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.     

Approximate controllability of Hilfer fractional differential equations

In this paper, the approximate controllability for a class of Hilfer fractional differential equations (FDEs) of order 1<α<2 and type 0 ≤ β ≤ 1 is considered. The existence and uniqueness of mild solutions for these equations are established by applying the Banach contraction principle. Further, we obtain a set of sufficient conditions for the approximate controllability of these equations. Finally, an example is presented to illustrate the obtained results.     

Controlled differential equations as Young integrals: A simple approach

The theory of rough paths allows one to define controlled differential equations driven by a path which is irregular. The most simple case is the one where the driving path has finite p-variations with 1?p<2, in which case the integrals are interpreted as Young integrals. The prototypal example is given by stochastic differential equations driven by fractional Brownian motion with Hurst index greater than 1/2. Using simple computations, we give the main results regarding this theory - existence, uniqueness, convergence of the Euler scheme, flow property … - which are spread out among several articles.     

On evolutionary equations with material laws containing fractional integrals

A well‐posedness result for a time‐shift invariant class of evolutionary operator equations involving material laws with fractional time‐integrals of order α ? ]0, 1[ is considered. The fractional derivatives are defined via a function calculus for the (time‐)derivative established as a normal operator in a suitable L² type space. Employing causality, we show that the fractional derivatives thus obtained coincide with the Riemann‐Liouville fractional derivative. We exemplify our results by applications to a fractional Fokker‐Planck equation, equations describing super‐diffusion and sub‐diffusion processes, and a Kelvin‐Voigt type model in fractional visco‐elasticity. Moreover, we elaborate a suitable perspective to deal with initial boundary value problems. Copyright © 2014 John Wiley & Sons, Ltd.     

A characterization of periodic solutions for time‐fractional differential equations in UMD spaces and applications

We study the fractional differential equation (*) D^αu(t) + BD^βu(t) + Au(t) = f(t), 0 ? t ? 2π (0 ? β < α ? 2) in periodic Lebesgue spaces L^p(0, 2π; X) where X is a Banach space. Using functional calculus and operator valued Fourier multiplier theorems, we characterize, in UMD spaces, the well posedness of (*) in terms of R‐boundedness of the sets {(ik)^α((ik)^α + (ik)^βB + A)^?1}_{k∈ Z} and {(ik)^βB((ik)^α + (ik)^βB + A)^?1}_{k∈ Z} . Applications to the fractional problems with periodic boundary condition, which includes the time diffusion and fractional wave equations, as well as an abstract version of the Basset‐Boussinesq‐Oseen equation are treated. © 2011 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim     

Weak convergence to the matrix stochastic integral ∫0 B dB′

The asymptotic theory of regression with integrated processes of the ARIMA type frequently involves weak convergence to stochastic integrals of the form ∫₀¹ W dW, where W(r) is standard Brownian motion. In multiple regressions and vector autoregressions with vector ARIMA processes, the theory involves weak convergence to matrix stochastic integrals of the form ∫₀¹ B dB′, where B(r) is vector Brownian motion with a non-scalar covariance matrix. This paper studies the weak convergence of sample covariance matrices to ∫₀¹ B dB′ under quite general conditions. The theory is applied to vector autoregressions with integrated processes.     

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).     

Fractional Smoothness of Some Stochastic Integrals

We study the fractional smoothness in the sense of Malliavin calculus of stochastic integrals of the form ∫0^1Ф（Xs）dXs, where Xs is a semimartingale and Ф belongs to some fractional Sobolev space over R.     

Optimal Solutions of Fractional Nonlinear Impulsive Neutral Stochastic Functional Integro-Differential Equations

Abstract

In this article, we consider a new class of fractional impulsive neutral stochastic functional integro-differential equations with infinite delay in Hilbert spaces. First, by using stochastic analysis, fractional calculus, analytic α-resolvent operator and suitable fixed point theorems, we prove the existence of mild solutions and optimal mild solutions for these equations. Second, the existence of optimal pairs of system governed by fractional impulsive partial stochastic integro-differential equations is also presented. The results are obtained under weaker conditions in the sense of the fractional power arguments. Finally, an example is given for demonstration.     

Fundamental solutions for discrete dynamical systems involving the fractional Laplacian

We prove representation results for solutions of a time‐fractional differential equation involving the discrete fractional Laplace operator in terms of generalized Wright functions. Such equations arise in the modeling of many physical systems, for example, chain processes in chemistry and radioactivity. Our focus is in the problem , where 0<β ≤ 2, 0<α ≤ 1, , (?Δ_d)^α is the discrete fractional Laplacian, and is the Caputo fractional derivative of order β. We discuss important special cases as consequences of the representations obtained.     

Integration with respect to fractal functions and stochastic calculus. I

The classical Lebesgue–Stieltjes integral ∫ ^b _a fdg of real or complex-valued functions on a finite interval (a,b) is extended to a large class of integrands f and integrators g of unbounded variation. The key is to use composition formulas and integration-by-part rules for fractional integrals and Weyl derivatives. In the special case of H?lder continuous functions f and g of summed order greater than 1 convergence of the corresponding Riemann–Stieltjes sums is proved. The results are applied to stochastic integrals where g is replaced by the Wiener process and f by adapted as well as anticipating random functions. In the anticipating case we work within Slobodeckij spaces and introduce a stochastic integral for which the classical It? formula remains valid. Moreover, this approach enables us to derive calculation rules for pathwise defined stochastic integrals with respect to fractional Brownian motion. Received: 14 January 1998 / Revised version: 9 April 1998     

Adaptives quadratures and fractional IDEs: Applications in image processing

In this paper we show adaptive time discretizations of a fractional integro–differential equation ∂^α_tu = Δu + f, where A is a linear operator in a complex Banach space X and ∂^α_t stands for the fractional time derivative, for 1 < α < 2. Some numerical illustrations are provided showing practical applications where the computational cost is one of drawbacks, e.g., some problems related to images processing. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Wellposed convex integral functionals

Sufficient conditions are obtained for wellposedness of convex minimum problems of the calculus of variations for multiple integrals under strong or weak perturbations of the boundary data. Problems with a unique minimizer as well as problems with several solutions are treated. Wellposedness under weak convergence of the boundary data in W^{1 p}

ω is proved if p

>2 and a counterexample is exhibited if p

=2.     

Degenerate Second Order Differential Operators Generating Analytic Semigroups in Lp and W1,p

We deal with the problem of analyticity for the semigroup generated by the second order differential operator Au ≔ αu″ + βu′ (or by some restrictions of it) in the spaces L^p(0, 1), with or without weight, and in W^1,p(0, 1), 1 < p < ∞. Here α and β are assumed real‐valued and continuous in [0, 1], with α(x) > 0 in (0, 1), and the domain of A is determined by the generalized Neumann boundary conditions and by Wentzell boundary conditions.     

Various types of stochastic integrals with respect to fractional Brownian sheet and their applications

In this paper, we develop a stochastic calculus related to a fractional Brownian sheet as in the case of the standard Brownian sheet. Let be a fractional Brownian sheet with Hurst parameters H=(H₁,H₂), and (²[0,1],B(²[0,1]),μ) a measure space. By using the techniques of stochastic calculus of variations, we introduce stochastic line integrals along all sufficiently smooth curves γ in ²[0,1], and four types of stochastic surface integrals: , i=1,2, , , , . As an application of these stochastic integrals, we prove an Itô formula for fractional Brownian sheet with Hurst parameters H₁,H₂∈(1/4,1). Our proof is based on the repeated applications of Itô formula for one-parameter Gaussian process.     

Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function

By using the variational calculus of fractional order, one derives a Hamilton-Jacobi equation and a Lagrangian variational approach to the optimal control of one-dimensional fractional dynamics with fractional cost function. It is shown that these two methods are equivalent, as a result of the Lagrange’s characteristics method (a new approach) for solving nonlinear fractional partial differential equations. The key of this results is the fractional Taylor’s seriesf(x + h) = E _α(h^αD^α)f(x) whereE _α(·) is the Mittag-Leffler function.     

Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion

Abstract

We prove an existence and uniqueness theorem for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst parameter H > 1/2 and a multidimensional standard Brownian motion. The proof relies on some a priori estimates, which are obtained using the methods of fractional integration and the classical Itô stochastic calculus. The existence result is based on the Yamada–Watanabe theorem.     

Analysis of projectile motion in view of fractional calculus

The projectile motion is examined by means of the fractional calculus. The fractional differential equations of the projectile motion are introduced by generalizing Newton’s second law and Caputo’s fractional derivative is considered to use the physical initial conditions. In the absence of air resistance it is found that at certain conditions, the range and the maximum height of the projectile obtained by using the fractional calculus give the same results of the classical calculus. It is also found that, unlike the classical projectile motion, the launching angle that maximizes the horizontal range is a function of the arbitrary order of the fractional derivative α. Moreover, in a resistant medium, the parametric equations are expressed in terms of Mittag-Leffler function and the results agree with those of the classical projectile as α → 2. Moreover, the trajectories of the projectile are discussed in graphs and compared with those of the classical calculus. In order to explore the validity of modelling the projectile motion by the fractional approach, we compared our results with the experimental data of mortar.     

Differentiation formulas for stochastic integrals in the plane

For a one-parameter process of the form X_t=X₀+∫^t₀φ_sdW_s+∫^t₀ψ_sds, where W is a Wiener process and ∫φdW is a stochastic integral, a twice continuously differentiable function f(X_t) is again expressible as the sum of a stochastic integral and an ordinary integral via the Ito differentiation formula. In this paper we present a generalization for the stochastic integrals associated with a two-parameter Wiener process.Let {W₂, z∈R²₊} be a Wiener process with a two-dimensional parameter. Ertwhile, we have defined stochastic integrals ∫ φdWand ∫ψdWdW, as well as mixed integrals ∫h dz dW and ∫gdW dz. Now let X_z be a two-parameter process defined by the sum of these four integrals and an ordinary Lebesgue integral. The objective of this paper is to represent a suitably differentiable function f(X_z) as such a sum once again. In the process we will also derive the (basically one-dimensional) differentiation formulas of f(X_z) on increasing paths in $\text{R}{}^2{}_{\mathrm{+}}$.     

Nonnegative functions in weighted hardy spaces

Let W be a nonnegative summable function whose logarithm is also summable with respect to the Lebesgue measure on the unit circle. For 0?<?p?<?∞ , H^p (W) denotes a weighted Hardy space on the unit circle. When W?≡?1, H ^p(W) is the usual Hardy space H^p . We are interested in H^p ( W)₊ the set of all nonnegative functions in H^p ( W). If p?≥?1/2, H^p ₊ consists of constant functions. However H^p ( W)₊ contains a nonconstant nonnegative function for some weight W. In this paper, if p?≥?1/2 we determine W and describe H^p ( W)₊ when the linear span of H^p ( W)₊ is of finite dimension. Moreover we show that the linear span of H^p (W)₊ is of infinite dimension for arbitrary weight W when 0?<?p?<?1/2.