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Oussama Amine

Publications and source records attributed to Oussama Amine.

4 recordsLinked to original sources

Well-posedness of the Deterministic Transport Equation with Singular Velocity Field Perturbed along Fractional Brownian Paths

In this article we prove path-by-path uniqueness in the sense of Davie \cite{Davie07} and Shaposhnikov \cite{Shaposhnikov16} for SDE's driven by a fractional Brownian motion with a Hurst parameter $H\in(0,\frac{1}{2})$, uniformly in the initial conditions, where the drift vector field is allowed to be merely bounded and measurable.\par Using this result, we construct weak unique regular solutions in $W_{loc}^{k,p}\left([0,1]\times\mathbb{R}^d\right)$, $p>d$ of the classical transport and continuity equations with singular velocity fields perturbed along fractional Brownian paths.\par The latter results provide a systematic way of producing examples of singular velocity fields, which cannot be treated by the regularity theory of DiPerna-Lyons \cite{DiPernaLions89}, Ambrosio \cite{Ambrosio04} or Crippa-De Lellis \cite{CrippaDeLellis08}.\par Our approach is based on a priori estimates at the level of flows generated by a sequence of mollified vector fields, converging to the original vector field, and which are uniform with respect to the mollification parameter. In addition, we use a compactness criterion based on Malliavin calculus from \cite{DMN92} as well as supremum concentration inequalities. \emph{keywords}: Transport equation, Compactness criterion, Singular vector fields, Regularization by noise.

math.AP

C-infinity-regularization by Noise of Singular ODE's

In this paper we construct a new type of noise of fractional nature that has a strong regularizing effect on differential equations. We consider an equation with this noise with a highly irregular coefficient. We employ a new method to prove existence and uniqueness of global strong solutions, where classical methods fail because of the "roughness" and non-Markovianity of the driving process. In addition, we prove the rather remarkable property that such solutions are infinitely many times classically differentiable with respect to the initial condition in spite of the vector field being discontinuous. The technique used in this article corresponds to the Nash-Moser principle combined with a new concept of "higher order averaging operators along highly fractal stochastic curves". This approach may provide a general principle for the study of regularization by noise effects in connection with important classes of partial differential equations.

math.FA

A Bismut-Elworthy-Li Formula for Singular SDE's Driven by a Fractional Brownian Motion and Applications to Rough Volatility Modeling

In this paper we derive a Bismut-Elworthy-Li type formula with respect to strong solutions to singular stochastic differential equations (SDE's) with additive noise given by a multi-dimensional fractional Brownian motion with Hurst parameter $H<1/2$. "Singular" here means that the drift vector field of such equations is allowed to be merely bounded and integrable. As an application we use this representation formula for the study of price sensitivities of financial claims based on a stock price model with stochastic volatility, whose dynamics is described by means of fractional Brownian motion driven SDE's. Our approach for obtaining these results is based on Malliavin calculus and arguments of a recently developed "local time variational calculus".

math.PR

Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion

In this paper we prove, for small Hurst parameters, the higher order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive multi-dimensional fractional Brownian noise, where the bounded variation part is given by the local time of the unknown solution process. The proof of this result relies on Fourier analysis based variational calculus techniques and on intrinsic properties of the fractional Brownian motion.

math.PR