Publications

2014

• Stochastic Approximation Finite Element method: analytical formulas for multidimensional diffusion process
  
  • Bompis Romain
  • Gobet Emmanuel
  SIAM Journal on Numerical Analysis, Society for Industrial and Applied Mathematics, 2014, 52 (6), pp.3140-3164. We derive an analytical weak approximation of a multidimensional diffusion process as coefficients or time are small. Our methodology combines the use of Gaussian proxys to approximate the law of the diffusion and a Finite Element interpolation of the terminal function applied to the diffusion. We call this method Stochastic Approximation Finite Element (SAFE for short) method. We provide error bounds of our global approximation depending on the diffusion process coefficients, the time horizon and the regularity of the terminal function. Then we give estimates of the computational cost of our algorithm. This shows an improved efficiency compared to Monte-Carlo methods in small and medium dimensions (up to 10), which is confirmed by numerical experiments. (10.1137/130928431)
  DOI : 10.1137/130928431
• A finite elements method to solve the Bloch–Torrey equation applied to diffusion magnetic resonance imaging
  
  • Nguyen Dang Van
  • Li Jing-Rebecca
  • Grebenkov Denis S
  • Le Bihan Denis
  Journal of Computational Physics, Elsevier, 2014, pp.283–302. The complex transverse water proton magnetization subject to diffusion-encoding magnetic field gradient pulses in a heterogeneous medium can be modeled by the multiple compartment Bloch-Torrey partial differential equation (PDE). In addition, steady-state Laplace PDEs can be formulated to produce the homogenized diffusion tensor that describes the diffusion characteristics of the medium in the long time limit. In spatial domains that model biological tissues at the cellular level, these two types of PDEs have to be completed with permeability conditions on the cellular interfaces. To solve these PDEs, we implemented a finite elements method that allows jumps in the solution at the cell interfaces by using double nodes. Using a transformation of the Bloch-Torrey PDE we reduced oscillations in the searched-for solution and simplified the implementation of the boundary conditions. The spatial discretization was then coupled to the adaptive explict Runge-Kutta-Chebychev time-stepping method. Our proposed method is second order accurate in space and second order accurate in time. We implemented this method on the FEniCS C++ platform and show time and spatial convergence results. Finally, this method is applied to study some relevant questions in diffusion MRI. (10.1016/j.jcp.2014.01.009)
  DOI : 10.1016/j.jcp.2014.01.009
• Integrative taxonomy of New Caledonian beetles: species delimitation and definition of the [i]Uloma isoceroides[/i] species group (Coleoptera, Tenebrionidae, Ulomini), with the description of four new species
  
  • Soldati Laurent
  • Kergoat Gael
  • Clamens Anne Laure
  • Jourdan Hervé
  • Jabbour-Zahab Roula
  • Condamine Fabien L.
  Zookeys, Pensoft, 2014, 415, pp.133-167. New Caledonia is an important biodiversity hotspot with much undocumented biodiversity, especially in many insect groups. Here we used an integrative approach to explore species diversity in the tenebrionid genus Uloma (Coleoptera, Tenebrionidae, Ulomini), which encompasses about 150 species, of which 22 are known from New Caledonia. To do so, we focused on a morphologically homogeneous group by comparing museum specimens with material collected during several recent field trips. We also conducted molecular phylogenetic analyses based on a concatenated matrix of four mitochondrial and three nuclear genes for 46 specimens. The morphological study allowed us to discover and describe four new species that belong to the group of interest, the Uloma isoceroides group. Molecular analyses confirmed the species boundaries of several of the previously described species and established the validity of the four new species. The phylogenetic analyses also provided additional information on the evolutionary history of the group, highlighting that a species that was thought to be unrelated to the group was in fact a member of the same evolutionary lineage. Molecular species delimitation confirmed the status of the sampled species of the group and also suggested some hidden (cryptic) biodiversity for at least two species of the group. Altogether this integrative taxonomic approach has allowed us to better define the boundaries of the Uloma isoceroides species group, which comprises at least 10 species: Uloma isoceroides (Fauvel, 1904), Uloma opacipennis (Fauvel, 1904), Uloma caledonica Kaszab, 1982, Uloma paniei Kaszab, 1982, Uloma monteithi Kaszab, 1986, Uloma robusta Kaszab, 1986, Uloma clamensae sp. n., Uloma condaminei sp. n., Uloma jourdani sp. n., and Uloma kergoati sp. n. We advocate more studies on other New Caledonian groups, as we expect that much undocumented biodiversity can be unveiled through the use of similar approaches (10.3897/zookeys.415.6623)
  DOI : 10.3897/zookeys.415.6623
• Estimating the duration of speciation from phylogenies
  
  • Etienne R.S.
  • Morlon H.
  • Lambert A.
  Evolution - International Journal of Organic Evolution, Wiley, 2014, 68 (8), pp.2430-2440. Speciation is not instantaneous but takes time. The protracted birth-death diversification model incorporates this fact and predicts the often observed slowdown of lineage accumulation toward the present. The mathematical complexity of the protracted speciation model has barred estimation of its parameters until recently a method to compute the likelihood of phylogenetic branching times under this model was outlined (Lambert et al. ). Here, we implement this method and study using simulated phylogenies of extant species how well we can estimate the model parameters (rate of initiation of speciation, rate of extinction of incipient and good species, and rate of completion of speciation) as well as the duration of speciation, which is a combination of the aforementioned parameters. We illustrate our approach by applying it to a primate phylogeny. The simulations show that phylogenies often do not contain enough information to provide unbiased estimates of the speciation-initiation rate and the extinction rate, but the duration of speciation can be estimated without much bias. The estimate of the duration of speciation for the primate clade is consistent with literature estimates. We conclude that phylogenies combined with the protracted speciation model provide a promising way to estimate the duration of speciation. (10.1111/evo.12433)
  DOI : 10.1111/evo.12433
• Higher level molecular phylogeny of darkling beetles (Coleoptera: Tenebrionidae)
  
  • Kergoat Gael G.
  • Soldati Laurent L.
  • Clamens Anne Laure
  • Jourdan Hervé
  • Jabbour-Zahab Roula
  • Genson Guénaëlle
  • Bouchard Patrice
  • Condamine Fabien
  Systematic Entomology, Wiley-Blackwell, 2014, 39 (3), pp.486-499. Insect diversity represents about 60% of the estimated million-and-a-half described eukaryotic species worldwide, yet comprehensive and well-resolved intra-ordinal phylogenies are still lacking for the majority of insect groups. This is the case especially for the most species-rich insect group, the beetles (Coleoptera), a group for which less than 4% of the known species have had their DNA sequenced. In this study, we reconstruct the first higher level phylogeny based on DNA sequence data for the species-rich darkling beetles, a family comprising at least 20000 species. Although amongst all families of beetles Tenebrionidae ranks seventh in terms of species diversity, the lack of knowledge on the phylogeny and systematics of the group is such that its monophyly has been questioned (not to mention those of the subfamilies and tribes contained within it). We investigate the evolutionary history of Tenebrionidae using multiple phylogenetic inference methods (Bayesian inference, maximum likelihood and parsimony) to analyse a dataset consisting of eight gene fragments across 404 taxa (including 250 tenebrionid species). Although the resulting phylogenetic framework only encompasses a fraction of the known tenebrionid diversity, it provides important information on their systematics and evolution. Whatever the methods used, our results provide strong support for the monophyly of the family, and highlight the likely paraphyletic or polyphyletic nature of several important tenebrionid subfamilies and tribes, notably the polyphyletic subfamilies Diaperinae and Tenebrioninae that clearly require substantial revision in the future. Some interesting associations in several groups are also revealed by the phylogenetic analyses, such as the pairing of Aphtora Bates with Phrenapatinae. Furthermore this study advances our knowledge of the evolution of the group, providing novel insights into much-debated theories, such as the apparent relict distribution of the tribe Elenophorini. (10.1111/syen.12065)
  DOI : 10.1111/syen.12065
• 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.
• 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
• 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
• 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
• 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
• 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
• 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
• Almost sure optimal hedging strategy
  
  • Gobet Emmanuel
  • Landon Nicolas
  The Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2014, 24 (4), pp.1652--1690. In this work, we study the optimal discretization error of stochastic integrals, in the context of the hedging error.
• Hausdorff measures and dimensions in non equiregular sub-Riemannian manifolds
  
  • Ghezzi Roberta
  • Jean Frédéric
  , 2014, 5, pp.201-218. (10.1007/978-3-319-02132-4_13)
  DOI : 10.1007/978-3-319-02132-4_13
• Tropical Cramer Determinants Revisited
  
  • Akian Marianne
  • Gaubert Stéphane
  • Guterman Alexander
  , 2014, 616, pp.45. We prove general Cramer type theorems for linear systems over various extensions of the tropical semiring, in which tropical numbers are enriched with an information of multiplicity, sign, or argument. We obtain existence or uniqueness results, which extend or refine earlier results of Gondran and Minoux (1978), Plus (1990), Gaubert (1992), Richter-Gebert, Sturmfels and Theobald (2005) and Izhakian and Rowen (2009). Computational issues are also discussed; in particular, some of our proofs lead to Jacobi and Gauss-Seidel type algorithms to solve linear systems in suitably extended tropical semirings.
• Two properties of two-velocity two-pressure models for two-phase flows
  
  • Coquel Frédéric
  • Hérard Jean-Marc
  • Saleh Khaled
  • Seguin Nicolas
  Communications in Mathematical Sciences, International Press, 2014, 12 (3). We study a class of models of compressible two-phase flows. This class, which includes the Baer-Nunziato model, is based on the assumption that each phase is described by its own pressure, velocity and temperature and on the use of void fractions obtained from averaging process. These models are nonconservative and non-strictly hyperbolic. We prove that the mixture entropy is non-strictly convex and that the system admits a symmetric form.
• Inversion of weighted Radon transforms via finite Fourier series weight approximations
  
  • Guillement Jean-Pol
  • Novikov Roman
  Inverse Problems in Science and Engineering, Taylor & Francis, 2014, 22 (5), pp.787–802. We consider weighted Radon transforms on the plane. We show that the Chang approximate inversion formula for these transforms admits a principal refinement as inversion via finite Fourier series weight approximations. We illustrate this inversion approach by numerical examples for the case of the attenuated Radon transforms in the framework of the single-photon emission computed tomography (SPECT).
• Optimization of joint p-variations of Brownian semimartingales
  
  • Gobet Emmanuel
  • Landon Nicolas
  Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2014, 19 (none). We study the optimization of the joint $(p^Y,p^Z)-$variations of two continuous semimartingales $(Y,Z)$ driven by the same Itô process $X$. The $p$-variations are defined on random grids made of finitely many stopping times. We establish an explicit asymptotic lower bound for our criterion, valid in rather great generality on the grids, and we exhibit minimizing sequences of hitting time form. The asymptotics is such that the spatial increments of $X$ and the number of grid points are suitably converging to 0 and $+\infty$ respectively. (10.1214/ECP.v19-2975)
  DOI : 10.1214/ECP.v19-2975
• Avis en réponse à la saisine du 7 novembre 2013, de Madame Marie-Christine Blandin, relative à l’article de Snell et al. (Food and Chemical Toxicology, 2012)
  
  • Bagnis Claude
  • Bar-Hen Avner
  • Barny Marie Anne M. A.
  • Bellivier Florence
  • Berny Philippe
  • Bertheau Yves
  • Boireau Pascal
  • Brévault Thierry
  • Chauvel Bruno B.
  • Coléno François
  • Couvet Denis
  • Dassa Elie
  • de Verneuil Hubert
  • Eychenne Nathalie
  • Franche Claudine
  • Guerche Philippe
  • Guillemain Joël
  • Hernandez Raquet Guillermina
  • Jestin André
  • Klonjkowski Bernard
  • Lavielle Marc
  • Le Corre Valérie V.
  • Lemaire Olivier O.
  • Lereclus Didier
  • Maximilien Rémi
  • Meurs Eliane
  • Moreau de Bellaing Cédric
  • Naffakh Nadia
  • Négre Didier
  • Noyer Jean-Louis
  • Ochatt Sergio
  • Pages Jean-Christophe
  • Parzy Daniel
  • Regnault-Roger Catherine
  • Renard Michel
  • Saindrenan Patrick
  • Simonet Pascal
  • Troadec Marie-Bérengère
  • Vaissière Bernard
  • Vilotte Jean-Luc
  , 2014. Le Haut Conseil des biotechnologies (HCB) a été saisi le 7 novembre 2013 par Madame la Sénatrice Marie-Christine Blandin, en vertu de l’article L531-3 du code de l’environnement, d’une demande d’avis relative à l’article de Snell et al., intitulé «Assessment of the health impact of GM plant diets in long-term and multigenerational animal feeding trials: A literature review», publié dans la revue Food and Chemical Toxicology (Snellet al.,2012). Pour répondre aux questions de la saisine, le Comité Scientifique (CS) du HCB a constitué un groupe de travail ad hoc. A la suite du compte-rendu de ce dernier, le CS du HCB a procédé à l’examen du projet de réponse le 25 février 2014 sous la présidence de Jean-Christophe Pagès.
• 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
• 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
• 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.
• 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
• 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
• 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)