Carlos Escudero’s research while affiliated with National University of Distance Education and other places

We present a novel class of cloaking in which a region of space is concealed from an ensemble of diffusing particles whose individual trajectories are governed by a stochastic (Langevin) equation. In particular, we simulate how different interpretations of the Langevin equation affect the cloaking performance of an annular single-layer invisibility cloak of smoothly varying diffusivity in two dimensions. Near-perfect cloaking is achieved under the Ito convention, indicated by the cloak preventing particles from accessing an inner core while simultaneously preserving the particle density outside the cloak relative to simulations involving no protected region (and no cloak). Even better cloaking performance can be achieved by regularising the singular behaviour of the cloak -- which we demonstrate through two different approaches. These results establish the foundations of ``stochastic cloaking'', which we believe to be a significant milestone following that of optical and thermal cloaking.

Interpreting the noise in a stochastic differential equation, in particular the It\^o versus Stratonovich dilemma, is a problem that has generated a lot of debate in the physical literature. In the last decades, a third interpretation of noise, given by the so called H\"anggi-Klimontovich integral, has been proposed as better adapted to describe certain physical systems, particularly in statistical mechanics. Herein, we introduce this integral in a precise mathematical manner and analyze its properties, signaling those that has made it appealing within the realm of physics. Subsequently, we employ this integral to model some statistical mechanical systems, as the random dispersal of Langevin particles and the relativistic Brownian motion. We show that, for these classical examples, the H\"anggi-Klimontovich integral is worse adapted than the It\^o integral and even the Stratonovich one.

We derive the fluctuation-dissipation relation and explore its connection with the equipartition theorem and Maxwell-Boltzmann statistics through the use of different stochastic analytical techniques. Our first approach is the theory of backward stochastic differential equations, which arises naturally in this context, and facilitates the understanding of the interplay between these classical results of statistical mechanics. Moreover, it allows to generalize the classical form of the fluctuation-dissipation relation. The second approach consists in deriving forward stochastic differential equations for the energy of an electric system according to both It\^o and Stratonovich stochastic calculus rules. While the It\^o equation possesses a unique solution, which is the physically relevant one, the Stratonovich equation admits this solution along with infinitely many more, none of which has a physical nature. Despite of this fact, some, but not all of them, obey the fluctuation-dissipation relation and the equipartition of energy.

We study the maximization of the logarithmic utility of an insider with different anticipating techniques. Our aim is to compare the usage of the forward and Skorokhod integrals in this context with multiple assets. We show theoretically and with simulations that the Skorokhod insider always overcomes the forward insider, just the opposite of what happens in the case of risk-neutral traders. Moreover, an ordinary trader might overcome both insiders if there is a large enough negative fluctuation in the driving stochastic process that leads to a negative enough final value. Our results point to the fact that the interplay between anticipating stochastic calculus and nonlinear utilities might yield non-intuitive results from the financial viewpoint.

In this work, we study a stochastic version of the Friedmann acceleration equation. This model has been proposed in the cosmology literature as a possible explanation of the uncertainty found in the experimental quantification of the Hubble parameter. Its noise has been tacitly interpreted in the Stratonovich sense. Herein, we prove that this interpretation leads to a positive probability of finite-time blowup of the solution, that is, of the Hubble parameter. In contrast, if we just modify the noise interpretation to that of Itô, then the solution globally exists almost surely. Moreover, the expected asymptotic behavior is found under this interpretation too.

In this work we consider a nonlinear parabolic higher order partial differential equation that has been proposed as a model for epitaxial growth. This equation possesses both global-in-time solutions and solutions that blow up in finite time, for which this blow-up is mediated by its Hessian nonlinearity. Herein, we further analyze its blow-up behaviour by means of the construction of explicit solutions in the square, the disc, and the plane. Some of these solutions show complete blow-up in either finite or infinite time. Finally, we refine a blow-up criterium that was proved for this evolution equation. Still, existent blow-up criteria based on a priori estimates do not completely reflect the singular character of these explicit blowing up solutions.

We study a Black-Scholes market with a finite time horizon and two investors: an honest and an insider trader. We analyze it with anticipating stochastic calculus in two steps. First, we recover the classical result on portfolio optimization that shows that the expected logarithmic utility of the insider is strictly greater than that of the honest trader. Then, we prove that, whenever the market is viable, the honest trader can get a higher logarithmic utility, and therefore more wealth, than the insider with a strictly positive probability. Our proof relies on the analysis of a sort of forward integral variant of the Dol\'eans-Dade exponential process. The main financial conclusion is that the logarithmic utility is perhaps too conservative for some insiders.

In this work we study a stochastic version of the Friedmann acceleration equation. This model has been proposed in the cosmology literature as a possible explanation of the uncertainty found in the experimental quantification of the Hubble parameter. Its noise has been tacitly interpreted in the Stratonovich sense. Herein we prove that this interpretation leads to a positive probability of finite time blow-up of the solution, that is, of the Hubble parameter. In contrast, if we just modify the noise interpretation to that of It\^o, then the solution globally exists almost surely. Moreover, the expected asymptotic behavior is found under this interpretation too.