Kolmogorov numbers of Riemann–Liouville operators over small sets and applications to Gaussian processes

We investigate compactness properties of the Riemann–Liouville operator R_α of fractional integration when regarded as operator from L₂[0,1] into C(K), the space of continuous functions over a compact subset K in [0,1]. Of special interest are small sets K, i.e. those possessing Lebesgue measure zero (e.g. fractal sets). We prove upper estimates for the Kolmogorov numbers of R_α against certain entropy numbers of K. Under some regularity assumption about the entropy of K these estimates turn out to be two-sided. By standard methods the results are also valid for the (dyadic) entropy numbers of R_α. Finally, we apply these estimates for the investigation of the small ball behavior of certain Gaussian stochastic processes, as e.g. fractional Brownian motion or Riemann–Liouville processes, indexed by small (fractal) sets.     

Estimates for the Small Ball Probabilities of the Fractional Brownian Sheet

We obtain some new estimates for the small ball behavior of the d-dimensional fractional Brownian sheet under Hölder and Orlicz norms. For d=2, these bounds are sharp for the Orlicz and the sup-norm. In addition, we give bounds for the Kolmogorov and entropy numbers of some operators satisfying an L ₂-Hölder-type condition.     

Compactness properties of certain integral operators related to fractional integration

Suppose 1≤p,q≤∞ and α > (1/p−1/q)₊. Then we investigate compactness properties of the integral operator when regarded as operator from L_p[0,1] into L_q[0,1]. We prove that its Kolmogorov numbers tend to zero faster than exp(−c_αn^1/2). This extends former results of Laptev in the case p=q=2 and of the authors for p=2 and q=∞. As application we investigate compactness properties of related integral operators as, for example, of the difference between the fractional integration operators of Riemann–Liouville and Weyl type. It is shown that both types of fractional integration operators possess the same degree of compactness. In some cases this allows to determine the strong asymptotic behavior of the Kolmogorov numbers of Riemann–Liouville operators. In memoria of Eduard (University of the West Indies) who passed away in October 2004.     

On the fractional calculus of Besicovitch function

Relationship between fractional calculus and fractal functions has been explored. Based on prior investigations dealing with certain fractal functions, fractal dimensions including Hausdorff dimension, Box dimension, K-dimension and Packing dimension is shown to be a linear function of order of fractional calculus. Both Riemann–Liouville fractional calculus and Weyl–Marchaud fractional derivative of Besicovitch function have been discussed.     

Weighted Estimates for the Riemann-Liouville Operators with Variable Limits

We give criteria for boundedness of the fractional integration operators of the Riemann–Liouville type with variable limits between Lebesgue spaces on the real axis.     

Fractional Brownian Density Process and Its Self-Intersection Local Time of Order k

The fractional Brownian density process is a continuous centered Gaussian ( ^d )-valued process which arises as a high-density fluctuation limit of a Poisson system of independent d-dimensional fractional Brownian motions with Hurst parameter H. ( ( ^d ) is the space of tempered distributions). The main result proved in the paper is that if the intensity measure of the (initial) Poisson random measure on ^d is either the Lebesgue measure or a finite measure, then the density process has self-intersection local time of order k 2 if and only if Hd < k/(k – 1). The latter is also the necessary and sufficient condition for existence of multiple points of order k for d-dimensional fractional Brownian motion, as proved by Talagrand¹². This result extends to a non-Markovian case the relationship known for (Markovian) symmetric -stable Lévy processes and their corresponding density processes. New methods are used in order to overcome the lack of Markov property. Other properties of the fractional Brownian density process are also given, in particular the non-semimartingale property in the case H 1/2, which is obtained by a general criterion for the non-semimartingale property of real Gaussian processes that we also prove.     

A Nonlocal Boundary-Value Problem for Differential Equations with Fractional Time Derivative with Variable Coefficients

Conditions for the existence and uniqueness of a classical solution of a nonlocal boundary-value problem for a differential equation with a regularized Riemann–Liouville fractional time derivative with variable coefficients are investigated.     

Small Ball Constants and Tight Eigenvalue Asymptotics for Fractional Brownian Motions

In this paper we prove rigorous large n asymptotics for the Karhunen–Loeve eigenvalues of a fractional Brownian motion. From the asymptotics of the eigenvalues the exact constants for small L ₂ ball estimates for fractional Brownian motions follows in a straightforward way.     

Dissipative Sturm–Liouville Operators in Limit-Point Case

Dissipative singular Sturm–Liouville operators are studied in the Hilbert space L_w²[a,b) (–<a<b), that the extensions of a minimal symmetric operator in Weyls limit-point case. We construct a selfadjoint dilation of the dissipative operator and its incoming and outgoing spectral representations, which makes it possible to determine the scattering matrix of the dilation. We also construct a functional model of the dissipative operator and define its characteristic function in terms of the Titchmarsh–Weyl function of a selfadjoint operator. Finally, in the case when the Titchmarsh–Weyl function of the selfadjoint operator is a meromorphic in complex plane, we prove theorems on completeness of the system of eigenfunctions and associated functions of the dissipative Sturm–Liouville operators. Mathematics Subject Classifications (2000) 47A20, 47A40, 47A45, 34B20, 34B44, 34L10.     

Generalized two-parameter Lebesgue-Stieltjes integrals and their applications to fractional Brownian fields

We consider two-parameter fractional integrals and Weyl, Liouville, and Marchaut derivatives and substantiate some of their properties. We introduce the notion of generalized two-parameter Lebesgue-Stieltjes integral and present its properties and computational formulas for the case of differentiable functions. The main properties of two-parameter fractional integrals and derivatives of Hölder functions are considered. As a separate case, we study generalized two-parameter Lebesgue-Stieltjes integrals for an integrator of bounded variation. We prove that, for Hölder functions, the integrals indicated can be calculated as the limits of integral sums. As an example, generalized two-parameter integrals of fractional Brownian fields are considered.Translated from Ukrainskyi Matematychnyi Zhurnal, Vol. 56, No. 4, pp. 435–450, April, 2004.     

Calculus of variations with fractional derivatives and fractional integrals

We prove the Euler–Lagrange fractional equations and the sufficient optimality conditions for problems of the calculus of variations with functionals containing both fractional derivatives and fractional integrals in the sense of Riemann–Liouville.     

Fractional Brownian motion and packing dimension

LetX(t) (tR ^N ) be a fractional Brownian motion of index inR ^d . For any compact setER ^N , we compute the packing dimension ofX(E).Partially supported by an NSF grant.     

Existence of Positive Solutions for N-term Non-autonomous Fractional Differential Equations

Existence of positive solutions for the nonlinear fractional differential equation D ^αu = f(x,u), 0 < α < 1 has been given (S. Zhang. J. Math. Anal. Appl. 252 (2000), 804–812) where D ^α denotes Riemann–Liouville fractional derivative. In the present work we extend this analysis for n-term non autonomous fractional differential equations. We investigate existence of positive solutions for the following initial value problem

Spectral Dimension of Liouville Quantum Gravity

This paper is concerned with computing the spectral dimension of (critical) 2d-Liouville quantum gravity. As a warm-up, we first treat the simple case of boundary Liouville quantum gravity. We prove that the spectral dimension is 1 via an exact expression for the boundary Liouville Brownian motion and heat kernel. Then we treat the 2d-case via a decomposition of time integral transforms of the Liouville heat kernel into Gaussian multiplicative chaos of Brownian bridges. We show that the spectral dimension is 2 in this case, as derived by physicists (see Ambjørn et al. in JHEP 9802:010, 1998) 15 years ago.     

Correlation Inequalities and Applications to Vector-Valued Gaussian Random Variables and Fractional Brownian Motion

In this paper we extend certain correlation inequalities for vector-valued Gaussian random variables due to Kolmogorov and Rozanov. The inequalities are applied to sequences of Gaussian random variables and Gaussian processes. For sequences of Gaussian random variables satisfying a correlation assumption, we prove a Borel-Cantelli lemma, maximal inequalities and several laws of large numbers. This extends results of Be?ka and Ciesielski and of Hytönen and the author. In the second part of the paper we consider a certain class of vector-valued Gaussian processes which are α-Hölder continuous in p-th moment. For these processes we obtain Besov regularity of the paths of order α. We also obtain estimates for the moments in the Besov norm. In particular, the results are applied to vector-valued fractional Brownian motions. These results extend earlier work of Ciesielski, Kerkyacharian and Roynette and of Hytönen and the author.     

An Invariance Principle for Fractional Brownian Sheets

We establish a central limit theorem for partial sums of stationary linear random fields with dependent innovations, and an invariance principle for anisotropic fractional Brownian sheets. Our result is a generalization of the invariance principle for fractional Brownian motions by Dedecker et al. (Bernoulli 17:88–113, 2011) to high dimensions. A key ingredient of their argument, the martingale approximation, is replaced by an \(m\) -approximation argument. An important tool of our approach is a moment inequality for stationary random fields recently established by El Machkouri et al. (Stoch. Process. Appl. 123:1–14, 2013).     

ℓ-norm and its Application to Learning Theory

We investigate connections between an important parameter in the theory of Banach spaces called the -norm, and two properties of classes of functions which are essential in Learning Theory – the uniform law of large numbers and the Vapnik–Chervonenkis (VC) dimension. We show that if the -norm of a set of functions is bounded in some sense, then the set satisfies the uniform law of large numbers. Applying this result, we show that if X is a Banach space which has a nontrivial type, then the unit ball of its dual satisfies the uniform law of large numbers. Next, we estimate the -norm of a set of {0,1}-functions in terms of its VC dimension. Finally, we present a `Gelfand number' like estimate of certain classes of functions. We use this estimate to formulate a learning rule, which may be used to approximate functions from the unit balls of several Banach spaces.     

On Gaussian Processes Equivalent in Law to Fractional Brownian Motion

We consider Gaussian processes that are equivalent in law to the fractional Brownian motion and their canonical representations. We prove a Hitsuda type representation theorem for the fractional Brownian motion with Hurst index H1/2. For the case H>1/2 we show that such a representation cannot hold. We also consider briefly the connection between Hitsuda and Girsanov representations. Using the Hitsuda representation we consider a certain special kind of Gaussian stochastic equation with fractional Brownian motion as noise.     

A Note on the Local Time of Fractional Brownian Motion

Asymptotic behavior of the local time at the origin of q-dimensional fractional Brownian motion is considered when the index approaches the critical value 1/q. It is proved that, under a suitable (temporally inhomogeneous) normalization, it converges in law to the inverse of an extremal process which appears in the extreme value theory.     

Radon, Cosine and Sine Transforms on Real Hyperbolic Space

New pointwise inversion formulae are obtained for the d-dimensional totally geodesic Radon transform on the n-dimensional real hyperbolic space, 1dn−1, in terms of polynomials of the Laplace–Beltrami operator and intertwining fractional integrals. Similar results are established for hyperbolic cosine and sine transforms.