From Constructive Field Theory to Fractional Stochastic Calculus. (II) Constructive Proof of Convergence for the Lévy Area of Fractional Brownian Motion with Hurst Index {{\alpha}\,{\in}\,(\frac{1}{8},\frac{1}{4})}

Let B?=?(B ₁(t), . . . ,B _d (t)) be a d-dimensional fractional Brownian motion with Hurst index ???<?1/4, or more generally a Gaussian process whose paths have the same local regularity. Defining properly iterated integrals of B is a difficult task because of the low H?lder regularity index of its paths. Yet rough path theory shows it is the key to the construction of a stochastic calculus with respect to B, or to solving differential equations driven by B. We intend to show in a series of papers how to desingularize iterated integrals by a weak, singular non-Gaussian perturbation of the Gaussian measure defined by a limit in law procedure. Convergence is proved by using ??standard?? tools of constructive field theory, in particular cluster expansions and renormalization. These powerful tools allow optimal estimates and call for an extension of Gaussian tools such as, for instance, the Malliavin calculus. After a first introductory paper (Magnen and Unterberger in From constructive theory to fractional stochastic calculus. (I) An introduction: rough path theory and perturbative heuristics, 2011), this one concentrates on the details of the constructive proof of convergence for second-order iterated integrals, also known as Lévy area. A summary in French may be found in Unterberger (Mode d??emploi de la théorie constructive des champs bosoniques, avec une application aux chemins rugueux, 2011).     

Convergence rate of numerical solutions to SFDEs with jumps

In this paper, we are interested in numerical solutions of stochastic functional differential equations with jumps. Under a global Lipschitz condition, we show that the pth-moment convergence of Euler-Maruyama numerical solutions to stochastic functional differential equations with jumps has order 1/p for any p≥2. This is significantly different from the case of stochastic functional differential equations without jumps, where the order is 1/2 for any p≥2. It is therefore best to use the mean-square convergence for stochastic functional differential equations with jumps. Moreover, under a local Lipschitz condition, we reveal that the order of mean-square convergence is close to 1/2, provided that local Lipschitz constants, valid on balls of radius j, do not grow faster than logj.     

Euler estimates for rough differential equations

We consider controlled ordinary differential equations and give new estimates for higher order Euler schemes. Our proofs are inspired by recent work of A.M. Davie who considers first and second order schemes. In order to implement the general case we make systematic use of geodesic approximations in the free nilpotent group. Such Euler estimates have powerful applications. By a simple limit argument they apply to rough path differential equations (RDEs) in the sense of T. Lyons and hence also to stochastic differential equations driven by Brownian motion or other random rough paths with sufficient integrability. In the context of the latter, we obtain strong remainder estimates in stochastic Taylor expansions a la Azencott, Ben Arous, Castell and Platen. Although our findings appear novel even in the case of driving Brownian motion our main insight is the genuine rough path nature of (quantitative) remainder estimates in stochastic Taylor expansions. There are several other applications of which we discuss in detail Lq-convergence in Lyons' Universal Limit Theorem and moment control of RDE solutions.     

Partial differential equations driven by rough paths

We study a class of linear first and second order partial differential equations driven by weak geometric p-rough paths, and prove the existence of a unique solution for these equations. This solution depends continuously on the driving rough path. This allows a robust approach to stochastic partial differential equations. In particular, we may replace Brownian motion by more general Gaussian and Markovian noise. Support theorems and large deviation statements all become easy corollaries of the corresponding statements of the driving process. In the case of first order equations with Gaussian noise, we discuss the existence of a density with respect to the Lebesgue measure for the solution.     

ONE LINEAR ANALYTIC APPROXIMATION FOR STOCHASTIC INTEGRODIFFERENTIAL EQUATIONS

This article concerns the construction of approximate solutions for a general stochastic integrodifferential equation which is not explicitly solvable and whose coeffcients functionally depend on Lebesgue integrals and stochastic integrals with respect to martingales. The approximate equations are linear ordinary stochastic differential equations, the solutions of which are defined on sub-intervals of an arbitrary partition of the time interval and connected at successive division points. The closeness of the initial and approximate solutions is measured in the L^p-th norm, uniformly on the time interval. The convergence with probability one is also given.     

From Constructive Field Theory to Fractional Stochastic Calculus. (I) An introduction: Rough Path Theory and Perturbative Heuristics

Let B = (B ₁(t), . . . , B _d (t)) be a d-dimensional fractional Brownian motion with Hurst index α ≤ 1/4, or more generally a Gaussian process whose paths have the same local regularity. Defining properly iterated integrals of B is a difficult task because of the low H?lder regularity index of its paths. Yet rough path theory shows it is the key to the construction of a stochastic calculus with respect to B, or to solving differential equations driven by B. We intend to show in a forthcoming series of papers how to desingularize iterated integrals by a weak singular non-Gaussian perturbation of the Gaussian measure defined by a limit in law procedure. Convergence is proved by using “standard” tools of constructive field theory, in particular cluster expansions and renormalization. These powerful tools allow optimal estimates of the moments and call for an extension of the Gaussian tools such as for instance the Malliavin calculus. This first paper aims to be both a presentation of the basics of rough path theory to physicists, and of perturbative field theory to probabilists; it is only heuristic, in particular because the desingularization of iterated integrals is really a non-perturbative effect. It is also meant to be a general motivating introduction to the subject, with some insights into quantum field theory and stochastic calculus. The interested reader should read for a second time the companion article (Magnen and Unterberger in From constructive theory to fractional stochastic calculus. (II) The rough path for \frac16 < a < \frac14{\frac{1}{6} < \alpha < \frac{1}{4}}: constructive proof of convergence, 2011, preprint) for the constructive proofs.     

Fixed points and exponential stability of mild solutions of stochastic partial differential equations with delays

The fixed-point theory is first used to consider the stability for stochastic partial differential equations with delays. Some conditions for the exponential stability in pth mean as well as in sample path of mild solutions are given. These conditions do not require the monotone decreasing behavior of the delays, which is necessary in [T. Caraballo, K. Liu, Exponential stability of mild solutions of stochastic partial differential equations with delays, Stoch. Anal. Appl. 17 (1999) 743-763; Ruhollan Jahanipur, Stability of stochastic delay evolution equations with monotone nonlinearity, Stoch. Anal. Appl. 21 (2003) 161-181]. Even in this special case, our results also improve the results in [T. Caraballo, K. Liu, Exponential stability of mild solutions of stochastic partial differential equations with delays, Stoch. Anal. Appl. 17 (1999) 743-763].     

On the asymptotic solutions of the coupled quasiparticle-oscillator system

A coupled quasiparticle-oscillator system is considered for an arbitrary number of excitons. The exciton dynamics is described in terms of the second quantization (i.e. by means the bosonic operators). As a consequence a radius of a Bloch sphere is obtained different to the previous results. Some integrals of motion are obtained that allowed to reduce the system of equations of motion to a single nonlinear ordinary differential equation of the fourth order. This equation contains the energy of the system as a parameter. The fixed points are found as a functions of the energy of the system, and its stability properties are investigated. It is demonstrated that a bifurcation is presented for the energies H<−1/2p. An asymptotic quasiclassical solution around fixed point for the case H>−1/2p is obtained. The solutions around other stable fixed points can be obtained analogously. The expression for the evolution operator of the quasiparticle-oscillator system is obtained as a functional on the classical solutions.     

Superintegrable models on Riemannian surfaces of revolution with integrals of any integer degree (I)

We present a family of superintegrable (SI) systems which live on a Riemannian surface of revolution and which exhibit one linear integral and two integrals of any integer degree larger or equal to 2 in the momenta. When this degree is 2, one recovers a metric due to Koenigs.The local structure of these systems is under control of a linear ordinary differential equation of order n which is homogeneous for even integrals and weakly inhomogeneous for odd integrals. The form of the integrals is explicitly given in the so-called “simple” case (see Definition 2). Some globally defined examples are worked out which live either in H² or in R².     

Qualitative Phenomena for Some Classes of Quasilinear Elliptic Equations with Multiple Resonance

We consider nonlinear nonhomogeneous Dirichlet problems driven by the sum of a p-Laplacian and a Laplacian. The hypotheses on the reaction term incorporate problems resonant at both ±∞ and zero. We consider both cases p>2 and 1<p<2 (singular case) and we prove four multiplicity theorems producing three or four nontrivial solutions. For the case p>2 we provide precise sign information for all the solutions. Our approach uses critical point theory, truncation and comparison techniques, Morse theory and the Lyapunoff-Schmidt reduction method.     

Anticipated backward stochastic differential equations with non-Lipschitz coefficients

This paper deals with a class of anticipated backward stochastic differential equations. We extend results of Peng and Yang (2009) to the case in which the generator satisfies non-Lipschitz condition. The existence and uniqueness of solutions for anticipated backward stochastic differential equations as well as a comparison theorem are obtained. The existence and uniqueness of L^p(p>2) solutions for anticipated backward stochastic differential equations are also studied.     

From Jacobi problem of separation of variables to theory of quasipotential Newton equations

Our solution to the Jacobi problem of finding separation variables for natural Hamiltonian systems H = ½p ² + V(q) is explained in the first part of this review. It has a form of an effective criterion that for any given potential V(q) tells whether there exist suitable separation coordinates x(q) and how to find these coordinates, so that the Hamilton-Jacobi equation of the transformed Hamiltonian is separable. The main reason for existence of such criterion is the fact that for separable potentials V(q) all integrals of motion depend quadratically on momenta and that all orthogonal separation coordinates stem from the generalized elliptic coordinates. This criterion is directly applicable to the problem of separating multidimensional stationary Schrödinger equation of quantum mechanics. Second part of this work provides a summary of theory of quasipotential, cofactor pair Newton equations $ \ddot q $ = M(q) admitting n quadratic integrals of motion. This theory is a natural generalization of theory of separable potential systems $ \ddot q $ = ??(q). The cofactor pair Newton equations admit a Hamilton-Poisson structure in an extended 2n + 1 dimensional phase space and are integrable by embedding into a Liouville integrable system. Two characterizations of these systems are given: one through a Poisson pencil and another one through a set of Fundamental Equations. For a generic cofactor pair system separation variables have been found and such system have been shown to be equivalent to a Stäckel separable Hamiltonian system. The theory is illustrated by examples of driven and triangular Newton equations.     

Positive invertibility of matrices and stability of Itô delay differential equations

We study the global exponential p-stability (1 ≤ p < ∞) of systems of Itô nonlinear delay differential equations of a special form using the theory of positively invertible matrices. To this end, we apply a method developed by N.V. Azbelev and his students for the stability analysis of deterministic functional-differential equations. We obtain sufficient conditions for the global exponential 2p-stability (1 ≤ p < ∞) of systems of Itô nonlinear delay differential equations in terms of the positive invertibility of a matrix constructed from the original system. We verify these conditions for specific equations.     

Constant sign and nodal solutions for logistic-type equations with equidiffusive reaction

We consider a logistic-type equation driven by the p-Laplace differential operator with an equidiffusive reaction term. Combining variational methods based on critical point theory together with truncation techniques and Morse theory, we show that when ?? > ??₁, the problem has extremal solutions of constant sign and when ?? > ??₂ it has also a nodal (sign-changing) solution. Here ??₁?<???₂ are the first two eigenvalues of the negative Dirichlet p-Laplacian. In the semilinear case (i.e. p?=?2) we produce two nodal solutions.     

On p-superlinear equations with a nonhomogeneous differential operator

We consider a nonlinear elliptic equation driven by a nonhomogeneous differential operator and with a (p?1)-superlinear Carathéodory reaction. Our formulation incorporates as a special case equations monitored by the p-Laplacian. Using variational methods coupled with truncation techniques and comparison principles, we show that the problem has at least five nontrivial smooth solutions.     

New efficient numerical procedures for solving stochastic variational problems with a priori maximum pointwise error estimates

In a previous paper we gave a new formulation and derived the Euler equations and other necessary conditions to solve strong, pathwise, stochastic variational problems with trajectories driven by Brownian motion. Thus, unlike current methods which minimize the control over deterministic functionals (the expected value), we find the control which gives the critical point solution of random functionals of a Brownian path and then, if we choose, find the expected value.This increase in information is balanced by the fact that our methods are anticipative while current methods are not. However, our methods are more directly connected to the theory and meaningful examples of deterministic variational theory and provide better means of solution for free and constrained problems. In addition, examples indicate that there are methods to obtain nonanticipative solutions from our equations although the anticipative optimal cost function has smaller expected value.In this paper we give new, efficient numerical methods to find the solution of these problems in the quadratic case. Of interest is that our numerical solution has a maximal, a priori, pointwise error of O(h3/2) where h is the node size. We believe our results are unique for any theory of stochastic control and that our methods of proof involve new and sophisticated ideas for strong solutions which extend previous deterministic results by the first author where the error was O(h²).We note that, although our solutions are given in terms of stochastic differential equations, we are not using the now standard numerical methods for stochastic differential equations. Instead we find an approximation to the critical point solution of the variational problem using relations derived from setting to zero the directional derivative of the cost functional in the direction of simple test functions.Our results are even more significant than they first appear because we can reformulate stochastic control problems or constrained calculus of variations problems in the unconstrained, stochastic calculus of variations formulation of this paper. This will allow us to find efficient and accurate numerical solutions for general constrained, stochastic optimization problems. This is not yet being done, even in the deterministic case, except by the first author.     

Some properties of stochastic differential equations driven by the G-Brownian motion

In this paper, we study the property of continuous dependence on the parameters of stochastic integrals and solutions of stochastic differential equations driven by the G-Brownian motion. In addition, the uniqueness and comparison theorems for those stochastic differential equations with non-Lipschitz coefficients are obtained.     

Nonoscillation and oscillation of second order half-linear differential equations

We study the oscillation problems for the second order half-linear differential equation ^′[p(t)Φ(x^′)]+q(t)Φ(x)=0, where Φ(u)=|u|^r−1u with r>0, 1/p and q are locally integrable on R₊; p>0, q?0 a.e. on R₊, and . We establish new criteria for this equation to be nonoscillatory and oscillatory, respectively. When p≡1, our results are complete extensions of work by Huang [C. Huang, Oscillation and nonoscillation for second order linear differential equations, J. Math. Anal. Appl. 210 (1997) 712-723] and by Wong [J.S.W. Wong, Remarks on a paper of C. Huang, J. Math. Anal. Appl. 291 (2004) 180-188] on linear equations to the half-linear case for all r>0. These results provide corrections to the wrongly established results in [J. Jiang, Oscillation and nonoscillation for second order quasilinear differential equations, Math. Sci. Res. Hot-Line 4 (6) (2000) 39-47] on nonoscillation when 0<r<1 and on oscillation when r>1. The approach in this paper can also be used to fully extend Elbert's criteria on linear equations to half-linear equations which will cover and improve a partial extension by Yang [X. Yang, Oscillation/nonoscillation criteria for quasilinear differential equations, J. Math. Anal. Appl. 298 (2004) 363-373].