In this paper we revisit the classic theory of forest succession that relates shade tolerance and species replacement and assess its validity to understand patch-mosaic patterns of forested ecosystems of the USA. We introduce a macroscopic parameter called the “shade tolerance index” and compare it to the classic continuum index in southern Wisconsin forests. We exemplify shade tolerance driven succession in White Pine-Eastern Hemlock forests using computer simulations and analyzing approximated chronosequence data from the USDA FIA forest inventory. We describe this parameter across the last 50 years in the ecoregions of mainland USA, and demonstrate that it does not correlate with the usual macroscopic characteristics of stand age, biomass, basal area, and biodiversity measures. We characterize the dynamics of shade tolerance index using transition matrices and delimit geographical areas based on the relevance of shade tolerance to explain forest succession. We conclude that shade tolerance driven succession is linked to climatic variables and can be considered as a primary driving factor of forest dynamics mostly in central-north and northeastern areas in the USA. Overall, the shade tolerance index constitutes a new quantitative approach that can be used to understand and predict succession of forested ecosystems and biogeographic patterns.

In this article we study the exponential behavior of the continuous stochastic Anderson model, i.e. the solution of the stochastic partial differential equation, when the spatial parameter x is continuous, specifically x ∈ R, and W is a Gaussian field on R + × R that is Brownian in time, but whose spatial distribution is widely unrestricted. We give a partial existence result of the Lyapunov exponent defined as lim t→∞ t −1 log u(t, x). Furthermore, we find upper and lower bounds for lim sup t→∞ t −1 log u(t, x) and lim inf t→∞ t −1 log u(t, x) respectively, as functions of the diffusion constant κ which depend on the regularity of W in x. Our bounds are sharper, work for a wider range of regularity scales, and are significantly easier to prove than all previously known results. When the uniform modulus of continuity of the process W is in the logarithmic scale, our bounds are optimal.

We treat the problem of option pricing under the Stochastic Volatility (SV) model: the volatility of the underlying asset is a function of an exogenous stochastic process, typically assumed to be meanreverting. Assuming that only discrete past stock information is available, we adapt an interacting particle stochastic filtering algorithm due to Del Moral, Jacod and Protter (Del Moral et al., 2001) to estimate the SV, and construct a quadrinomial tree which samples volatilities from the SV filter's empirical measure approximation at time 0. Proofs of convergence of the tree to continuous-time SV models are provided.Classical arbitrage-free option pricing is performed on the tree, and provides answers that are close to market prices of options on the SP500 or on blue-chip stocks. We compare our results to non-random volatility models, and to models which continue to estimate volatility after time 0. We show precisely how to calibrate our incomplete market, choosing a specific martingale measure, by using a benchmark option.

We study the numerical solutions for an integro-differential parabolic problem modeling a process with jumps and stochastic volatility in financial mathematics. We present two general algorithms to calculate numerical solutions. The algorithms are implemented in PDE2D, a general-purpose, partial differential equation solver.

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