Local Malliavin calculus for Lévy processes and applications

The Malliavin derivative operator for the Poisson process introduced by Carlen and Pardoux [Differential calculus and integration by parts on a Poisson space, in Stochastics, Algebra and Analysis in Classical and Quantum Dynamics, S. Albeverio et al. (eds), Kluwer, Dordrecht, 1990, pp. 63–73] is extended to Lévy processes. It is a true derivative operator (in the sense that it satisfies the chain rule), and we deduce a sufficient condition for the absolute continuity of functionals of the Lévy process. As an application, we analyse the absolute continuity of the law of the solution of some stochastic differential equations with jumps.     

Malliavin calculus for highly degenerate 2D stochastic Navier–Stokes equations

This Note mainly presents the results from “Malliavin calculus and the randomly forced Navier–Stokes equation” by J.C. Mattingly and E. Pardoux. It also contains a result from “Ergodicity of the degenerate stochastic 2D Navier–Stokes equation” by M. Hairer and J.C. Mattingly. We study the Navier–Stokes equation on the two-dimensional torus when forced by a finite dimensional Gaussian white noise. We give conditions under which the law of the solution at any time $t>0$, projected on a finite dimensional subspace, has a smooth density with respect to Lebesgue measure. In particular, our results hold for specific choices of four dimensional Gaussian white noise. Under additional assumptions, we show that the preceding density is everywhere strictly positive. This Note's results are a critical component in the ergodic results discussed in a future article. To cite this article: M. Hairer et al., C. R. Acad. Sci. Paris, Ser. I 339 (2004).     

A maple® package for the calculus of variations based on jet manifolds

This contribution presents a computer algebra package for Lagrangian systems with p???1 independent and q???1 dependent variables. The Lagrangian may depend on the partial derivatives up to the order n???0 of the dependent variables with respect to the independent ones. In the case of one independent variable, p?=?1, the package derives the equations of motion in the form of a system of q ordinary differential equations of order 2n, for p?>?1 the result is a system of q partial differential equation up to the order 2n. In addition the package determines all the required boundary conditions in the case of p???3 and n???2. Since the presented method uses the concept of jet manifolds, a short introduction to the notation of jet theory is provided. Two examples — the Timoshenko beam and the Kirchhoff plate — demonstrate the main features of the presented computer algebra based approach.     

Triple product L-functions and quantum chaos on SL(2, ℂ)

Let Y be an arithmetic hyperbolic 3-manifold. We establish a link between quantum unique ergodicity for sections of automorphic vector bundles on Y and subconvexity for the triple product L-function, which extends a result of Watson in the case of hyperbolic 2-manifolds. The proof combines the representation theoretic microlocal lift for bundles developed by Bunke and Olbrich with the triple product formula of Ichino. A key step is determining the asymptotic behaviour of the local integrals at complex places that appear in Ichino’s formula.     

Construction of non-Gaussian surface measures by Malliavin’s method

We generalize the Airault-Malliavin theorem on the existence of surface measures on infinite-dimensional spaces with Gaussian measures on surfaces. We prove that the sets of capacities generated by Sobolev classes on infinite-dimensional spaces are dense. Translated fromMatematicheskie Zametki, Vol. 65, No. 3, pp. 377–388, March, 1999.     

Li–Yorke chaos for invertible mappings on compact metric spaces

In this paper, we construct a homeomorphism on the closed unit disk to show that the inverse of a Li–Yorke chaotic mapping on a compact metric space need not be Li–Yorke chaotic.     

Maximum utility product pricing models and algorithms based on reservation price

We consider a revenue management model for pricing a product line with several customer segments under the assumption that customers’ product choices are determined entirely by their reservation prices. We highlight key mathematical properties of the maximum utility model and formulate it as a mixed-integer programming problem, design heuristics and valid cuts. We further present extensions of the models to deal with various practical issues arising in applications. Our computational experiments with real data from the tourism sector as well as with the randomly generated data show the effectiveness of our approach.     

A Note on Malliavin Fractional Smoothness for Lévy Processes and Approximation

Assume a Lévy process (X _t ) _t?∈?[0,1] that is an L ₂-martingale and let Y be either its stochastic exponential or X itself. For certain integrands φ we investigate the behavior of $$ \bigg \|\int_{(0,1]} {{\varphi}}_t dX_t - \sum_{k=1}^N v_{k-1} (Y_{t_k}-Y_{t_{k-1}}) \bigg \|_{L_2}, $$ where v _k???1 is ${\mathcal{F}}_{t_{k-1}}$ -measurable, in dependence on the fractional smoothness in the Malliavin sense of $\int_{(0,1]} {{\varphi}}_t dX_t$ . A typical situation where these techniques apply occurs if the stochastic integral is obtained by the Galtchouk–Kunita–Watanabe decomposition of some f(X ₁). Moreover, using the example f(X ₁)?=?1_(K,?∞?)(X ₁) we show how fractional smoothness depends on the distribution of the Lévy process.     

A note on Schweizer–Smital chaos

In this paper, we consider a continuous map f:X→X$f:X\to X$, where X$X$ is a compact metric space, and prove that for any positive integer N$N$, f$f$ is Schweizer–Smital chaotic if and only if f^N$f^N$ is too.     

Stein’s method on Wiener chaos

We combine Malliavin calculus with Stein’s method, in order to derive explicit bounds in the Gaussian and Gamma approximations of random variables in a fixed Wiener chaos of a general Gaussian process. Our approach generalizes, refines and unifies the central and non-central limit theorems for multiple Wiener–Itô integrals recently proved (in several papers, from 2005 to 2007) by Nourdin, Nualart, Ortiz-Latorre, Peccati and Tudor. We apply our techniques to prove Berry–Esséen bounds in the Breuer–Major CLT for subordinated functionals of fractional Brownian motion. By using the well-known Mehler’s formula for Ornstein–Uhlenbeck semigroups, we also recover a technical result recently proved by Chatterjee, concerning the Gaussian approximation of functionals of finite-dimensional Gaussian vectors.     

Are unbounded linear operators computable on the average for Gaussian measures?

Traub and Werschulz [Complexity and Information, Cambridge University Press, New York, 1999] ask whether every linear operator S:⊆X→Y$S:\subseteq X\to Y$ is “computable on the average” w.r.t. a Gaussian measure on X. The question is inspired by an analogous result in information-based complexity on the average-case solvability of linear approximation problems. We give several interpretations of Traub and Werschulz’ question within the framework of type-2 theory of effectivity. We have negative answers to all of these interpretations but the one with minimal requirements on the algorithm's uniformness. On our way to these results, we give an effective version of the Mourier–Prokhorov characterization of Gaussian measures on separable Hilbert spaces.     

Gap Problem for Separated Sequences and Beurling–Malliavin Theorem

We show that the Gap Theorem for separated sequences by M. Mitkovski and A. Poltoratski can be deduced directly from the classical Beurling–Malliavin formula for the radius of completeness.     

CUSUM control charts based on likelihood ratio for preliminary analysis

To detect and estimate a shift in either the mean and the deviation or both for the preliminary analysis, the statistical process control (SPC) tool, the control chart based on the likelihood ratio test (LRT), is the most popular method. Sullivan and woodall pointed out the test statistic lrt(n1, n2) is approximately distributed as x2(2) as the sample size n,n1 and n2 are very large, and the value of n1 = 2,3,..., n - 2 and that of n2 = n - n1. So it is inevitable that n1 or n2 is not large. In this paper the limit distribution of lrt(n1, n2) for fixed n1 or n2 is figured out, and the exactly analytic formulae for evaluating the expectation and the variance of the limit distribution are also obtained. In addition, the properties of the standardized likelihood ratio statistic slr(n1, n) are discussed in this paper. Although slr(n1, n) contains the most important information, slr(i, n)(i≠n1) also contains lots of information. The cumulative sum (CUSUM) control chart can obtain more information in this condition. So we propose two CUSUM control charts based on the likelihood ratio statistics for the preliminary analysis on the individual observations. One focuses on detecting the shifts in location in the historical data and the other is more general in detecting a shift in either the location and the scale or both. Moreover, the simulated results show that the proposed two control charts are, respectively, superior to their competitors not only in the detection of the sustained shifts but also in the detection of some other out-of-control situations considered in this paper.     

Totally dissipative measures for the shift and conformal σ-finite measures for the stable holonomies

In this paper we investigate some results of ergodic theory with infinite measures for a subshift of finite type. We give an explicit way to construct σ-finite measures which are quasi-invariant by the stable holonomy and equivalent to the conditional measures of some σ-invariant measure. These σ-invariant measures are totally dissipative, σ-finite but satisfy a Birkhoff Ergodic-like Theorem. The constructions are done for the symbolic case, but can be extended for uniformly hyperbolic flows or diffeomorphisms.     

A note on certain square functions on product spaces

We study certain square functions on product spaces Rn × Rm, whose integral kernels are obtained from kernels which are homogeneous in each factor Rn and Rm and locally in L(log L) away from Rn × {0} and {0} × Rm by means of polynomial distortions in the radial variable. As a model case, we obtain that the Marcinkiewicz integral operator is bounded on Lp(Rn × Rm)(P > 1) for Ω∈ e Llog L(Sn-1 × Sm-1) satisfying the cancellation condition.     

L~p(R~m× R~n) boundedness for the Marcinkiewicz integral on product spaces

Lp(Rm × Rn) boundedness is considered for the multiple Marcinkiewicz integral. Some size conditions implying the LP(Rm × Rn) boundedness of the multiple Marcinkiewicz integral for some fixed 1 < p <∞ are obtained.