检索结果-内蒙古大学图书馆

arXiv 2019年

作者： Lacker, Daniel Shkolnikov, Mykhaylo Zhang, Jiacheng Ieor Department Columbia University New YorkNY10027 United States Orfe Department Bendheim Center for Finance Program in Applied and Computational Mathematics Princeton University PrincetonNJ08544 Orfe Department Princeton University PrincetonNJ08544 United States

We study two-dimensional stochastic differential equations (SDEs) of McKean- Vlasov type in which the conditional distribution of the second component of the solution given the first enters the equation for the first component of the solution. Such SDEs arise when one tries to invert the Markovian projection developed in [Gyö86], typically to produce an It o process with the fixed-time marginal distributions of a given one-dimensional diffusion but richer dynamical features. We prove the strong existence of stationary solutions for these SDEs, as well as their strong uniqueness in an important special case. Variants of the SDEs discussed in this paper enjoy frequent application in the calibration of local stochastic volatility models in finance, despite the very limited theoretical understanding. Copyright © 2019, The Authors. All rights reserved.

关键词： Stochastic systems

来源：评论

学校读者我要写书评

暂无评论

Superposition and mimicking theorems for conditional McKean-Vlasov equations

arXiv

引用

arXiv 2020年

作者： Lacker, Daniel Shkolnikov, Mykhaylo Zhang, Jiacheng IEOR Department Columbia University New YorkNY10027 United States ORFE Department Bendheim Center for Finance Program in Applied & Computational Mathematics Princeton University PrincetonNJ08544 United States ORFE Department Princeton University PrincetonNJ08544 United States

We consider conditional McKean-Vlasov stochastic differential equations (SDEs), such as the ones arising in the large-system limit of mean field games and particle systems with mean field interactions when common noise is present. The conditional time-marginals of the solutions to these SDEs satisfy non-linear stochastic partial differential equations (SPDEs) of the second order, whereas the laws of the conditional time-marginals follow Fokker-Planck equations on the space of probability measures. We prove two superposition principles: The first establishes that any solution of the SPDE can be lifted to a solution of the conditional McKean-Vlasov SDE, and the second guarantees that any solution of the Fokker-Planck equation on the space of probability measures can be lifted to a solution of the SPDE. We use these results to obtain a mimicking theorem which shows that the conditional time-marginals of an Itô process can be emulated by those of a solution to a conditional McKean-Vlasov SDE with Markovian coefficients. This yields, in particular, a tool for converting open-loop controls into Markovian ones in the context of controlled McKean-Vlasov *** Codes 60H10, 60H15, 35Q84, 93E20 Copyright © 2020, The Authors. All rights reserved.

关键词： Fokker Planck equation

来源：评论

学校读者我要写书评

暂无评论

GLOBAL SOLUTIONS TO THE SUPERCOOLED STEFAN PROBLEM WITH BLOW-UPS: REGULARITY AND UNIQUENESS

arXiv

引用

arXiv 2019年

作者： Delarue, François Nadtochiy, Sergey Shkolnikov, Mykhaylo Université Côte d’Azur CNRS Laboratoire J.A. Dieudonné Nice France Department of Applied Mathematics Illinois Institute of Technology ChicagoIL60616 United States ORFE Department Bendheim Center for Finance and Program in Applied & Computational Mathematics Princeton University PrincetonNJ08544 United States

We consider the supercooled Stefan problem, which captures the freezing of a supercooled liquid, in one space dimension. A probabilistic reformulation of the problem allows to define global solutions, even in the presence of blow-ups of the freezing rate. We provide a complete description of such solutions, by relating the temperature distribution in the liquid to the regularity of the ice growth process. The latter is shown to transition between (i) continuous differentiability, (ii) Hölder continuity, and (iii) discontinuity. In particular, in the second regime we rediscover the square root behavior of the growth process pointed out by Stefan in his seminal paper [Ste89] from 1889 for the ordinary Stefan problem. In our second main theorem, we establish the uniqueness of the global solutions, a first result of this kind in the context of growth processes with singular self-excitation when blow-ups are *** Codes 80A22, 35B44, 60H30, 35B05 Copyright © 2019, The Authors. All rights reserved.

关键词： Supercooling

来源：评论

学校读者我要写书评

暂无评论

CONVERGENCE OF A TIME-STEPPING SCHEME TO THE FREE BOUNDARY IN THE SUPERCOOLED STEFAN PROBLEM

arXiv

引用

arXiv 2020年

作者： Kaushansky, Vadim Reisinger, Christoph Shkolnikov, Mykhaylo Song, Zhuo Qun Department of Mathematics University of California Los AngelesCA90095 United States Mathematical Institute University of Oxford Andrew Wiles Building Radcliffe Observatory Quarter OxfordOX2 6GG United Kingdom ORFE Department Bendheim Center for Finance and Program in Applied & Computational Mathematics Princeton University Princeton NJ08544 United States Department of Mathematics Princeton University Princeton NJ08544 United States

The supercooled Stefan problem and its variants describe the freezing of a supercooled liquid in physics, as well as the large system limits of systemic risk models in finance and of integrate-and-fire models in neuroscience. Adopting the physics terminology, the supercooled Stefan problem is known to feature a finite-time blow-up of the freezing rate for a wide range of initial temperature distributions in the liquid. Such a blow-up can result in a discontinuity of the liquid-solid boundary. In this paper, we prove that the natural Euler time-stepping scheme applied to a probabilistic formulation of the supercooled Stefan problem converges to the liquid-solid boundary of its physical solution globally in time, in the Skorokhod M1 topology. In the course of the proof, we give an explicit bound on the rate of local convergence for the time-stepping scheme. We also run numerical tests to compare our theoretical results to the practically observed convergence *** Codes 80A22, 35B44, 65N20, 60H30 Copyright © 2020, The Authors. All rights reserved.

关键词： Supercooling

来源：评论

学校读者我要写书评

暂无评论

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案：

请选择收藏分类：

通借通还

建议与咨询 留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案： 新增检索档案 确定 取消

请选择收藏分类： 新增自定义分类 确定 取消

通借通还

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

请选择保存的检索档案：

请选择收藏分类：