Search results for " Stochastic differential equations"
showing 10 items of 15 documents
Stochastic models for phytoplankton dynamics in Mediterranean Sea
2016
Abstract In this paper, we review some results obtained from three one-dimensional stochastic models, which were used to analyze picophytoplankton dynamics in two sites of the Mediterranean Sea. Firstly, we present a stochastic advection–reaction–diffusion model to describe the vertical spatial distribution of picoeukaryotes in a site of the Sicily Channel. The second model, which is an extended version of the first one, is used to obtain the vertical stationary profiles of two groups of picophytoplankton, i.e. Pelagophytes and Prochlorococcus, in the same marine site as in the previous case. Here, we include intraspecific competition of picophytoplanktonic groups for limiting factors, i.e.…
Quadratic backward stochastic differential equations
2017
Tässä tutkielmassa analysoimme takaperoisia stokastisia differentiaaliyhtälöitä. Aloitamme esittelemällä stokastiset prosessit, Brownin liikkeen, stokastiset integraalit ja Itôn kaavan. Tämän jälkeen siirrymme tarkastelemaan stokastisia differentiaaliyhtälöitä ja lopulta takaperoisia stokastisia differentiaaliyhtälöitä. Tämän tutkielman pääaiheena on takaperoiset stokastiset differentiaaliyhtälöt kvadraattisilla oletuksilla. Näillä oletuksilla todistamme olemassaoloteoreeman ja tietyt säännöllisyysehdot takaperoisen stokastisen differentiaaliyhtälön ratkaisulle. In this thesis, we analyze backward stochastic differential equations. We begin by introducing stochastic processes, Brownian moti…
How diffusivity, thermocline and incident light intensity modulate the dynamics of Deep Chlorophyll Maximum in Tyrrhenian Sea
2015
During the last few years theoretical works have shed new light and proposed new hypotheses on the mechanisms which regulate the spatio-temporal behaviour of phytoplankton communities in marine pelagic ecosystems. Despite this, relevant physical and biological issues, such as effects of the time- dependent mixing in the upper layer, competition between groups, and dynamics of non-stationary deep chlorophyll maxima, are still open questions. In this work, we analyze the spatio-temporal behaviour of five phytoplankton populations in a real marine ecosystem by using a one-dimensional reaction-diffusion-taxis model. The study is performed, taking into account the seasonal variations of environm…
Dynamics of Two Picophytoplankton Groups in Mediterranean Sea: Analysis of the Deep Chlorophyll Maximum by a Stochastic Advection-Reaction-Diffusion …
2013
A stochastic advection-reaction-diffusion model with terms of multiplicative white Gaussian noise, valid for weakly mixed waters, is studied to obtain the vertical stationary spatial distributions of two groups of picophytoplankton, i.e., picoeukaryotes and Prochlorococcus, which account about for 60% of total chlorophyll on average in Mediterranean Sea. By numerically solving the equations of the model, we analyze the one-dimensional spatio-temporal dynamics of the total picophytoplankton biomass and nutrient concentration along the water column at different depths. In particular, we integrate the equations over a time interval long enough, obtaining the steady spatial distributions for th…
STOCHASTIC DYNAMICS OF TWO PICOPHYTOPLANKTON POPULATIONS IN A REAL MARINE ECOSYSTEM
2013
A stochastic reaction-diffusion-taxis model is analyzed to get the stationary distribution along water column of two species of picophytoplankton, that is picoeukaryotes and Prochlorococcus. The model is valid for weakly mixed waters, typical of the Mediterranean Sea. External random fluctuations are considered by adding a multiplicative Gaussian noise to the dynamical equation of the nutrient concentration. The statistical tests show that shape and magnitude of the theoretical concentration profile exhibit a good agreement with the experimental findings. Finally, we study the effects of seasonal variations on picophytoplankton groups, including an oscillating term in the auxiliary equation…
Stochastic models for phytoplankton dynamics in marine ecosystems
2014
In this thesis, the stochastic advection-reaction-diffusion models are analyzed to obtain the vertical stationary spatial distributions of the main groups of picophytoplankton, which account about for 80% of total chlorophyll on average in Mediterranean Sea. In Chapter 1 we give a short presentation of the experimental and phytoplanktonic data collected during different oceanographic surveys in Mediterranean Sea. In Chapter 2 we introduce the deterministic and stochastic approaches (one-population model) adopted to describe the picoeukaryotes dynamics in Sicily Channel. Moreover, numerical results for the biomass concentration are compared with experimental data by using chi-squared goodnes…
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…
$L_2$-variation of L\'{e}vy driven BSDEs with non-smooth terminal conditions
2016
We consider the $L_2$-regularity of solutions to backward stochastic differential equations (BSDEs) with Lipschitz generators driven by a Brownian motion and a Poisson random measure associated with a L\'{e}vy process $(X_t)_{t\in[0,T]}$. The terminal condition may be a Borel function of finitely many increments of the L\'{e}vy process which is not necessarily Lipschitz but only satisfies a fractional smoothness condition. The results are obtained by investigating how the special structure appearing in the chaos expansion of the terminal condition is inherited by the solution to the BSDE.
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…
Simulation of BSDEs with jumps by Wiener Chaos Expansion
2016
International audience; We present an algorithm to solve BSDEs with jumps based on Wiener Chaos Expansion and Picard's iterations. This paper extends the results given in Briand-Labart (2014) to the case of BSDEs with jumps. We get a forward scheme where the conditional expectations are easily computed thanks to chaos decomposition formulas. Concerning the error, we derive explicit bounds with respect to the number of chaos, the discretization time step and the number of Monte Carlo simulations. We also present numerical experiments. We obtain very encouraging results in terms of speed and accuracy.