Harnack and HWI inequalities on infinite-dimensional spaces

In this paper, the dimensional-free Harnack inequalities are established on infinite-dimensional spaces. More precisely, we establish Harnack inequalities for heat semigroup on based loop group and for Ornstein-Uhlenbeck semigroup on the abstract Wiener space. As an application, we establish the HWI inequality on the abstract Wiener space, which contains three important quantities in one inequality, the relative entropy “H”, Wasserstein distance “W”, and Fisher information “I”.     

Φ-entropy inequality and application for SDEs with jumps

By using the Φ-entropy inequality derived in [16] and [2] for Poisson measures, the same type of inequality is established for a class of stochastic differential equations driven by purely jump Lévy processes. This inequality implies the exponential convergence in Φ-entropy of the associated Markov semigroup. The semigroup Φ-entropy inequality for SDEs driven by Poisson point processes is also considered.     

Functional Inequalities for the Decay of Sub-Markov Semigroups

A general functional inequality is introduced to describe various decays of semigroups. Our main result generalizes the classical one on the equivalence of the L ²-exponential decay of a sub-Markov semigroup and the Poincaré inequality for the associated Dirichlet form. Conditions for the general inequality to hold are presented. The corresponding isoperimetric inequality is studied in the context of diffusion and jump processes. In particular, Cheeger's inequality for the principal eigenvalue is generalized. Moreover, our results are illustrated by examples of diffusion and jump processes.     

Drift transforms and Green function estimates for discontinuous processes

In this paper, we consider Girsanov transforms of pure jump type for discontinuous Markov processes. We show that, under some quite natural conditions, the Green functions of the Girsanov transformed process are comparable to those of the original process. As an application of the general results, the drift transform of symmetric stable processes is studied in detail. In particular, we show that the relativistic α-stable process in a bounded C^1,1-smooth open set D can be obtained from symmetric α-stable process in D through a combination of a pure jump Girsanov transform and a Feynman-Kac transform. From this, we deduce that the Green functions for these two processes in D are comparable.     

Remark on pathwise uniqueness of stochastic differential equations driven by Lévy processes

Consider real-valued processes determined by stochastic differential equations driven by Lévy processes. The jump parts of the driving Lévy process are not always α-stable ones, nor symmetric ones. In the present article, we shall study the pathwise uniqueness of the solutions to the stochastic differential equations under the conditions on the coefficients that the diffusion and the jump terms are Hölder continuous, while the drift one is monotonic. Our approach is based on Gronwall’s inequality.     

Some extensions of the operator entropy type inequalities

In this paper, we define the generalised relative operator entropy and investigate some of its properties such as subadditivity and homogeneity. As application of our result, we obtain the information inequality. In continuation, we establish some reverses of the operator entropy inequalities under certain conditions by using the Mond–Pe?ari? method.     

Analysis of jump processes with nondegenerate jumping kernels

We prove regularity estimates for functions which are harmonic with respect to certain jump processes. The aim of this article is to extend the method of Bass–Levin (2002) [3] and Bogdan–Sztonyk (2005) [6] to more general processes. Furthermore, we establish a new version of the Harnack inequality that implies regularity estimates for corresponding harmonic functions.     

The optimal evolution of the free energy of interacting gases and its applications

We establish an inequality for the relative total – internal, potential and interactive – energy of two arbitrary probability densities, their Wasserstein distance, their barycenters and their generalized relative Fisher information. This inequality leads to many known and powerful geometric inequalities, as well as to a remarkable correspondence between ground state solutions of certain quasilinear (or semi-linear) equations and stationary solutions of (non-linear) Fokker–Planck type equations. It also yields the HWBI inequalities – which extend the HWI inequalities in Otto and Villani [J. Funct. Anal. 173 (2) (2000) 361–400], and in Carrillo et al. [Rev. Math. Iberoamericana (2003)], with the additional ‘B’ referring to the new barycentric term – from which most known Gaussian inequalities can be derived. To cite this article: M. Agueh et al., C. R. Acad. Sci. Paris, Ser. I 337 (2003).     

Poincaré Inequality on the Path Space of Poisson Point Processes

Quasi-invariance is proved for the distributions of Poisson point processes under a random shift map on the path space. This leads to a natural Dirichlet form of jump type on the path space. Differently from the O–U Dirichlet form on the Wiener space satisfying the log-Sobolev inequality, this Dirichlet form merely satisfies the Poincaré inequality but not the log-Sobolev one.     

Harnack Inequalities for Jump Processes

We consider a class of pure jump Markov processes in R ^d whose jump kernels are comparable to those of symmetric stable processes. We establish a Harnack inequality for nonnegative functions that are harmonic with respect to these processes. We also establish regularity for the solutions to certain integral equations.     

State estimation for partially observed jump processes

In this paper partially observed jump processes are considered and optimal filtering equations are given for the conditional expectation of a functional on the past of the process.Rudemo [6] derived filtering equations for a partially observed jump Markov process. Snyder [3] gives equations for the conditional characteristic function of a jump process. Segall et al. [2] discuss filtering for processes with counting observations. Their work carries over to processes with counting observations the martingale methods that Fujisaki et al. [1] had used to derive nonlinear filtering equations for processes governed by Ito equations. Many further references to filtering for processes with discrete state measurements are given in the references cited.The objective of this paper is to show that by making use of the concept of a representation of a functional the idea of Rudemo's proof of [6, pp. 595–599] can be carried over to jump processes. The author feels that this is a very interesting proof because of its simplicity. It involves only calculations with conditional expectations and the rule for differentiation of a quotient.     

An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models

Recent developments in ruin theory have seen the growing popularity of jump diffusion processes in modeling an insurer’s assets and liabilities. Despite the variations of technique, the analysis of ruin-related quantities mostly relies on solutions to certain differential equations. In this paper, we propose in the context of Lévy-type jump diffusion risk models a solution method to a general class of ruin-related quantities. Then we present a novel operator-based approach to solving a particular type of integro-differential equations. Explicit expressions for resolvent densities for jump diffusion processes killed on exit below zero are obtained as by-products of this work.     

Local Asymptotic Normality Property for Ornstein–Uhlenbeck Processes with Jumps Under Discrete Sampling

We address the issue of the local asymptotic normality property and the Fisher information for three characterizing parameters of Ornstein–Uhlenbeck processes with jumps under low frequency and high frequency discrete sampling with expanding observation window. The martingale method with the Kolmogorov backward equation and the Malliavin calculus are employed to derive explicit formulas for derivatives of the likelihood ratio function in the form of conditional expectation, which serve as essential tools for justifying the passage to the limit by the dominated convergence theorem. This approach makes it possible to carry out the proof without specifying the law of the jump component and without knowing the tail behaviors of the transition probability density and, as a consequence, to keep various types of jump structure within the scope of this article. The Fisher information under high-frequency sampling is essentially identical to the one for purely Gaussian Ornstein–Uhlenbeck processes due to the dominance of the Gaussian component over the jump component in the short time framework.     

Numerical solutions for asymmetric Lévy flights

Numerical Algorithms - Lévy flights are generalised random walk processes where the independent stationary increments are drawn from a long-tailed α-stable jump length distribution. We...     

A generalized real-valued measure of the inequality associated with a fuzzy random variable

Fuzzy random variables have been introduced by Puri and Ralescu as an extension of random sets. In this paper, we first introduce a real-valued generalized measure of the “relative variation” (or inequality) associated with a fuzzy random variable. This measure is inspired in Csiszár's f-divergence, and extends to fuzzy random variables many well-known inequality indices. To guarantee certain relevant properties of this measure, we have to distinguish two main families of measures which will be characterized. Then, the fundamental properties are derived, and an outstanding measure in each family is separately examined on the basis of an additive decomposition property and an additive decomposability one. Finally, two examples illustrate the application of the study in this paper.     

On the axiomatization of the weakly decomposable inequality indices

In this paper, we focus on a decomposition property recently introduced in the inequality literature and known as the weak decomposition. Such a property provides interesting analyses by allowing one to separate the within-group contribution to total inequality from the between-group contribution. A limitation of the current method of decomposition is that, depending on the structure–absolute, relative, compromise–of the inequality index, specific weights have to be used. To avoid such a problem, we propose a unique decomposition property where the weighting functions depend on the size of the population and the mean income. This allows us to characterize a large family of weakly decomposable inequality indices without any recourse to implicit invariance value judgments.     

On a result of R. R. Hall

An upper bound for the mean value of a non-negative submultiplicative function by R. R. Hall [3] is sharpened and generalised. Hall's inequality implies a certain rather accurate upper sieve estimate, and this aspect of Hall's result is exploited in deriving good lower bounds for π(x) via the sieve.     

A thinning result for pure jump processes

A standard thinning procedure for point processes is extended to processes of pure jump type in which each jump is retained with probability p or deleted with probability 1 ? p, independently of everything else.Two theorems are proved, the first gives a sufficient condition for the existence of thinned pure jump processes, the second concerns the convergence of such processes to pure jump processes whose increments are generated by a Cox process. Some generalizations are discussed.     

Discrete approximation of symmetric jump processes on metric measure spaces

In this paper we give general criteria on tightness and weak convergence of discrete Markov chains to symmetric jump processes on metric measure spaces under mild conditions. As an application, we investigate discrete approximation for a large class of symmetric jump processes. We also discuss some application of our results to the scaling limit of random walk in random conductance.     

Symmetrisers and generalised solutions for strictly hyperbolic systems with singular coefficients

This paper is devoted to strictly hyperbolic systems and equations with non‐smooth coefficients. Below a certain level of smoothness, distributional solutions may fail to exist. We construct generalised solutions in the Colombeau algebra of generalised functions. Extending earlier results on symmetric hyperbolic systems, we introduce generalised strict hyperbolicity, construct symmetrisers, prove an appropriate Gårding inequality and establish existence, uniqueness and regularity of generalised solutions. Under additional regularity assumptions on the coefficients, when a classical solution of the Cauchy problem (or of a transmission problem in the piecewise regular case) exists, the generalised solution is shown to be associated with the classical solution (or the piecewise classical solution satisfying the appropriate transmission conditions).