Aging in two-dimensional Bouchaud's model

Let E _x be a collection of i.i.d. exponential random variables. Symmetric Bouchaud's model on ℤ² is a Markov chain X(t) whose transition rates are given by w _xy = ν exp (−βE _x ) if x, y are neighbours in ℤ². We study the behaviour of two correlation functions: ℙ[X(t _w +t) = X(t _w )] and ℙ[X(t') = X(t _w ) ∀ t'∈ [t _w , t _w + t]]. We prove the (sub)aging behaviour of these functions when β > 1.     

On the meromorphic convexity of normality domains in a Stein manifold

Let X be a Stein manifold. Then we prove that for any family ℱ⊂?(X) the normality domain Dℱ) is a meromorphically ?(X)-convex open set of X. Received: 4 November 1999     

Spectral Representation of Gaussian Semimartingales

The aim of the present paper is to characterize the spectral representation of Gaussian semimartingales. That is, we provide necessary and sufficient conditions on the kernel K for X _t =∫ K _t (s) dN _s to be a semimartingale. Here, N denotes an independently scattered Gaussian random measure on a general space S. We study the semimartingale property of X in three different filtrations. First, the ℱ ^X -semimartingale property is considered, and afterwards the ℱ ^X,∞-semimartingale property is treated in the case where X is a moving average process and ℱ _t ^X,∞=σ(X _s :s∈(−∞,t]). Finally, we study a generalization of Gaussian Volterra processes. In particular, we provide necessary and sufficient conditions on K for the Gaussian Volterra process ∫ _−∞ ^t K _t (s) dW _s to be an ℱ ^W,∞-semimartingale (W denotes a Wiener process). Hereby we generalize a result of Knight (Foundations of the Prediction Process, 1992) to the nonstationary case.     

Clustering of linearly interacting diffusions and universality of their long-time limit distribution

Let K⊂ℝ ^d (d≥ 1) be a compact convex set and Λ a countable Abelian group. We study a stochastic process X in K ^Λ, equipped with the product topology, where each coordinate solves a SDE of the form dX _i (t) = ∑ _j a(j−i) (X _j (t) −X _i (t))dt + σ (X _i (t))dB _i (t). Here a(·) is the kernel of a continuous-time random walk on Λ and σ is a continuous root of a diffusion matrix w on K. If X(t) converges in distribution to a limit X(∞) and the symmetrized random walk with kernel a _S (i) = a(i) + a(−i) is recurrent, then each component X _i (∞) is concentrated on {x∈K : σ(x) = 0 and the coordinates agree, i.e., the system clusters. Both these statements fail if a _S is transient. Under the assumption that the class of harmonic functions of the diffusion matrix w is preserved under linear transformations of K, we show that the system clusters for all spatially ergodic initial conditions and we determine the limit distribution of the components. This distribution turns out to be universal in all recurrent kernels a _S on Abelian groups Λ. Received: 10 May 1999 / Revised version: 18 April 2000 / Published online: 22 November 2000     

Limit theorems for a class of diffusion processes

We consider a diffusion process {x(t)} on a compact Riemannian manifold with generator δ/2 + b. A current‐valued continuous stochastic process {X _t} in the sense of Itô [8] corresponds to {x(t)} by considering the stochastic line integral X _t(a) along {x(t)} for every smooth 1-form a. Furthermore {X _t} is decomposed into the martingale part and the bounded variation part as a current-valued continuous process. We show the central limit theorems for {X _t} and the martingale part of {X _t}. Occupation time laws for recurrent diffusions and homogenization problems of periodic diffusions are closely related to these theorems     

Embeddings of Lorentz spaces of vector-valued martingales

We obtain new embedding theorems for Lorentz spaces of vector-valued martingales, thus generalizing the classical martingale inequalities. In contrast to earlier methods, we use martingale transformations defined by sequences of operators and identify the operator S ^(p)(f) for a martingale f ranging in a Banach space X with the maximal operator for some ℓ ^p (X)-valued martingale transform. The obtained inequalities are closely related to geometric properties of the Banach space in question.     

Almost automorphic solutions to integral equations on the line

Given a∈L ¹(ℝ) and A the generator of an L ¹-integrable family of bounded and linear operators defined on a Banach space X, we prove the existence of almost automorphic solution to the semilinear integral equation u(t)=∫ _−∞ ^t a(t−s)[Au(s)+f(s,u(s))]ds for each f:ℝ×X→X almost automorphic in t, uniformly in x∈X, and satisfying diverse Lipschitz type conditions. In the scalar case, we prove that a∈L ¹(ℝ) positive, nonincreasing and log-convex is already sufficient.     

Characterization of submartingales of a new class (Σr)

In this work, we shall consider a new class (Σ^r) of local submartingales of the form X_t = M_t + A_t, where (M_t)_{t ? 0} is a càdlàg (right continuous with left limits) local martingale, (A_t)_{t ? 0} is a càdlàg increasing process, and the measure (dA) is carried by the set {t: X_{t ?} = 0}.

The aim of the present paper is to study the positive and negative parts of processes of this class and establish some martingale characterizations. The formula of relative martingales is derived in terms of last passage time. Finally, by using balayage formula, we calculate predictable compensator.     

Cochain model for thickenings and its application to rational LS-category

A thickening of a finite CW-complex X is by definition a compact manifold M of the same simple homotopy type as X. We give a model for the cochain complex of the boundary of that manifold, C ^*(δM), as a module over the cochain algebra C ^*(X). We also show how to construct an algebraic model of the rational homotopy type of δC ^*(M) from a model of X. Using this rational model, we prove a new formula for the rational Lusternik–Schnirelmann category of X. Received: 24 September 1999     

On the ratio of the expected maximum of a martingale and theL p-norm of its last term

For eachp>1, the supremum,S, of the absolute value of a martingale terminating at a random variableX inL _p, satisfiesES≦(Γ(q))^1/q‖X‖_p (q=p(p-1)^-1).The maximum,M, of a mean-zero martingale which starts at zero and terminates atX, satisfiesES≦(Γ(q))^1/q‖X‖_p (q=p(p-1)^-1), whereσ _q is the unique solution of the equationt = ‖Z −t ‖ _q for an exponentially distributed random variableZ with mean 1.σ _p has other characterizations and satisfies lim _p‖ q ^{− 1} σ _q =c withc determined byce ^c+1 = 1. Equalities in (1) and (2) are attainable by appropriate martingales which can be realized as stopped segments of Brownian motion. A presumably new property of the exponential distribution is obtained en route to inequality (2).     

The importance of strictly local martingales; applications to radial Ornstein–Uhlenbeck processes

For a wide class of local martingales (M _t ) there is a default function, which is not identically zero only when (M _t ) is strictly local, i.e. not a true martingale. This default in the martingale property allows us to characterize the integrability of functions of sup _s≤t M _s in terms of the integrability of the function itself. We describe some (paradoxical) mean-decreasing local sub-martingales, and the default functions for Bessel processes and radial Ornstein–Uhlenbeck processes in relation to their first hitting and last exit times. Received: 6 August 1996 / Revised version: 27 July 1998     

Martingales with given maxima and terminal distributions

Let μ be any probability measure onR with λ |x|dμ(x)<∞, and let μ^* denote its associated Hardy and Littlewood maximal p.m. It is shown that for any p.m.v for which μ<ν<μ^* in the usual stochastic order, there is a martingale (X _t)_0≦t≦1 for which sup_0≦t≦1 X _t andX ₁ have respective p.m. 'sv and μ. The proof uses induction and weak convergence arguments; in special cases, explicit martingale constructions are given. These results provide a converse to results of Dubins and Gilat [6]; applications are made to give sharp martingale and ‘prophet’ inequalities. Supported in part by NSF grants DMS-86-01153 and DMS-88-01818.     

The nonlinear version of Pazy’s local existence theorem

LetX be a real Banach space,U ⊂X a given open set,A ⊂X×X am-dissipative set andF:C(0,a;U) →L ^∞(0,a;X) a continuous mapping. Assume thatA generates a nonlinear semigroup of contractionsS(t): {ie221-2}) → {ie221-3}), strongly continuous at the origin, withS(t) compact for allt>0. Then, for eachu ₀ ∈ {ie221-4}) ∩U there existsT ∈ ]0,a] such that the following initial value problem: (du(t))/(dt) ∈Au(t) +F(u)(t),u(0)=u ₀, has at least one integral solution on [0,T]. Some extensions and applications are also included.     

On perturbations of differentiable semigroups

LetX be a Banach space and letA be the infinitesimal generator of a differentiable semigroup {T(t) |t ≥ 0}, i.e. aC ₀-semigroup such thatt ↦T(t)x is differentiable on (0, ∞) for everyx εX. LetB be a bounded linear operator onX and let {S(t) |t ≥ 0} be the semigroup generated byA +B. Renardy recently gave an example which shows that {S(t) |t ≥ 0} need not be differentiable. In this paper we give a condition on the growth of ‖T′(t)‖ ast ↓ 0 which is sufficient to ensure that {S(t) |t ≥ 0} is differentiable. Moreover, we use Renardy’s example to study the optimality of our growth condition. Our results can be summarized roughly as follows:

Stochastic Equations with Time-Dependent Drift Driven by Levy Processes

The stochastic equation dX _t =dS _t +a(t,X _t )dt, t≥0, is considered where S is a one-dimensional Levy process with the characteristic exponent ψ(ξ),ξ∈ℝ. We prove the existence of (weak) solutions for a bounded, measurable coefficient a and any initial value X ₀=x ₀∈ℝ when (ℛe  ψ(ξ))⁻¹=o(|ξ|⁻¹) as |ξ|→∞. These conditions coincide with those found by Tanaka, Tsuchiya and Watanabe (J. Math. Kyoto Univ. 14(1), 73–92, 1974) in the case of a(t,x)=a(x). Our approach is based on Krylov’s estimates for Levy processes with time-dependent drift. Some variants of those estimates are derived in this note.     

The Lindel?f number of Cp(X)×Cp(X) for strongly zero-dimensional X

We prove that if X is a strongly zero-dimensional space, then for every locally compact second-countable space M, C _p (X, M) is a continuous image of a closed subspace of C _p (X). It follows in particular, that for strongly zero-dimensional spaces X, the Lindel?f number of C _p (X)×C _p (X) coincides with the Lindel?f number of C _p (X). We also prove that l(C _p (X ⁿ )^κ) ≤ l(C _p (X)^κ) whenever κ is an infinite cardinal and X is a strongly zero-dimensional union of at most κcompact subspaces.     

The multiplication map for global sections of line bundles and rank 1 torsion free sheaves on curves

LetX be an integral projective curve andL ∃ Pic^a(X),M ∃ Pic^b (X) with h¹(X, L)= h¹(X, M) = 0 andL, M general. Here we study the rank of the multiplication map μ _L,M :H ⁰(X,L)⊗H ⁰(X,M)→H ⁰(X,L⊗M). We also study the same problem whenL andM are rank 1 torsion free sheaves onX. Most of our results are forX with only nodes as singularities.     

Upper-Lower Class Tests for Weighted i.i.d. Sequences and Martingales

We study the upper-lower class behavior of weighted sums ∑ _k=1 ⁿ a _k X _k , where X _k are i.i.d. random variables with mean 0 and variance 1. In contrast to Feller’s classical results in the case of bounded X _j , we show that the refined LIL behavior of such sums depends not on the growth properties of (a _n ) but on its arithmetical distribution, permitting pathological behavior even for bounded (a _n ). We prove analogous results for weighted sums of stationary martingale difference sequences. These are new even in the unweighted case and complement the sharp results of Einmahl and Mason obtained in the bounded case. Finally, we prove a general upper-lower class test for unbounded martingales, improving several earlier results in the literature.     

Vector-valued weak martingale Hardy spaces and atomic decompositions

Some atomic decomposition theorems are proved in vector-valued weak martingale Hardy spaces w _p Σ_α(X), w _p Q _α(X) and wD _α(X). As applications of atomic decompositions, a sufficient condition for sublinear operators defined on some vector-valued weak martingale Hardy spaces to be bounded is given. In particular, some weak versions of martingale inequalities for the operators f*, S ^(p)(f) and σ^(p)(f) are obtained. This research was supported by the National Science Foundation of China (No. 10371093).