Team, Visitors, External Collaborators
Overall Objectives
Research Program
Application Domains
Highlights of the Year
New Software and Platforms
New Results
Bilateral Contracts and Grants with Industry
Partnerships and Cooperations
XML PDF e-pub
PDF e-Pub

Section: Research Program

Perspectives in Stochastic Analysis

Optimal transport and longtime behavior of Markov processes

The dissipation of general convex entropies for continuous time Markov processes can be described in terms of backward martingales with respect to the tail filtration. The relative entropy is the expected value of a backward submartingale. In the case of (non necessarily reversible) Markov diffusion processes, J. Fontbona and B. Jourdain [71] used Girsanov theory to explicit the Doob-Meyer decomposition of this submartingale. They deduced a stochastic analogue of the well known entropy dissipation formula, which is valid for general convex entropies, including the total variation distance. Under additional regularity assumptions, and using Itô's calculus and ideas of Arnold, Carlen and Ju [47], they obtained a new Bakry-Emery criterion which ensures exponential convergence of the entropy to 0. This criterion is non-intrinsic since it depends on the square root of the diffusion matrix, and cannot be written only in terms of the diffusion matrix itself. They provided examples where the classic Bakry Emery criterion fails, but their non-intrinsic criterion applies without modifying the law of the diffusion process.

With J. Corbetta, A. Alfonsi and B. Jourdain have studied the time derivative of the Wasserstein distance between the marginals of two Markov processes [11]. The Kantorovich duality leads to a natural candidate for this derivative. Up to the sign, it is the sum of the integrals with respect to each of the two marginals of the corresponding generator applied to the corresponding Kantorovich potential. For pure jump processes with bounded intensity of jumps, J. Corbetta, A. Alfonsi and B. Jourdain [41] proved that the evolution of the Wasserstein distance is actually given by this candidate. In dimension one, they showed that this remains true for Piecewise Deterministic Markov Processes. They applied the formula to estimate the exponential decrease rate of the Wasserstein distance between the marginals of two birth and death processes with the same generator in terms of the Wasserstein curvature.

Mean-field systems: modeling and control

- Mean-field limits of systems of interacting particles. In [77], B. Jourdain and his former PhD student J. Reygner have studied a mean-field version of rank-based models of equity markets such as the Atlas model introduced by Fernholz in the framework of Stochastic Portfolio Theory. They obtained an asymptotic description of the market when the number of companies grows to infinity. Then, they discussed the long-term capital distribution, recovering the Pareto-like shape of capital distribution curves usually derived from empirical studies, and providing a new description of the phase transition phenomenon observed by Chatterjee and Pal. They have also studied multitype sticky particle systems which can be obtained as vanishing noise limits of multitype rank-based diffusions (see [76]). Under a uniform strict hyperbolicity assumption on the characteristic fields, they constructed a multitype version of the sticky particle dynamics. In [78], they obtain the optimal rate of convergence as the number of particles grows to infinity of the approximate solutions to the diagonal hyperbolic system based on multitype sticky particles and on easy to compute time discretizations of these dynamics.

In [72], N. Fournier and B. Jourdain are interested in the two-dimensional Keller-Segel partial differential equation. This equation is a model for chemotaxis (and for Newtonian gravitational interaction).

- Mean field control and Stochastic Differential Games (SDGs).To handle situations where controls are chosen by several agents who interact in various ways, one may use the theory of Stochastic Differential Games (SDGs). Forward–Backward SDG and stochastic control under Model Uncertainty are studied in [84] by A. Sulem and B. Øksendal. Also of interest are large population games, where each player interacts with the average effect of the others and individually has negligible effect on the overall population. Such an interaction pattern may be modeled by mean field coupling and this leads to the study of mean-field stochastic control and related SDGs. A. Sulem, Y. Hu and B. Øksendal have studied singular mean field control problems and singular mean field two-players stochastic differential games [75]. Both sufficient and necessary conditions for the optimal controls and for the Nash equilibrium are obtained. Under some assumptions, the optimality conditions for singular mean-field control are reduced to a reflected Skorohod problem. Applications to optimal irreversible investments under uncertainty have been investigated. Predictive mean-field equations as a model for prices influenced by beliefs about the future are studied in [86].

Stochastic control and optimal stopping (games) under nonlinear expectation

M.C. Quenez and A. Sulem have studied optimal stopping with nonlinear expectation g induced by a BSDE with jumps with nonlinear driver g and irregular obstacle/payoff (see [83]). In particular, they characterize the value function as the solution of a reflected BSDE. This property is used in [67] to address American option pricing in markets with imperfections. The Markovian case is treated in [64] when the payoff function is continuous.

In [8], M.C. Quenez, A. Sulem and R. Dumitrescu study a combined optimal control/stopping problem under nonlinear expectation g in a Markovian framework when the terminal reward function is only Borelian. In this case, the value function u associated with this problem is irregular in general. They establish a weak dynamic programming principle (DPP), from which they derive that the upper and lower semi-continuous envelopes of u are the sub- and super- viscosity solution of an associated nonlinear Hamilton-Jacobi-Bellman variational inequality.

The problem of a generalized Dynkin game problem with nonlinear expectation g is addressed in [65]. Under Mokobodzki's condition, we establish the existence of a value function for this game, and characterize this value as the solution of a doubly reflected BSDE. The results of this work are used in [9] to solve the problem of game option pricing in markets with imperfections.

A generalized mixed game problem when the players have two actions: continuous control and stopping is studied in a Markovian framework in [66]. In this work, dynamic programming principles (DPP) are established: a strong DPP is proved in the case of a regular obstacle and a weak one in the irregular case. Using these DPPs, links with parabolic partial integro-differential Hamilton-Jacobi- Bellman variational inequalities with two obstacles are obtained.

With B. Øksendal and C. Fontana, A. Sulem has contributed on the issues of robust utility maximization [85], [86], and relations between information and performance [70].

Generalized Malliavin calculus

Vlad Bally has extended the stochastic differential calculus built by P. Malliavin which allows one to obtain integration by parts and associated regularity probability laws. In collaboration with L. Caramellino (Tor Vegata University, Roma), V. Bally has developed an abstract version of Malliavin calculus based on a splitting method (see [49]). It concerns random variables with law locally lower bounded by the Lebesgue measure (the so-called Doeblin's condition). Such random variables may be represented as a sum of a "smooth" random variable plus a rest. Based on this smooth part, he achieves a stochastic calculus which is inspired from Malliavin calculus [6]. An interesting application of such a calculus is to prove convergence for irregular test functions (total variation distance and more generally, distribution distance) in some more or less classical frameworks as the Central Limit Theorem, local versions of the CLT and moreover, general stochastic polynomials [53]. An exciting application concerns the number of roots of trigonometric polynomials with random coefficients [15]. Using Kac Rice lemma in this framework one comes back to a multidimensional CLT and employs Edgeworth expansions of order three for irregular test functions in order to study the mean and the variance of the number of roots. Another application concerns U statistics associated to polynomial functions. The techniques of generalized Malliavin calculus developed in [49] are applied in for the approximation of Markov processes (see [56] and [55]). On the other hand, using the classical Malliavin calculus, V. Bally in collaboration with L. Caramellino and P. Pigato studied some subtle phenomena related to diffusion processes, as short time behavior and estimates of tubes probabilities (see [51], [52], [50]).