We present an algebraic formulation for the flow of a differential equation driven by a path in a Lie group. The formulation is motivated by formal differential equations considered by Chen.
Recently, Deya, Gubinelli, Hofmanova and Tindel ('16) (also Bailleul-Gubinelli '15) have provided a general approach in order to obtain a priori estimates for rough partial differential equations of the form
(*) du = Au dt + Bu dX
where X is a two-step rough path, A is a second order operator (elliptic), while B is first order. We will pursue the line of this work by presenting an L^p theory "à la Krylov" for generalized versions of (*). We will give an application of this theory by proving boundedness of solutions for a certain class
The celebrated Black-Scholes theory shows that one can get a risk-neutral option price through hedging. The Cameron-Martin-Girsanov theorem for diffusion processes plays a key role in this theory. We show that one can get some statistical arbitrage from a sequence of well-designed repeated trading at their prices according to the ergodic theorem for stationary process. Our result is based on both theoretical model and the real market data.
Stochastic analysis on a Riemannian manifold is a well developed area of research in probability theory.
We will discuss some recent developments on stochastic analysis on a manifold whose Riemannian metric evolves with time, a typical case of which is the Ricci flow. Familiar results such as stochastic parallel transport, integration by parts formula, martingale representation theorem, and functional inequalities have interesting extensions from
time independent metrics to time dependent ones. In particular, we will discuss an extension of Beckner’s inequality on the path space over a Riemannian manifold with time-dependent metrics. The classical version of this inequality includes the Poincare inequality and the logarithmic Sobolev inequality as special cases.
The signature of a parametric curve is a sequence of tensors whose entries are iterated integrals, and they are central to the theory of rough paths in stochastic analysis. For some special families of curves, such as polynomial paths and piecewise-linear paths, their parametrized signature tensors trace out algebraic varieties in the space of all tensors. We introduce these varieties and examine their fundamental properties, while highlighting their intimate connection to the problem of recovering a path from its signature. This is joint work with Peter Friz and Bernd Sturmfels.
We provide in this work a robust solution theory for random rough differential equations of mean field type
$$
dX_t = V\big( X_t,{\mathcal L}(X_t)\big)dt + \textrm{F}\bigl( X_t,{\mathcal L}(X_t)\bigr) dW_t,
$$
where $W$ is a random rough path and ${\mathcal L}(X_t)$ stands for the law of $X_t$, with mean field interaction in both the drift and diffusivity. Propagation of chaos results for large systems of interacting rough differential equations are obtained as a consequence, with explicit convergence rate. The development of these results requires the introduction of a new rough path-like setting and an associated notion of controlled path. We use crucially Lions' approach to differential calculus on Wasserstein space along the way. This is a joint work with I. Bailleul and R. Catellier.
Joint work with I. Bailleul (Rennes) and R. Catellier (Nice)
Abstract:
We present a numerical investigation of stochastic transport for the damped and driven incompressible 2D Euler fluid flows. According to Holm (Proc Roy Soc, 2015) and Cotter et al. (2017), the principles of transformation theory and multi-time homogenisation, respectively, imply a physically meaningful, data-driven approach for decomposing the fluid transport velocity into its drift and stochastic parts, for a certain class of fluid flows. We develop a new methodology to implement this velocity decomposition and then numerically integrate the resulting stochastic partial differential equation using a finite element discretisation. We show our numerical method is consistent.
Numerically, we perform the following analyses on this velocity decomposition. We first perform uncertainty quantification tests on the Lagrangian trajectories by comparing an ensemble of realisations of Lagrangian trajectories driven by the stochastic differential equation, and the Lagrangian trajectory driven by the ordinary differential equation. We then perform uncertainty quantification tests on the resulting stochastic partial differential equation by comparing the coarse-grid realisations of solutions of the stochastic partial differential equation with the ``true solutions'' of the deterministic fluid partial differential equation, computed on a refined grid. In these experiments, we also investigate the effect of varying the ensemble size and the number of prescribed stochastic terms. Further experiments are done to show the uncertainty quantification results "converge" to the truth, as the spatial resolution of the coarse grid is refined, implying our methodology is consistent. The uncertainty quantification tests are supplemented by analysing the L2 distance between the SPDE solution ensemble and the PDE solution. Statistical tests are also done on the distribution of the solutions of the stochastic partial differential equation. The numerical results confirm the suitability of the new methodology for decomposing the fluid transport velocity into its drift and stochastic parts, in the case of damped and driven incompressible 2D Euler fluid flows. This is the first step of a larger data assimilation project which we are embarking on. This is joint work with Colin Cotter, Dan Crisan, Darryl Holm and Igor Shevchenko.
A proper simply connected one-ended metric space is call semi-stable if any two proper rays are properly homotopic. A finitely presented group is called semi-stable if the universal cover of its presentation 2-complex is semi-stable.
It is conjectured that every finitely presented group is semi-stable. We will examine the known results for the cases where the group in question is relatively hyperbolic or CAT(0).
An important and relevant topic at Thales is 1-3 composite modelling capability. In particular, sensitivity enhancement through design.
A simplistic model developed by Smith and Auld1 has grouped the polycrystalline active and filler materials into an effective homogenous medium by using the rule of weighted averages in order to generate “effective” elastic, electric and piezoelectric properties. This method had been further improved by Avellaneda & Swart2. However, these models fail to provide all of the terms necessary to populate a full elasto-electric matrix – such that the remaining terms need to be estimated by some heuristic approach. The derivation of an approach which allowed all of the terms in the elasto-electric matrix to be calculated would allow much more thorough and powerful predictions – for example allowing lateral modes etc. to be traced and allow a more detailed design of a closely-packed array of 1-3 sensors to be conducted with much higher confidence, accounting for inter-elements coupling which partly governs the key field-of-view of the overall array. In addition, the ability to populate the matrix for single crystal material – which features more independent terms in the elasto-electric matrix than conventional polycrystalline material- would complement the increasing interest in single crystals for practical SONAR devices.
1.“Modelling 1-3 Composite Piezoelectrics: Hydrostatic Response” – IEEE Transactions on Ultrasonics Ferroelectrics and Frequency Control 40(1):41-
2.“Calculating the performance of 1-3 piezoelectric composites for hydrophone applications: An effective medium approach” The Journal of the Acoustical Society of America 103, 1449, 1998
ATP-sensitive potassium (KATP) channels are critical for coupling changes in blood glucose to insulin secretion. Gain-of-function mutations in KATP channels cause a rare inherited form of diabetes that manifest soon after birth (neonatal diabetes). This talk shows how understanding KATP channel function has enabled many neonatal diabetes patients to switch from insulin injections to sulphonylurea drugs that block KATP channel activity, with considerable improvement in their clinical condition and quality of life. Using a mouse model of neonatal diabetes, we also found that as little as 2 weeks of diabetes led to dramatic changes in gene expression, protein levels and metabolite concentrations. This reduced glucose-stimulated ATP production and insulin release. It also caused substantial glycogen storage and β-cell apoptosis. This may help explain why older neonatal diabetes patients with find it more difficult to transfer to drug therapy, and why the drug dose decreases with time in many patients. It also suggests that altered metabolism may underlie both the progressive impairment of insulin secretion and reduced β-cell mass in type 2 diabetes.