Evidence
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for reducing high-dimensional systems, and their relative merits depend strongly on the structure of the underlying equations.
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Card 1 · Averaging for SDE-BSDE with null recurrent fast component Application to homogenization in a non periodic media
We establish an averaging principle for a family of solutions$(X^{\varepsilon}, Y^{\varepsilon})$ $ :=$ $(X^{1,\,\varepsilon},\,X^{2,\,\varepsilon},\, Y^{\varepsilon})$ of a system of SDE-BSDEwith a null recurrent fast component $X^{1,\,\varepsilon}$. Incontrast to the classical periodic case, we ca…
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We establish an averaging principle for a family of solutions$(X^{\varepsilon}, Y^{\varepsilon})$ $ :=$ $(X^{1,\,\varepsilon},\,X^{2,\,\varepsilon},\, Y^{\varepsilon})$ of a system of SDE-BSDEwith a null recurrent fast component $X^{1,\,\varepsilon}$. Incontrast to the classical periodic case, we can not rely on aninvariant probability and the slow forward component$X^{2,\,\varepsilon}$ cannot be approximated by a diffusion process.On the other hand, we assume that the coefficients admit a limit in aCesaro sense. In such a case, the limit coefficients may havediscontinuity. We show that we can approximate the triplet$(X^{1,\,\varepsilon},\, X^{2,\,\varepsilon},\, Y^{\varepsilon})$ bya system of SDE-BSDE $(X^1, X^2, Y)$ where $X := (X^1, X^2)$ is aMarkov diffusion which is the unique (in law) weak solution of theaveraged forward component and $Y$ is the unique solution to the averaged backward component. This is done with a backward component whosegenerator depends on the variable $z$. …
Card 2 · Homogenization of the planar waveguide with frequently alternating boundary conditions
We consider the Laplacian in a planar strip with a Dirichlet boundary condition on the upper boundary and with a frequent alternation boundary condition on the lower boundary. The alternation is introduced by the periodic partition of the boundary into small segments on which Dirichlet and Neumann c…
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We consider the Laplacian in a planar strip with a Dirichlet boundary condition on the upper boundary and with a frequent alternation boundary condition on the lower boundary. The alternation is introduced by the periodic partition of the boundary into small segments on which Dirichlet and Neumann conditions are imposed in turns. We show that under certain conditions the homogenized operator is the Dirichlet Laplacian and prove the uniform resolvent convergence. The spectrum of the perturbed operator consists of its essential part only and has a band structure. We construct the leading terms of the asymptotic expansions for the first band functions. We also construct the complete asymptotic expansion for the bottom of the spectrum.
Card 3 · Small-time asymptotics for fast mean-reverting stochastic volatility models
In this paper, we study stochastic volatility models in regimes where the maturity is small, but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization problems for nonlinear HJB-type equations where the “fast variabl…
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In this paper, we study stochastic volatility models in regimes where the maturity is small, but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization problems for nonlinear HJB-type equations where the “fast variable” lives in a noncompact space. We develop a general argument based on viscosity solutions which we apply to the two regimes studied in the paper. We derive a large deviation principle, and we deduce asymptotic prices for out-of-the-money call and put options, and their corresponding implied volatilities. The results of this paper generalize the ones obtained in Feng, Forde and Fouque [SIAM J. Financial Math. 1 (2010) 126–141] by a moment generating function computation in the particular case of the Heston model.
Card 4 · Discrete-Time Statistical Inference for Multiscale Diffusions in the Averaging and Homogenization Regime
We study statistical inference for small-noise-perturbed multiscale dynamical systems under the assumption that we observe a single time series from the slow process only. We construct estimators for both averaging and homogenization regimes, based on an appropriate misspecified model motivated by a…
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We study statistical inference for small-noise-perturbed multiscale dynamical systems under the assumption that we observe a single time series from the slow process only. We construct estimators for both averaging and homogenization regimes, based on an appropriate misspecified model motivated by a second-order stochastic Taylor expansion of the slow process with respect to a function of the time-scale separation parameter. In the case of a fixed number of observations, we establish consistency, asymptotic normality, and asymptotic statistical efficiency of a minimum contrast estimator (MCE), the limiting variance having been identified explicitly; we furthermore establish consistency and asymptotic normality of a simplified minimum constrast estimator (SMCE), which is however not in general efficient. These results are then extended to the case of high-frequency observations under a condition restricting the rate at which the number of observations may grow vis-a-vis the separation o …
Card 5 · Maximum Likelihood Drift Estimation for Multiscale Diffusions
The problem of parameter estimation for fast/slow systems of SDEs which admit a coarse-grained description in terms of an SDE for the slow variable was studied in this paper. It was shown that, when applied to the averaging problem, the maximum likelihood estimator (MLE) is asymptotically unbiased a…
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The problem of parameter estimation for fast/slow systems of SDEs which admit a coarse-grained description in terms of an SDE for the slow variable was studied in this paper. It was shown that, when applied to the averaging problem, the maximum likelihood estimator (MLE) is asymptotically unbiased and we can use it to estimate accurately the parameters in the drift coefficient of the coarse-grained model using data from the slow variable in the fast/slow system. On the contrary, the MLE is asymptotically biased when applied to the homogenization problem and a systematic asymptotic error appears in the log-likelihood function, in the long time/infinite scale separation limit.
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