Publications

2014

• Hawkes model for price and trades high-frequency dynamics
  
  • Bacry Emmanuel
  • Muzy Jean-François
  Quantitative Finance, Taylor & Francis (Routledge), 2014, 14 (7), pp.1147-1166. no abstract (10.1080/14697688.2014.897000)
  DOI : 10.1080/14697688.2014.897000
• Strong solutions to the equations of electrically conductive magnetic fluids
  
  • Amirat Youcef
  • Hamdache Kamel
  Journal of Mathematical Analysis and Applications, Elsevier, 2014, 421 (1), pp.75-104. We study the equations of flow of an electrically conductive magnetic fluid, when the fluid is subjected to the action of an external applied magnetic field. The system is formed by the incompressible Navier-Stokes equations, the magnetization relaxation equation of Bloch type and the magnetic induction equation. The system takes into account the Kelvin and Lorentz force densities. We prove the local-in-time existence of the unique strong solution to the system equipped with initial and boundary conditions. We also establish a blow-up criterion for the local strong solution. (10.1016/j.jmaa.2014.06.073)
  DOI : 10.1016/j.jmaa.2014.06.073
• Material interface effects on the topology optimization of multi-phase structures using a level set method
  
  • Vermaak Natasha
  • Michailidis Georgios
  • Parry Guillaume
  • Estevez Raphael
  • Allaire Grégoire
  • Brechet Yves
  Structural and Multidisciplinary Optimization, Springer Verlag, 2014, 50 (4), pp.623-644. A level set method is used as a framework to study the effects of including material interface properties in the optimization of multi-phase elastic and thermoelastic structures. In contrast to previous approaches, the material properties do not have a discontinuous change across the interface that is often represented by a sharp geometric boundary between material regions. Instead, finite material interfaces with monotonic and non-monotonic property variations over a physically motivated interface zone are investigated. Numerical results are provided for several 2D problems including compliance and displacement minimization of structures composed of two and three materials. The results highlight the design performance changes attributed to the presence of the continuously graded material interface properties. (10.1007/s00158-014-1074-2)
  DOI : 10.1007/s00158-014-1074-2
• Level-set approach for Reachability Analysis of Hybrid Systems under Lag Constraints
  
  • Granato Giovanni
  • Zidani Hasnaa
  SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2014, 52 (1), pp.606--628. This study aims at characterizing a reachable set of a hybrid dynamical system with a lag constraint in the switch control. The setting does not consider any controllability assumptions and uses a level-set approach. The approach consists in the introduction of on adequate hybrid optimal control problem with lag constraints on the switch control whose value function allows a characterization of the reachable set. The value function is in turn characterized by a system of quasi-variational inequalities (SQVI). We prove a comparison principle for the SQVI which shows uniqueness of its solution. A class of numerical finite differences schemes for solving the system of inequalities is proposed and the convergence of the numerical solution towards the value function is studied using the comparison principle. Some numerical examples illustrating the method are presented. Our study is motivated by an industrial application, namely, that of range extender electric vehicles. This class of electric vehicles uses an additional module -- the range extender -- as an extra source of energy in addition to its main source -- a high voltage battery. The reachability study of this system is used to establish the maximum range of a simple vehicle model. (10.1137/120874205)
  DOI : 10.1137/120874205
• Global weak solutions to the equations of thermal convection in micropolar fluids subjected to Hall current
  
  • Amirat Youcef
  • Hamdache Kamel
  Nonlinear Analysis: Theory, Methods and Applications, Elsevier, 2014, 102, pp.186-207. In this paper we study the equations describing the thermal convection in an incompressible viscous electrically conducting micropolar fluid in the presence of a magnetic field, taking into account the effect of Hall current. The system is a combination of the generalized magnetic induction, the equations of micropolar fluids and the temperature equation. We prove long-time and large-data existence of a weak solution with decreasing energy to the system posed in a bounded domain of R3 and equipped with initial and boundary conditions.
• Efficiency of the Wang-Landau Algorithm: A Simple Test Case
  
  • Fort Gersende
  • Jourdain Benjamin
  • Kuhn Estelle
  • Lelièvre Tony
  • Stoltz Gabriel
  Applied Mathematics Research eXpress, Oxford University Press (OUP): Policy H - Oxford Open Option A, 2014, 2014 (2), pp.275-311. We analyze the convergence properties of the Wang-Landau algorithm. This sampling method belongs to the general class of adaptive importance sampling strategies which use the free energy along a chosen reaction coordinate as a bias. Such algorithms are very helpful to enhance the sampling properties of Markov Chain Monte Carlo algorithms, when the dynamics is metastable. We prove the convergence of the Wang-Landau algorithm and an associated central limit theorem. (10.1093/amrx/abu003)
  DOI : 10.1093/amrx/abu003
• Second-order necessary conditions in Pontryagin form for optimal control problems
  
  • Bonnans J. Frederic
  • Dupuis Xavier
  • Pfeiffer Laurent
  SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2014, 52 (6), pp.3887-3916. In this report, we state and prove first- and second-order necessary conditions in Pontryagin form for optimal control problems with pure state and mixed control-state constraints. We say that a Lagrange multiplier of an optimal control problem is a Pontryagin multiplier if it is such that Pontryagin's minimum principle holds, and we call optimality conditions in Pontryagin form those which only involve Pontryagin multipliers. Our conditions rely on a technique of partial relaxation, and apply to Pontryagin local minima. (10.1137/130923452)
  DOI : 10.1137/130923452
• Two-dimensional von Neumann--Wigner potentials with a multiple positive eigenvalue
  
  • Novikov Roman
  • Taimanov Iskander
  • Tsarev Sergey
  Functional Analysis and Its Applications, Springer Verlag, 2014, 48 (4), pp.295-297. By the Moutard transformation method we construct two-dimensional Schrodinger operators with real smooth potential decaying at infinity and with a multiple positive eigenvalue. These potentials are rational functions of spatial variables and their sines and cosines.
• The $\Gamma$-limit for singularly perturbed functionals of Perona-Malik type in arbitrary dimension
  
  • Bellettini Giovanni
  • Chambolle Antonin
  • Goldman Michael
  Mathematical Models and Methods in Applied Sciences, World Scientific Publishing, 2014. In this paper we generalize to arbitrary dimensions a one-dimensional equicoerciveness and $\Gamma$-convergence result for a second derivative perturbation of Perona-Malik type functionals. Our proof relies on a new density result in the space of special functions of bounded variation with vanishing diffuse gradient part. This provides a direction of investigation to derive approximation for functionals with discontinuities penalized with a ''cohesive'' energy, that is, whose cost depends on the actual opening of the discontinuity.
• 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
• Weighted Radon transforms and first order differential systems on the plane
  
  • Novikov Roman
  Moscow Mathematical Journal, Independent University of Moscow, 2014, 14 (4), pp.807–823. We consider weighted Radon transforms on the plane, where weights are given as finite Fourier series in angle variable. By means of additive Riemann-Hilbert problem techniques, we reduce inversion of these transforms to solving first order differential systems on $\R^2=\C$ with a decay condition at infinity. As a corollary, we obtain new injectivity and inversion results for weighted Radon transforms on the plane.
• A generalized formulation of the Linear Sampling Method with exact characterization of targets in terms of farfield measurements
  
  • Audibert Lorenzo
  • Haddar Houssem
  Inverse Problems, IOP Publishing, 2014, 30 (035011). We propose and analyze a new formulation of the Linear Sampling Method that uses an exact characterization of the targets shape in terms of the so-called farfield operator (at a fixed frequency). This characterization is based on constructing nearby solutions of the farfield equation using minimizing sequences of a least squares cost functional with an appropriate penalty term. We first provide a general framework for the theoretical foundation of the method in the case of noise-free and noisy measurements operator. We then explicit applications for the case of inhomogeneous inclusions and indicate possible straightforward generalizations. We finally validate the method through some numerical tests and compare the performances with classical LSM and the factorization methods. (10.1088/0266-5611/30/3/035011)
  DOI : 10.1088/0266-5611/30/3/035011
• 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.
• Beyond first-order finite element schemes in micromagnetics
  
  • Kritsikis E.
  • Vaysset A.
  • Buda-Prejbeanu L.D.
  • Alouges F.
  • Toussaint Jean-Christophe
  Journal of Computational Physics, Elsevier, 2014, 256, pp.357. (10.1016/j.jcp.2013.08.035)
  DOI : 10.1016/j.jcp.2013.08.035
• A combination of algebraic, geometric and numerical methods in the contrast problem by saturation in magnetic resonance imaging
  
  • Bonnard Bernard
  • Claeys Mathieu
  • Cots Olivier
  • Jacquemard Alain
  • Martinon Pierre
  , 2014. In this article, the contrast imaging problem by saturation in nuclear magnetic resonance is modeled as a Mayer problem in optimal control. The optimal solution can be found as an extremal solution of the Maximum Principle and analyzed with the recent advanced techniques of geometric optimal control. This leads to a numerical investigation based on shooting and continuation methods implemented in the HamPath software. The results are compared with a direct approach to the optimization problem and implemented within the Bocop toolbox. In complement lmi techniques are used to estimate a global optimum. It is completed with the analysis of the saturation problem of an ensemble of spin particles to deal with magnetic fields inhomogeneities.
• On certain hyperelliptic signals that are natural controls for nonholonomic motion planning
  
  • Gauthier Jean-Paul
  • Monroy-Perez Felipe
  , 2014. In this paper we address the general problem of approximating, in a certain optimal way, non admissible motions of a kinematic system with nonholonomic constraints. Since this kind of problems falls into the general subriemannian geometric setting, it is natural to consider optimality in the sense of approximating by means of subriemannian geodesics. We consider sys-tems modeled by a subriemannian Goursat structure, a particular case being the well known system of a car with trailers, along with the associated parallel parking problem. Several authors approximate the successive Lie brackets by using trigonometric functions. By contrast, we show that the more natural op-timal motions are related with closed hyperelliptic plane curves with a certain number of loops.
• Geometric Control Theory and sub-Riemannian Geometry
  
  • Stefani Gianna
  • Boscain Ugo
  • Gauthier Jean-Paul
  • Sarychev Andrey
  • Sigalotti Mario
  , 2014, pp.372. This volume presents recent advances in the interaction between Geometric Control Theory and sub-Riemannian geometry. On the one hand, Geometric Control Theory used the differential geometric and Lie algebraic language for studying controllability, motion planning, stabilizability and optimality for control systems. The geometric approach turned out to be fruitful in applications to robotics, vision modeling, mathematical physics etc. On the other hand, Riemannian geometry and its generalizations, such as sub-Riemannian, Finslerian geometry etc., have been actively adopting methods developed in the scope of geometric control. Application of these methods has led to important results regarding geometry of sub-Riemannian spaces, regularity of sub-Riemannian distances, properties of the group of diffeomorphisms of sub-Riemannian manifolds, local geometry and equivalence of distributions and sub-Riemannian structures, regularity of the Hausdorff volume.
• VWAP execution and guaranteed VWAP
  
  • Guéant Olivier
  • Guillaume Royer
  SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics, 2014, 5 (1), pp.445-471. If optimal liquidation using VWAP strategies has been considered in the literature, it has never been considered in the presence of permanent market impact and only rarely with execution costs. Moreover, only VWAP strategies have been studied and no pricing of guaranteed VWAP contract is provided. In this article, we develop a model to price guaranteed VWAP contracts in the most general framework for market impact. Numerical applications are also provided. (10.1137/130924676)
  DOI : 10.1137/130924676
• Faster Speciation and Reduced Extinction in the Tropics Contribute to the Mammalian Latitudinal Diversity Gradient
  
  • Rolland Jonathan
  • Condamine Fabien L.
  • Jiguet Frederic
  • Morlon Hélène
  PLoS Biology, Public Library of Science, 2014, 12 (1), pp.e1001775. The increase in species richness from the poles to the tropics, referred to as the latitudinal diversity gradient, is one of the most ubiquitous biodiversity patterns in the natural world. Although understanding how rates of speciation and extinction vary with latitude is central to explaining this pattern, such analyses have been impeded by the difficulty of estimating diversification rates associated with specific geographic locations. Here, we use a powerful phylogenetic approach and a nearly complete phylogeny of mammals to estimate speciation, extinction, and dispersal rates associated with the tropical and temperate biomes. Overall, speciation rates are higher, and extinction rates lower, in the tropics than in temperate regions. The diversity of the eight most species-rich mammalian orders (covering 92% of all mammals) peaks in the tropics, except that of the Lagomorpha (hares, rabbits, and pikas) reaching a maxima in northern-temperate regions. Latitudinal patterns in diversification rates are strikingly consistent with these diversity patterns, with peaks in species richness associated with low extinction rates (Primates and Lagomorpha), high speciation rates (Diprotodontia, Artiodactyla, and Soricomorpha), or both (Chiroptera and Rodentia). Rates of range expansion were typically higher from the tropics to the temperate regions than in the other direction, supporting the ''out of the tropics'' hypothesis whereby species originate in the tropics and disperse into higher latitudes. Overall, these results suggest that differences in diversification rates have played a major role in shaping the modern latitudinal diversity gradient in mammals, and illustrate the usefulness of recently developed phylogenetic approaches for understanding this famous yet mysterious pattern. (10.1371/journal.pbio.1001775)
  DOI : 10.1371/journal.pbio.1001775
• Convexities on ordered structures have their Krein--Milman theorem
  
  • Poncet Paul
  Journal of Convex Analysis, Heldermann, 2014, 21 (1), pp.89--120. We show analogues of the classical Krein-Milman theorem for several ordered algebraic structures, especially in a semilattice (non-linear) framework. In that case, subsemilattices are seen as convex subsets, and for our proofs we use arguments from continuous lattice theory and abstract convexity theory.
• A linearized approach to worst-case design in parametric and geometric shape optimization
  
  • Allaire Grégoire
  • Dapogny Charles
  Mathematical Models and Methods in Applied Sciences, World Scientific Publishing, 2014, 24 (11), pp.2199-2257. The purpose of this article is to propose a deterministic method for optimizing a structure with respect to its worst possible behavior when a 'small' uncertainty exists over some of its features. The main idea of the method is to linearize the considered cost function with respect to the uncertain parameters, then to consider the supremum function of the obtained linear approximation, which can be rewritten as a more 'classical' function of the design, owing to standard adjoint techniques from optimal control theory. The resulting 'linearized worst-case' objective function turns out to be the sum of the initial cost function and of a norm of an adjoint state function, which is dual with respect to the considered norm over perturbations. This formal approach is very general, and can be justified in some special cases. In particular, it allows to address several problems of considerable importance in both parametric and shape optimization of elastic structures, in a unified framework. (10.1142/S0218202514500195)
  DOI : 10.1142/S0218202514500195
• Local properties of almost-Riemannian structures in dimension 3
  
  • Boscain Ugo
  • Charlot Grégoire
  • Gaye Moussa
  • Mason Paolo
  Discrete and Continuous Dynamical Systems - Series A, American Institute of Mathematical Sciences, 2014, 35 (9). A 3D almost-Riemannian manifold is a generalized Riemannian manifold defined locally by 3 vector fields that play the role of an orthonormal frame, but could become collinear on some set $\Zz$ called the singular set. Under the Hormander condition, a 3D almost-Riemannian structure still has a metric space structure, whose topology is compatible with the original topology of the manifold. Almost-Riemannian manifolds were deeply studied in dimension 2. In this paper we start the study of the 3D case which appear to be reacher with respect to the 2D case, due to the presence of abnormal extremals which define a field of directions on the singular set. We study the type of singularities of the metric that could appear generically, we construct local normal forms and we study abnormal extremals. We then study the nilpotent approximation and the structure of the corresponding small spheres. We finally give some preliminary results about heat diffusion on such manifolds.
• Numerical study of a macroscopic finite pulse model of the diffusion MRI signal
  
  • Li Jing-Rebecca
  • Nguyen Hang Tuan
  • Nguyen Dang Van
  • Haddar Houssem
  • Coatléven Julien
  • Le Bihan Denis
  Journal of Magnetic Resonance, Elsevier, 2014, pp.54–65. Diffusion magnetic resonance imaging (dMRI) is an imaging modality that probes the diffusion characteristics of a sample via the application of magnetic field gradient pulses. The dMRI signal from a heterogeneous sample includes the contribution of the water proton magnetization from all spatial positions in a voxel. If the voxel can be spatially divided into different Gaussian diffusion compartments with inter-compartment exchange governed by linear kinetics, then the dMRI signal can be approximated using the macroscopic Karger model, which is a system of coupled ordinary differential equations (ODEs), under the assumption that the duration of the diffusion-encoding gradient pulses is short compared to the diffusion time (the narrow pulse assumption). \soutnew{Recently, a new macroscopic ODE model of the dMRI signal, the Finite Pulse ODE (FP-ODE) model, was derived from the Bloch-Torrey partial differential equation (PDE), without the narrow pulse restriction, using periodic homogenization techniques.}{Recently, a new macroscopic model of the dMRI signal, without the narrow pulse restriction, was derived from the Bloch-Torrey partial differential equation (PDE) using periodic homogenization techniques.} \soutnew{When restricted to narrow pulses, the FP-ODE model has the same form as the Karger model.}{When restricted to narrow pulses, this new homogenized model has the same form as the Karger model.} We conduct a numerical study of the \soutnew{FP-ODE}{new homogenized} model for voxels that are made up of periodic copies of a representative volume that contains spherical and cylindrical cells of various sizes and orientations and show that the signal predicted by the \soutnew{FP-ODE}{new} model approaches the reference signal obtained by solving the full Bloch-Torrey PDE in $O(\veps^2)$, where $\veps$ is the ratio between the size of the representative volume and \soutnew{the diffusion displacement}{a measure of the diffusion length}. When the narrow gradient pulse assumption is not satisfied, the \soutnew{FP-ODE}{new homogenized} model offers a much better approximation of the full PDE signal than the Karger model. Finally, preliminary results of applying the \soutnew{FP-ODE}{new} model to a voxel that is not made up of periodic copies of a representative volume are shown and discussed. (10.1016/j.jmr.2014.09.004)
  DOI : 10.1016/j.jmr.2014.09.004
• A Robust Entropy-Satisfying Finite Volume Scheme for the Isentropic Baer-Nunziato Model
  
  • Coquel Frédéric
  • Hérard Jean-Marc
  • Saleh Khaled
  • Seguin Nicolas
  ESAIM: Mathematical Modelling and Numerical Analysis, Société de Mathématiques Appliquées et Industrielles (SMAI) / EDP, 2014, 48 (1), pp.165-206. We construct an approximate Riemann solver for the isentropic Baer-Nunziato two-phase flow model, that is able to cope with arbitrarily small values of the statistical phase fractions. The solver relies on a relaxation approximation of the model for which the Riemann problem is exactly solved for subsonic relative speeds. In an original manner, the Riemann solutions to the linearly degenerate relaxation system are allowed to dissipate the total energy in the vanishing phase regimes, thereby enforcing the robustness and stability of the method in the limits of small phase fractions. The scheme is proved to satisfy a discrete entropy inequality and to preserve positive values of the statistical fractions and densities. The numerical simulations show a much higher precision and a more reduced computational cost (for comparable accuracy) than standard numerical schemes used in the nuclear industry. Finally, two test-cases assess the good behavior of the scheme when approximating vanishing phase solutions. (10.1051/m2an/2013101)
  DOI : 10.1051/m2an/2013101
• 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)