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Francesco Russo

Publications and source records attributed to Francesco Russo.

At least 127 records · Page 7Linked to original sources
arXiv2010

A probabilistic algorithm approximating solutions of a singular PDE of porous media type

The object of this paper is a one-dimensional generalized porous media equation (PDE) with possibly discontinuous coefficient $β$, which is well-posed as an evolution problem in $L^1(\mathbb{R})$. In some recent papers of Blanchard et alia and Barbu et alia, the solution was represented by the solution of a non-linear stochastic differential equation in law if the initial condition is a bounded integrable function. We first extend this result, at least when $β$ is continuous and the initial condition is only integrable with some supplementary technical assumption. The main purpose of the article consists in introducing and implementing a stochastic particle algorithm to approach the solution to (PDE) which also fits in the case when $β$ is possibly irregular, to predict some long-time behavior of the solution and in comparing with some recent numerical deterministic techniques.

math.PR↗
arXiv2010

Clark-Ocone type formula for non-semimartingales with finite quadratic variation

We provide a suitable framework for the concept of finite quadratic variation for processes with values in a separable Banach space $B$ using the language of stochastic calculus via regularizations, introduced in the case $B= \R$ by the second author and P. Vallois. To a real continuous process $X$ we associate the Banach valued process $X(\cdot)$, called {\it window} process, which describes the evolution of $X$ taking into account a memory $τ>0$. The natural state space for $X(\cdot)$ is the Banach space of continuous functions on $[-τ,0]$. If $X$ is a real finite quadratic variation process, an appropriated Itô formula is presented, from which we derive a generalized Clark-Ocone formula for non-semimartingales having the same quadratic variation as Brownian motion. The representation is based on solutions of an infinite dimensional PDE.

math.PR↗
arXiv2009

Probabilistic representation for solutions of an irregular porous media type equation

We consider a porous media type equation over all of $\R^d$ with $d = 1$, with monotone discontinuous coefficients with linear growth and prove a probabilistic representation of its solution in terms of an associated microscopic diffusion. This equation is motivated by some singular behaviour arising in complex self-organized critical systems. One of the main analytic ingredients of the proof, is a new result on uniqueness of distributional solutions of a linear PDE on $\R^1$ with non-continuous coefficients.

math.PR↗
arXiv2009

Varieties with quadratic entry locus, I

Quadratic entry locus manifold of type $δ$ $X\subset\mathbb P^N$ of dimension $n\geq 1$ are smooth projective varieties such that the locus described on $X$ by the points spanning secant lines passing through a general point of the secant variety $SX\subseteq\mathbb P^N$ is a smooth quadric hypersurface of dimension $δ=2n+1-\dim(SX)$ equal to the secant defect of $X$. These manifolds appear widely and naturally among projective varieties having special geometric properties and/or extremal tangential behaviour. We prove that, letting $δ=2r_X +1\geq 3$ or $δ=2r_X+2$, then $2^{r_X}$ divides $n-δ$. This is obtained by the study of the projective geometry of the Hilbert scheme $Y_x\subset \mathbb(T_x^*)$ of lines passing through a general point $x$ of $X$, allowing an inductive procedure. The Divisibility Property described above allows unitary and simple proofs of many results on $QEL$-manifolds such as the complete classification of those of type $δ\geq n/2$, of Cremona transformation of type $(2,3)$, $(2,5)$. In particular we propose a new and very short proof of the fact that Severi varieties have dimension 2,4, 8 or 16 and also an almost self contained half page proof of their classification due to Zak.

math.AG↗
arXiv2009

Probabilistic representation for solutions of an irregular porous media type equation: the degenerate case

We consider a possibly degenerate porous media type equation over all of $\R^d$ with $d = 1$, with monotone discontinuous coefficients with linear growth and prove a probabilistic representation of its solution in terms of an associated microscopic diffusion. This equation is motivated by some singular behaviour arising in complex self-organized critical systems. The main idea consists in approximating the equation by equations with monotone non-degenerate coefficients and deriving some new analytical properties of the solution.

math.PR↗
arXiv2009

Conic-connected Manifolds

We study a particular class of rationally connected manifolds, $X\subset \p^N$, such that two general points $x,x' \in X$ may be joined by a conic contained in $X$. We prove that these manifolds are Fano, with $b_2\leq 2$. Moreover, a precise classification is obtained for $b_2=2$. Complete intersections of high dimension with respect to their multi-degree provide examples for the case $b_2=1$. The proof of the classification result uses a general characterization of rationality, in terms of suitable covering families of rational curves.

math.AG↗
arXiv2008

Varieties with quadratic entry locus, II

We continue the study, begun by the second author in math.AG/0701889, of secant defective manifolds having "simple entry loci". We prove that such manifolds are rational and describe them in terms of tangential projections. Using also our results in math.AG/0701885, their classification is reduced to the case of Fano manifolds of high index, whose Picard group is generated by the hyperplane section class. Conjecturally, the former should be linear sections of rational homogeneous manifolds. We also provide evidence that the classification of linearly normal dual defective manifolds with Picard group generated by the hyperplane section should follow along the same lines.

math.AG↗
arXiv2007

Some Parabolic Pdes Whose Drift is an Irregular Random Noise in Space

A new class of random partial differential equations of parabolic type is considered, where the stochastic term consists of an irregular noisy drift, not necessarily Gaussian, for which a suitable interpretation is provided. After freezing a realization of the drift (stochastic process), we study existence and uniqueness (in some appropriate sense) of the associated parabolic equation and a probabilistic interpretation is investigated.

math.PR↗
arXiv2007

A characterization of nef and good divisors by asymptotic multiplier ideals

A characterization of nef and good divisors is given: a divisor D on a smooth complex projective variety is nef and good if and only if the asymptotic multiplier ideals of sufficiently high multiples of e(D) D$ are trivial, where e(D) denotes the exponent of the divisor D. Some results of the same kind are proved in the analytic setting.

math.AG↗
arXiv2007

Wiener integrals, Malliavin calculus and covariance measure structure

We introduce the notion of {\em covariance measure structure} for square integrable stochastic processes. We define Wiener integral, we develop a suitable formalism for stochastic calculus of variations and we make Gaussian assumptions only when necessary. Our main examples are finite quadratric variation processes with stationary increments and the bifractional Brownian motion.

math.PR↗
arXiv2007

Nonsemimartingales: Stochastic differential equations and weak Dirichlet processes

In this paper we discuss existence and uniqueness for a one-dimensional time inhomogeneous stochastic differential equation directed by an $\mathbb{F}$-semimartingale $M$ and a finite cubic variation process $ξ$ which has the structure $Q+R$, where $Q$ is a finite quadratic variation process and $R$ is strongly predictable in some technical sense: that condition implies, in particular, that $R$ is weak Dirichlet, and it is fulfilled, for instance, when $R$ is independent of $M$. The method is based on a transformation which reduces the diffusion coefficient multiplying $ξ$ to 1. We use generalized Itô and Itô--Wentzell type formulae. A similar method allows us to discuss existence and uniqueness theorem when $ξ$ is a Hölder continuous process and $σ$ is only Hölder in space. Using an Itô formula for reversible semimartingales, we also show existence of a solution when $ξ$ is a Brownian motion and $σ$ is only continuous.

math.PR↗
arXiv2007

On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model

We study the pathwise regularity of the map $$ ϕ\mapsto I(ϕ) = \int_0^T < ϕ(X_t), dX_t>$$ where $ϕ$ is a vector function on $\R^d$ belonging to some Banach space $V$, $X$ is a stochastic process and the integral is some version of a stochastic integral defined via regularization. A \emph{stochastic current} is a continuous version of this map, seen as a random element of the topological dual of $V$. We give sufficient conditions for the current to live in some Sobolev space of distributions and we provide elements to conjecture that those are also necessary. Next we verify the sufficient conditions when the process $X$ is a $d$-dimensional fractional Brownian motion (fBm); we identify regularity in Sobolev spaces for fBm with Hurst index $H \in (1/4,1)$. Next we provide some results about general Sobolev regularity of Brownian currents. Finally we discuss applications to a model of random vortex filaments in turbulent fluids.

math.PR↗
arXiv2006

Modeling financial assets without semimartingales

This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes. The non-arbitrage property is not excluded if the class ${\cal A}$ of admissible strategies is restricted. The classical notion of martingale is replaced with the notion of ${\cal A}$-martingale. A calculus related to ${\cal A}$-martingales with some examples is developed. Some applications to the maximization of the utility of an insider are expanded.

math.PR↗
arXiv2006

Weak Dirichlet processes with a stochastic control perspective

The motivation of this paper is to prove verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term, in the case that the value function is assumed to be continuous in time and once differentiable in the space variable ($C^{0,1}$) instead of once differentiable in time and twice in space ($C^{1,2}$), like in the classical results. For this purpose, the replacement tool of the Itô formula will be the Fukushima-Dirichlet decomposition for weak Dirichlet processes. Given a fixed filtration, a weak Dirichlet process is the sum of a local martingale $M$ plus an adapted process $A$ which is orthogonal, in the sense of covariation, to any continuous local martingale. The mentioned decomposition states that a $C^{0,1}$ function of a weak Dirichlet process with finite quadratic variation is again a weak Dirichlet process. That result is established in this paper and it is applied to the strong solution of a Cauchy problem with final condition. Applications to the proof of verification theorems will be addressed in a companion paper.

math.PR↗
arXiv2006

Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition

This paper is devoted to present a method of proving verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term. The value function is assumed to be continuous in time and once differentiable in the space variable ($C^{0,1}$) instead of once differentiable in time and twice in space ($C^{1,2}$), like in the classical results. The results are obtained using a time dependent Fukushima - Dirichlet decomposition proved in a companion paper by the same authors using stochastic calculus via regularization. Applications, examples and comparison with other similar results are also given.

math.PR↗
arXiv2006

Elements of Stochastic Calculus via Regularisation

This paper first summarizes the foundations of stochastic calculus via regularization and constructs through this procedure Itô and Stratonovich integrals. In the second part, a survey and new results are presented in relation with finite quadratic variation processes, Dirichlet and weak Dirichlet processes.

math.PR↗
arXiv2004

The evolution of a random vortex filament

We study an evolution problem in the space of continuous loops in three-dimensional Euclidean space modelled upon the dynamics of vortex lines in 3d incompressible and inviscid fluids. We establish existence of a local solution starting from Hölder regular loops with index greater than 1/3. When the Hölder regularity of the initial condition X is smaller or equal 1/2 we require X to be a rough path in the sense of Lyons. The solution will then live in an appropriate space of rough paths. In particular we can construct (local) solution starting from almost every Brownian loop.

math.PR↗