arXiv subjects
Publications and source records attributed to Stefan Tappe.
The goal of these notes is to provide an introduction to rough partial differential equations. For this purpose, we will present the theory of rough paths to the extend as it is required. Applications to stochastic partial differential equations are presented as well.
We establish necessary and sufficient conditions for stochastic invariance of closed subsets in Hilbert spaces for solutions to infinite-dimensional stochastic differential equations (SDEs) under mild assumptions on the coefficients. Our first characterization is formulated in terms of certain normal vectors to the invariance set and requires differentiability only of the dispersion operator, but not of the diffusion coefficient itself. The condition involves a suitable corrected drift expressed through the dispersion operator and its Moore-Penrose pseudoinverse, extending the classical Stratonovich correction term to the present low-regularity setting. Our second characterization is given in terms of the positive maximum principle for the infinitesimal generator of the associated diffusion process. We illustrate our characterizations in the case of invariant manifolds.
We extend deterministic port-Hamiltonian systems (PHS) to a stochastic framework by means of stochastic differential equations. As the dissipation inequality plays a crucial role for deterministic PHS, we develop several passivity concepts for stochastic input-state-output systems and characterize these in terms of the parameters of the system. Afterwards, we examine properties of a certain class of linear stochastic systems that can be regarded as an extension of linear deterministic PHS to a stochastic passivity framework.
Pseudodifferential parabolic equations with an operator square root arise in wave propagation problems as a one-way counterpart of the Helmholtz equation. The expression under the square root usually involves a differential operator and a known function. We discuss a rigorous definition of such operator square roots and show well-posedness of the pseudodifferential parabolic equation by using the theory of strongly continuous semigroups. This provides a justification for a family of widely-used numerical methods for wavefield simulations in various areas of physics.
We develop a unified framework for modeling multiple term structures arising in financial, insurance, and energy markets, adopting an extended Heath-Jarrow-Morton (HJM) approach under the real-world probability. We study market viability and characterize the set of local martingale deflators. We conduct an analysis of the associated stochastic partial differential equation (SPDE), addressing existence and uniqueness of solutions, invariance properties and existence of affine realizations.
In this paper we provide necessary and sufficient conditions for invariance of finite dimensional submanifolds for rough differential equations (RDEs) with values in a Banach space. Furthermore, we apply our findings to the particular situation of random RDEs driven by $Q$-Wiener processes and random RDEs driven by $Q$-fractional Brownian motion.
We provide an existence and uniqueness result for mild solutions to rough partial differential equations in the framework of the semigroup approach. Applications to stochastic partial differential equations driven by infinite dimensional Wiener processes and infinite dimensional fractional Brownian motion are presented as well.
In this note we provide conditions for local invariance of finite dimensional submanifolds for solutions to stochastic partial differential equations (SPDEs) in the framework of the variational approach. For this purpose, we provide a connection to SPDEs in continuously embedded spaces.
We study a statistical model for infinite dimensional Gaussian random variables with unknown parameters. For this model we derive linear estimators for the mean and the variance of the Gaussian distribution. Furthermore, we construct confidence intervals and perform hypothesis testing. A linear regression problem in infinite dimensions and some perspectives to statistical and machine learning are presented as well.
In this paper we provide sufficient conditions for stochastic invariance of closed convex cones for stochastic partial differential equations (SPDEs) of jump-diffusion type, and clarify when these conditions are necessary. Our results apply to the positive cone of abstract $L^2$-spaces. Furthermore, we present a series of applications, where we investigate SPDEs arising in natural sciences and economics.
The goal of this paper is to clarify when the solutions to stochastic partial differential equations stay close to a given subset of the state space for starting points which are close as well. This includes results for deterministic partial differential equations. As an example, we will consider the situation where the subset is a finite dimensional submanifold with boundary. We also discuss applications to mathematical finance, namely the modeling of the evolution of interest rate curves.
In this addendum we provide an existence and uniqueness result for mild solutions to semilinear stochastic partial differential equations driven by Wiener processes and Poisson random measures in the framework of the semigroup approach with locally monotone coefficients, where the semigroup is allowed to be pseudo-contractive. This improves an earlier paper of the author, where the equation was only driven by Wiener processes, and where the semigroup was only allowed to be a semigroup of contractions.
We provide necessary and sufficient conditions for stochastic invariance of finite dimensional submanifolds for solutions of stochastic partial differential equations (SPDEs) in continuously embedded Hilbert spaces with non-smooth coefficients. Furthermore, we establish a link between invariance of submanifolds for such SPDEs in Hermite Sobolev spaces and invariance of submanifolds for finite dimensional SDEs. This provides a new method for analyzing stochastic invariance of submanifolds for finite dimensional It\^{o} diffusions, which we will use in order to derive new invariance results for finite dimensional SDEs.
We provide an existence and uniqueness result for mild solutions to semilinear stochastic partial differential equations in the framework of the semigroup approach with locally monotone coefficients. An important component of the proof is an application of the dilation theorem of Nagy, which allows us to reduce the problem to infinite dimensional stochastic differential equations on a larger Hilbert space. Properties of the solutions like the Markov property are discussed as well.
We show that in a financial market given by semimartingales an arbitrage opportunity, provided it exists, can only be exploited through short selling. This finding provides a theoretical basis for differences in regulation for financial services providers that are allowed to go short and those without short sales. The privilege to be allowed to short sell gives access to potential arbitrage opportunities, which creates by design a bankruptcy risk.
We provide a permutation invariant version of the strong law of large numbers for exchangeable sequences of random variables. The proof consists of a combination of the Koml\'{o}s-Berkes theorem, the usual strong law of large numbers for exchangeable sequences and de Finetti's theorem.
We provide the dual result of the Yamada-Watanabe theorem for mild solutions to semilinear stochastic partial differential equations with path-dependent coefficients. An essential tool is the so-called "method of the moving frame", which allows us to reduce the proof to infinite dimensional stochastic differential equations.
This paper offers a systematic investigation on the existence of equivalent local martingale deflators, which are multiplicative special semimartingales, in financial markets given by positive semimartingales. In particular, it shows that the existence of such deflators can be characterized by means of the modified semimartingale characteristics. Several examples illustrate our results. Furthermore, we provide interpretations of the deflators from an economic point of view.