arXiv subjects

Simon J. A. Malham

Publications and source records attributed to Simon J. A. Malham.

At least 19 recordsLinked to original sources

arXiv2025

The noncommutative KP hierarchy and its solution via descent algebra

We give the solution to the complete noncommutative Kadomtsev--Petviashvili (KP) hierarchy. We achieve this via direct linearisation which involves the Gelfand--Levitan--Marchenko (GLM) equation. This is a linear integral equation in which the scattering data satisfies the linearised KP hierarchy. The solution to the GLM equation is then shown to coincide with the solution to the noncommutative KP hierarchy. We achieve this using two approaches. In the first approach we use the standard Sato-Wilson dressing transformation. In the second approach, which was pioneered by Poppe, we assume the scattering data is semi-additive and by direct substitution, we show that the solution to the GLM equation satisfies the infinite set of field equations representing the noncommutative KP hierarchy. This approach relies on the augmented pre-Poppe algebra. This is a representative algebra that underlies the field equations representing the hierarchy. It is nonassociative and isomorphic to a descent algebra equipped with a grafting product. While we perform computations in the nonassociative descent algebra, the final result which establishes the solution to the complete hierarchy, resides in the natural associative subalgebra. The advantages of this second approach are that it is constructive, explicit, highlights the underlying combinatorial structures within the hierarchy, and reveals the mechanisms underlying the solution procedure.

nlin.SI↗

arXiv2024

Direct Inversion for the Squared Bessel Process and Applications

In this paper we derive a new direct inversion method to simulate squared Bessel processes. Since the transition probability of these processes can be represented by a non-central chi-square distribution, we construct an efficient and accurate algorithm to simulate non-central chi-square variables. In this method, the dimension of the squared Bessel process, equivalently the degrees of freedom of the chi-square distribution, is treated as a variable. We therefore use a two-dimensional Chebyshev expansion to approximate the inverse function of the central chi-square distribution with one variable being the degrees of freedom. The method is accurate and efficient for any value of degrees of freedom including the computationally challenging case of small values. One advantage of the method is that noncentral chi-square samples can be generated for a whole range of values of degrees of freedom using the same Chebyshev coefficients. The squared Bessel process is a building block for the well-known Cox-Ingersoll-Ross (CIR) processes, which can be generated from squared Bessel processes through time change and linear transformation. Our direct inversion method thus allows the efficient and accurate simulation of these processes, which are used as models in a wide variety of applications.

stat.CO↗

arXiv2024

Direct linearisation of the non-commutative Kadomtsev-Petviashvili equations

We prove that the non-commutative Kadomtsev-Petviashvili (KP) equation and a `lifted' modified Kadomtsev-Petviashvili (mKP) equation are directly linearisable, and thus integrable in this sense. There are several versions of the non-commutative mKP equations, including the two-dimensional generalisations of the non-commutative modified Korteweg-de Vries (mKdV) equation and its alternative form (amKdV). Herein we derive the `lifted' mKP equation, whose solutions are the natural two-dimensional extension of those for the non-commutative mKdV equation derived in Blower and Malham. We also present the log-potential form of the mKP equation, from which all of these non-commutative mKP equations can be derived. To achieve the integrability results, we construct the pre-Poppe algebra that underlies the KP and mKP equations. This is a non-commutative polynomial algebra over the real line generated by the solution (and its partial derivatives) to the linearised form of the KP and mKP equations. The algebra is endowed with a pre-Poppe product, based on the product rule for semi-additive operators pioneered by Poppe for the commutative KP equation. Integrability corresponds to establishing a particular polynomial expansion in the respective pre-Poppe algebra. We also present numerical simulations of soliton-like interactions for the non-commutative KP equation.

nlin.SI↗

arXiv2023

Coagulation, non-associative algebras and binary trees

We consider the classical Smoluchowski coagulation equation with a general frequency kernel. We show that there exists a natural deterministic solution expansion in the non-associative algebra generated by the convolution product of the coalescence term. The non-associative solution expansion is equivalently represented by binary trees. We demonstrate that the existence of such solutions corresponds to establishing the compatibility of two binary-tree generating procedures, by: (i) grafting together the roots of all pairs of order-compatibile trees at preceding orders, or (ii) attaching binary branches to all free branches of trees at the previous order. We then show that the solution represents a linearised flow, and also establish a new numerical simulation method based on truncation of the solution tree expansion and approximating the integral terms at each order by fast Fourier transform. In particular, for general separable frequency kernels, the complexity of the method is linear-loglinear in the number of spatial modes/nodes.

math.AP↗

arXiv2023

Applications of Grassmannian flows to coagulation systems

We demonstrate how many classes of Smoluchowski-type coagulation models can be realised as multiplicative Grassmannian flows and are therefore linearisable, and thus integrable in this sense. First, we prove that a general Smoluchowski-type equation with a constant frequency kernel, that encompasses a large class of such models, is realisable as a multiplicative Grassmannian flow. Second, we establish that several other related constant kernel models can also be realised as such. These include: the Gallay--Mielke coarsening model; the Derrida--Retaux depinning transition model and a general mutliple merger coagulation model. Third, we show how the additive and multiplicative frequency kernel cases can be realised as rank-one analytic Grassmannian flows.

math.AP↗

arXiv2023

The algebraic structure of the non-commutative nonlinear Schrodinger and modified Korteweg-de Vries hierarchy

We prove that each member of the non-commutative nonlinear Schrodinger and modified Korteweg--de Vries hierarchy is a Fredholm Grassmannian flow, and for the given linear dispersion relation and corresponding equivalencing group of Fredholm transformations, is unique in the class of odd-polynomial partial differential fields. Thus each member is linearisable and integrable in the sense that time-evolving solutions can be generated by solving a linear Fredholm Marchenko equation, with the scattering data solving the corresponding linear dispersion equation. At each order, each member matches the corresponding non-commutative Lax hierarchy field which thus represent odd-polynomial partial differential fields. We also show that the cubic form for the non-commutative sine--Gordon equation corresponds to the first negative order case in the hierarchy, and establish the rest of the negative order non-commutative hierarchy. To achieve this, we construct an abstract combinatorial algebra, the Poppe skew-algebra, that underlies the hierarchy. This algebra is the non-commutative polynomial algebra over the real line generated by compositions, endowed with the Poppe product -- the product rule for Hankel operators pioneered by Ch. Poppe for classical integrable systems. Establishing the hierarchy members at non-negative orders, involves proving the existence of a `Poppe polynomial' expansion for basic compositions in terms of `linear signature expansions' representing the derivatives of the underlying non-commutative field. The problem boils down to solving a linear algebraic equation for the polynomial expansion coefficients, at each order.

nlin.SI↗

arXiv2022

Applications of Grassmannian flows to integrable systems

We show how many classes of partial differential systems with local and nonlocal nonlinearities are linearisable in the sense that they are realisable as Fredholm Grassmannian flows. In other words, time-evolutionary solutions to such systems can be constructed from solutions to the corresponding underlying linear partial differential system, by solving a linear Fredholm equation. For example, it is well-known that solutions to classical integrable partial differential systems can be generated by solving a corresponding linear partial differential system for the scattering data and then solving the linear Fredholm (or Volterra) integral equation known as the Gel'fand-Levitan-Marchenko equation. In this paper and in a companion paper, Doikou et al. [DMSW:graphflows], we both, survey the classes of nonlinear systems that are realisable as Fredholm Grassmannian flows, and present new example applications of such flows. We also demonstrate the usefulness of such a representation. Herein we extend the work of Poppe and demonstrate how solution flows of the non-commutative potential Korteweg de Vries and nonlinear Schrodinger systems are examples of such Grassmannian flows. In the companion paper we use this Grassmannian flow approach as well as an extension to nonlinear graph flows, to solve Smoluchowski coagulation and related equations.

math.AP↗

arXiv2021

The non-commutative Korteweg--de Vries hierarchy and combinatorial Poppe algebra

We give a constructive proof, to all orders, that each member of the non-commutative potential Korteweg-de Vries hierarchy is a Fredholm Grassmannian flow and is therefore linearisable. Indeed we prove this for any linear combination of fields from this hierarchy. That each member of the hierarchy is linearisable, and integrable in this sense, means that the time evolving solution can be generated from the solution to the corresponding linear dispersion equation in the hierarchy, combined with solving an associated linear Fredholm equation representing the Marchenko equation. Further, we show that within the class of polynomial partial differential fields, at every order, each member of the non-commutative potential Korteweg--de Vries hierarchy is unique. Indeed, we prove to all orders, that each such member matches the non-commutative Lax hierarchy field, which is therefore a polynomial partial differential field. We achieve this by constructing the abstract combinatorial algebra that underlies the non-commutative potential Korteweg-de Vries hierarchy. This algebra is the non-commutative polynomial algebra over the real line generated by the set of all compositions endowed with the Poppe product. This product is the abstract representation of the product rule for Hankel operators pioneered by Ch. Poppe for integrable equations such as the Sine-Gordon and Korteweg-de Vries equations. Integrability of the hierarchy members translates, in the combinatorial algebra, to proving the existence of a `Poppe polynomial' expansion for basic compositions in terms of `linear signature expansions'. Proving the existence of such Poppe polynomial expansions boils down to solving a linear algebraic problem for the expansion coefficients, which we solve constructively to all orders.

nlin.SI↗

arXiv2021

Integrability of local and nonlocal non-commutative fourth order quintic nonlinear Schrodinger equations

We prove integrability of a generalised non-commutative fourth order quintic nonlinear Schrodinger equation. The proof is relatively succinct and rooted in the linearisation method pioneered by Ch. Poppe. It is based on solving the corresponding linearised partial differential system to generate an evolutionary Hankel operator for the `scattering data'. The time-evolutionary solution to the non-commutative nonlinear partial differential system is then generated by solving a linear Fredholm equation which corresponds to the Marchenko equation. The integrability of reverse space-time and reverse time nonlocal versions, in the sense of Ablowitz and Musslimani, of the fourth order quintic nonlinear Schrodinger equation are proved contiguously by the approach adopted. Further, we implement a numerical integration scheme based on the analytical approach above which involves solving the linearised partial differential system followed by numerically solving the linear Fredholm equation to generate the solution at any given time.

math.AP↗

arXiv2021

Series expansions and direct inversion for the Heston model

Efficient sampling for the conditional time integrated variance process in the Heston stochastic volatility model is key to the simulation of the stock price based on its exact distribution. We construct a new series expansion for this integral in terms of double infinite weighted sums of particular independent random variables through a change of measure and the decomposition of squared Bessel bridges. When approximated by series truncations, this representation has exponentially decaying truncation errors. We propose feasible strategies to largely reduce the implementation of the new series to simulations of simple random variables that are independent of any model parameters. We further develop direct inversion algorithms to generate samples for such random variables based on Chebyshev polynomial approximations for their inverse distribution functions. These approximations can be used under any market conditions. Thus, we establish a strong, efficient and almost exact sampling scheme for the Heston model.

q-fin.PR↗

arXiv2020

Grassmannian flows and applications to non-commutative non-local and local integrable systems

We present a method for linearising classes of matrix-valued nonlinear partial differential equations with local and nonlocal nonlinearities. Indeed we generalise a linearisation procedure originally developed by Pöppe based on solving the corresponding underlying linear partial differential equation to generate an evolutionary Hankel operator for the `scattering data', and then solving a linear Fredholm equation akin to the Marchenko equation to generate the evolutionary solution to the nonlinear partial differential system. Our generalisation involves inflating the underlying linear partial differential system for the scattering data to incorporate corresponding adjoint, reverse time or reverse space-time data, and it also allows for Hankel operators with matrix-valued kernels. With this approach we show how to linearise the matrix nonlinear Schrödinger and modified Korteweg de Vries equations as well as nonlocal reverse time and/or reverse space-time versions of these systems. Further, we formulate a unified linearisation procedure that incorporates all these systems as special cases. Further still, we demonstrate all such systems are example Fredholm Grassmannian flows.

math.AP↗

arXiv2020

Time evolution in quantum systems and stochastics

The time evolution problem for non-self adjoint second order differential operators is studied by means of the path integral formulation. Explicit computation of the path integral via the use of certain underlying stochastic differential equations, which naturally emerge when computing the path integral, leads to a universal expression for the associated measure regardless of the form of the differential operators. The discrete non-linear hierarchy (DNLS) is then considered and the corresponding hierarchy of solvable, in principle, SDEs is extracted. The first couple members of the hierarchy correspond to the discrete stochastic transport and heat equations. The discrete stochastic Burgers equation is also obtained through the analogue of the Cole-Hopf transformation. The continuum limit is also discussed.

math-ph↗

arXiv2019

Stochastic analysis & discrete quantum systems

We explore the connections between the theories of stochastic analysis and discrete quantum mechanical systems. Naturally these connections include the Feynman-Kac formula, and the Cameron-Martin-Girsanov theorem. More precisely, the notion of the quantum canonical transformation is employed for computing the time propagator, in the case of generic dynamical diffusion coefficients. Explicit computation of the path integral leads to a universal expression for the associated measure regardless of the form of the diffusion coefficient and the drift. This computation also reveals that the drift plays the role of a super potential in the usual super-symmetric quantum mechanics sense. Some simple illustrative examples such as the Ornstein-Uhlenbeck process and the multidimensional Black-Scholes model are also discussed. Basic examples of quantum integrable systems such as the quantum discrete non-linear hierarchy (DNLS) and the XXZ spin chain are presented providing specific connections between quantum (integrable) systems and stochastic differential equations (SDEs). The continuum limits of the SDEs for the first two members of the NLS hierarchy turn out to be the stochastic transport and the stochastic heat equations respectively. The quantum Darboux matrix for the discrete NLS is also computed as a defect matrix and the relevant SDEs are derived.

math-ph↗

arXiv2018

Algebraic Structures and Stochastic Differential Equations driven by Levy processes

We construct an efficient integrator for stochastic differential systems driven by Levy processes. An efficient integrator is a strong approximation that is more accurate than the corresponding stochastic Taylor approximation, to all orders and independent of the governing vector fields. This holds provided the driving processes possess moments of all orders and the vector fields are sufficiently smooth. Moreover the efficient integrator in question is optimal within a broad class of perturbations for half-integer global root mean-square orders of convergence. We obtain these results using the quasi-shuffle algebra of multiple iterated integrals of independent Levy processes.

math.PR↗

arXiv2018

Grassmannian flows and applications to nonlinear partial differential equations

We show how solutions to a large class of partial differential equations with nonlocal Riccati-type nonlinearities can be generated from the corresponding linearized equations, from arbitrary initial data. It is well known that evolutionary matrix Riccati equations can be generated by projecting linear evolutionary flows on a Stiefel manifold onto a coordinate chart of the underlying Grassmann manifold. Our method relies on extending this idea to the infinite dimensional case. The key is an integral equation analogous to the Marchenko equation in integrable systems, that represents the coodinate chart map. We show explicitly how to generate such solutions to scalar partial differential equations of arbitrary order with nonlocal quadratic nonlinearities using our approach. We provide numerical simulations that demonstrate the generation of solutions to Fisher--Kolmogorov--Petrovskii--Piskunov equations with nonlocal nonlinearities. We also indicate how the method might extend to more general classes of nonlinear partial differential systems.

math.AP↗

arXiv2018

Partial differential systems with nonlocal nonlinearities: Generation and solutions

We develop a method for generating solutions to large classes of evolutionary partial differential systems with nonlocal nonlinearities. For arbitrary initial data, the solutions are generated from the corresponding linearized equations. The key is a Fredholm integral equation relating the linearized flow to an auxiliary linear flow. It is analogous to the Marchenko integral equation in integrable systems. We show explicitly how this can be achieved through several examples including reaction-diffusion systems with nonlocal quadratic nonlinearities and the nonlinear Schrodinger equation with a nonlocal cubic nonlinearity. In each case we demonstrate our approach with numerical simulations. We discuss the effectiveness of our approach and how it might be extended.

math.AP↗

arXiv2015

The exponential Lie series for continuous semimartingales

We consider stochastic differential systems driven by continuous semimartingales and governed by non-commuting vector fields. We prove that the logarithm of the flowmap is an exponential Lie series. This relies on a natural change of basis to vector fields for the associated quadratic covariation processes, analogous to Stratonovich corrections. The flowmap can then be expanded as a series in compositional powers of vector fields and the logaritm of the flowmap can thus be expanded in the Lie algebra of vector fields. Further, we give a direct self-contained proof of the corresponding Chen-Strichartz formula which provides an explicit formula for the Lie series coefficients. Such exponential Lie series are important in the development of strong Lie group integration schemes that ensure approximate solutions themselves lie in any homogeneous manifold on which the solution evolves.

math.PR↗

arXiv2015

Flows and stochastic Taylor series in Ito calculus

For stochastic systems driven by continuous semimartingales an explicit formula for the logarithm of the Ito flow map is given. A similar formula is also obtained for solutions of linear matrix-valued SDEs driven by arbitrary semimartingales. The computation relies on the lift to quasi-shuffle algebras of formulas involving products of Ito integrals of semimartingales. Whereas the Chen-Strichartz formula computing the logarithm of the Stratonovich flow map is classically expanded as a formal sum indexed by permutations, the analogous formula in Ito calculus is naturally indexed by surjections. This reflects the change of algebraic background involved in the transition between the two integration theories.

math.PR↗