Analytic characterization of conditional gaugeability for non-local Feynman-Kac transforms

An analytic characterization of gaugeability and conditional gaugeability is given for non-local (or discontinuous) Feynman-Kac transforms of general symmetric Markov processes. This analytic characterization is very useful in determining whether a process perturbed by a potential is gaugeable or conditionally gaugeable in concrete cases.     

Moment formulae for general point processes

The goal of this paper is to generalize most of the moment formulae obtained in [12]. More precisely, we consider a general point process μ, and show that the quantities relevant to our problem are the so-called Papangelou intensities. When the Papangelou intensities of μ are well-defined, we show some general formulae to recover the moment of order n of the stochastic integral of the point process. We will use these extended results to introduce a divergence operator and study a random transformation of the point process.     

Exponential decay of solutions to nonlinear elliptic equations with potentials

Exponential decay estimates are obtained for complex-valued solutions to nonlinear elliptic equations in where the linear term is given by Schr?dinger operators H = − Δ + V with nonnegative potentials V and the nonlinear term is given by a single power with subcritical Sobolev exponent in the attractive case. We describe specific rates of decay in terms of V, some of which are shown to be optimal. Moreover, our estimates provide a unified understanding of two distinct cases in the available literature, namely, the vanishing potential case V = 0 and the harmonic potential case V(x) = |x|². Dedicated to Professor Jun Uchiyama on the occasion of his sixtieth birthday Received: May 4, 2004     

Nonlinear elliptic equations with subhomogeneous potentials

We prove the existence of nonnegative symmetric solutions to the semilinear elliptic equation

     

Weighted Sobolev embedding with unbounded and decaying radial potentials

We prove embedding results of weighted W1,p(RN) spaces of radially symmetric functions. The results then are used to obtain ground and bound state solutions of quasilinear equations with unbounded or decaying radial potentials.     

Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs

In this article, we adapt the definition of viscosity solutions to the obstacle problem for fully nonlinear path-dependent PDEs with data uniformly continuous in $(t,\omega )$, and generator Lipschitz continuous in $(y,z,\gamma )$. We prove that our definition of viscosity solutions is consistent with the classical solutions, and satisfy a stability result. We show that the value functional defined via the second order reflected backward stochastic differential equation is the unique viscosity solution of the variational inequalities.     

Existence and asymptotic behavior for elliptic equations with singular anisotropic potentials

We study the equation Δu+u|u|^p−1+V(x)u+f(x)=0 in Rn, where n?3 and p>n/(n−2). The forcing term f and the potential V can be singular at zero, change sign and decay polynomially at infinity. We can consider anisotropic potentials of form h(x)|x|⁻² where h is not purely angular. We obtain solutions u which blow up at the origin and do not belong to any Lebesgue space Lr. Also, u is positive and radial, in case f and V are. Asymptotic stability properties of solutions, their behavior near the singularity, and decay are addressed.     

A simulation approach to optimal stopping under partial information

We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional diffusion with correlated noise. Such models where the controller is not fully aware of her environment are of interest in applied probability and financial mathematics. We propose a new approximate numerical algorithm based on the particle filtering and regression Monte Carlo methods. The algorithm maintains a continuous state space and yields an integrated approach to the filtering and control sub-problems. Our approach is entirely simulation-based and therefore allows for a robust implementation with respect to model specification. We carry out the error analysis of our scheme and illustrate with several computational examples. An extension to discretely observed stochastic volatility models is also considered.     

The thermodynamic limit of polygonal models

We discuss the basic models of polygonal Markov fields with a two-dimensional continuous parameter % MathType!MTEF!2!1!+-% feaafiart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr% 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq-Jc9% vqaqpepm0xbba9pwe9Q8fs0-yqaqpepae9pg0FirpepeKkFr0xfr-x% fr-xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaamiEaiabgI% GioNWaajaadsfaoiabgkOimlabl2riHoaaCaaabeqaaiaaikdaaaaa% aa!3DEB!\[x \in T \subset \mathbb{R}^2 \], which were introduced by Arak and studied later by Arak and surgailis. There are two types of polygonal models, either with a given initial distribution of the lines or of the points (vertices) of a random polygonal graph. The main result of this paper is proof of the existence of a thermodynamic limit (as % MathType!MTEF!2!1!+-% feaafiart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr% 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq-Jc9% vqaqpepm0xbba9pwe9Q8fs0-yqaqpepae9pg0FirpepeKkFr0xfr-x% fr-xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbiqaaW2ajmaqca% WGubacciqceaQae8xKH0QdcqWIDesOdaahaaqabeaacaaIYaaaaaaa% !3C7D!\[T \uparrow \mathbb{R}^2 \]) for a class of polygonal models with a small contour length'. It is based on the study of Kirkwood-Salzburg-type equations for the correlation functions. We also discuss some examples of consistent polygonal models for which the existence of the thermodynamic limit is trivial.     

Particle filters with random resampling times

Particle filters are numerical methods for approximating the solution of the filtering problem which use systems of weighted particles that (typically) evolve according to the law of the signal process. These methods involve a corrective/resampling procedure which eliminates the particles that become redundant and multiplies the ones that contribute most to the resulting approximation. The correction is applied at instances in time called resampling/correction times. Practitioners normally use certain overall characteristics of the approximating system of particles (such as the effective sample size of the system) to determine when to correct the system. As a result, the resampling times are random. However, in the continuous time framework, all existing convergence results apply only to particle filters with deterministic correction times. In this paper, we analyse (continuous time) particle filters where resampling takes place at times that form a sequence of (predictable) stopping times. We prove that, under very general conditions imposed on the sequence of resampling times, the corresponding particle filters converge. The conditions are verified when the resampling times are chosen in accordance to the effective sample size of the system of particles, the coefficient of variation of the particles’ weights and, respectively, the (soft) maximum of the particles’ weights. We also deduce central-limit theorem type results for the approximating particle system with random resampling times.     

Perturbation of Transition Functions and a Feynman-Kac Formula for the Incorporation of Mortality

Markov transition kernels are perturbed by output kernels with a special emphasis on building mortality into structured population models. A Feynman-Kac formula is derived which illustrates the interplay of mortality with a Markov process associated with the unperturbed kernel. partially supported by NSF grants DMS-0314529 and SES-0345945 partially supported by NSF grants DMS-9706787 and DMS-0314529     

Bound states of nonlinear Schrödinger equations with potentials tending to zero at infinity

In this paper, we are concerned with the existence of solutions to the N-dimensional nonlinear Schrödinger equation −ε²Δu+V(x)u=K(x)up with u(x)>0, u∈H¹(RN), N?3 and . When the potential V(x) decays at infinity faster than ⁻²(1+|x|) and K(x)?0 is permitted to be unbounded, we will show that the positive H¹(RN)-solutions exist if it is assumed that G(x) has local minimum points for small ε>0, here with denotes the ground energy function which is introduced in [X. Wang, B. Zeng, On concentration of positive bound states of nonlinear Schrödinger equations with competing potential functions, SIAM J. Math. Anal. 28 (1997) 633-655]. In addition, when the potential V(x) decays to zero at most like (1+|x|)^−α with 0<α?2, we also discuss the existence of positive H¹(RN)-solutions for unbounded K(x). Compared with some previous papers [A. Ambrosetti, A. Malchiodi, D. Ruiz, Bound states of nonlinear Schrödinger equations with potentials vanishing at infinity, J. Anal. Math. 98 (2006) 317-348; A. Ambrosetti, D. Ruiz, Radial solutions concentrating on spheres of NLS with vanishing potentials, Proc. Roy. Soc. Edinburgh Sect. A 136 (2006) 889-907; A. Ambrosetti, Z.Q. Wang, Nonlinear Schrödinger equations with vanishing and decaying potentials, Differential Integral Equations 18 (2005) 1321-1332] and so on, we remove the restrictions on the potential function V(x) which decays at infinity like (1+|x|)^−α with 0<α?2 as well as the restrictions on the boundedness of K(x)>0. Therefore, we partly answer a question posed in the reference [A. Ambrosetti, A. Malchiodi, Concentration phenomena for NLS: Recent results and new perspectives, preprint, 2006].     

Elliptic systems involving the critical exponents and potentials

In this paper, we investigate a singular elliptic system, which involves the critical Sobolev exponent and multiple Hardy-type terms. By employing variational methods, the existence of its positive solutions is established. By the Moser iteration method, some asymptotic properties of its nontrivial solutions at the singular points are verified.     

Weak Dirichlet processes with a stochastic control perspective

The motivation of this paper is to prove verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term, in the case where the value function is assumed to be continuous in time and once differentiable in the space variable (C^0,1$C^{0,1}$) instead of once differentiable in time and twice in space (C^1,2$C^{1,2}$), like in the classical results. For this purpose, the replacement tool of the Itô formula will be the Fukushima–Dirichlet decomposition for weak Dirichlet processes. Given a fixed filtration, a weak Dirichlet process is the sum of a local martingale M$M$ plus an adapted process A$A$ which is orthogonal, in the sense of covariation, to any continuous local martingale. The decomposition mentioned states that a C^0,1$C^{0,1}$ function of a weak Dirichlet process with finite quadratic variation is again a weak Dirichlet process. That result is established in this paper and it is applied to the strong solution of a Cauchy problem with final condition.     

Approximation of stationary solutions to SDEs driven by multiplicative fractional noise

In a previous paper, we studied the ergodic properties of an Euler scheme of a stochastic differential equation with a Gaussian additive noise in order to approximate the stationary regime of such an equation. We now consider the case of multiplicative noise when the Gaussian process is a fractional Brownian motion with Hurst parameter H>1/2$H>1/2$ and obtain some (functional) convergence properties of some empirical measures of the Euler scheme to the stationary solutions of such SDEs.     

Multiple solutions for a class of semilinear elliptic equations with general potentials

In this paper, we study the existence of infinitely many nontrivial solutions for a class of semilinear elliptic equations −△u+a(x)u=g(x,u)$-△u+a\left(x\right)u=g(x,u)$ in a bounded smooth domain of R^N(N≥3)${\mathbb{R}}^N(N\ge 3)$ with the Dirichlet boundary value, where the primitive of the nonlinearity g$g$ is of superquadratic growth near infinity in u$u$ and the potential a$a$ is allowed to be sign-changing. Recent results in the literature are generalized and significantly improved.     

Sobolev type embedding and quasilinear elliptic equations with radial potentials

We study the existence of nontrivial radial solutions for quasilinear elliptic equations with unbounded or decaying radial potentials. The existence results are based upon several new embedding theorems we establish in the paper for radially symmetric functions.