Search results for " 60H10"
showing 8 items of 8 documents
Geometric rough paths on infinite dimensional spaces
2022
Similar to ordinary differential equations, rough paths and rough differential equations can be formulated in a Banach space setting. For $\alpha\in (1/3,1/2)$, we give criteria for when we can approximate Banach space-valued weakly geometric $\alpha$-rough paths by signatures of curves of bounded variation, given some tuning of the H\"older parameter. We show that these criteria are satisfied for weakly geometric rough paths on Hilbert spaces. As an application, we obtain Wong-Zakai type result for function space valued martingales using the notion of (unbounded) rough drivers.
Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
2021
Motivated by the challenge of incorporating data into misspecified and multiscale dynamical models, we study a McKean-Vlasov equation that contains the data stream as a common driving rough path. This setting allows us to prove well-posedness as well as continuity with respect to the driver in an appropriate rough-path topology. The latter property is key in our subsequent development of a robust data assimilation methodology: We establish propagation of chaos for the associated interacting particle system, which in turn is suggestive of a numerical scheme that can be viewed as an extension of the ensemble Kalman filter to a rough-path framework. Finally, we discuss a data-driven method bas…
STABILITY OF A STOCHASTICALLY PERTURBED MODEL OF INTRACELLULAR SINGLE-STRANDED RNA VIRUS REPLICATION
2019
Compared to the replication of double-stranded RNA and DNA viruses, the replication of single-stranded viruses requires the production of a number of intermediate strands that serve as templates for the synthesis of genomic-sense strands. Two theoretical extreme mechanisms for replication for such single-stranded viruses have been proposed; one extreme being represented by the so-called linear stamping machine and the opposite extreme by the exponential growth. Of course, real systems are more complex and examples have been described in which a combination of such extreme mechanisms can also occur: a fraction of the produced progeny resulting from a stamping-machine type of replication that…
Malliavin derivative of random functions and applications to L��vy driven BSDEs
2014
We consider measurable $F: ��\times \mathbb{R}^d \to \mathbb{R}$ where $F(\cdot, x)$ belongs for any $x$ to the Malliavin Sobolev space $\mathbb{D}_{1,2}$ (with respect to a L��vy process) and provide sufficient conditions on $F$ and $G_1,\ldots,G_d \in \mathbb{D}_{1,2}$ such that $F(\cdot, G_1,\ldots,G_d) \in \mathbb{D}_{1,2}.$ The above result is applied to show Malliavin differentiability of solutions to BSDEs (backward stochastic differential equations) driven by L��vy noise where the generator is given by a progressively measurable function $f(��,t,y,z).$
Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs
2021
We introduce a decoupling method on the Wiener space to define a wide class of anisotropic Besov spaces. The decoupling method is based on a general distributional approach and not restricted to the Wiener space. The class of Besov spaces we introduce contains the traditional isotropic Besov spaces obtained by the real interpolation method, but also new spaces that are designed to investigate backwards stochastic differential equations (BSDEs). As examples we discuss the Besov regularity (in the sense of our spaces) of forward diffusions and local times. It is shown that among our newly introduced Besov spaces there are spaces that characterize quantitative properties of directional derivat…
Mean square rate of convergence for random walk approximation of forward-backward SDEs
2020
AbstractLet (Y,Z) denote the solution to a forward-backward stochastic differential equation (FBSDE). If one constructs a random walk$B^n$from the underlying Brownian motionBby Skorokhod embedding, one can show$L_2$-convergence of the corresponding solutions$(Y^n,Z^n)$to$(Y, Z).$We estimate the rate of convergence based on smoothness properties, especially for a terminal condition function in$C^{2,\alpha}$. The proof relies on an approximative representation of$Z^n$and uses the concept of discretized Malliavin calculus. Moreover, we use growth and smoothness properties of the partial differential equation associated to the FBSDE, as well as of the finite difference equations associated to t…
Self-stabilizing processes: uniqueness problem for stationary measures and convergence rate in the small-noise limit
2011
In the context of self-stabilizing processes, that is processes attracted by their own law, living in a potential landscape, we investigate different properties of the invariant measures. The interaction between the process and its law leads to nonlinear stochastic differential equations. In [S. Herrmann and J. Tugaut. Electron. J. Probab. 15 (2010) 2087–2116], the authors proved that, for linear interaction and under suitable conditions, there exists a unique symmetric limit measure associated to the set of invariant measures in the small-noise limit. The aim of this study is essentially to point out that this statement leads to the existence, as the noise intensity is small, of one unique…
Additive functionals and push forward measures under Veretennikov's flow
2014
16 pages; In this work, we will be interested in the push forward measure $(\vf_t)_*\gamma$, where $\vf_t$ is defined by the stochastic differential equation \begin{equation*} d\vf_t(x)=dW_t + \ba(\vf_t(x))dt, \quad \vf_0(x)=x\in\mbR^m, \end{equation*} and $\gamma$ is the standard Gaussian measure. We will prove the existence of density under the hypothesis that the divergence $\div(\ba)$ is not a function, but a signed measure belonging to a Kato class; the density will be expressed with help of the additive functional associated to $\div(\ba)$.