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Laurent Denis

Publications and source records attributed to Laurent Denis.

18 recordsLinked to original sources

Stochastic PDEs driven by G-Brownian motion and the associated Backward Doubly Stochastic Differential Equations

Our aim is to study the well-posedness of quasilinear stochastic partial differential equations driven by G-Brownian motion (GSPDEs for short) and the associated backward doubly stochastic differential equations (GBDSDEs for short). We first prove the existence and uniqueness of weak solution to GSPDEs by analytical approach, and then solve the corresponding GBDSDEs. Finally, the relation between GSPDEs and GBDSDEs is established.

math.PR

Malliavin calculcus for a Hawkes process

We develop a Malliavin calculus for nonlinear Hawkes processes in the sense of Carlen and Pardoux. This approach, based on perturbations of the jump times of the process, enables the construction of a local Dirichlet form. As an application, we establish criteria for the absolute continuity of solutions to stochastic differential equations driven by Hawkes processes. We also derive sensitivity formulas for the valuation of financial derivatives with respect to model parameters.

math.PR

Malliavin derivative and sensitivity for optimal liquidation

We prove that the solution of the backward stochastic differential equation with terminal singularity has a Malliavin derivative, which is the limit of the derivative of the approximating sequence. We also provide the asymptotic behavior of this derivative close to the terminal time. We apply this result to the regularity of the related partial differential equation and to the sensitivity of the liquidation problem.

math.PR

Spectral Analysis of Solar Radio Type III Bursts from 20 kHz to 410 MHz

We present the statistical analysis of the spectral response of solar radio type III bursts over the wide frequency range between 20 kHz and 410 MHz. For this purpose, we have used observations that were carried out using both spaced-based (Wind/Waves) and ground-based (Nançay Decameter Array and Nançay Radioheliograph) facilities. In order to compare the flux densities observed by the different instruments, we have carefully calibrated the data and displayed them in Solar Flux Units. The main result of our study is that type III bursts, in the metric to hectometric wavelength range, statistically exhibit a clear maximum of their median radio flux density around 2 MHz. Although this result was already reported by inspecting the spectral profiles of type III bursts in the frequency range 20 kHz - 20 MHz, our study extends such analysis for the first time to metric radio frequencies (i.e., from 20 kHz to 410 MHz) and confirms the maximum spectral response around 2 MHz. In addition, using a simple empirical model we show that the median radio flux $S$ of the studied dataset obeys the polynomial form $Y = 0.04 X^3 - 1.63 X^2 + 16.30 X -41.24$, with $X=\ln{(F_\text{MHz})}$ and with $Y=\ln{(S_\text{SFU})}$. Using the Sittler and Guhathakurtha model for coronal streamers \citep{Sit1999}, we have found that maximum of radio power falls therefore in the range 4 to 10 $R_{\odot}$, depending on whether the type III emissions are assumed to be at the fundamental or the harmonic.

astro-ph.SR

Quasilinear Stochastic PDEs with two obstacles: Probabilistic approach

We prove an existence and uniqueness result for two-obstacle problem for quasilinear Stochastic PDEs (DOSPDEs for short). The method is based on the probabilistic interpretation of the solution by using the backward doubly stochastic differential equations (BDSDEs for short).

math.PR

Digitizing analogic spectrograms recorded by the Nançay Decameter Array on 35 mm film rolls from 1970 to 1990

The Nançay Decameter Array (NDA), which has now passed 40 years old, acquires daily observations of Jovian and Solar low frequency radio emissions over a continuous spectrum ranging from 10 up to 100MHz, forming the largest database of LW radio observations of these two bodies. It also intermittently observed intense radio sources since its opening in 1977. Before that date, decametric observations were conducted on the same site with an interferometer formed of a pair of log-periodic Yagi antennas mounted on mobile booms. These observations have been recorded with a series of analogic recorders (before 1990) and then digital receivers (after 1990), with increasing performances and sensitivities. The NDA scientific team recently retrieved and inventoried the archives of analogic data (35mm film rolls) covering two decades (1970 to 1990). We now plan to digitize those observations, in order to recover their scientific value and to include them into the currently operational database covering a time span starting in 1990 up to now, still adding new files every day. This modern and interoperable database has virtual observatory interfaces. It is a required element to foster scientific data exploitation, including Jovian and Solar data analysis over long timescales. We present the status of this project.

astro-ph.IM

MASER: A Science Ready Toolbox for Low Frequency Radio Astronomy

MASER (Measurements, Analysis, and Simulation of Emission in the Radio range) is a comprehensive infrastructure dedicated to time-dependent low frequency radio astronomy (up to about 50 MHz). The main radio sources observed in this spectral range are the Sun, the magnetized planets (Earth, Jupiter, Saturn), and our Galaxy, which are observed either from ground or space. Ground observatories can capture high resolution data streams with a high sensitivity. Conversely, space-borne instruments can observe below the ionospheric cut-off (at about 10 MHz) and can be placed closer to the studied object. Several tools have been developed in the last decade for sharing space physics data. Data visualization tools developed by various institutes are available to share, display and analyse space physics time series and spectrograms. The MASER team has selected a sub-set of those tools and applied them to low frequency radio astronomy. MASER also includes a Python software library for reading raw data from agency archives.

astro-ph.IM

The obstacle problem for quasilinear stochastic PDEs: Analytical approach

We prove an existence and uniqueness result for quasilinear Stochastic PDEs with obstacle (OSPDE in short). Our method is based on analytical technics coming from the parabolic potential theory. The solution is expressed as a pair $(u,ν)$ where $u$ is a predictable continuous process which takes values in a proper Sobolev space and $ν$ is a random regular measure satisfying the minimal Skohorod condition.

math.PR

Drichlet forms for Poisson measures and Lévy processes : the lent particle method

We present a new approach to absolute continuity of laws of Poisson functionals. The theoretical framework is that of local Dirichlet forms as a tool to study probability spaces. The method gives rise to a new explicit calculus that we show first on some simple examples : it consists in adding a particle and taking it back after computing the gradient. Then we apply it to SDE's driven by Poisson measure.

math.PR

Iteration of the lent particle method for existence of smooth densities of Poisson functionals

In previous works we have introduced a new method called the lent particle method which is an efficient tool to establish existence of densities for Poisson functionals. We now go further and iterate this method in order to prove smoothness of densities. More precisely, we construct Sobolev spaces of any order and prove a Malliavin-type criterion of existence of smooth density. We apply this approach to SDE's driven by Poisson random measures and also present some non-trivial examples to which our method applies.

math.PR

Maximum principle for quasilinear SPDE's on a bounded domain without regularity assumptions

We prove a maximum principle for local solutions of quasi-linear parabolic stochastic PDEs, with non-homogeneous second order operator on a bounded domain and driven by a space-time white noise. Our method based on an approximation of the domain and the coefficients of the operator, does not require regularity assumptions. As in previous works, the results are consequences of Itô's formula and estimates for the positive part of local solutions which are non-positive on the lateral boundary.

math.PR

Chaotic extensions and the lent particle method for Brownian motion

In previous works, we have developed a new Malliavin calculus on the Poisson space based on the lent particle formula. The aim of this work is to prove that, on the Wiener space for the standard Ornstein-Uhlenbeck structure, we also have such a formula which permits to calculate easily and intuitively the Malliavin derivative of a functional. Our approach uses chaos extensions associated to stationary processes of rotations of normal martingales.

math.PR

Function spaces and capacity related to a Sublinear Expectation: application to G-Brownian Motion Pathes

In this paper we give some basic and important properties of several typical Banach spaces of functions of $G$-Brownian motion pathes induced by a sublinear expectation--G-expectation. Many results can be also applied to more general situations. A generalized version of Kolmogorov's criterion for continuous modification of a stochastic process is also obtained. The results can be applied to continuous time dynamic and coherent risk measures in finance in particular for path-dependence risky positions under situations of volatility model uncertainty.

math.PR

Application of the lent particle method to Poisson driven SDE's

We apply the Dirichlet forms version of Malliavin calculus to stochastic differential equations with jumps. As in the continuous case this weakens significantly the assumptions on the coefficients of the SDE. In spite of the use of the Dirichlet forms theory, this approach brings also an important simplification which was not available nor visible previously : an explicit formula giving the carré du champ matrix, i.e. the Malliavin matrix. Following this formula a new procedure appears, called the lent particle method which shortens the computations both theoretically and in concrete examples.

math.PR

A theoretical framework for the pricing of contingent claims in the presence of model uncertainty

The aim of this work is to evaluate the cheapest superreplication price of a general (possibly path-dependent) European contingent claim in a context where the model is uncertain. This setting is a generalization of the uncertain volatility model (UVM) introduced in by Avellaneda, Levy and Paras. The uncertainty is specified by a family of martingale probability measures which may not be dominated. We obtain a partial characterization result and a full characterization which extends Avellaneda, Levy and Paras results in the UVM case.

math.PR