Search results for "equation"
showing 10 items of 4219 documents
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.
Newton algorithm for Hamiltonian characterization in quantum control
2014
We propose a Newton algorithm to characterize the Hamiltonian of a quantum system interacting with a given laser field. The algorithm is based on the assumption that the evolution operator of the system is perfectly known at a fixed time. The computational scheme uses the Crank-Nicholson approximation to explicitly determine the derivatives of the propagator with respect to the Hamiltonians of the system. In order to globalize this algorithm, we use a continuation method that improves its convergence properties. This technique is applied to a two-level quantum system and to a molecular one with a double-well potential. The numerical tests show that accurate estimates of the unknown paramete…
Donsker-Type Theorem for BSDEs: Rate of Convergence
2019
In this paper, we study in the Markovian case the rate of convergence in Wasserstein distance when the solution to a BSDE is approximated by a solution to a BSDE driven by a scaled random walk as introduced in Briand, Delyon and Mémin (Electron. Commun. Probab. 6 (2001) Art. ID 1). This is related to the approximation of solutions to semilinear second order parabolic PDEs by solutions to their associated finite difference schemes and the speed of convergence. peerReviewed
Role of the noise on the transient dynamics of an ecosystem of interacting species
2002
Abstract We analyze the transient dynamics of an ecosystem described by generalized Lotka–Volterra equations in the presence of a multiplicative noise and a random interaction parameter between the species. We consider specifically three cases: (i) two competing species, (ii) three interacting species (one predator–two preys), (iii) n-interacting species. The interaction parameter in case (i) is a stochastic process which obeys a stochastic differential equation. We find noise delayed extinction of one of two species, which is akin to the noise-enhanced stability phenomenon. Other two noise-induced effects found are temporal oscillations and spatial patterns of the two competing species. In…
Fourth Moments and Independent Component Analysis
2015
In independent component analysis it is assumed that the components of the observed random vector are linear combinations of latent independent random variables, and the aim is then to find an estimate for a transformation matrix back to these independent components. In the engineering literature, there are several traditional estimation procedures based on the use of fourth moments, such as FOBI (fourth order blind identification), JADE (joint approximate diagonalization of eigenmatrices), and FastICA, but the statistical properties of these estimates are not well known. In this paper various independent component functionals based on the fourth moments are discussed in detail, starting wi…
Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver
2019
We investigate conditions for solvability and Malliavin differentiability of backward stochastic differential equations driven by a L\'evy process. In particular, we are interested in generators which satisfy a locally Lipschitz condition in the $Z$ and $U$ variable. This includes settings of linear, quadratic and exponential growths in those variables. Extending an idea of Cheridito and Nam to the jump setting and applying comparison theorems for L\'evy-driven BSDEs, we show existence, uniqueness, boundedness and Malliavin differentiability of a solution. The pivotal assumption to obtain these results is a boundedness condition on the terminal value $\xi$ and its Malliavin derivative $D\xi…
Random walk approximation of BSDEs with H{\"o}lder continuous terminal condition
2018
In this paper, we consider the random walk approximation of the solution of a Markovian BSDE whose terminal condition is a locally Hölder continuous function of the Brownian motion. We state the rate of the L2-convergence of the approximated solution to the true one. The proof relies in part on growth and smoothness properties of the solution u of the associated PDE. Here we improve existing results by showing some properties of the second derivative of u in space. peerReviewed
Riemann-Type Definition of the Improper Integrals
2004
Riemann-type definitions of the Riemann improper integral and of the Lebesgue improper integral are obtained from McShane's definition of the Lebesgue integral by imposing a Kurzweil-Henstock's condition on McShane's partitions.
Steady-state dynamic response of various hysteretic systems endowed with fractional derivative elements
2019
In this paper, the steady-state dynamic response of hysteretic oscillators comprising fractional derivative elements and subjected to harmonic excitation is examined. Notably, this problem may arise in several circumstances, as for instance, when structures which inherently exhibit hysteretic behavior are supplemented with dampers or isolators often modeled by employing fractional terms. The amplitude of the steady-state response is determined analytically by using an equivalent linearization approach. The procedure yields an equivalent linear system with stiffness and damping coefficients which are related to the amplitude of the response, but also, to the order of the fractional derivativ…
A finite-difference method for numerical solution of the steady-state nernst—planck equations with non-zero convection and electric current density
1986
Abstract A computer algorithm has been developed for digital simulation of ionic transport through membranes obeying the Nernst—Planck and Poisson equations. The method of computation is quite general and allows the treatment of steady-state electrodiffusion equations for multiionic environments, the ionic species having arbitrary valences and mobilities, when convection and electric current are involved. The procedure provides a great flexibility in the choice of suitable boundary conditions and avoids numerical instabilities which are so frequent in numerical methods. Numerical results for concentration and electric potential gradient profiles are presented in the particular case of the t…