Paolo Grazieschi, Marta Leocata, Cyrille Loïc Mascart, Julien Chevallier, F. Delarue, Etienne Tanré
Since the pioneering works of Lapicque [17] and of Hodgkin and Huxley [16], several types of models have been addressed to describe the evolution in time of the potential of the membrane of a neuron. In this note, we investigate a connected version of N neurons obeying the leaky integrate and fire model, previously introduced in [1–3,6,7,15,18,19,22]. As a main feature, neurons interact with one another in a mean field instantaneous way. Due to the instantaneity of the interactions, singularities may emerge in a finite time. For instance, the solution of the corresponding Fokker-Planck equation describing the collective behavior of the potentials of the neurons in the limit N ⟶ ∞ may degenerate and cease to exist in any standard sense after a finite time. Here we focus out on a variant of this model when the interactions between the neurons are also subjected to random synaptic weights. As a typical instance, we address the case when the connection graph is the realization of an Erdös-Renyi graph. After a brief introduction of the model, we collect several theoretical results on the behavior of the solution. In a last step, we provide an algorithm for simulating a network of this type with a possibly large value of N.
{"title":"Network of interacting neurons with random synaptic weights","authors":"Paolo Grazieschi, Marta Leocata, Cyrille Loïc Mascart, Julien Chevallier, F. Delarue, Etienne Tanré","doi":"10.1051/PROC/201965445","DOIUrl":"https://doi.org/10.1051/PROC/201965445","url":null,"abstract":"Since the pioneering works of Lapicque [17] and of Hodgkin and Huxley [16], several types of models have been addressed to describe the evolution in time of the potential of the membrane of a neuron. In this note, we investigate a connected version of N neurons obeying the leaky integrate and fire model, previously introduced in [1–3,6,7,15,18,19,22]. As a main feature, neurons interact with one another in a mean field instantaneous way. Due to the instantaneity of the interactions, singularities may emerge in a finite time. For instance, the solution of the corresponding Fokker-Planck equation describing the collective behavior of the potentials of the neurons in the limit N ⟶ ∞ may degenerate and cease to exist in any standard sense after a finite time. Here we focus out on a variant of this model when the interactions between the neurons are also subjected to random synaptic weights. As a typical instance, we address the case when the connection graph is the realization of an Erdös-Renyi graph. After a brief introduction of the model, we collect several theoretical results on the behavior of the solution. In a last step, we provide an algorithm for simulating a network of this type with a possibly large value of N.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"2013 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89513943","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Ankush Agarwal, S. Marco, E. Gobet, J. López-Salas, Fanny Noubiagain, Alexandre Zhou
We introduce a new class of anticipative backward stochastic differential equations with a dependence of McKean type on the law of the solution, that we name MKABSDE. We provide existence and uniqueness results in a general framework with relatively general regularity assumptions on the coefficients. We show how such stochastic equations arise within the modern paradigm of derivative pricing where a central counterparty (CCP) requires the members to deposit variation and initial margins to cover their exposure. In the case when the initial margin is proportional to the Conditional Value-at-Risk (CVaR) of the contract price, we apply our general result to define the price as a solution of a MKABSDE. We provide several linear and non-linear simpler approximations, which we solve using different numerical (deterministic and Monte-Carlo) methods.
{"title":"Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements","authors":"Ankush Agarwal, S. Marco, E. Gobet, J. López-Salas, Fanny Noubiagain, Alexandre Zhou","doi":"10.1051/PROC/201965001","DOIUrl":"https://doi.org/10.1051/PROC/201965001","url":null,"abstract":"We introduce a new class of anticipative backward stochastic differential equations with a dependence of McKean type on the law of the solution, that we name MKABSDE. We provide existence and uniqueness results in a general framework with relatively general regularity assumptions on the coefficients. We show how such stochastic equations arise within the modern paradigm of derivative pricing where a central counterparty (CCP) requires the members to deposit variation and initial margins to cover their exposure. In the case when the initial margin is proportional to the Conditional Value-at-Risk (CVaR) of the contract price, we apply our general result to define the price as a solution of a MKABSDE. We provide several linear and non-linear simpler approximations, which we solve using different numerical (deterministic and Monte-Carlo) methods.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"62 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78896794","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The aim of this paper is to introduce several new particle representations for ergodic McKean-Vlasov SDEs. We construct new algorithms by leveraging recent progress in weak convergence analysis of interacting particle system. We present detailed analysis of errors and associated costs of various estimators, highlighting key differences between long-time simulations of linear (classical SDEs) versus non-linear (Mckean-Vlasov SDEs) process.
{"title":"New particle representations for ergodic McKean-Vlasov SDEs","authors":"Houssam Alrachid, M. Bossy, C. Ricci, L. Szpruch","doi":"10.1051/PROC/201965068","DOIUrl":"https://doi.org/10.1051/PROC/201965068","url":null,"abstract":"The aim of this paper is to introduce several new particle representations for ergodic McKean-Vlasov SDEs. We construct new algorithms by leveraging recent progress in weak convergence analysis of interacting particle system. We present detailed analysis of errors and associated costs of various estimators, highlighting key differences between long-time simulations of linear (classical SDEs) versus non-linear (Mckean-Vlasov SDEs) process.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"38 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73933303","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The paper deals with the modelling of the relaxation processes towards thermodynamic equilibrium in a liquid-vapour isothermal mixture. Focusing on the van der Waals equation of state, we construct a constrained optimization problem using Gibbs' formalism and characterize all possible equilibria: coexistence states, pure phases and metastable states. Coupling with time evolution, we develop a dynamical system whose equilibria coincide with the minimizers of the optimization problem. Eventually we consider the coupling with hydrodynamics and use the dynamical system as a relaxation source terms in an Euler-type system. Numerical results illustrate the ability of the whole model to depict coexistence and metastable states as well.
{"title":"Vapour-liquid phase transition and metastability","authors":"Hala Ghazi, F. James, H. Mathis","doi":"10.1051/PROC/201966002","DOIUrl":"https://doi.org/10.1051/PROC/201966002","url":null,"abstract":"The paper deals with the modelling of the relaxation processes towards thermodynamic equilibrium in a liquid-vapour isothermal mixture. Focusing on the van der Waals equation of state, we construct a constrained optimization problem using Gibbs' formalism and characterize all possible equilibria: coexistence states, pure phases and metastable states. Coupling with time evolution, we develop a dynamical system whose equilibria coincide with the minimizers of the optimization problem. Eventually we consider the coupling with hydrodynamics and use the dynamical system as a relaxation source terms in an Euler-type system. Numerical results illustrate the ability of the whole model to depict coexistence and metastable states as well.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"72 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90358851","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
B. Bouchard, J. Chassagneux, F. Delarue, E. Gobet, J. Lelong
{"title":"Editorial CEMRACS 2017 – Numerical methods for stochastic models: control, uncertainty quantification, mean-field","authors":"B. Bouchard, J. Chassagneux, F. Delarue, E. Gobet, J. Lelong","doi":"10.1051/PROC/201965000","DOIUrl":"https://doi.org/10.1051/PROC/201965000","url":null,"abstract":"","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"22 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81105052","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In these notes, we present an analytical tool for the derivation of Baer-Nunziato multiphase flow systems with one velocity. We explain the method in the case of the isentropic Navier Stokes equations. We then apply this method to models with temperature and show the main computations which are necessary to the derivation.
{"title":"On baer-nunziato multiphase flow models","authors":"M. Hillairet","doi":"10.1051/proc/201966004","DOIUrl":"https://doi.org/10.1051/proc/201966004","url":null,"abstract":"In these notes, we present an analytical tool for the derivation of Baer-Nunziato multiphase flow systems with one velocity. We explain the method in the case of the isentropic Navier Stokes equations. We then apply this method to models with temperature and show the main computations which are necessary to the derivation.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"40 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78489327","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
B. Fabrèges, Hélène Hivert, K. L. Balc'h, Sofiane Martel, F. Delarue, F. Lagoutière, N. Vauchelet
The aggregation equation is a nonlocal and nonlinear conservation law commonly used to describe the collective motion of individuals interacting together. When interacting potentials are pointy, it is now well established that solutions may blow up in finite time but global in time weak measure valued solutions exist. In this paper we focus on the convergence of particle schemes and finite volume schemes towards these weak measure valued solutions of the aggregation equation.
{"title":"Numerical schemes for the aggregation equation with pointy potentials","authors":"B. Fabrèges, Hélène Hivert, K. L. Balc'h, Sofiane Martel, F. Delarue, F. Lagoutière, N. Vauchelet","doi":"10.1051/PROC/201965384","DOIUrl":"https://doi.org/10.1051/PROC/201965384","url":null,"abstract":"The aggregation equation is a nonlocal and nonlinear conservation law commonly used to describe the collective motion of individuals interacting together. When interacting potentials are pointy, it is now well established that solutions may blow up in finite time but global in time weak measure valued solutions exist. In this paper we focus on the convergence of particle schemes and finite volume schemes towards these weak measure valued solutions of the aggregation equation.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"46 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79056088","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We consider the optimal stopping and optimal control problems related to stochastic variational inequalities modeling elasto-plastic oscillators subject to random forcing. We formally derive the corresponding free boundary value problems and Hamilton-Jacobi-Bellman equations which belong to a class of nonlinear partial of differential equations with nonlocal Dirichlet boundary conditions. Then, we focus on solving numerically these equations by employing a combination of Howard’s algorithm and the numerical approach [A backward Kolmogorov equation approach to compute means, moments and correlations of non-smooth stochastic dynamical systems; Mertz, Stadler, Wylie; 2017] for this type of boundary conditions. Numerical experiments are given.
{"title":"Free boundary value problems and hjb equations for the stochastic optimal control of elasto-plastic oscillators","authors":"M. Laurière, Z. Li, L. Mertz, J. Wylie, S. Zuo","doi":"10.1051/PROC/201965425","DOIUrl":"https://doi.org/10.1051/PROC/201965425","url":null,"abstract":"We consider the optimal stopping and optimal control problems related to stochastic variational inequalities modeling elasto-plastic oscillators subject to random forcing. We formally derive the corresponding free boundary value problems and Hamilton-Jacobi-Bellman equations which belong to a class of nonlinear partial of differential equations with nonlocal Dirichlet boundary conditions. Then, we focus on solving numerically these equations by employing a combination of Howard’s algorithm and the numerical approach [A backward Kolmogorov equation approach to compute means, moments and correlations of non-smooth stochastic dynamical systems; Mertz, Stadler, Wylie; 2017] for this type of boundary conditions. Numerical experiments are given.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"31 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85030708","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A class of non-equilibrium models for compressible multi-component uids is investigated. These models are subject to the choice of interfacial pressures and interfacial velocity as well as relaxation terms for velocity, pressure and chemical potentials. Sufficient conditions are derived for these quantities that ensure meaningful physical properties such as a non-negative entropy production and thermodynamical stability as well as mathematical properties such as hyperbolicity. For the relaxation of chemical potentials a three-component model gas-water-vapor is considered.
{"title":"Closure conditions for a one temperature non-equilibrium multi-component model of baer-nunziato type","authors":"M. Hantke, S. Müller","doi":"10.1051/proc/201966003","DOIUrl":"https://doi.org/10.1051/proc/201966003","url":null,"abstract":"A class of non-equilibrium models for compressible multi-component uids is investigated. These models are subject to the choice of interfacial pressures and interfacial velocity as well as relaxation terms for velocity, pressure and chemical potentials. Sufficient conditions are derived for these quantities that ensure meaningful physical properties such as a non-negative entropy production and thermodynamical stability as well as mathematical properties such as hyperbolicity. For the relaxation of chemical potentials a three-component model gas-water-vapor is considered.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"37 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76427882","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A homogeneous model is proposed in order to deal with the simulation of fast transient three-phase ows involving heat and mass transfer. The model accounts for the full thermodynamical disequilibrium between the three phases in terms of pressure, temperature and Gibbs enthalpy. The heat and mass transfer between the phases is modeled in agreement with the second law of thermodynamics, which ensures a stable return to the thermodynamical equilibrium. The set of partial differential equations associated with this model is based on the Euler set of equations supplemented by a complex pressure law, and by six scalar-equations that allow to account for the thermodynamical disequilibrium. It therefore inherits a simple wave structure and possesses important mathematical properties such as: hyperbolicity, unique shock definition through Rankine-Hugoniot relations, positivity of the mixture fractions. Hence the computation of approximated solutions is possible using classical algorithms, which is illustrated by an example of simulation of a steam-explosion.
{"title":"A homogeneous model for compressible three-phase flows involving heat and mass transfer.","authors":"O. Hurisse, L. Quibel","doi":"10.1051/PROC/201966005","DOIUrl":"https://doi.org/10.1051/PROC/201966005","url":null,"abstract":"A homogeneous model is proposed in order to deal with the simulation of fast transient three-phase ows involving heat and mass transfer. The model accounts for the full thermodynamical disequilibrium between the three phases in terms of pressure, temperature and Gibbs enthalpy. The heat and mass transfer between the phases is modeled in agreement with the second law of thermodynamics, which ensures a stable return to the thermodynamical equilibrium. The set of partial differential equations associated with this model is based on the Euler set of equations supplemented by a complex pressure law, and by six scalar-equations that allow to account for the thermodynamical disequilibrium. It therefore inherits a simple wave structure and possesses important mathematical properties such as: hyperbolicity, unique shock definition through Rankine-Hugoniot relations, positivity of the mixture fractions. Hence the computation of approximated solutions is possible using classical algorithms, which is illustrated by an example of simulation of a steam-explosion.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"76 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74221041","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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