Systems of stochastic partial differential equations with reflection: Existence and uniqueness

In this paper, we establish the existence and uniqueness of solutions of systems of stochastic partial differential equations (SPDEs) with reflection in a convex domain. The lack of comparison theorems for systems of SPDEs makes things delicate.     

Unstable invariant manifolds for stochastic PDEs driven by a fractional Brownian motion

In this paper, we consider a class of stochastic partial differential equations (SPDEs) driven by a fractional Brownian motion (fBm) with the Hurst parameter bigger than 1/2. The existence of local random unstable manifolds is shown if the linear parts of these SPDEs are hyperbolic. For this purpose we introduce a modified Lyapunov-Perron transform, which contains stochastic integrals. By the singularities inside these integrals we obtain a special Lyapunov-Perron's approach by treating a segment of the solution over time interval [0,1] as a starting point and setting up an infinite series equation involving these segments as time evolves. Using this approach, we establish the existence of local random unstable manifolds in a tempered neighborhood of an equilibrium.     

White Noise Driven SPDEs with Reflection: Strong Feller Properties and Harnack Inequalities

In this paper, we prove that the strong Feller property holds for the solution of the white noise driven SPDEs with reflection. When the noise is additive, we establish some Harnack inequalities for the semigroup associated with the solution. As one of the applications, a Varadhan type small time asymptotics is obtained for the solution.     

Convex duality and the Skorokhod Problem. II

In this paper we consider Skorokhod Problems on polyhedral domains with a constant and possibly oblique constraint direction specified on each face of the domain, and with a corresponding cone of constraint directions at the intersection of faces. In part one of this paper we used convex duality to develop new methods for the construction of solutions to such Skorokhod Problems, and for proving Lipschitz continuity of the associated Skorokhod Maps. The main alternative approach to Skorokhod Problems of this type is the reflection mapping technique introduced by Harrison and Reiman [8]. In this part of the paper we apply the theory developed in part one to show that the reflection mapping technique of [8] is restricted to a slight generalization of the class of problems originally considered in [8]. We further illustrate the power of the duality approach by applying it to two other classes of Skorokhod Problems – those with normal directions of constraint, and a new class that arises from a model of processor sharing in communication networks. In particular, we prove existence of solutions to and Lipschitz continuity of the Skorokhod Maps associated with each of these Skorokhod Problems. Received: 17 April 1998 / Revised: 8 January 1999     

Stochastic partial differential equations on manifolds,I

We present a general framework of treating SPDEs on manifolds by adapting the notion of well-weighted Sobolev spaces from [1]. Using this we extend the theory of SPDEs to the case of manifolds.Research supported by the Hungarian National Foundation of Scientific Research No. 2290.     

Dynamics for the Brownian web and the erosion flow

The Brownian web is a random object that occurs as the scaling limit of an infinite system of coalescing random walks. Perturbing this system of random walks by, independently at each point in space–time, resampling the random walk increments, leads to some natural dynamics. In this paper we consider the corresponding dynamics for the Brownian web. In particular, pairs of coupled Brownian webs are studied, where the second web is obtained from the first by perturbing according to these dynamics. A stochastic flow of kernels, which we call the erosion flow, is obtained via a filtering construction from such coupled Brownian webs, and the N$N$-point motions of this flow of kernels are identified.     

Limit theorems in the Fourier transform method for the estimation of multivariate volatility

In this paper, we prove some limit theorems for the Fourier estimator of multivariate volatility proposed by Malliavin and Mancino (2002, 2009) [14] and [15]. In a general framework of discrete time observations we establish the convergence of the estimator and some associated central limit theorems with explicit asymptotic variance. In particular, our results show that this estimator is consistent for synchronous data, but possibly biased for non-synchronous observations. Moreover, from our general central limit theorem, we deduce that the estimator can be efficient in the case of a synchronous regular sampling. In the non-synchronous sampling case, the expression of the asymptotic variance is in general less tractable. We study this case more precisely through the example of an alternate sampling.     

Long time behaviour of a stochastic nanoparticle

In this article, we are interested in the behaviour of a single ferromagnetic mono-domain particle submitted to an external field with a stochastic perturbation. This model is the first step toward the mathematical understanding of thermal effects on a ferromagnet. In a first part, we present the stochastic model and prove that the associated stochastic differential equation is well defined. The second part is dedicated to the study of the long time behaviour of the magnetic moment and in the third part we prove that the stochastic perturbation induces a non-reversibility phenomenon. Last, we illustrate these results through numerical simulations of our stochastic model.     

Asymptotics of random contractions

In this paper we discuss the asymptotic behaviour of random contractions X=RS, where R, with distribution function F, is a positive random variable independent of S∈(0,1). Random contractions appear naturally in insurance and finance. Our principal contribution is the derivation of the tail asymptotics of X assuming that F is in the max-domain of attraction of an extreme value distribution and the distribution function of S satisfies a regular variation property. We apply our result to derive the asymptotics of the probability of ruin for a particular discrete-time risk model. Further we quantify in our asymptotic setting the effect of the random scaling on the Conditional Tail Expectations, risk aggregation, and derive the joint asymptotic distribution of linear combinations of random contractions.     

Multi-operator scaling random fields

In this paper, we define and study a new class of random fields called harmonizable multi-operator scaling stable random fields. These fields satisfy a local asymptotic operator scaling property which generalizes both the local asymptotic self-similarity property and the operator scaling property. Actually, they locally look like operator scaling random fields, whose order is allowed to vary along the sample paths. We also give an upper bound of their modulus of continuity. Their pointwise Hölder exponents may also vary with the position x and their anisotropic behavior is driven by a matrix which may also depend on x.     

A functional modulus of continuity for Brownian motion

In this paper, we prove a sharpening of large deviation for increments of Brownian motion in (p,r)-capacity and Hölder norm case. As an application, we obtain a functional modulus of continuity for (p,r)-capacity in the stronger topology.     

White noise driven SPDEs with reflection

Summary We study reflected solutions of a nonlinear heat equation on the spatial interval [0, 1] with Dirichlet boundary conditions, driven by space-time white noise. The nonlinearity appears both in the drift and in the diffusion coefficient. Roughly speaking, at any point (t, x) where the solutionu(t, x) is strictly positive it obeys the equation, and at a point (t, x) whereu(t, x) is zero we add a force in order to prevent it from becoming negative. This can be viewed as an extension both of one-dimensional SDEs reflected at 0, and of deterministic variational inequalities. Existence of a minimal solution is proved. The construction uses a penalization argument, a new existence theorem for SPDEs whose coefficients depend on the past of the solution, and a comparison theorem for solutions of white-noise driven SPDEs.Partially supported by DRET under contract 901636/A000/DRET/DS/SR     

Stochastic partial differential equations with unbounded coefficients and applications i

The present paper is the first instalment of a three-part study of stochastic partial differentia! equations (SPDEs) having unbounded coefficients. In this paper we prove existence and uniqueness theorems for a large class of parabolic SPDEs (having unbounded data), including a class of systems of SPDEs     

A note on the de La Vallée Poussin criterion for uniform integrability

In this paper, we present new versions of the classical de La Vallée Poussin criterion for uniform integrability. Our results concern the uniform integrability of a continuous function relative to a sequence of distribution functions. We apply our results to obtain a result on the convergence of a sequence of integrals which we illustrate with an example.     

Neighborhood radius estimation for variable-neighborhood random fields

We consider random fields defined by finite-region conditional probabilities depending on a neighborhood of the region which changes with the boundary conditions. To predict the symbols within any finite region, it is necessary to inspect a random number of neighborhood symbols which might change according to the value of them. In analogy with the one-dimensional setting we call these neighborhood symbols the context associated to the region at hand. This framework is a natural extension, to d-dimensional fields, of the notion of variable length Markov chains introduced by Rissanen [24] in his classical paper. We define an algorithm to estimate the radius of the smallest ball containing the context based on a realization of the field. We prove the consistency of this estimator. Our proofs are constructive and yield explicit upper bounds for the probability of wrong estimation of the radius of the context.     

Two Brownian particles with rank-based characteristics and skew-elastic collisions

We construct a two-dimensional diffusion process with rank-dependent local drift and dispersion coëfficients, and with a full range of patterns of behavior upon collision that range from totally frictionless interaction, to elastic collision, to perfect reflection of one particle on the other. These interactions are governed by the left- and right-local times at the origin for the distance between the two particles. We realize this diffusion in terms of appropriate, apparently novel systems of stochastic differential equations involving local times, which we show are well posed. Questions of pathwise uniqueness and strength are also discussed for these systems.     

Weak convergence of symmetric diffusion processes

Summary. In this paper, we show the convergence of forms in the sense of Mosco associated with the part form on relatively compact open set of Dirichlet forms with locally uniform ellipticity and the locally uniform boundedness of ground states under regular Dirichlet space setting. We also get the same assertion under Dirichlet space in infinite dimensional setting. As a result of this, we get the weak convergence under some conditions on initial distributions and the growth order of the volume of the balls defined by (modified) pseudo metric used in K. Th. Sturm. Received: 18 September 1995 / In revised form: 23 January 1997     

Differential operators on Hilbert modular forms

We investigate differential operators and their compatibility with subgroups of SL₂n(R). In particular, we construct Rankin-Cohen brackets for Hilbert modular forms, and more generally, multilinear differential operators on the space of Hilbert modular forms. As an application, we explicitly determine the Rankin-Cohen bracket of a Hilbert-Eisenstein series and an arbitrary Hilbert modular form. We use this result to compute the Petersson inner product of such a bracket and a Hilbert modular cusp form.     

On non-degenerate quasi-linear stochastic partial differential equations

We prove a limit theorem for non-degenerate quasi-linear parabolic SPDEs driven by space-time white noise in one space-dimension, when the diffusion coefficient is Lipschitz continuous and the nonlinear drift term is only measurable. Hence we obtain an existence and uniqueness and a comparison theorem, which generalize those in [2], [4], [5] to the case of non-degenerate SPDEs with measurable drift and Lipschitz continuous diffusion coefficients.Research supported by the Hungarian National Foundation of Scientific Research No. 2290.