Publications

2014

• Variance optimal hedging for continuous time additive processes and applications
  
  • Goutte Stéphane
  • Oudjane Nadia
  • Russo Francesco
  Stochastics: An International Journal of Probability and Stochastic Processes, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2014, 81 (1), pp.147--185. For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is an exponential of an additive process.
This allows to provide an efficient algorithm for solving the
mean variance hedging problem.
Applications to models derived from the electricity market are performed. (10.1080/17442508.2013.774402)
  DOI : 10.1080/17442508.2013.774402
• An approximation scheme for an Eikonal Equation with discontinuous coefficient
  
  • Festa Adriano
  • Falcone Maurizio
  SIAM Journal on Numerical Analysis, Society for Industrial and Applied Mathematics, 2014, 52 (1), pp.236-257.. We consider the stationary Hamilton-Jacobi equation where the dynamics can vanish at some points, the cost function is strictly positive and is allowed to be discontinuous. More precisely, we consider special class of discontinuities for which the notion of viscosity solution is well-suited. We propose a semi-Lagrangian scheme for the numerical approximation of the viscosity solution in the sense of Ishii and we study its properties. We also prove an a-priori error estimate for the scheme in an integral norm. The last section contains some applications to control and image processing problems. (10.1137/120901829)
  DOI : 10.1137/120901829
• Finite element computation of trapped and leaky elastic waves in open stratified waveguides
  
  • Treyssede Fabien
  • Nguyen Khac-Long
  • Bonnet-Ben Dhia Anne-Sophie
  • Hazard Christophe
  Wave Motion, Elsevier, 2014, 51 (7), pp.pp.1093-1107. Elastic guided waves are of interest for inspecting structures due to their ability to propagate over long distances. In numerous applications, the guiding structure is surrounded by a solid matrix that can be considered as unbounded in the transverse directions. The physics of waves in such an open waveguide significantly differs from a closed waveguide, i.e. for a bounded cross-section. Except for trapped modes, part of the energy is radiated in the surrounding medium, yielding attenuated modes along the axis called leaky modes. These leaky modes have often been considered in non destructive testing applications, which require waves of low attenuation in order to maximize the inspection distance. The main difficulty with numerical modeling of open waveguides lies in the unbounded nature of the geometry in the transverse direction. This difficulty is particularly severe due to the unusual behavior of leaky modes: while attenuating along the axis, such modes exponentially grow along the transverse direction. A simple numerical procedure consists in using absorbing layers of artificially growing viscoelasticity, but large layers may be required. The goal of this paper is to explore another approach for the computation of trapped and leaky modes in open waveguides. The approach combines the so-called semi-analytical finite element method and a perfectly matched layer technique. Such an approach has already been successfully applied in scalar acoustics and electromagnetism. It is extended here to open elastic waveguides, which raises specific difficulties. In this paper, two-dimensional stratified waveguides are considered. As it reveals a rich structure, the numerical eigenvalue spectrum is analyzed in a first step. This allows to clarify the spectral objects calculated with the method, including radiation modes, and their dependency on the perfectly matched layer parameters. In a second step, numerical dispersion curves of trapped and leaky modes are compared to analytical results. (10.1016/j.wavemoti.2014.05.003)
  DOI : 10.1016/j.wavemoti.2014.05.003
• Improved multimodal method in varying cross section waveguides
  
  • Maurel Agnes
  • Mercier Jean-François
  • Pagneux Vincent
  Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences, Royal Society, The, 2014, 470, pp.20130448. An improved version of the multimodal admittance method in acoustic waveguides with varying cross sections is presented. This method aims at a better convergence with respect to the number of transverse modes that are taken into account. It is based on an enriched modal expansion of the pressure: the N first modes are the local transverse modes and a supplementary (N+1)th mode, called boundary mode, is a well-chosen transverse function orthogonal to the N first modes. This expansion leads to the classical form of the coupled mode equations where the component of the boundary mode is of evanescent character. Under this form, the multimodal admittance method based on the Riccati equation on the admittance matrix (the Dirichlet-to-Neumann operator) is straightforwardly implemented. With this supplementary mode, in addition to the improvement of the convergence of the pressure field, results show a superconvergence of the scattered field outside of the varying cross sections region. (10.1098/rspa.2013.0448)
  DOI : 10.1098/rspa.2013.0448
• Transmission conditions on interfaces for Hamilton-Jacobi-Bellman equations
  
  • Rao Zhiping
  • Siconolfi Antonio
  • Zidani Hasnaa
  Journal of Differential Equations, Elsevier, 2014, 257 (11), pp.3978--4014. We establish a comparison principle for a Hamilton-Jacobi-Bellman equation, more appropriately a system, related to an infinite horizon problem in presence of an interface. Namely a low dimensional subset of the state variable space where discontinuities in controlled dynamics and costs take place. Since corresponding Hamiltonians, at least for the subsolution part, do not enjoy any semicontinuity property, the comparison argument is rather based on a separation principle of the controlled dynamics across the interface. For this, we essentially use the notion of "-partition and minimal "-partition for intervals of definition of an integral trajectory. (10.1016/j.jde.2014.07.015)
  DOI : 10.1016/j.jde.2014.07.015
• Quick reachability and proper extension for problems with unbounded controls
  
  • Aronna Maria Soledad
  • Motta Monica
  • Rampazzo Franco
  , 2014. For a CONTROL SYSTEM of the form _ x = f (x; u; v) + Σm =1 g (x)u_ ; on [0;T]; (x; u)(0) = ( x; u); with x : [0;T] ! IRn; u : [0;T] ! U IRm; v : [0;T] ! V IRl ; we rely on the notion of LIMIT SOLUTION, and we investigate whether minimum problems with L1controls are PROPER EXTENSIONS of regular problems with more regular controls (AC or BV). Motivation: optimality conditions, numerical methods, etc.
• 2-Stage Robust MILP with continuous recourse variables
  
  • Billionnet Alain
  • Costa Marie-Christine
  • Poirion Pierre-Louis
  Discrete Applied Mathematics, Elsevier, 2014, 170, pp.21-32. We solve a linear robust problem with mixed-integer first-stage variables and continuous second stage variables. We consider column wise uncertainty. We first focus on a problem with right hand-side uncertainty which satisfies a "full recourse property" and a specific definition of the uncertainty. We propose a solution based on a generation constraint algorithm. Then we give some generalizations of the approach: for left-hand side uncertainty and for uncertainty sets defined by a polytope. Finally we solve the problem when the "full recourse property" is not satisfied. (10.1016/j.dam.2014.01.017)
  DOI : 10.1016/j.dam.2014.01.017
• Complexity in control-affine systems
  
  • Jean Frédéric
  • Prandi Dario
  , 2014. We will consider affine-control systems, i.e., systems in the form _ q(t) = f0(q(t)) + Xm i=1 ui (t)fi (q(t)) Here, the point q belongs to a smooth manifold M the fi 's are smooth vector fields on M u 2 L1([0;T];Rm) This type of system appears in many applications Mechanical systems Quantum control Microswimmers (Tucsnak, Alouges) Neuro-geometry of vision (Mumfor, Petitot)
• Local transformation leading to an efficient Fourier modal method for perfectly conducting gratings
  
  • Félix Simon
  • Maurel Agnes
  • Mercier Jean-François
  Journal of the Optical Society of America, Optical Society of America, 2014, 31 (10), pp.2249-2255. We present an efficient Fourier modal method for wave scattering by perfectly conducting gratings (in the two polarizations). The method uses a geometrical transformation, similar to the one used in the C-method, that transforms the grating surface into a flat surface, thus avoiding to question the Rayleigh hypothesis; also, the transformation only affects a bounded inner region that naturally matches the outer region; this allows applying a simple criterion to select the ingoing and outgoing waves. The method is shown to satisfy reciprocity and energy conservation, and it has an exponential rate of convergence for regular groove shapes. Besides, it is shown that the size of the inner region, where the solution is computed, can be reduced to the groove depth, that is, to the minimal computation domain. (10.1364/JOSAA.31.002249)
  DOI : 10.1364/JOSAA.31.002249
• Generalized method for retrieving effective parameters of anisotropic metamaterials
  
  • Mercier Jean-François
  • Castanié Aurore
  • Félix Simon
  • Maurel Agnes
  Optics Express, Optical Society of America - OSA Publishing, 2014, 22 (24), pp.29977-29953. Electromagnetic or acoustic metamaterials can be described in terms of equivalent effective, in general anisotropic, media and several techniques exist to determine the effective permeability and permittivity (or effective mass density and bulk modulus in the context of acoustics). Among these techniques, retrieval methods use the measured reflection and transmission coefficients (or scattering coefficients) for waves incident on a metamaterial slab containing few unit cells. Until now, anisotropic effective slabs have been considered in the literature but they are limited to the case where one of the axes of anisotropy is aligned with the slab interface. We propose an extension to arbitrary orientations of the principal axes of anisotropy and oblique incidence. The retrieval method is illustrated in the electromagnetic case for layered media, and in the acoustic case for array of tilted elliptical particles. (10.1364/OE.22.029937)
  DOI : 10.1364/OE.22.029937
• Wood's anomalies for arrays of dielectric scatterers
  
  • Maurel Agnès
  • Félix Simon
  • Mercier Jean-François
  • Ourir Abdelwaheb
  • Djeffal Zine Eddine
  Journal of the European Optical Society : Rapid publications, European Optical Society, 2014, 9, pp.14001. The Rayleigh Wood anomalies refer to an unexpected repartition of the electromagnetic energy between the several interference orders of the light emerging from a grating. Since Hessel and Oliner (Appl. Opt. 4, 1275-1297 (1965)), several studies have been dedicated to this problem, focusing mainly on the case of metallic gratings. In this paper, we derive explicit expressions of the reflection coefficients in the case of dielectric gratings using a perturbative approach. This is done in a multimodal description of the field combined with the use of the admittance matrix, analog to the so-called electromagnetic impedance. Comparisons with direct numerical calculations show a good agreement with our analytical prediction. (10.2971/jeos.2014.14001)
  DOI : 10.2971/jeos.2014.14001
• Mathematical modeling of a discontinuous Myers condition
  
  • Lunéville Éric
  • Mercier Jean-François
  ESAIM: Mathematical Modelling and Numerical Analysis, Société de Mathématiques Appliquées et Industrielles (SMAI) / EDP, 2014, 48 (5), pp.1529-1555. (10.1051/m2an/2014008)
  DOI : 10.1051/m2an/2014008
• A new Fast Multipole formulation for the elastodynamic half-space Green's tensor
  
  • Chaillat Stéphanie
  • Bonnet Marc
  Journal of Computational Physics, Elsevier, 2014, 258, pp.787-808. In this article, a version of the frequency-domain elastodynamic Fast Multipole-Boundary Element Method (FM-BEM) for semi-infinite media, based on the half-space Green's tensor (and hence avoiding any discretization of the planar traction-free surface), is presented. The half-space Green's tensor is often used (in non-multipole form until now) for computing elastic wave propagation in the context of soil-structure interaction, with applications to seismology or civil engineering. However, unlike the full-space Green's tensor, the elastodynamic half-space Green's tensor cannot be expressed using derivatives of the Helmholtz fundamental solution. As a result, multipole expansions of that tensor cannot be obtained directly from known expansions, and are instead derived here by means of a partial Fourier transform with respect to the spatial coordinates parallel to the free surface. The obtained formulation critically requires an efficient quadrature for the Fourier integral, whose integrand is both singular and oscillatory. Under these conditions, classical Gaussian quadratures would perform poorly, fail or require a large number of points. Instead, a version custom-tailored for the present needs of a methodology proposed by Rokhlin and coauthors, which generates generalized Gaussian quadrature rules for specific types of integrals, has been implemented. The accuracy and efficiency of the proposed formulation is demonstrated through numerical experiments on single-layer elastodynamic potentials involving up to about $N=6 10^5$ degrees of freedom. In particular, a complexity significantly lower than that of the non-multipole version is shown to be achieved. (10.1016/j.jcp.2013.11.010)
  DOI : 10.1016/j.jcp.2013.11.010
• Optimal control of leukemic cell population dynamics
  
  • Dupuis Xavier
  Mathematical Modelling of Natural Phenomena, EDP Sciences, 2014, 9 (1), pp.4-26. We are interested in optimizing the co-administration of two drugs for some acute myeloid leukemias (AML), and we are looking for in vitro protocols as a first step. This issue can be formulated as an optimal control problem. The dynamics of leukemic cell populations in culture is given by age-structured partial differential equations, which can be reduced to a system of delay differential equations, and where the controls represent the action of the drugs. The objective function relies on eigenelements of the uncontrolled model and on general relative entropy, with the idea to maximize the efficiency of the protocols. The constraints take into account the toxicity of the drugs. We present in this paper the modeling aspects, as well as theoretical and numerical results on the optimal control problem that we get. (10.1051/mmnp/20149102)
  DOI : 10.1051/mmnp/20149102
• Edge Element Methods for Maxwell's Equations with Strong Convergence for Gauss' Laws
  
  • Ciarlet Patrick
  • Wu Haijun
  • Zou Jun
  SIAM Journal on Numerical Analysis, Society for Industrial and Applied Mathematics, 2014, 52 (2), pp.779-807. In this paper we propose and investigate some edge element approximations for three Maxwell systems in three dimensions: the stationary Maxwell equations, the time-harmonic Maxwell equations and the time-dependent Maxwell equations. These approximations have three novel features. First, the resulting discrete edge element systems can be solved by some existing preconditioned solvers with optimal convergence rate independent of finite element meshes, including the stationary Maxwell equations. Second, they ensure the optimal strong convergence of the Gauss' laws in some appropriate norm, in addition to the standard optimal convergence in energy-norm, under the general weak regularity assumptions that hold for both convex and non-convex polyhedral domains and for the discontinuous coefficients that may have large jumps across the interfaces between different media. Finally, no saddle-point discrete systems are needed to solve for the stationary Maxwell equations, unlike most existing edge element schemes. (10.1137/120899856)
  DOI : 10.1137/120899856
• Optimal feedback control of undamped wave equations by solving a HJB equation
  
  • Kröner Axel
  • Kunisch Karl
  • Zidani Hasnaa
  ESAIM: Control, Optimisation and Calculus of Variations, EDP Sciences, 2014, 21 (2), pp.442 - 464. An optimal fi nite-time horizon feedback control problem for (semi linear) wave equations is presented. The feedback law can be derived from the dynamic programming principle and requires to solve the evolutionary Hamilton-Jacobi-Bellman (HJB) equation. Classical discretization methods based on nite elements lead to approximated problems governed by ODEs in high dimensional space which makes infeasible the numerical resolution by HJB approach. In the present paper, an approximation based on spectral elements is used to discretize the wave equation. The e ffect of noise is considered and numerical simulations are presented to show the relevance of the approach. (10.1051/cocv/2014033)
  DOI : 10.1051/cocv/2014033
• The covariation for Banach space valued processes and applications
  
  • Di Girolami Cristina
  • Fabbri Giorgio
  • Russo Francesco
  Metrika, Springer Verlag, 2014, 77 (1), pp.51–104. This article focuses on a new concept of quadratic variation for processes taking values in a Banach space $B$ and a corresponding covariation. This is more general than the classical one of Métivier and Pellaumail. Those notions are associated with some subspace $\chi$ of the dual of the projective tensor product of $B$ with itself. We also introduce the notion of a convolution type process, which is a natural generalization of the Itô process and the concept of $\bar \nu_0$-semimartingale, which is a natural extension of the classical notion of semimartingale. The framework is the stochastic calculus via regularization in Banach spaces. Two main applications are mentioned: one related to Clark-Ocone formula for finite quadratic variation processes; the second one concerns the probabilistic representation of a Hilbert valued partial differential equation of Kolmogorov type. (10.1007/s00184-013-0472-6)
  DOI : 10.1007/s00184-013-0472-6
• Study of a Model Equation in Detonation Theory
  
  • Faria Luiz
  • Kasimov Aslan
  • Rosales Rodolfo
  SIAM Journal on Applied Mathematics, Society for Industrial and Applied Mathematics, 2014, 74 (2), pp.547-570. (10.1137/130938232)
  DOI : 10.1137/130938232
• The "exterior approach" to solve the inverse obstacle problem for the Stokes system
  
  • Bourgeois Laurent
  • Dardé Jérémi
  Inverse Problems and Imaging, AIMS American Institute of Mathematical Sciences, 2014, pp.Pages: 23 - 51. We apply an "exterior approach" based on the coupling of a method of quasi-reversibility and of a level set method in order to recover a fixed obstacle immersed in a Stokes flow from boundary measurements. Concerning the method of quasi-reversibility, two new mixed formulations are introduced in order to solve the ill-posed Cauchy problems for the Stokes system by using some classical conforming infite elements. We provide some proofs for the convergence of the quasi-reversibility methods on the one hand and of the level set method on the other hand. Some numerical experiments in 2D show the effciency of the two mixed formulations and of the exterior approach based on one of them. (10.3934/ipi.2014.8.23)
  DOI : 10.3934/ipi.2014.8.23
• The finite element method in solid mechanics
  
  • Bonnet Marc
  • Frangi Attilio
  • Rey Christian
  , 2014, pp.365. The book focuses on topics that are at the core of the Finite Element Method (FEM) for the mechanics of deformable solids and structures.Its main objective is to provide the reader, who is assumed to be familiar with standard continuum solid mechanics, with a clear grasp of the essentials, sufficient background for reading and exploiting the research literature on computational solid mechanics, and a working knowledge of the main implementational issues of the FEM.This book arises from a course taught since 2004 to last-year students of Ecole Polytechnique (France). It is intended for Master and PhD students, as well as scientists and engineers looking for a rigorous introduction to FEM theory and programming for linear and non-linear analyses in solid mechanics.As a distinguishing feature, in addition to sections devoted to theory and concepts presented in general terms, each chapter also features other sections (interspersed with the former) devoted to detailed description of specific features (e.g. the construction of a specific finite element), annotated Matlab code and/or numerical examples produced with it, or worked-out analytical examples.
• Control of Nonholonomic Systems: from Sub-Riemannian Geometry to Motion Planning
  
  • Jean Frédéric
  , 2014. Nonholonomic systems are control systems which depend linearly on the control. Their underlying geometry is the sub-Riemannian geometry, which plays for these systems the same role as Euclidean geometry does for linear systems. In particular the usual notions of approximations at the first order, that are essential for control purposes, have to be defined in terms of this geometry. The aim of these notes is to present these notions of approximation and their application to the motion planning problem for nonholonomic systems. The notes are divided into three chapters and two appendices. In Chapter 1 we introduce the basic definitions on nonholonomic systems and sub-Riemannian geometry, and give the main result on controllability, namely the Chow-Rashevsky Theorem. Chapter 2 provides a detailed exposition of the notions of first-order approximation, including nonholonomic orders, privileged coordinates, nilpotent approximations, and distance estimates such as the Ball-Box Theorem. As an application we show how these notions allow us to describe the tangent structure to a Carnot-Carathéodory space (the metric space defined by a sub-Riemannian distance). The chapter ends with the presentation of desingularization procedures, that are necessary to recover uniformity in approximations and distance estimates. Chapter 3 is devoted to the motion planning problem for nonholonomic systems. We show in particular how to apply the tools from sub-Riemannian geometry in order to give solutions to this problem, first in the case where the system is nilpotent, and then in the general case. An overview of the existing methods for nonholonomic motion planning concludes this chapter. Finally, we present some results on composition of flows in connection with the Campbell-Hausdorff formula in Appendix A, and some complements on the different systems of privileged coordinates in Appendix B. (10.1007/978-3-319-08690-3)
  DOI : 10.1007/978-3-319-08690-3
• GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization.
  
  • Ceci Claudia
  • Cretarola Alessandra
  • Russo Francesco
  Stochastics and Dynamics, World Scientific Publishing, 2014, 14 (2), pp.1350019. In this paper we provide Galtchouk-Kunita-Watanabe representation results in the case where there are restrictions on the available information. This allows to prove existence and uniqueness for linear backward stochastic differential equations driven by a general càdlàg martingale under partial information. Furthermore, we discuss an application to risk-minimization where we extend the results of Föllmer and Sondermann (1986) to the partial information framework and we show how our result fits in the approach of Schweizer (1994). (10.1142/S0219493713500196)
  DOI : 10.1142/S0219493713500196
• Numerical modeling of nonlinear acoustic waves in a tube connected with Helmholtz resonators
  
  • Lombard Bruno
  • Mercier Jean-François
  Journal of Computational Physics, Elsevier, 2014, 259, pp.421-443. Acoustic wave propagation in a one-dimensional waveguide connected with Helmholtz resonators is studied numerically. Finite amplitude waves and viscous boundary layers are considered. The model consists of two coupled evolution equations: a nonlinear PDE describing nonlinear acoustic waves, and a linear ODE describing the oscillations in the Helmholtz resonators. The thermal and viscous losses in the tube and in the necks of the resonators are modeled by fractional derivatives. A diffusive representation is followed: the convolution kernels are replaced by a finite number of memory variables that satisfy local ordinary differential equations. A splitting method is then applied to the evolution equations: their propagative part is solved using a standard TVD scheme for hyperbolic equations, whereas their diffusive part is solved exactly. Various strategies are examined to compute the coefficients of the diffusive representation; finally, an optimization method is preferred to the usual quadrature rules. The numerical model is validated by comparisons with exact solutions. The properties of the full nonlinear solutions are investigated numerically. In particular, the existence of acoustic solitary waves is confirmed. (10.1016/j.jcp.2013.11.036)
  DOI : 10.1016/j.jcp.2013.11.036
• High-order asymptotic expansion for the acoustics in viscous gases close to rigid walls
  
  • Schmidt Kersten
  • Anastasia Thöns-Zueva
  • Joly Patrick
  Mathematical Models and Methods in Applied Sciences, World Scientific Publishing, 2014, pp.1823. (10.1142/S0218202514500080)
  DOI : 10.1142/S0218202514500080
• Space-time focusing of acoustic waves on unknown scatterers
  
  • Cassier Maxence
  • Hazard Christophe
  Wave Motion, Elsevier, 2014, pp.19. Consider a propagative medium, possibly inhomogeneous, containing some scatterers whose positions are unknown. Using an array of transmit-receive transducers, how can one generate a wave that would focus in space and time near one of the scatterers, that is, a wave whose energy would confine near the scatterer during a short time? The answer proposed in the present paper is based on the so-called DORT method (French acronym for: decomposition of the time reversal operator) which has led to numerous applications owing to the related space-focusing properties in the frequency domain, i.e., for time-harmonic waves. This method essentially consists in a singular value decomposition (SVD) of the scattering operator, that is, the operator which maps the input signals sent to the transducers to the measure of the scattered wave. By introducing a particular SVD related to the symmetry of the scattering operator, we show how to synchronize the time-harmonic signals derived from the DORT method to achieve space-time focusing. We consider the case of the scalar wave equation and we make use of an asymptotic model for small sound-soft scatterers, usually called the Foldy-Lax model. In this context, several mathematical and numerical arguments that support our idea are explored. (10.1016/j.wavemoti.2014.07.009)
  DOI : 10.1016/j.wavemoti.2014.07.009