Ecole Polytechnique

We study the homogenization and singular perturbation of the

wave equation in a periodic media for long times of the order

of the inverse of the period. We consider inital data that are

Bloch wave packets, i.e., that are the product of a fast

oscillating Bloch wave and of a smooth envelope function.

We prove that the solution is approximately equal to two waves

propagating in opposite directions at a high group velocity with

envelope functions which obey a Schr\"{o}dinger type equation.

Our analysis extends the usual WKB approximation by adding a

dispersive, or diffractive, effect due to the non uniformity

of the group velocity which yields the dispersion tensor of

the homogenized Schr\"{o}dinger equation. This is a joint

work with M. Palombaro and J. Rauch.

Many portfolio optimization problems are directly or indirectly concerned with the current maximum of the underlying. For example, loockback or Russian options, optimization with max-drawdown constraint , or indirectly American Put Options, optimization with floor constraints.

The Azema-Yor martingales or max-martingales, introduced in 1979 to solve the Skohorod embedding problem, appear to be remarkably efficient to provide simple solution to some of these problems, written on semi-martingale with continuous running supremum.

We discuss estimating the growth exponents for positive solutions to the

random parabolic Anderson's model with small parameter k. We show that

behaviour for the case where the spatial variable is continuous differs

markedly from that for the discrete case.