arXiv subjects
Publications and source records attributed to Paul Lescot.
In this article, we introduce the concept of admitted Lie group of transformations for both backward stochastic differential equations (BSDEs) and forward backward stochastic differential equations (FBSDEs), following the approach of Meleshko et al. An application to BSDE is presented.
We examine the Lie symmetries of a semi-linear partial differential equations and their connections to the analogous symmetries of the forward-backward stochastic differential equations (FBSDEs), established through the generalized Feynman-Kac formula.
The aim of this work is to use systematically the symmetries of the (one dimensional) bacward heat equation with potentiel in order to solve certain one dimensional Itô's stochastic differential equations. The special form of the drift (suggested by quantum mechanical considerations) gives, indeed, access to an algebrico-geometric method due, in essence, to E.Cartan, and called the Method of Isovectors. A V singular at the origin, as well as a one-factor affine model relevant to stochastic finance, are considered as illustrations of the method.
Let B1 denote the set {0,1} with the usual operations except that $1+1=1$, in other words, the smallest characteristic 1 semifield . We compare two possible analogues of the notion of prime ideal for B1--algebras. We then consider the relations between these notions and Deitmar's theory of F1--schemes.
We study zero divisors and minimal prime ideals in semirings of characteristic one. Thereafter we find a counterexample to the most obvious version of primary decomposition, but are able to establish a weaker version. Lastly, we study Evans'condition in this context.
For a finite group $G$, let $d(G)$ denote the probability that a randomly chosen pair of elements of $G$ commute. We prove that if $d(G)>1/s$ for some integer $s>1$ and $G$ splits over an abelian normal nontrivial subgroup $N$, then $G$ has a nontrivial conjugacy class inside $N$ of size at most $s-1$. We also extend two results of Barry, MacHale, and N\'ı Shé on the commuting probability in connection with supersolvability of finite groups. In particular, we prove that if $d(G)>5/16$ then either $G$ is supersolvable, or $G$ isoclinic to $A_4$, or $G/\Center(G)$ is isoclinic to $A_4$.
We determine the algebra of isovectors for the Black--Scholes equation. As a consequence, we obtain some previously unknown families of transformations on the solutions.
We give an exposition, following joint works with J.-C. Zambrini, of the link between Euclidean Quantum Mechanics, Bernstein processes and isovectors for the heat equation. A new application to Mathematical Finance is then discussed.
Bernstein processes are Brownian diffusions that appear in Euclidean Quantum Mechanics. Knowledge of the symmetries of the Hamilton-Jacobi-Bellman equation associated with these processes allows one to obtain relations between stochastic processes (Lescot-Zambrini, Progress in Probability, vols 58 and 59). More recently it has appeared that each one--factor affine interest rate model (in the sense of Leblanc-Scaillet) could be described using such a Bernstein process.
We give an exposition of Zhu's theory concerning a formal analogue of the field Fp, "for p = 1", and then compare it to Deitmar's.-- Nous exposons la théorie de Zhu concernant un analogue formel du corps Fp "pour p = 1", et la comparons à celle de Deitmar.