Convex duality and the Skorokhod Problem. I

The solution to the Skorokhod Problem defines a deterministic mapping, referred to as the Skorokhod Map, that takes unconstrained paths to paths that are confined to live within a given domain G⊂ℝ ⁿ . Given a set of allowed constraint directions for each point of ∂G and a path ψ, the solution to the Skorokhod Problem defines the constrained version φ of ψ, where the constraining force acts along one of the given boundary directions using the “least effort” required to keep φ in G. The Skorokhod Map is one of the main tools used in the analysis and construction of constrained deterministic and stochastic processes. When the Skorokhod Map is sufficiently regular, and in particular when it is Lipschitz continuous on path space, the study of many problems involving these constrained processes is greatly simplified. We focus on the case where the domain G is a convex polyhedron, with a constant and possibly oblique constraint direction specified on each face of G, and with a corresponding cone of constraint directions at the intersection of faces. The main results to date for problems of this type were obtained by Harrison and Reiman [22] using contraction mapping techniques. In this paper we discuss why such techniques are limited to a class of Skorokhod Problems that is a slight generalization of the class originally considered in [22]. We then consider an alternative approach to proving regularity of the Skorokhod Map developed in [13]. In this approach, Lipschitz continuity of the map is proved by showing the existence of a convex set that satisfies a set of conditions defined in terms of the data of the Skorokhod Problem. We first show how the geometric condition of [13] can be reformulated using convex duality. The reformulated condition is much easier to verify and, moreover, allows one to develop a general qualitative theory of the Skorokhod Map. An additional contribution of the paper is a new set of methods for the construction of solutions to the Skorokhod Problem. These methods are applied in the second part of this paper [17] to particular classes of Skorokhod Problems. Received: 17 April 1998 / Revised version: 8 January 1999     

Invariant manifolds for weak solutions to stochastic equations

Viability and invariance problems related to a stochastic equation in a Hilbert space H are studied. Finite dimensional invariant C ² submanifolds of H are characterized. We derive Nagumo type conditions and prove a regularity result: any weak solution, which is viable in a finite dimensional C ² submanifold, is a strong solution. These results are related to finding finite dimensional realizations for stochastic equations. There has recently been increased interest in connection with a model for the stochastic evolution of forward rate curves. Received: 15 April 1999 / Revised version: 4 February 2000 / Published online: 18 September 2000     

Infinite-dimensional Langevin equations: uniqueness and rate of convergence for finite-dimensional approximations

The paper deals with the infinite-dimensional stochastic equation dX= B(t, X) dt + dW driven by a Wiener process which may also cover stochastic partial differential equations. We study a certain finite dimensional approximation of B(t, X) and give a qualitative bound for its rate of convergence to be high enough to ensure the weak uniqueness for solutions of our equation. Examples are given demonstrating the force of the new condition. Received: 6 November 1999 / Revised version: 21 August 2000 / Published online: 6 April 2001     

Nonlinear stochastic wave and heat equations

We study nonlinear wave and heat equations on ℝ ^d driven by a spatially homogeneous Wiener process. For the wave equation we consider the cases of d = 1, 2, 3. The heat equation is considered on an arbitrary ℝ ^d -space. We give necessary and sufficient conditions for the existence of a function-valued solution in terms of the covariance kernel of the noise. Received: 1 April 1998 / Revised version: 23 June 1999 / Published online: 7 February 2000     

Stochastic differential equations for Dirichlet processes

We consider the stochastic differential equation dX _t = a(X _t )dW _t + b(X _t )dt, where W is a one-dimensional Brownian motion. We formulate the notion of solution and prove strong existence and pathwise uniqueness results when a is in C ^1/2 and b is only a generalized function, for example,the distributional derivative of a H?lder function or of a function of bounded variation. When b = aa′, that is, when the generator of the SDE is the divergence form operator ℒ = , a result on non-existence of a strong solution and non-pathwise uniqueness is given as well as a result which characterizes when a solution is a semimartingale or not. We also consider extensions of the notion of Stratonovich integral. Received: 23 February 2000 / Revised version: 22 January 2001 / Published online: 23 August 2001     

A two-space dimensional semilinear heat equation perturbed by (Gaussian) white noise

A two-space dimensional heat equation perturbed by a white noise in a bounded volume is considered. The equation is perturbed by a non-linearity of the type λ : f(AU) :, where :: means Wick (re)ordering with respect to the free solution;λ, A are small parameters, U denotes a solution, f is the Fourier transform of a complex measure with compact support. Existence and uniqueness of the solution in a class of Colombeau-Oberguggenberger generalized functions is proven. An explicit construction of the solution is given and it is shown that each term of the expansion in a power series in λ is associated with an L ²-valued measure when A is a small enough. Received: 20 July 1997 / Revised version: 1 February 2001 / Published online: 9 October 2001     

An analytic approach to existence and uniqueness for martingale problems in infinite dimensions

We prove existence and uniqueness for a class of martingale problems in a Hilbert space. We solve the associated Kolmogorov equation and prove that the corresponding semigroup is determined by a kernel of measures if a Schauder-type regularity is satisfied. Received: 18 May 1998 / Revised version: 27 September 1999 / Published online: 5 September 2000     

Heat equation on the arithmetic von Koch snowflake

We investigate the asymptotic behaviour of the heat content as the time t→ 0 for an s-adic von Koch snowflake generated by a square. We show that the heat content satisfies a functional equation which, after appropriate transformations, takes the form of an inhomogeneous renewal equation. We obtain the structure of the solution of this equation in the arithmetic case up to an exponentially small remainder in t. <!-ID="Mathematics Subject Classification (2000): 35K05, 60J65, 28A80--> <!-ID="Key words: Heat equation – Arithmetic – Snowflake--> Received: 24 March 1999 / Revised version: 14 October 1999 / Published online : 8 August 2000     

Lois fortes des grands nombres presque sûres pour les sommes de Riesz–Raikov

The classical theorem of Riesz and Raikov states that if a > 1 is an integer and ƒ is a function in L ¹(ℝ/ℤ), then the averages

Existence, positivity and contractivity for quantum stochastic flows with infinite dimensional noise

Quantum stochastic differential equations of the form

Random walk on upper triangular matrices mixes rapidly

We present an upper bound O(n ² ) for the mixing time of a simple random walk on upper triangular matrices. We show that this bound is sharp up to a constant, and find tight bounds on the eigenvalue gap. We conclude by applying our results to indicate that the asymmetric exclusion process on a circle indeed mixes more rapidly than the corresponding symmetric process. Received: 25 January 1999 / Revised version: 17 September 1999 / Published online: 14 June 2000     

On the regularity of the distribution of the maximum of one-parameter Gaussian processes

The main result in this paper states that if a one-parameter Gaussian process has C ^2k paths and satisfies a non-degeneracy condition, then the distribution of its maximum on a compact interval is of class C ^k . The methods leading to this theorem permit also to give bounds on the successive derivatives of the distribution of the maximum and to study their asymptotic behaviour as the level tends to infinity. Received: 14 May 1999 / Revised version: 18 October 1999 / Published online: 14 December 2000     

Functions of ultraexponential and infralogarithm types and general solution of the Abel functional equation

We propose generalized forms of ultraexponential and infralogarithm functions introduced and studied earlier by the author and present two classes of special functions, namely, ultraexponential and infralogarithm f -type functions. As a result of this investigation, we obtain a general solution of the Abel equation α(f(x)) = α (x) + 1 under some conditions on a real function f and prove a new completely different uniqueness theorem for the Abel equation stating that an infralogarithm f -type function is its unique solution. We also show that an infralogarithm f -type function is an essentially unique solution of the Abel equation. Similar theorems are proved for ultraexponential f -type functions and their functional equation β(x) = f(β(x − 1)), which can be considered as dual to the Abel equation. We also solve a certain problem unsolved before and study some properties of two considered functional equations and some relations between them.     

A bound for the representability of large numbers by ternary quadratic forms and nonhomogeneous waring equations

The solvability of the equation n = x ² + y ² + 6pz ² (p is a fixed large prime) is proved under some natural congruential conditions and the assumption nm ¹² > p ²¹. As an implication, the solvability of the equation n = x ² + y ² + u ³ + v ³ + z ⁴ + w ¹⁶ + t ^4k+1 for all sufficiently large n is established. Bibliography: 13 titles. Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 357, 2008, pp. 5–21.     

Monte-Carlo approximations for 2d Navier-Stokes equations with measure initial data

We are interested in proving Monte-Carlo approximations for 2d Navier-Stokes equations with initial data u ₀ belonging to the Lorentz space L ^2,∞ and such that curl u ₀ is a finite measure. Giga, Miyakawaand Osada [7] proved that a solution u exists and that u=K* curl u, where K is the Biot-Savartkernel and v = curl u is solution of a nonlinear equation in dimension one, called the vortex equation. In this paper, we approximate a solution v of this vortex equationby a stochastic interacting particlesystem and deduce a Monte-Carlo approximation for a solution of the Navier-Stokesequation. That gives in this case a pathwise proofof the vortex algorithm introducedby Chorin and consequently generalizes the works ofMarchioro-Pulvirenti [12] and Méléardv [15] obtained in the case of a vortex equation with bounded density initial data. Received: 6 October 1999 / Revised version: 15 September 2000 / Published online: 9 October 2001     

On periodic solutions of even-order ordinary differential equations

Optimal in a certain sense sufficient conditions are given for the existence and uniqueness of ω-periodic solutions of the nonautonomous ordinary differential equation u ^(2m) =f(t,u,...,u ^(m-1) ), where the function f:ℝ×ℝ ^m →ℝ is periodic with respect to the first argument with period ω. Received: December 21, 1999; in final form: August 12, 2000?Published online: October 2, 2001     

Stokes and Navier–Stokes problems in a half-space: the existence and uniqueness of solutions a priori nonconvergent to a limit at infinity

The Cauchy problem and the initial boundary value problem in the half-space of the Stokes and Navier–Stokes equations are studied. The existence and uniqueness of classical solutions (u, π) (considered at least C ² × C ¹ smooth with respect to the space variable and C ¹ × C ⁰ smooth with respect to the time variable) without requiring convergence at infinity are proved. A priori the fields u and π are nondecreasing at infinity. In the case of the Stokes problem, the existence, for any t > 0, and the uniqueness of solutions with kinetic field and pressure field are established for some β ∈ (0, 1) and γ ∈ (0, 1 − β). In the case of Navier–Stokes equations, the existence (local in time) and the uniqueness of classical solutions to the Navier–Stokes equations are shown under the assumption that the initial data are only continuous and bounded, by proving that, for any t ∈ (0, T), the kinetic field u(x, t) is bounded and, for any γ ∈ (0, 1), the pressure field π(x, t) is O(1 + |x| ^γ ). Bibliography: 20 titles. To V. A. Solonnikov on his 75th birthday Published in Zapiski Nauchnykh Seminarov POMI, Vol. 362, 2008, pp. 176–240.     

Transversal fluctuations for increasing subsequences on the plane

Consider a realization of a Poisson process in ℝ² with intensity 1 and take a maximal up/right path from the origin to (N, N) consisting of line segments between the points, where maximal means that it contains as many points as possible. The number of points in such a path has fluctuations of order N ^χ, where χ = 1/3, [BDJ]. Here we show that typical deviations of a maximal path from the diagonal x = y is of order N ^ξ with ξ = 2/3. This is consistent with the scaling identity χ = 2ξ− 1 which is believed to hold in many random growth models. Received: 16 April 1999 / Revised version: 5 July 1999 / Published online: 14 February 2000     

Increment sizes of the principal value of Brownian local time

Let W be a standard Brownian motion, and define Y(t)= ∫₀ ^t ds/W(s) as Cauchy's principal value related to local time. We determine: (a) the modulus of continuity of Y in the sense of P. Lévy; (b) the large increments of Y. Received: 1 April 1999 / Revised version: 27 September 1999 / Published online: 14 June 2000     

A superatomic Boolean algebra with few automorphisms

Assuming GCH, we prove that for every successor cardinal μ > ω₁, there is a superatomic Boolean algebra B such that |B| = 2^μ and |Aut B| = μ. Under ◊_ω1, the same holds for μ = ω₁. This answers Monk's Question 80 in [Mo]. Received: 1 January 1998 / Revised version: 18 May 1999 / Published online: 21 December 2000