arXiv subjects

Knut Solna

Publications and source records attributed to Knut Solna.

25 records · Page 2Linked to original sources

arXiv2017

Correction to Black-Scholes formula due to fractional stochastic volatility

Empirical studies show that the volatility may exhibit correlations that decay as a fractional power of the time offset. The paper presents a rigorous analysis for the case when the stationary stochastic volatility model is constructed in terms of a fractional Ornstein Uhlenbeck process to have such correlations. It is shown how the associated implied volatility has a term structure that is a function of maturity to a fractional power.

q-fin.MF↗

arXiv2016

Focusing Waves Through a Randomly Scattering Medium in the White-Noise Paraxial Regime

When waves propagate through a complex or heterogeneous medium the wave field is corrupted by the heterogeneities. Such corruption limits the performance of imaging or communication schemes. One may then ask the question: is there an optimal way of encoding a signal so as to counteract the corruption by the medium? In the ideal situation the answer is given by time reversal: for a given target or focusing point, in a first step let the target emit a signal and then record the signal transmitted to the source antenna, time reverse this and use it as the source trace at the source antenna in a second step. This source will give a sharply focused wave at the target location if the source aperture is large enough. Here we address this scheme in the more practical situation with a limited aperture, time-harmonic signal, and finite-sized elements in the source array. Central questions are then the focusing resolution and signal-to-noise ratio at the target, their dependence on the physical parameters, and the capacity to focus selectively in the neighborhood of the target point and therefore to transmit images. Sharp results are presented for these questions.

math.AP↗

arXiv2016

Pulse propagation in time dependent randomly layered media

We study cumulative scattering effects on wave front propagation in time dependent randomly layered media. It is well known that the wave front has a deterministic characterization in time independent media, aside from a small random shift in the travel time. That is, the pulse shape is predictable, but faded and smeared as described mathematically by a convolution kernel determined by the autocorrelation of the random fluctuations of the wave speed. The main result of this paper is the extension of the pulse stabilization results to time dependent randomly layered media. When the media change slowly, on time scales that are longer than the pulse width and the time it takes the waves to traverse a correlation length, the pulse is not affected by the time fluctuations. In rapidly changing media, where these time scales are similar, both the pulse shape and the random component of the arrival time are affected by the statistics of the time fluctuations of the wave speed. We obtain an integral equation for the wave front, that is more complicated than in time independent media, and cannot be solved analytically, in general. We also give examples of media where the equation simplifies, and the wave front can be analyzed explicitly. We illustrate with these examples how the time fluctuations feed energy into the pulse.

math.AP↗

arXiv2015

Fourth-moment Analysis for Wave Propagation in the White-Noise Paraxial Regime

In this paper we consider the Ito-Schrodinger model for wave propagation in random media in the paraxial regime. We solve the equation for the fourth-order moment of the field in the regime where the correlation length of the medium is smaller than the initial beam width. As applications we prove that the centered fourth-order moments of the field satisfy the Gaussian summation rule, we derive the covariance function of the intensity of the transmitted beam, and the variance of the smoothed Wigner transform of the transmitted field. The second application is used to explicitly quantify the scintillation of the transmitted beam and the third application to quantify the statistical stability of the Wigner transform.

math.AP↗

arXiv2005

Superresolution and Duality for Time-Reversal of Waves in Self-Similar Media

We analyze the time reversal of waves in a turbulent medium using the parabolic Markovian model. We prove that the time reversal resolution can be a nonlinear function of the wavelength and independent of the aperture. We establish a duality relation between the turbulence-induced wave spread and the time-reversal resolution which can be viewed as an uncertainty inequality for random media. The inequality becomes an equality when the wave structure function is Gaussian.

physics.optics↗

arXiv2004

Scaling Limits for Beam Wave Propagation in Atmospheric Turbulence

We prove the convergence of the solutions of the parabolic wave equation to that of the Gaussian white-noise model widely used in the physical literature. The random medium is isotropic and is assumed to have integrable correlation coefficient in the propagation direction. We discuss the limits of vanishing inner scale and divergent outer scale of the turbulent medium.

math-ph↗

arXiv2002

Statistical stability in time reversal

When a signal is emitted from a source, recorded by an array of transducers, time reversed and re-emitted into the medium, it will refocus approximately on the source location. We analyze the refocusing resolution in a high frequency, remote sensing regime, and show that, because of multiple scattering, in an inhomogeneous or random medium it can improve beyond the diffraction limit. We also show that the back-propagated signal from a spatially localized narrow-band source is self-averaging, or statistically stable, and relate this to the self-averaging properties of functionals of the Wigner distribution in phase space. Time reversal from spatially distributed sources is self-averaging only for broad-band signals. The array of transducers operates in a remote-sensing regime so we analyze time reversal with the parabolic or paraxial wave equation.

cond-mat.dis-nn↗