Laboratoire de Mathématiques Raphaël Salem

UMR 6085 CNRS - Université de Rouen Normandie

In this introductory talk, I will present a general limiting
theory for the spectrum of large networks. The models I will consider
are quite general, but they share a common feature : all of them are
studied in their very sparse regime where the number of connections has
the same order as the number of nodes (Erdös-Rényi with fixed mean
degree, regular graphs, uniform trees, uniform triangulations,
preferential attachments). The spectrum of such networks is notoriously

Financial markets are characterized by continuous upward or downward fluctuations in prices, caused by the vast amount of information they receive. A strong price instability historically and cyclically caused strong market collapses that prompted investors to control the risk related to the excessive fluctuation of the prices in order to prevent significant portfolio losses.

We introduce our method $\sigma$-antithetic multilevel Monte Carlo for multi-dimensional stochastic differential equations driven by Brownian motions with drifts. Here $\sigma$ is a specific permutation of order $m$, with $m\in\mathbb{N}\backslash\{0,1\}$. Following the spirit of Giles and Szpruch in [b], we consider the Milstein scheme without Lévy area. Our aim is to prove the stable convergence for the $\sigma$-antithetic multilevel error between two consecutive levels. To do so, we chose the triangular array approach using the limit theorem of Jacod [c].

Nous considérons le problème inverse consistant à déterminer de façon unique différents types de propriétés d'un processus de diffusion décrit par une équation de diffusion, ordinaire ou fractionnaire en temps, énoncée sur un ouvert borné ou une variété riemannienne à bord. Ces propriétés, qui peuvent correspondre à la densité du milieu ainsi que le champ de vitesse avec lequel la quantité décrite se déplace, seront associées à différents paramètres de l'équation (coefficients, variété).

Mots clés: Le mouvement brownien fractionnaire, intégrale de Wiener, divergence intégrale.