Moduli of continuity of local times of strongly symmetric Markov processes via Gaussian processes

LetX be a strongly symmetric standard Markov process on a locally compact metric spaceS with 1-potential densityu ¹(x, y). Let {L _t ^y , (t, y)R ⁺×S} denote the local times ofX and letG={G(y), yS} be a mean zero Gaussian process with covarianceu ¹(x, y). In this paper results about the moduli of continuity ofG are carried over to give similar moduli of continuity results aboutL _t ^y considered as a function ofy. Several examples are given with particular attention paid to symmetric Lévy processes.The research of both authors was supported in part by a grant from the National Science Foundation. In addition the research of Professor Rosen was also supported in part by a PSC-CUNY research grant. Professor Rosen would like to thank the Israel Institute of Technology, where he spent the academic year 1989–90 and was supported, in part, by the United States-Israel Binational Science Foundation. Professor Marcus was a faculty member at Texas A&M University while some of this research was carried out.     

Lévy-Driven Carma Processes

Properties and examples of continuous-time ARMA (CARMA) processes driven by Lévy processes are examined. By allowing Lévy processes to replace Brownian motion in the definition of a Gaussian CARMA process, we obtain a much richer class of possibly heavy-tailed continuous-time stationary processes with many potential applications in finance, where such heavy tails are frequently observed in practice. If the Lévy process has finite second moments, the correlation structure of the CARMA process is the same as that of a corresponding Gaussian CARMA process. In this paper we make use of the properties of general Lévy processes to investigate CARMA processes driven by Lévy processes {W(t)} without the restriction to finite second moments. We assume only that W (1) has finite r-th absolute moment for some strictly positive r. The processes so obtained include CARMA processes with marginal symmetric stable distributions.     

On global transformations of ordinary differential equations of the second order

The paper describes the general form of an ordinary differential equation of the second order which allows a nontrivial global transformation consisting of the change of the independent variable and of a nonvanishing factor. A result given by J. Aczél is generalized. A functional equation of the form

Donsker's Delta Function of Lévy Process

Let X={X(t):tR} be a Lévy process and a non-decreasing, right continuous, bounded function with (–)=0 (((1+u ²)/u ²)d(u) is the Lévy measure). In this paper we define the Donsker delta function (X(t)–a), t>0 and aR, as a generalized Lévy functional under the condition that (0)–(0–)>0. This leads us to define F(X(t)) for any tempered distribution F, and as an application, we derive an Itô formula for F(X(t)) when has jumps at 0 and 1.     

Stability of Solution of a Class of Quasilinear Elliptic Equations

In this paper, using capacity theory and extension theorem of Lipschitz functions we first discuss the uniqueness of weak solution of nonhomogeneous quasilinear elliptic equationsin space W(θ,p)(Ω), which is bigger than W1,p(Ω). Next, using revise reverse Holder inequality we prove that if ωc is uniformly p-think, then there exists a neighborhood U of p, such that for all t ∈U, the weak solutions of equation corresponding t are bounded uniformly. Finally, we get the stability of weak solutions on exponent p.     

The law of the iterated logarithm for local time of a Lévy process

Summary Let {X _t } be a one-dimensional Lévy process with local timeL(t, x) andL ^*(t)=sup{L(t, x): x }. Under an assumption which is more general than being a symmetric stable process with index >1, we obtain a LIL forL*(t). Also with an additional condition of symmetry, a LIL for range is proved.This research is supported by a grant from Korea Science and Engineering Foundations     

Picard iterates for positive solutions of a class of nonlinear eigenvalue problems

Summary We study positive solutions of the nonlinear eigenvalue problemF(u)=G(u) with some monotone operatorsF andG. In particular, we consider the case of nonlinear elliptic differential equations of second order and chooseF(u)=–divA(x, gradu)+b(x,u) and G(u)=g (x,u). Positive solutions are obtained by the Picard iterationsu ₀=0 andF(u _n+1)=G(u _n ).In order to get convergence of the sequenceu _n ,one has to study some comparison principles for the operatorF. Finally, the Picard iteration scheme allows a-priori estimates and bifurcation results for the admissible eigenvalue parameter.

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Zusammenfassung Für gewisse monotone OperatorenF andG untersuchen wir positive Lösungen des nichtlinearen EigenwertproblemsF(u)=G(u). Insbesondere betrachten wir nichtlineare elliptische Differentialgleichungen zweiter Ordnung und wählenF(u)=–divA(x, gradu)+b(x,u) sowieG(u)=g(x,u). Man erhält positive Lösungen durch das Picard-Iterationsverfahrenu ₀=0 undF(u _n+1)=G(u _n ).Um die Konvergenz der Folgeu _n nachzuweisen, benötigt man Vergleichsprinzipien fürF. Dann gestattet das Iterationsschema sogar a-priori Abschätzungen und Verzweigungsaussagen für die zulässigen Eigenwertparameter.

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Supported by the Deutscher Akademischer Austauschdienst (DAAD) and DICYT-University of Santiago de Chile.     

Zero-One Law for Symmetric Convolution Semigroups of Measures on Groups

Let ( _t ) _t>0 be a symmetric weakly continuous semigroup of probability measures on a nonabelien complete separable group G and let v be its Lévy measure. The purpose of this paper is to provide a relatively simple proof of the zero-one law for semigroups with the Lévy measure satisfying either v(H ^c) = or v(H ^c) = 0.     

A wavelike functional equation of Pexider type

Summary. Let (G, +) and (H, +) be abelian groups such that the equation 2u = v 2u = v is solvable in both G and H. It is shown that if f₁, f₂, f₃, f₄, : G ×G ? H f_1, f_2, f_3, f_4, : G \times G \longrightarrow H satisfy the functional equation f₁(x + t, y + s) + f₂(x - t, y - s) = f₃(x + s, y - t) + f₄(x - s, y + t) for all x, y, s, t ? G x, y, s, t \in G , then f₁, f₂, f₃, and f₄ are given by f₁ = w + h, f₂ = w - h, f₃ = w + k, f₄ = w - k where w : G ×G ? H w : G \times G \longrightarrow H is an arbitrary solution of f (x + t, y + s) + f (x - t, y - s) = f (x + s, y - t) + f (x - s, y + t) for all x, y, s, t ? G x, y, s, t \in G , and h, k : G ×G ? H h, k : G \times G \longrightarrow H are arbitrary solutions of D_y,t³g(x,y) = 0 \Delta_{y,t}^{3}g(x,y) = 0 and D_x,t³g(x,y) = 0 \Delta_{x,t}^{3}g(x,y) = 0 for all x, y, s, t ? G x, y, s, t \in G .     

Quasilinear elliptic equations with boundary blow-up

Assume that Ω is a bounded domain in ℝ _N withN ≥2, which has aC ²-boundary. We show that forp ∃ (1, ∞) there exists a weak solutionu of the problem δ_p u(x) = f(u(x)), x ∃ Ω with boundary blow-up, wheref is a positive, increasing function which meets some natural conditions. The boundary blow-up ofu(x) is characterized in terms of the distance ofx from ∂Ω. For the Laplace operator, our results coincide with those of Bandle and Essén [1]. Finally, for a rather wide subclass of the class of the admissible functionsf, the solution is unique whenp ∃ (1, 2].     

Linear independence of time-frequency shifts under a generalized Schrödinger representation

Let r_\mathbbR \rho_{\mathbb{R}} be the classical Schrödinger representation of the Heisenberg group and let L \Lambda be a finite subset of \mathbbR ×\mathbbR \mathbb{R} \times \mathbb{R} . The question of when the set of functions {t ? e^{2 pi y t} f(t + x) = (r_\mathbbR(x, y, 1) f)(t) : (x, y) ? L} \{t \mapsto e^{2 \pi i y t} f(t + x) = (\rho_{\mathbb{R}}(x, y, 1) f)(t) : (x, y) \in \Lambda\} is linearly independent for all f ? L²(\mathbbR), f 1 0 f \in L^2(\mathbb{R}), f \neq 0 , arises from Gabor analysis. We investigate an analogous problem for locally compact abelian groups G. For a finite subset L \Lambda of G ×[^(G)] G \times \widehat{G} and r_G \rho_G the Schrödinger representation of the Heisenberg group associated with G, we give a necessary and in many situations also sufficient condition for the set {r_G (x, w, 1)f : (x, w) ? L} \{\rho_G (x, w, 1)f : (x, w) \in \Lambda\} to be linearly independent for all f ? L²(G), f 1 0 f \in L^2(G), f \neq 0 .     

Commuting Values of Generalized Derivations on Multilinear Polynomials

Let K be a commutative ring with unity, R a prime K-algebra of characteristic different from 2, U the right Utumi quotient ring of R, f(x ₁,…, x _n ) a noncentral multilinear polynomial over K, and G a nonzero generalized derivation of R. Denote f(R) the set of all evaluations of the polynomial f(x ₁,…, x _n ) in R. If [G(u)u, G(v)v] = 0, for any u, v ∈ f(R), we prove that there exists c ∈ U such that G(x) = cx, for all x ∈ R and one of the following holds: 1. f(x ₁,…, x _n )² is central valued on R;

2. R satisfies s ₄, the standard identity of degree 4.

     

Type G Distributions on {\mathbb{R}} d

This paper presents a systematic study of the class of multivariate distributions obtained by a Gaussian randomization of jumps of a Lévy process. This class, called the class of type G distributions, constitutes a closed convolution semigroup of the family of symmetric infinitely divisible probability measures. Spectral form of Lévy measures of type G distributions is obtained and it is shown that type G property can not be determined by one dimensional projections. Conditionally Gaussian structure of type G random vectors is exhibited via series representations.     

Wave distribution in a variable medium with random inhomogeneities

We consider the behavior of a solution of the wave equation u_tt (t, x) – a² (t) u_xx (t, x)=f (t, x) with initial conditions u (0, x)=u₀, /t6t u (t, x) ¦_t=0 =u₁ (x), a andf being random functions; a(t) characteristizes the variable character of the medium;f(t, x) is the inhomogeneity, having the character of random walks.Translated from Teoriya Sluchainykh Protsessov, No. 16, pp. 75–78, 1988.     

Frequency modules and nonexistence of quasi-periodic solutions of nonlinear evolution equations

This paper gives lower estimates for the frequency modules of almost periodic solutions to equations of the form , where A generates a strongly continuous semigroup in a Banach space , F(t,x) is 2π-periodic in t and continuous in (t,x), and f is almost periodic. We show that the frequency module ℳ(u) of any almost periodic mild solution u of (*) and the frequency module ℳ(f) of f satisfy the estimate e ^{2π iℳ(f)}⊂e ^{2π iℳ(u)}. If F is independent of t, then the estimate can be improved: ℳ(f)⊂ℳ(u). Applications to the nonexistence of quasi-periodic solutions are also given.     

Harnack’s Inequality for Stable Lévy Processes

We prove Harnacks inequality for harmonic functions of a symmetric stable Lévy process on R^d without the assumption that the density function of its Lévy measure is locally bounded from below. Mathematics Subject Classifications (2000) Primary 60J45, 31C05; Secondary 60G51.Research partially supported by KBN (2P03A 041 22) and RTN (HPRN-CT-2001-00273-HARP).     

Boundary-value problems for a nonlinear parabolic equation with Lévy Laplacian resolved with respect to the derivative

We present the solutions of boundary-value and initial boundary-value problems for a nonlinear parabolic equation with Lévy Laplacian ∆ _L resolved with respect to the derivative

A remark on Schrödinger operators

We study the almost everythere convergence to the initial dataf(x)=u(x, 0) of the solutionu(x, t) of the two-dimensional linear Schrödinger equation Δu=i? _t u. The main result is thatu(x, t) →f(x) almost everywhere fort → 0 iff ∈H ^p (R²), wherep may be chosen <1/2. To get this result (improving on Vega’s work, see [6]), we devise a strategy to capture certain cancellations, which we believe has other applications in related problems.     

The Hausdorff dimension of horseshoes of diffeomorphisms of surfaces

Letf be aC ^r diffeomorphism,r≥2, of a two dimensional manifoldM ², and let Λ be a horseshoe off (i.e. a transitive and isolated hyperbolic set with topological dimension zero). We prove that there exist aC ^r neighborhoodU off and a neighbourhoodU of Λ such that forg∈U, the Hausdorff dimension of ∩ _n g ⁿ (U) is aC ^r−1 function ofg.