Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes

For a Gaussian process X$X$ and smooth function f$f$, we consider a Stratonovich integral of f(X)$f\left(X\right)$, defined as the weak limit, if it exists, of a sequence of Riemann sums. We give covariance conditions on X$X$ such that the sequence converges in law. This gives a change-of-variable formula in law with a correction term which is an Itô integral of f^?$f^{?}$ with respect to a Gaussian martingale independent of X$X$. The proof uses Malliavin calculus and a central limit theorem from Nourdin and Nualart (2010) [8]. This formula was known for fBm with H=1/6$H=1/6$ Nourdin et al. (2010) [9]. We extend this to a larger class of Gaussian processes.     

Transformation formulas for fractional Brownian motion

We derive a Molchan–Golosov-type integral transform which changes fractional Brownian motion of arbitrary Hurst index K$K$ into fractional Brownian motion of index H$H$. Integration is carried out over [0,t]$[0,t]$, t>0$t>0$. The formula is derived in the time domain. Based on this transform, we construct a prelimit which converges in L²(P)$L^2\left(\mathbb{P}\right)$-sense to an analogous, already known Mandelbrot–Van Ness-type integral transform, where integration is over (−∞,t]$(-\infty ,t]$, t>0$t>0$.     

Potential theory of subordinate Brownian motions with Gaussian components

In this paper we study a subordinate Brownian motion with a Gaussian component and a rather general discontinuous part. The assumption on the subordinator is that its Laplace exponent is a complete Bernstein function with a Lévy density satisfying a certain growth condition near zero. The main result is a boundary Harnack principle with explicit boundary decay rate for non-negative harmonic functions of the process in C^1,1$C^{1,1}$ open sets. As a consequence of the boundary Harnack principle, we establish sharp two-sided estimates on the Green function of the subordinate Brownian motion in any bounded C^1,1$C^{1,1}$ open set D$D$ and identify the Martin boundary of D$D$ with respect to the subordinate Brownian motion with the Euclidean boundary.     

Remark on the stability of the large stationary solutions to the Navier–Stokes equations under the general flux condition

Consider stationary weak solutions of the Navier–Stokes equations in a bounded domain in R³${\mathbb{R}}^3$ under the nonhomogeneous boundary condition. We give a new approach for the stability of the stationary flow in the L²$L^2$-framework. Furthermore, we give some examples of stable solutions which may be large in L³(Ω)$L^3\left(\Omega \right)$ or W^1,3/2(Ω)$W^{1,3/2}\left(\Omega \right)$.     

Korn type inequalities in Orlicz spaces

We exhibit balance conditions between a Young function A and a Young function B   for a Korn type inequality to hold between the L^B$L^B$ norm of the gradient of vector-valued functions and the L^A$L^A$ norm of its symmetric part. In particular, we extend a standard form of the Korn inequality in L^p$L^p$, with 1<p<∞$1<p<\infty$, and an Orlicz version involving a Young function A   satisfying both the _Δ2${\mathrm{\Delta }}_2$ and the _∇2${\mathrm{\nabla }}_2$ condition.     

Analysis of a splitting method for incompressible inviscid rotational flow problems

This paper is devoted to analyze a splitting method for solving incompressible inviscid rotational flows. The problem is first recast into the velocity–vorticity–pressure formulation by introducing the additional vorticity variable, and then split into three consecutive subsystems. For each subsystem, the L²$L^2$ least-squares finite element approach is applied to attain accurate numerical solutions. We show that for each time step this splitting least-squares approach exhibits an optimal rate of convergence in the H¹$H^1$ norm for velocity and pressure, and a suboptimal rate in the L²$L^2$ norm for vorticity. A numerical example in two dimensions is presented, which confirms the theoretical error estimates.     

Nonparametric estimation for pure jump Lévy processes based on high frequency data

In this paper, we study nonparametric estimation of the Lévy density for pure jump Lévy processes. We consider n$n$ discrete time observations with step Δ$\Delta$. The asymptotic framework is: n$n$ tends to infinity, Δ=_Δn$\Delta ={\Delta }_n$ tends to zero while n_Δn$n{\Delta }_n$ tends to infinity. First, we use a Fourier approach (“frequency domain”): this allows us to construct an adaptive nonparametric estimator and to provide a bound for the global L²${\mathbb{L}}^2$-risk. Second, we use a direct approach (“time domain”) which allows us to construct an estimator on a given compact interval. We provide a bound for L²${\mathbb{L}}^2$-risk restricted to the compact interval. We discuss rates of convergence and give examples and simulation results for processes fitting in our framework.     

On the length of an external branch in the Beta-coalescent

In this paper, we consider Beta(2−α,α)$(2-\alpha ,\alpha )$ (with 1<α<2$1<\alpha <2$) and related Λ$\Lambda$-coalescents. If T⁽ⁿ⁾$T^{\left(n\right)}$ denotes the length of a randomly chosen external branch of the n$n$-coalescent, we prove the convergence of n^α−1T⁽ⁿ⁾$n^{\alpha -1}{T}^{\left(n\right)}$ when n$n$ tends to ∞$\infty$, and give the limit. To this aim, we give asymptotics for the number σ⁽ⁿ⁾${\sigma }^{\left(n\right)}$ of collisions which occur in the n$n$-coalescent until the end of the chosen external branch, and for the block counting process associated with the n$n$-coalescent.     

On the spectrum of shear flows and uniform ergodic theorems

The spectra of parallel flows (that is, flows governed by first-order differential operators parallel to one direction) are investigated, on both L²$L^2$ spaces and weighted-L²$L^2$ spaces. As a consequence, an example of a flow admitting a purely singular continuous spectrum is provided. For flows admitting more regular spectra the density of states is analyzed, and spaces on which it is uniformly bounded are identified. As an application, an ergodic theorem with uniform convergence is proved.     

Quantitative Dunford–Pettis property

We investigate possible quantifications of the Dunford–Pettis property. We show, in particular, that the Dunford–Pettis property is automatically quantitative in a sense. Further, there are two incomparable mutually dual stronger versions of a quantitative Dunford–Pettis property. We prove that L¹$L^1$ spaces and C(K)$C\left(K\right)$ spaces possess both of them. We also show that several natural measures of weak non-compactness are equal in L¹$L^1$ spaces.     

The wave equation for the Bessel Laplacian

We study radial solutions of the Cauchy problem for the wave equation in the multidimensional unit ball B^d$B^d$, d≥1$d\ge 1$. In this case, the operator that appears is the Bessel Laplacian and the solution u(t,x)$u(t,x)$ is given in terms of a Fourier–Bessel expansion. We prove that, for initial L^p$L^p$ data, the series converges in the L²$L^2$ norm. The analysis of a particular operator, the adjoint of the Riesz transform for Fourier–Bessel series, is needed for our purposes, and may be of independent interest. As applications, certain L^p−L²$L^p-L^2$ estimates for the solution of the heat equation and the extension problem for the fractional Bessel Laplacian are obtained.     

Existence and nonlinear stability of stationary solutions to the full compressible Navier–Stokes–Korteweg system

This paper is concerned with the existence, uniqueness, and nonlinear stability of stationary solutions to the Cauchy problem of the full compressible Navier–Stokes–Korteweg system effected by the given mass source, the external force of general form, and the energy source in R³${\mathbb{R}}^3$. Based on the weighted L²$L^2$-method and some delicate L^∞$L^{\infty }$ estimates on solutions to the linearized problem, the existence and uniqueness of stationary solution are obtained by the contraction mapping principle. The proof of the stability result is given by an elementary energy method and relies on some intrinsic properties of the full compressible Navier–Stokes–Korteweg system.     

Compact imbeddings between variable exponent spaces with unbounded underlying domain

In this paper, we have established some compact imbedding theorems for some subspaces of W^1,p(x)(U)$W^{1,p\left(x\right)}\left(U\right)$ when the underlying domain U$U$ is unbounded. The domain we consider is mainly of type R^N(N≥2)$R^N(N\ge 2)$ or R^L×Ω(L≥2)$R^L\times \Omega (L\ge 2)$, where Ω⊂R^M$\Omega \subset R^M$ is a bounded domain with smooth boundary.     

Unilateral small deviations of processes related to the fractional Brownian motion

Let x(s)$x\left(s\right)$, s∈R^d$s\in R^d$ be a Gaussian self-similar random process of index H$H$. We consider the problem of log-asymptotics for the probability _pT$p_T$ that x(s)$x\left(s\right)$, x(0)=0$x\left(0\right)=0$ does not exceed a fixed level in a star-shaped expanding domain T⋅Δ$T\cdot \Delta$ as T→∞$T\to \infty$. We solve the problem of the existence of the limit, θ?lim(−log_pT)/(logT)^D$\theta ?lim(-log{p}_T)/{(logT)}^D$, T→∞$T\to \infty$, for the fractional Brownian sheet x(s)$x\left(s\right)$, s∈[0,T]²$s\in {[0,T]}^2$ when D=2$D=2$, and we estimate θ$\theta$ for the integrated fractional Brownian motion when D=1$D=1$.     

Comparison inequalities on Wiener space

We define a covariance-type operator on Wiener space: for F$F$ and G$G$ two random variables in the Gross–Sobolev space D^1,2${\mathbb{D}}^{1,2}$ of random variables with a square-integrable Malliavin derivative, we let _ΓF,G?〈DF,−DL⁻¹G〉${\Gamma }_{F,G}?〈{DF,-DL}^{-1}G〉$, where D$D$ is the Malliavin derivative operator and L⁻¹$L^{-1}$ is the pseudo-inverse of the generator of the Ornstein–Uhlenbeck semigroup. We use Γ$\Gamma$ to extend the notion of covariance and canonical metric for vectors and random fields on Wiener space, and prove corresponding non-Gaussian comparison inequalities on Wiener space, which extend the Sudakov–Fernique result on comparison of expected suprema of Gaussian fields, and the Slepian inequality for functionals of Gaussian vectors. These results are proved using a so-called smart-path method on Wiener space, and are illustrated via various examples. We also illustrate the use of the same method by proving a Sherrington–Kirkpatrick universality result for spin systems in correlated and non-stationary non-Gaussian random media.