem we consider here is immediate. Unfortunately, the situation is much more complicated for two-parameter processes and we believe that our result is the first one of its kind.Partially supported by ONR N00014-91-J-1010     

A limit field for orthogonal range searches in two-dimensional random point search trees

We consider the cost of general orthogonal range queries in random quadtrees. The cost of a given query is encoded into a (random) function of four variables which characterize the coordinates of two opposite corners of the query rectangle. We prove that, when suitably shifted and rescaled, the random cost function converges uniformly in probability towards a random field that is characterized as the unique solution to a distributional fixed-point equation. We also state similar results for 2-d trees. Our results imply for instance that the worst case query satisfies the same asymptotic estimates as a typical query, and thereby resolve an open question of Chanzy et al. (2001).     

A New Integrable Equation with Peakon Solutions

We consider a new partial differential equation recently obtained by Degasperis and Procesi using the method of asymptotic integrability; this equation has a form similar to the Camassa–Holm shallow water wave equation. We prove the exact integrability of the new equation by constructing its Lax pair and explain its relation to a negative flow in the Kaup–Kupershmidt hierarchy via a reciprocal transformation. The infinite sequence of conserved quantities is derived together with a proposed bi-Hamiltonian structure. The equation admits exact solutions as a superposition of multipeakons, and we describe the integrable finite-dimensional peakon dynamics and compare it with the analogous results for Camassa–Holm peakons.     

Well-posedness of a diffusive gyro-kinetic model

We study a finite Larmor radius model used to describe the ions distribution function in the core of a tokamak plasma, that consists in a gyro-kinetic transport equation coupled with an electro-neutrality equation. Since the last equation does not provide enough regularity on the electric potential, we introduce a simple linear collision operator adapted to the finite Larmor radius approximation. We next study the two-dimensional dynamics in the direction perpendicular to the magnetic field. Thanks to the smoothing effects of the collision and the gyro-average operators, we prove the global existence of solutions, as well as short time uniqueness and stability.     

Isolated singularities of solutions to the Yamabe equation

In this paper we study the asymptotic behavior of local solutions to the Yamabe equation near an isolated singularity, when the metric is not necessarily conformally flat. We are able to prove, when the dimension is less than or equal to five, that any solution is asymptotic to a rotationally symmetric Fowler solution. We also prove refined asymptotics if deformed Fowler solutions are allowed in the expansion.     

Shock fluctuations in asymmetric simple exclusion

Summary The one dimensional nearest neighbors asymmetric simple exclusion process in used as a microscopic approximation to the Burgers equation. We study the process with rates of jumpsp>q to the right and left, respectively, and with initial product measure with densities < to the left and right of the origin, respectively (with shock initial conditions). We prove that a second class particle added to the system at the origin at time zero identifies microscopically the shock for all later times. If this particle is added at another site, then it describes the behavior of a characteristic of the Burgers equation. For vanishing left density (=0) we prove, in the scale t^1/2, that the position of the shock at timet depends only on the initial configuration in a region depending ont. The proofs are based on laws of large numbers for the second class particle.     

An adaptive scheme for the approximation of dissipative systems

We propose a new scheme for the long time approximation of a diffusion when the drift vector field is not globally Lipschitz. Under this assumption, a regular explicit Euler scheme–with constant or decreasing step–may explode and implicit Euler schemes are CPU-time expensive. The algorithm we introduce is explicit and we prove that any weak limit of the weighted empirical measures of this scheme is a stationary distribution of the stochastic differential equation. Several examples are presented including gradient dissipative systems and Hamiltonian dissipative systems.