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1.
We define stochastic integrals with respect to free Brownian motion, and show that they satisfy Burkholder-Gundy type inequalities in operator norm. We prove also a version of It?'s predictable representation theorem, as well as product form and functional form of It?'s formula. Finally we develop stochastic analysis on the free Fock space, in analogy with stochastic analysis on the Wiener space. Received: 6 February 1998  相似文献   

2.
Multiple fractional integrals   总被引:2,自引:0,他引:2  
Multiple integrals with respect to fractional Brownian motion (with H > 1/2) are constructed for a large class of functions. The first and second moments of the multiple integrals are explicitly identified. Received: 23 February 1998 / Revised version: 31 July 1998  相似文献   

3.
Chaos decomposition of multiple fractional integrals and applications   总被引:2,自引:0,他引:2  
Chaos decomposition of multiple integrals with respect to fractional Brownian motion (with H > 1/2) is given. Conversely the chaos components are expressed in terms of the multiple fractional integrals. Tensor product integrals are introduced and series expansions in those are considered. Strong laws for fractional Brownian motion are proved as an application of multiple fractional integrals. Received: 22 September 1998 / Revised version: 20 April 1999  相似文献   

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5.
An evaluation of a stochastic oscillatory integral with quadratic phase function and analytic amplitude function is given by using solutions of Jacobi equations. The evaluation will be obtained as an application of real change of variable formulas and holomorphic prolongations of analytic functions on a real Wiener space. On the way we shall see how a Jacobi equation appears in the evaluation by using the Malliavin calculus. Received: 27 July 1998 / Revised version: 14 October 1998  相似文献   

6.
Summary. We consider a continuous model for transverse magnetization of spins diffusing in a homogeneous Gaussian random longitudinal field , where is the coupling constant giving the intensity of the random field. In this setting, the transverse magnetization is given by the formula , where is the standard process of Brownian motion and is the covariance function of the original random field . We use large deviation techniques to show that the limit exists. We also determine the small behavior of the rate and show that it is indeed decaying as conjectured in the physics literature. Received: 30 June 1995 / In revised form: 26 January 1996  相似文献   

7.
Completely positive Markovian cocycles on a von Neumann algebra, adapted to a Fock filtration, are realised as conjugations of -homomorphic Markovian cocycles. The conjugating processes are affiliated to the algebra, and are governed by quantum stochastic differential equations whose coefficients evolve according to the -homomorphic process. Some perturbation theory for quantum stochastic flows is developed in order to achieve the above Stinespring decomposition. Received October 10, 1999 / Revised July 12, 2000 / Published online December 8, 2000  相似文献   

8.
Summary. The notion of bridge is introduced for systems of coupled forward–backward stochastic differential equations (FBSDEs, for short). This notion helps us to unify the method of continuation in finding adapted solutions to such FBSDEs over any finite time durations. It is proved that if two FBSDEs are linked by a bridge, then they have the same unique solvability. Consequently, by constructing appropriate bridges, we obtain several classes of uniquely solvable FBSDEs. Received: 23 April 1996 / In revised form: 10 October 1996  相似文献   

9.
By replacing the final condition for backward stochastic differential equations (in short: BSDEs) by a stationarity condition on the solution process we introduce a new class of BSDEs. In a natural manner we associate to such BSDEs the periodic solution of second order partial differential equations with periodic structure. Received: 11 October 1996 / Revised version: 15 February 1999  相似文献   

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12.
Summary. Given a stochastic action integral we define a notion of invariance of this action under a family of one parameter space-time transformations and a notion of prolonged transformations which extend the existing analogs in classical calculus of variations. We prove that a family of prolonged transformations leaves the action integral invariant if and only if it leaves invariant the heat equation associated to it as well as the structure of the extremals. We then prove a stochastic version of Noether theorem: to each family of transformations leaving the action invariant (or symmetries) we can associate a function which gives a martingale when taken along a process minimizing the action under endpoint constraints. Received: 29 June 1996 / In revised form: 19 July 1996  相似文献   

13.
. For a certain class of families of stochastic processes ηε(t), 0≤tT, constructed starting from sums of independent random variables, limit theorems for expectations of functionals Fε[0,T]) are proved of the form
where w 0 is a Wiener process starting from 0, with variance σ2 per unit time, A i are linear differential operators acting on functionals, and m=1 or 2. Some intricate differentiability conditions are imposed on the functional. Received: 12 September 1995 / Revised version: 6 April 1998  相似文献   

14.
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  相似文献   

15.
The quasi-Laguerre's iteration formula, using first order logarithmic derivatives at two points, is derived for finding roots of polynomials. Three different derivations are presented, each revealing some different properties of the method. For polynomials with only real roots, the method is shown to be optimal, and the global and monotone convergence, as well as the non-overshooting property, of the method is justified. Different ways of forming quasi-Laguerre's iteration sequence are addressed. Local convergence of the method is proved for general polynomials that may have complex roots and the order of convergence is . Received June 30, 1996 / Revised version received August 12, 1996  相似文献   

16.
Suppose K is a compact convex set in ℝ2 and X i , 1≤in, is a random sample of points in the interior of K. Under general assumptions on K and the distribution of the X i we study the asymptotic properties of certain statistics of the convex hull of the sample. Received: 24 July 1996/Revised version: 24 February 1998  相似文献   

17.
Summary. We prove a central limit theorem for strictly stationary random fields under a projective assumption. Our criterion is similar to projective criteria for stationary sequences derived from Gordin's theorem about approximating martingales. However our approach is completely different, for we establish our result by adapting Lindeberg's method. The criterion that it provides is weaker than martingale-type conditions, and moreover we obtain as a straightforward consequence, central limit theorems for α-mixing or φ-mixing random fields. Received: 19 February 1997 / In revised form: 2 September 1997  相似文献   

18.
For lattice distributions a convolution of two signed Poisson measures proves to be an approximation comparable with the normal law. It enables to get rid of cumbersome summands in asymptotic expansions and to obtain estimates for all Borel sets. Asymptotics can be constructed two-ways: by adding summands to the leading term or by adding summands in its exponent. The choice of approximations is confirmed by the Ibragimov-type necessary and sufficient conditions. Received: 20 November 1996 / Revised version: 5 December 1997  相似文献   

19.
Summary. Classical Weierstrass' formula [29] has been often the subject of investigation of many authors. In this paper we give some further applications of this formula for finding the zeros of polynomials and analytic functions. We are concerned with the problems of localization of polynomial zeros and the construction of iterative methods for the simultaneous approximation and inclusion of these zeros. Conditions for the safe convergence of Weierstrass' method, depending only on initial approximations, are given. In particular, we study polynomials with interval coefficients. Using an interval version of Weierstrass' method enclosures in the form of disks for the complex-valued set containing all zeros of a polynomial with varying coefficients are obtained. We also present Weierstrass-like algorithm for approximating, simultaneously, all zeros of a class of analytic functions in a given closed region. To demonstrate the proposed algorithms, three numerical examples are included. Received September 13, 1993  相似文献   

20.
Summary. This note gives a new convergence proof for iterations based on multipoint formulas. It rests on the very general assumption that if the desired fixed point appears as an argument in the formula then the formula returns the fixed point. Received March 24, 1993 / Revised version received January 1994  相似文献   

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