Representation of martingale additive functionals on Banach spaces

Assume thatB is a separable real Banach space andX(t) is a diffusion process onB. In this paper, we will establish the representation theorem of martingale additive functionals ofX(t).     

The exact Hausdorff measures for the graph and image of a multidimensional iterated Brownian motion

Let {W(t),t∈R}, {B(t),t∈R } be two independent Brownian motions on R with W(0) = B(0) = 0. In this paper, we shall consider the exact Hausdorff measures for the image and graph sets of the d-dimensional iterated Brownian motion X(t), where X(t) = (Xi(t),... ,Xd(t)) and X1(t),... ,Xd(t) are d independent copies of Y(t) = W(B(t)). In particular, for any Borel set Q (?) (0,∞), the exact Hausdorff measures of the image X(Q) = {X(t) : t∈Q} and the graph GrX(Q) = {(t, X(t)) :t∈Q}are established.     

On a continuous analogue of the stochastic difference equation Xn=ρXn-1+Bn

Let B₁, B₂, ... be a sequence of independent, identically distributed random variables, letX₀ be a random variable that is independent ofB_n forn?1, let ρ be a constant such that 0<ρ<1 and letX₁,X₂, ... be another sequence of random variables that are defined recursively by the relationshipsX_n=ρX_n-1+B_n. It can be shown that the sequence of random variablesX₁,X₂, ... converges in law to a random variableX if and only ifE[log⁺¦B₁¦]<∞. In this paper we let {B(t):0≦t<∞} be a stochastic process with independent, homogeneous increments and define another stochastic process {X(t):0?t<∞} that stands in the same relationship to the stochastic process {B(t):0?t<∞} as the sequence of random variablesX₁,X₂,...stands toB₁,B₂,.... It is shown thatX(t) converges in law to a random variableX ast →+∞ if and only ifE[log⁺¦B(1)¦]<∞ in which caseX has a distribution function of class L. Several other related results are obtained. The main analytical tool used to obtain these results is a theorem of Lukacs concerning characteristic functions of certain stochastic integrals.     

The Algebra of Flows in Graphs

We define a contravariant functorKfrom the category of finite graphs and graph morphisms to the category of finitely generated graded abelian groups and homomorphisms. For a graphX, an abelian groupB, and a nonnegative integerj, an element of Hom(K^j(X), B) is a coherent family ofB-valued flows on the set of all graphs obtained by contracting some (j − 1)-set of edges ofX; in particular, Hom(K¹(X), ) is the familiar (real) “cycle-space” ofX. We show thatK ^· (X) is torsion-free and that its Poincaré polynomial is the specializationt^{n − k}T_X(1/t, 1 + t) of the Tutte polynomial ofX(hereXhasnvertices andkcomponents). Functoriality ofK ^· induces a functorial coalgebra structure onK ^· (X); dualizing, for any ringBwe obtain a functorialB-algebra structure on Hom(K ^· (X), B). WhenBis commutative we present this algebra as a quotient of a divided power algebra, leading to some interesting inequalities on the coefficients of the above Poincaré polynomial. We also provide a formula for the theta function of the lattice of integer-valued flows inX, and conclude with 10 open problems.     

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     

PRV property and the <Emphasis Type="Italic">ϕ</Emphasis>-asymptotic behavior of solutions of stochastic differential equations

In this paper, we investigate the a.s. asymptotic behavior of the solution of the stochastic differential equation dX(t) = g(X(t)) dt + σ(X(t))dW(t), X(0) ≢ 1, where g(·) and σ(·) are positive continuous functions, and W(·) is a standard Wiener process. By means of the theory of PRV functions we find conditions on g(·), σ(·), and ϕ(·) under which ϕ(X(·)) may be approximated a.s. by ϕ(μ(·)) on {X(t) → ∞}, where μ(·) is the solution of the ordinary differential equation dμ(t) = g(μ(t)) dt with μ(0) = 1. Published in Lietuvos Matematikos Rinkinys, Vol. 47, No. 4, pp. 445–465, October–December, 2007.     

Measure of the multiple self-intersection set of a markov process

Let X(t), t ≧ 0, be a Markov process in R^m with homogeneous transition density p(t; x, y). For a closed bounded set B ? R^m, X is said to have a self-intersection of order r ≧ 2 in B if there are distinct points t₁ < … < t_r such that X(t₁) ∈ B and X(t_j) = X(t¹), for j = 2,…, r. The focus of this work is the Hausdorff measure, suitably defined, of the set of such r-tuples. The main result is that under general conditions on p(t; x, y) as well as the specific condition there is a measure function M(t), defined in terms of the integral above, such that the corresponding Hausdorff measure of self-intersection set is positive, with positive probability. The results are applied to Lévy and diffusion processes, and are shown to extend recent results in this area.     

Approximations from Subspaces of C0(X)

We show among other things that if B is a linear space of continuous real-valued functions vanishing at infinity on a locally compact Hausdorff space X, for which there is a continuous function h defined in a neighbourhood of 0 in the real line which is non-affine in every neighbourhood of 0 and satisfies |h(t)|k |t| for all t, such that hb is in B whenever b is in B and the composite function is defined, then every function in C₀(X) which can be approximated on every pair of points in X by functions in B can be approximated uniformly by functions in B.     

On Ψ-boundedness and Ψ-stability of matrix Lyapunov systems

In this paper we obtain a necessary and sufficient condition for the existence of at least one Ψ-bounded solution and also obtained sufficient conditions for Ψ-(uniform) stability of the Kronecker product system associated with the matrix Lyapunov system X′(t)=A(t)X(t)+X(t)B(t)+F(t).     

The square of a Gaussian Markov process and nonlinear prediction

An explicit formula is obtained for the nonlinear predictor of Y(t) = X(t)² − E(X(t)²), where X(t) is an N-ple Gaussian Markov process.     

The t-invariant of analytic set germs of dimension 2

Let be an analytic set germ of dimension 2. We study the invariant t(X₀) defined as the least integer t such that any open semianalytic set germ of X₀ can be written as a union of t basic open set germs. It is known that 2≤t(X₀)≤3. In this note we provide a geometric criterion to determine the exact value of t(X₀).     

Bipartite Divisor Graphs for Integer Subsets

Inspired by connections described in a recent paper by Mark L. Lewis, between the common divisor graph Γ(X) and the prime vertex graph Δ(X), for a set X of positive integers, we define the bipartite divisor graph B(X), and show that many of these connections flow naturally from properties of B(X). In particular we establish links between parameters of these three graphs, such as number and diameter of components, and we characterise bipartite graphs that can arise as B(X) for some X. Also we obtain necessary and sufficient conditions, in terms of subconfigurations of B(X), for one of Γ(X) or Δ(X) to contain a complete subgraph of size 3 or 4.     

On the First Hitting Time of a One-dimensional Diffusion and a Compound Poisson Process

It is studied the first-passage time (FPT) of a time homogeneous one-dimensional diffusion, driven by the stochastic differential equation dX(t) = μ(X(t))dt + σ(X(t)) dB _t , X(0) = x ₀, through b + Y(t), where b > x ₀ and Y(t) is a compound Poisson process with rate λ > 0 starting at 0, which is independent of the Brownian motion B _t . In particular, the FPT density is investigated, generalizing a previous result, already known in the case when X(t) = μt + B _t , for which the FPT density is the solution of a certain integral equation. A numerical method is shown to calculate approximately the FPT density; some examples and numerical results are also reported.     

Sample Path Properties of a Class of Operator Stable Processes

Abstract

Let X = {X(t), t ? ?₊} be an operator stable Lévy process on ? ^d with the exponent B, where B is a diagonal matrix. In the present paper, we consider the asymptotic behavior of the first passage time out of a sphere, and of the sojourn time in a sphere. We shall also determine the exact Hausdorff measure function for the range of X over unit time interval [0, 1].     

Randomly fractionally integrated processes

Philippe et al. [9], [10] introduced two distinct time-varying mutually invertible fractionally integrated filters A(d), B(d) depending on an arbitrary sequence d = (d _t ) _t∈ℤ of real numbers; if the parameter sequence is constant d _t ≡ d, then both filters A(d) and B(d) reduce to the usual fractional integration operator (1 − L)^−d . They also studied partial sums limits of filtered white noise nonstationary processes A(d)ε _t and B(d)ε _t for certain classes of deterministic sequences d. The present paper discusses the randomly fractionally integrated stationary processes X _t ^A = A(d)ε _t and X _t ^B = B(d)ε _t by assuming that d = (d _t , t ∈ ℤ) is a random iid sequence, independent of the noise (ε _t ). In the case where the mean , we show that large sample properties of X ^A and X ^B are similar to FARIMA(0, , 0) process; in particular, their partial sums converge to a fractional Brownian motion with parameter . The most technical part of the paper is the study and characterization of limit distributions of partial sums for nonlinear functions h(X _t ^A ) of a randomly fractionally integrated process X _t ^A with Gaussian noise. We prove that the limit distribution of those sums is determined by a conditional Hermite rank of h. For the special case of a constant deterministic sequence d _t , this reduces to the standard Hermite rank used in Dobrushin and Major [2]. Published in Lietuvos Matematikos Rinkinys, Vol. 47, No. 1, pp. 3–28, January–March, 2007.     

Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary

We study an inverse first-passage-time problem for Wiener process X(t) subject to random jumps from a boundary c. Let be given a threshold S > X(0); and a distribution function F on [0, + ∞). The problem consists of finding the distribution of the jumps which occur when X(t) hits c, so that the first-passage time of X(t) through S has distribution F.     

Moderate Deviations for Random Sums of Heavy-Tailed Random Variables

Let {Xn;n≥ 1} be a sequence of independent non-negative random variables with common distribution function F having extended regularly varying tail and finite mean μ = E（X1） and let {N（t）; t ≥0} be a random process taking non-negative integer values with finite mean λ（t） = E（N（t）） and independent of {Xn; n ≥1}. In this paper, asymptotic expressions of P（（X1 ＋… ＋XN（t）） -λ（t）μ 〉 x） uniformly for x ∈[γb（t）, ∞） are obtained, where γ〉 0 and b（t） can be taken to be a positive function with limt→∞ b（t）/λ（t） = 0.     

Non-linear prediction of the degree n of a Gaussian N-ple Markov process

An explicit formula is obtained for the nonlinear predicion of Y(t) = Xⁿ(t), where X(t) is an N-ple Gaussian Markov process.     

Global solutions for operator Riccati equations with unbounded coefficients: A non-linear semigroup approach

Let X be a Banach space of real-valued functions on [0, 1] and let ?(X) be the space of bounded linear operators on X. We are interested in solutions R:(0, ∞) → ?(X) for the operator Riccati equation where T is an unbounded multiplication operator in X and the B_i(t)'s are bounded linear integral operators on X. This equation arises in transport theory as the result of an invariant embedding of the Boltzmann equation. Solutions which are of physical interest are those that take on values in the space of bounded linear operators on L¹(0, 1). Conditions on X, R(0), T, and the coefficients are found such that the theory of non-linear semigroups may be used to prove global existence of strong solutions in ?(X) that also satisfy R(t) ? ?(L¹(0,1)) for all t ≥ 0.     

On multiplicative perturbation of integral resolvent families

In this paper we study multiplicative perturbations for the generator of a strongly continuous integral resolvent family of bounded linear operators defined on a Banach space X. Assuming that a(t) is a creep function which satisfies a(⁰⁺)>0, we prove that if (A,a) generates an integral resolvent, then (A(I+B),a) also generates an integral resolvent for all B∈B(X,Z), where Z belongs to a class of admissible Banach spaces. In special instances of a(t) the space Z is proved to be characterized by an extended class of Favard spaces.