Search results for "stochastic differential equations"

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…

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.

Convergence rate of the Euler scheme for diffusion processes

2006

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 0-dimensional Biogeochemical Flux Model: Effect of temperature fluctuations on the dynamics of the biogeochemical properties in a marine e…

2021

Abstract We present a new stochastic model, based on a 0-dimensional version of the well known biogeochemical flux model (BFM), which allows to take into account the temperature random fluctuations present in natural systems and therefore to describe more realistically the dynamics of real marine ecosystems. The study presents a detailed analysis of the effects of randomly varying temperature on the lower trophic levels of the food web and ocean biogeochemical processes. More in detail, the temperature is described as a stochastic process driven by an additive self-correlated Gaussian noise. Varying both correlation time and intensity of the noise source, the predominance of different plank…

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

Decoupling on the Wiener space and variational estimates for BSDEs

2015

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 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…

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…