arXiv subjects
Publications and source records attributed to Jean Duchon.
We consider the one dimensional Burgers equation forced by a brownian in space and white noise in time process $\partial_t u + u \partial_x u = f(x,t)$, with $2E(f(x,t)f(y,s)) = (|x|+|y|-|x-y|)δ(t-s)$ and we show that there are Levy processes solutions, for which we give the evolution equation of the characteristic exponent. In particular we give the explicit solution in the case $u_0(x)=0$.
We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill posed problem of estimating the correlation length T of the model, we introduce a limiting object defined in a quotient space; formally, this object is an infinite range logvolatility. For this object and the non limiting object, we obtain precise prediction formulas and we apply them to the problem of forecasting volatility and pricing options with the MRW model in the absence of a reliable estimate of the average volatility and T.
For solutions of (inviscid, forceless, one dimensional) Burgers equation with random initial condition, it is heuristically shown that a stationary Feller-Markov property (with respect to the space variable) at some time is conserved at later times, and an evolution equation is derived for the infinitesimal generator. Previously known explicit solutions such as Frachebourg-Martin's (white noise initial velocity) and Carraro-Duchon's Lévy process intrinsic-statistical solutions (including Brownian initial velocity) are recovered as special cases.