Institut für Mathematik
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- Institut für Mathematik (1831) (remove)
We study the interplay between analysis on manifolds with singularities and complex analysis and develop new structures of operators based on the Mellin transform and tools for iterating the calculus for higher singularities. We refer to the idea of interpreting boundary value problems (BVPs) in terms of pseudo-differential operators with a principal symbolic hierarchy, taking into account that BVPs are a source of cone and edge operator algebras. The respective cone and edge pseudo-differential algebras in turn are the starting point of higher corner theories. In addition there are deep relationships between corner operators and complex analysis. This will be illustrated by the Mellin symbolic calculus.
This thesis is focused on the study and the exact simulation of two classes of real-valued Brownian diffusions: multi-skew Brownian motions with constant drift and Brownian diffusions whose drift admits a finite number of jumps.
The skew Brownian motion was introduced in the sixties by Itô and McKean, who constructed it from the reflected Brownian motion, flipping its excursions from the origin with a given probability. Such a process behaves as the original one except at the point 0, which plays the role of a semipermeable barrier. More generally, a skew diffusion with several semipermeable barriers, called multi-skew diffusion, is a diffusion everywhere except when it reaches one of the barriers, where it is partially reflected with a probability depending on that particular barrier. Clearly, a multi-skew diffusion can be characterized either as solution of a stochastic differential equation involving weighted local times (these terms providing the semi-permeability) or by its infinitesimal generator as Markov process.
In this thesis we first obtain a contour integral representation for the transition semigroup of the multiskew Brownian motion with constant drift, based on a fine analysis of its complex properties. Thanks to this representation we write explicitly the transition densities of the two-skew Brownian motion with constant drift as an infinite series involving, in particular, Gaussian functions and their tails.
Then we propose a new useful application of a generalization of the known rejection sampling method. Recall that this basic algorithm allows to sample from a density as soon as one finds an - easy to sample - instrumental density verifying that the ratio between the goal and the instrumental densities is a bounded function. The generalized rejection sampling method allows to sample exactly from densities for which indeed only an approximation is known. The originality of the algorithm lies in the fact that one finally samples directly from the law without any approximation, except the machine's.
As an application, we sample from the transition density of the two-skew Brownian motion with or without constant drift. The instrumental density is the transition density of the Brownian motion with constant drift, and we provide an useful uniform bound for the ratio of the densities. We also present numerical simulations to study the efficiency of the algorithm.
The second aim of this thesis is to develop an exact simulation algorithm for a Brownian diffusion whose drift admits several jumps. In the literature, so far only the case of a continuous drift (resp. of a drift with one finite jump) was treated. The theoretical method we give allows to deal with any finite number of discontinuities. Then we focus on the case of two jumps, using the transition densities of the two-skew Brownian motion obtained before. Various examples are presented and the efficiency of our approach is discussed.
This is a brief survey of a constructive technique of analytic continuation related to an explicit integral formula of Golusin and Krylov (1933). It goes far beyond complex analysis and applies to the Cauchy problem for elliptic partial differential equations as well. As started in the classical papers, the technique is elaborated in generalised Hardy spaces also called Hardy-Smirnov spaces.