Stochastic averaging of quasi-integrable Hamiltonian systems under combined harmonic and white noise excitations

A stochastic averaging method is proposed to predict approximately the response of quasi-integrable Hamiltonian systems to combined harmonic and white noise excitations. According to the proposed method, an n+α+β-dimensional averaged Fokker-Planck-Kolmogorov (FPK) equation governing the transition probability density of n action variables or independent integrals of motion, α combinations of angle variables and β combinations of angle variables and excitation phase angles can be constructed when the associated Hamiltonian system has α internal resonant relations and the system and harmonic excitations have β external resonant relations. The averaged FPK equation is solved by using the combination of the finite difference method and the successive over relaxation method. Two coupled Duffing-van der Pol oscillators under combined harmonic and white noise excitations is taken as an example to illustrate the application of the proposed procedure and the stochastic jump and its bifurcation as the system parameters change are examined.     

Matrix-fracture exchange in a fractured porous medium: stochastic upscalingCoefficient d'échange matrice-fracture en milieu poreux fracturé : changement d'échelle par approche stochastique

We present in this Note a stochastic approach to the matrix-fracture exchange in a heterogeneous fractured porous medium. We introduce an intermediate scale, called the unit-scale, between the local-scale (fracture-scale) and the large-scale characteristic of the reservoir mesh (reservoir block). This paper focuses on the problem of upscaling fluid exchange phenomena from the unit scale to the reservoir mesh or block scale. Simplifying the Darcian flow terms enables us to obtain a probabilistic solution of the dual continuum problem, in continuous time, in the case of a purely random exchange coefficient. This is then used to develop several upscaling approaches to the fluid exchange problem, and to analyze the so-called ‘effective’ exchange coefficient. The results are a first contribution to the more general problem of upscaling multidimensional flow-exchange processes in space and time, in randomly heterogeneous dual continua. To cite this article: M. Kfoury et al., C. R. Mecanique 332 (2004).     

Mean-variance Hedging for Pricing European-type Contingent Claims with Transaction Costs

In this paper,a European-type contingent claim pricing problem with transaction costs is considered by a mean-variance hedging argument.The investor has to pay transaction costs which areproportional to the amount of stock transacted.The writer‘‘s hedging object is to minimize the hedgingrisk,defined as the variance of hedging error at expiration,with a proper expected excess return level.At first, we consider the mean-variance hedging problem:for initial hedging wealth f,maximizing the excess expected return under the minimum hedging risk level V0.On the other hand,we consider a mean-variance portfolio problem,which is to maximize the expected return with initial wealth 0 under the same risk level V0.The minimum initial hedging wealth f,which can offset the difference of the maximum expected return of these two problems,is the writer‘s price.     

The Smoothness of Laws of Random Flags and Oseledets Spaces of Linear Stochastic Differential Equations

The Oseledets spaces of a random dynamical system generated by a linear stochastic differential equation are obtained as intersections of the corresponding nested invariant spaces of a forward and a backward flag, described as the stationary states of flows on corresponding flag manifolds. We study smoothness of their laws and conditional laws by applying Malliavin's calculus. If the Lie algebras induced by the actions of the matrices generating the system on the manifolds span the tangent spaces at any point, laws and conditional laws are seen to be C-smooth. As an application we find that the semimartingale property is well preserved if the Wiener filtration is enlarged by the information present in the flag or Oseledets spaces.     

Field Theory of Branching and Annihilating Random Walks

We develop a systematic analytic approach to the problem of branching and annihilating random walks, equivalent to the diffusion-limited reaction processes 2A and A (m + 1) A, where m 1. Starting from the master equation, a field-theoretic representation of the problem is derived, and fluctuation effects are taken into account via diagrammatic and renormalization group methods. For d > 2, the mean-field rate equation, which predicts an active phase as soon as the branching process is switched on, applies qualitatively for both even and odd m, but the behavior in lower dimensions is shown to be quite different for these two cases. For even m, and d near 2, the active phase still appears immediately, but with nontrivial crossover exponents which we compute in an expansion in = 2 – d, and with logarithmic corrections in d = 2. However, there exists a second critical dimension d_c 4/3 below which a nontrivial inactive phase emerges, with asymptotic behavior characteristic of the pure annihilation process. This is confirmed by an exact calculation in d = 1. The subsequent transition to the active phase, which represents a new nontrivial dynamic universality class, is then investigated within a truncated loop expansion, which appears to give a correct qualitative picture. The model with m = 2 is also generalized to N species of particles, which provides yet another universality class and which is exactly solvable in the limit N . For odd m, we show that the fluctuations of the annihilation process are strong enough to create a nontrivial inactive phase for all d 2. In this case, the transition to the active phase is in the directed percolation universality class. Finally, we study the modification when the annihilation reaction is 3A . When m = 0 (mod 3) the system is always in its active phase, but with logarithmic crossover corrections for d = 1, while the other cases should exhibit a directed percolation transition out of a fluctuation-driven inactive phase.     

Controlled Ornstein-Uhlenbeck process with chance constraints

In Ref. 1, existence and optimality conditions were given for control systems whose dynamics are determined by a linear stochastic differential equation with linear feedback controls; moreover, the state variables satisfy probability constraints. Here, for the simplest case of such a model, the Ornstein-Uhlenbeck velocity process, we evaluate the necessary conditions derived in Ref. 1 and compute a time-optimal control such that a given threshold value > 0 is crossed with probability of at least 1 – .This work was supported by the Sonderforschungsbereiche 21 and 72, University of Bonn, Bonn, West Germany.     

The stochastic models method applied to the critical behavior of Ising lattices

The stochastic models (SM) computer simulation method for treating manybody systems in thermodynamic equilibrium is investigated. The SM method, unlike the commonly used Metropolis Monte Carlo method, is not of a relaxation type. Thus an equilibrium configuration is constructed at once by adding particles to an initiallyempty volume with the help of a model stochastic process. The probability of the equilibrium configurations is known and this permits one to estimate the entropy directly. In the present work we greatly improve the accuracy of the SM method for the two and three-dimensional Ising lattices and extend its scope to calculate fluctuations, and hence specific heat and magnetic susceptibility, in addition to average thermodynamic quantities like energy, entropy, and magnetization. The method is found to be advantageous near the critical temperature. Of special interest are the results at the critical temperature itself, where the Metropolis method seems to be impractical. At this temperature, the average thermodynamic quantities agree well with theoretical values, for both the two and three-dimensional lattices. For the two-dimensional lattice the specific heat exhibits the expected logarithmic dependence on lattice size; the dependence of the susceptibility on lattice size is also satisfactory, leading to a ratio of critical exponents/=1.85 ±0.08. For the three-dimensional lattice the dependence of the specific heat, long-range order, and susceptibility on lattice size leads to similarly satisfactory exponents:=0.12 ±0.03,=0.30 ±0.03, and=1.32 ±0.05 (assuming =2/3).