Université Claude Bernard Lyon 1

Several physical models are available to understand the dynamics of fluid mixtures, including the so-called Baer-Nunziato models. The partial differential equations associated with these models look like those of Navier-Stokes, with the addition of new relaxation terms. One strategy to obtain these models is homogenisation: starting from a mesoscopic mixture, where two pure fluids satisfying the compressible Navier-Stokes equations share the space between them, a change of scale is performed to obtain a macroscopic mixture, where the two fluids can coexist at any point in space.

This problem concerns the study of the Navier-Stokes equations with strongly oscillating initial data. We'll start by explaining some results in this framework, in one dimension of space and on the torus, for barotropic fluids. We will then detail the various steps involved in demonstrating homogenisation. Finally, we'll explain how to adapt this reasoning to homogenisation for perfect gases, with and without heat conduction.

We determine the hydrodynamic limit of some kinetic equations with either stochastic Vlasov force term or stochastic collision kernel. We obtain stochastic second-order parabolic equations at the limit. In the regime we consider, we also observe (or do not observe) some phenomena of enhanced diffusion. Joint works with Nils Caillerie, Arnaud Debussche, Martina Hofmanová.
 

Motivated by the European sovereign debt crisis, we propose a hybrid sovereign default model which combines an accessible part which takes into account the movement of the sovereign solvency and the impact of critical political events, and a totally inaccessible part for the idiosyncratic credit risk. We obtain closed-form formulas for the probability that the default occurs at political critical dates in a Markovian CEV process setting. Moreover, we introduce a generalized density framework for the hybrid default times and deduce the compensator process of default. Finally we apply the hybrid model and the generalized density to the valuation of sovereign bond and explain the significant jumps in the long-term government bond yield during the sovereign crisis.