Publications associées à Intégrale d'Itō

Manufacturing-Enabled Tunability of Linear and Nonlinear Epsilon-Near-Zero Properties in Indium Tin Oxide Nanofilms

Epsilon-near-zero (ENZ) materialshave attracted great interestdue to their exotic linear and nonlinear responses, which makes itsignificant to tune ENZ wavelengths for wavelength-dependent applications.However, studies to achieve tunability in a wide spect ...

AMER CHEMICAL SOC2023

Fluctuation estimates for the multi-cell formula in stochastic homogenization of partitions

Matthias Ruf

In this paper we derive quantitative estimates in the context of stochastic homogenization for integral functionals defined on finite partitions, where the random surface integrand is assumed to be stationary. Requiring the integrand to satisfy in addition ...

2022

A driven tagged particle in asymmetric exclusion processes

Zhe Wang

We consider the asymmetric exclusion process with a driven tagged particle on Z which has different jump rates from other particles. When the non-tagged particles have non-nearest-neighbor jump rates , we show that the tagged particle can have a speed whic ...

INST MATHEMATICAL STATISTICS-IMS2022

Essays in Empirical Asset Pricing

Alexis Arilès Marchal

This thesis consists of three applications of machine learning techniques to empirical asset pricing. In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...

EPFL2022

A Characterisation Of The Continuum Gaussian Free Field In Arbitrary Dimensions

Juhan Aru

We prove that under certain mild moment and continuity assumptions, the d-dimensional continuum Gaussian free field is the only stochastic process satisfying the usual domain Markov property and a scaling assumption. Our proof is based on a decomposition o ...

ECOLE POLYTECHNIQUE2022

Asymptotic symmetry and asymptotic solutions to Ito stochastic differential equations

Francesco Spadaro

We consider several aspects of conjugating symmetry methods, including the method of invariants, with an asymptotic approach. In particular we consider how to extend to the stochastic setting several ideas which are well established in the deterministic on ...

AMER INST MATHEMATICAL SCIENCES-AIMS2021

Sifting through the Noise: Universal First-Order Methods for Stochastic Variational Inequalities

Volkan Cevher, Kimon Antonakopoulos, Thomas Michaelsen Pethick, Ali Kavis

We examine a flexible algorithmic framework for solving monotone variational inequalities in the presence of randomness and uncertainty. The proposed template encompasses a wide range of popular first-order methods, including dual averaging, dual extrapola ...

2021

Normal approximation of the solution to the stochastic heat equation with Levy noise

Carsten Hao Ye Chong

Given a sequence L & x2d9;epsilon of Levy noises, we derive necessary and sufficient conditions in terms of their variances sigma 2(epsilon) such that the solution to the stochastic heat equation with noise sigma(epsilon)-1L & x2d9;epsilon converges in law ...

SPRINGER2020

The n-term Approximation of Periodic Generalized Levy Processes

Michaël Unser, Julien René Pierre Fageot, John Paul Ward

In this paper, we study the compressibility of random processes and fields, called generalized Levy processes, that are solutions of stochastic differential equations driven by d-dimensional periodic Levy white noises. Our results are based on the estimati ...

2020

Integral Convexity And Parabolic Systems

Bernard Dacorogna

In this work we give optimal, i.e., necessary and sufficient, conditions for integrals of the calculus of variations to guarantee the existence of solutions-both weak and variational solutions-to the associated L-2-gradient flow. The initial values are mer ...

SIAM PUBLICATIONS2020

Annealing of Silicon Heterojunction Solar Cells: Interplay of Solar Cell and Indium Tin Oxide Properties

Christophe Ballif, Raphaël François Lemerle, Mathieu Gérard Boccard, Jan Haschke, Brahim Aissa

In this paper, we report the evolution of silicon heterojunction solar cell properties focusing, in particular, on the indium tin oxide (ITO) layers upon consecutive thermal annealing. We find that the charge carrier density

N_{\rm e}

of the ITO increase ...

2019

A pathwise approach to the extinction of branching processes with countably many types

Sophie Myriam Hautphenne

We consider the extinction events of Galton-Watson processes with countably infinitely many types. In particular, we construct truncated and augmented Galton-Watson processes with finite but increasing sets of types. A pathwise approach is then used to sho ...

ELSEVIER SCIENCE BV2019

The stochastic heat equation: hitting probabilities and the probability density function of the supremum via Malliavin calculus

Fei Pu

In this thesis, we study systems of linear and/or non-linear stochastic heat equations and fractional heat equations in spatial dimension

1

driven by space-time white noise. The main topic is the study of hitting probabilities for the solutions to these ...

EPFL2018

Multidimensional Lévy White Noise in Weighted Besov Spaces

Michaël Unser, Julien René Pierre Fageot, Alireza Fallah

In this paper, we study the Besov regularity of a general d-dimensional Lévy white noise. More precisely, we describe new sample paths properties of a given noise in terms of weighted Besov spaces. In particular, we characterize the smoothness and integrab ...

Elsevier2017

An overview of a new sensor calibration platform

Jan Skaloud, Stéphane Guerrier, Philipp Clausen

Inertial sensors are increasingly being employed in different types of applications. The reduced cost and the extremely small size makes them the number-one-choice in miniature embedded devices like phones, watches, and small unmanned aerial vehicles. The ...

2017

Stochastic partial differential equations driven by Lévy white noises : generalized random processes, random field solutions and regularity

Thomas Marie Jean-Baptiste Humeau

We study various aspects of stochastic partial differential equations driven by Lévy white noise. This driving noise, which is a generalization of Gaussian white noise, can be viewed either as a generalized random process or as an independently scattered r ...

EPFL2017

Sparse Gradient Optimization and its Applications in Image Processing

Nikolaos Arvanitopoulos Darginis

Millions of digital images are captured by imaging devices on a daily basis. The way imaging devices operate follows an integral process from which the information of the original scene needs to be estimated. The estimation is done by inverting the integra ...

EPFL2017

Polynomial diffusions and applications in finance

Damir Filipovic, Martin Larsson

This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and ...

Springer Verlag2016

Informational Efficiency under Short Sale Constraints

Martin Larsson

A constrained informationally efficient market is defined as one in which the price process arises as the outcome of some equilibrium where agents face restrictions on trade. This paper investigates the case of short sale constraints, a setting which, desp ...

Siam Publications2015

Feynman-Kac representation for the parabolic Anderson model driven by fractional noise

Thomas Mountford, Kamran Kalbasi

We consider the parabolic Anderson model driven by fractional noise: partial derivative/partial derivative t u(t,x) = k Delta u(t,x) + u(t,x)partial derivative/partial derivative t W(t,x) x is an element of Z(d), t >= 0, where k > 0 is a diffusion constant ...

Academic Press Inc Elsevier Science2015