On the orthogonal component of BSDEs in a Markovian setting

In this note we consider a quadratic growth backward stochastic differential equation (BSDE) driven by a continuous martingale M. We prove (in Theorem 3.2) that if M is a strong Markov process and if the BSDE has the form (2.2) with regular data then the unique solution (Y,Z,N) of the BSDE is reduced to (Y,Z), i.e. the orthogonal martingale N is equal to zero, showing that in a Markovian setting the “usual” solution (Y,Z) (of a BSDE with regular data) has not to be completed by a strongly orthogonal component even if M does not enjoy the martingale representation property.     

Hamilton-Jacobi semi-groups in infinite dimensional spaces

Let (X,ρ) be a Polish space endowed with a probability measure μ. Assume that we can do Malliavin Calculus on (X,μ). Let be a pseudo-distance. Consider QtF(x)=infy∈X{F(y)+d²(x,y)/2t}. We shall prove that QtF satisfies the Hamilton-Jacobi inequality under suitable conditions. This result will be applied to establish transportation cost inequalities on path groups and loop groups in the spirit of Bobkov, Gentil and Ledoux.     

On a continuous analogue of the stochastic difference equation Xn=ρXn-1+Bn

Let B₁, B₂, ... be a sequence of independent, identically distributed random variables, letX₀ be a random variable that is independent ofB_n forn?1, let ρ be a constant such that 0<ρ<1 and letX₁,X₂, ... be another sequence of random variables that are defined recursively by the relationshipsX_n=ρX_n-1+B_n. It can be shown that the sequence of random variablesX₁,X₂, ... converges in law to a random variableX if and only ifE[log⁺¦B₁¦]<∞. In this paper we let {B(t):0≦t<∞} be a stochastic process with independent, homogeneous increments and define another stochastic process {X(t):0?t<∞} that stands in the same relationship to the stochastic process {B(t):0?t<∞} as the sequence of random variablesX₁,X₂,...stands toB₁,B₂,.... It is shown thatX(t) converges in law to a random variableX ast →+∞ if and only ifE[log⁺¦B(1)¦]<∞ in which caseX has a distribution function of class L. Several other related results are obtained. The main analytical tool used to obtain these results is a theorem of Lukacs concerning characteristic functions of certain stochastic integrals.     

GIRSANOV TRANSFORMATION AND ITS APPLICATION TO THE THEORY OF ENLARGEMENT OF FILTRATIONS

Given a complete filtered probability space (Ω, (F _t ) _{t ∈ [0,1]}, F,P). If we enlarge the filtration by random variables satisfying condition A given in [Ja] and condition B ^X which is defined in this paper (or in [FI]), then the semimartingale property also preserves. Moreover, the invariance of martingale property for Poisson martingale under a simultaneous enlargement of filtration and change of equivalent probability measure can be obtained.     

Transitive points via Furstenberg family

Let (X,T) be a topological dynamical system and F be a Furstenberg family (a collection of subsets of Z₊ with hereditary upward property). A point x∈X is called an F-transitive one if {n∈Z₊:Tnx∈U}∈F for every non-empty open subset U of X; the system (X,T) is called F-point transitive if there exists some F-transitive point. In this paper, we aim to classify transitive systems by F-point transitivity. Among other things, it is shown that (X,T) is a weakly mixing E-system (resp. weakly mixing M-system, HY-system) if and only if it is {D-sets}-point transitive (resp. {central sets}-point transitive, {weakly thick sets}-point transitive).It is shown that every weakly mixing system is Fip-point transitive, while we construct an Fip-point transitive system which is not weakly mixing. As applications, we show that every transitive system with dense small periodic sets is disjoint from every totally minimal system and a system is Δ^?(Fwt)-transitive if and only if it is weakly disjoint from every P-system.     

On a class of martingale inequalities

Let Z = {Z₀, Z₁, Z₂,…} be a martingale, with difference sequence X₀ = Z₀, X_i = Z_i ? Z_{i ? 1}, i ≥ 1. The principal purpose of this paper is to prove that the best constant in the inequality λP(sup_i |X_i| ≥ λ) ≤ C sup_iE |Z_i|, for λ > 0, is C = (log 2)^?1. If Z is finite of length n, it is proved that the best constant is $\text{C}{}_{\mathrm{n}}\text{= [n(2}{}^{\mathrm{<mtext>1</mtext><mtext>n</mtext>}}\text{? 1)]}{}^{\mathrm{?1}}$. The analogous best constant C_n(z) when Z₀ ≡ z is also determined. For these finite cases, examples of martingales attaining equality are constructed. The results follow from an explicit determination of the quantity G_n(z, E) = sup_zP(max_i=1,…,n |X_i| ≥ 1), the supremum being taken over all martingales Z with Z₀ ≡ z and E|Z_n| = E. The expression for G_n(z,E) is derived by induction, using methods from the theory of moments.     

On additive polynomials and certain maximal curves

We show that a maximal curve over F_q² given by an equation A(X)=F(Y), where A(X)∈F_q²[X] is additive and separable and where F(Y)∈F_q²[Y] has degree m prime to the characteristic p, is such that all roots of A(X) belong to F_q². In the particular case where F(Y)=Y^m, we show that the degree m is a divisor of q+1.     

On the prediction of vector-valued random fields and the spectral distribution of their evanescent component

Let (X_m,n)_(m,n)∈Z² be a C^p-valued wide sense stationary process. We study the prediction theory of such processes according to different total orders on Z². In the case of a “rational order”, we give the spectral distribution of the resulting evanescent component and prove that for two different rational orders, the resulting evanescent components are mutually orthogonal.     

Identifiability of the multinormal and other distributions under competing risks model

Let X₁, X₂ ,…, X_p be p random variables with joint distribution function F(x₁ ,…, x_p). Let Z = min(X₁, X₂ ,…, X_p) and I = i if Z = X_i. In this paper the problem of identifying the distribution function F(x₁ ,…, x_p), given the distribution Z or that of the identified minimum (Z, I), has been considered when F is a multivariate normal distribution. For the case p = 2, the problem is completely solved. If p = 3 and the distribution of (Z, I) is given, we get a partial solution allowing us to identify the independent case. These results seem to be highly nontrivial and depend upon Liouville's result that the (univariate) normal distribution function is a nonelementary function. Some other examples are given including the bivariate exponential distribution of Marshall and Olkin, Gumbel, and the absolutely continuous bivariate exponential extension of Block and Basu.     

On the Gaussian approximation of vector-valued multiple integrals

By combining the findings of two recent, seminal papers by Nualart, Peccati and Tudor, we get that the convergence in law of any sequence of vector-valued multiple integrals F_n towards a centered Gaussian random vector N, with given covariance matrix C, is reduced to just the convergence of: (i) the fourth cumulant of each component of F_n to zero; (ii) the covariance matrix of F_n to C. The aim of this paper is to understand more deeply this somewhat surprising phenomenon. To reach this goal, we offer two results of a different nature. The first one is an explicit bound for d(F,N) in terms of the fourth cumulants of the components of F, when F is a R^d-valued random vector whose components are multiple integrals of possibly different orders, N is the Gaussian counterpart of F (that is, a Gaussian centered vector sharing the same covariance with F) and d stands for the Wasserstein distance. The second one is a new expression for the cumulants of F as above, from which it is easy to derive yet another proof of the previously quoted result by Nualart, Peccati and Tudor.     

Itô correction terms for the radial parts of semimartingales on manifolds

Summary We consider functions,F, of a semimartingale,X, on a complete manifold which fail to beC ² only on, and are sufficiently well-behaved near, a codimension 1 subset . We obtain an extension of the Itô formula which is valid for all time by adding a continuous predictable process given explicitly in terms of two geometric local times ofX on and the Gâteaux derivative ofF. We then examine the cut locus of a point of the manifold in sufficient detail to show that this result applies to give a corresponding expression for the radial part of the semimartingale.     

Suites d’Applications Méromorphes Multivaluées et Courants Laminaires

Let F_n: X₁ → X₂ be a sequence of (multivalued) meromorphic maps between compact Kähler manifolds. We study the asymptotic distribution of preimages of points by F_n and, for multivalued self-maps of a compact Riemann surface, the asymptotic distribution of repelling fixed points. Let (Z_n) be a sequence of holomorphic images of ?^s in a projective manifold. We prove that the currents, defined by integration on Z_n, properly normalized, converge to currents which satisfy some laminarity property. We also show this laminarity property for the Green currents, of suitable bidimensions, associated to a regular polynomial automorphism of ?^k or an automorphism of a projective manifold.     

On Itô s formula for multidimensional Brownian motion

Consider a d-dimensional Brownian motion X = (X ¹,…,X ^d ) and a function F which belongs locally to the Sobolev space W ^1,2. We prove an extension of It? s formula where the usual second order terms are replaced by the quadratic covariations [f _k (X), X ^k ] involving the weak first partial derivatives f _k of F. In particular we show that for any locally square-integrable function f the quadratic covariations [f(X), X ^k ] exist as limits in probability for any starting point, except for some polar set. The proof is based on new approximation results for forward and backward stochastic integrals. Received: 16 March 1998 / Revised version: 4 April 1999     

Amarts: A class of asymptotic martingales a. Discrete parameter

A sequence (X_n) of random variables adapted to an ascending (asc.) sequence $\text{F}$_n of σ-algebras is an amart iff EX_τ converges as τ runs over the set T of bounded stopping times. An analogous definition is given for a descending (desc.) sequence $\text{F}$_n. A systematic treatment of amarts is given. Some results are: Martingales and quasimartingales are amarts. Supremum and infimum of two amarts are amarts (in the asc. case assuming L₁-boundedness). A desc. amart and an asc. L₁-bounded amart converge a.e. (Theorem 2.3; only the desc. case is new). In the desc. case, an adapted sequence such that (EX_τ)_τ∈T is bounded is uniformly integrable (Theorem 2.9). If X_n is an amart such that sup_nE(X_n ? X_n?1)² < ∞, then $\text{X}{}_{\mathrm{n}}\text{n}$ converges a.e. (Theorem 3.3). An asc. amart can be written uniquely as Y_n + Z_n where Y_n is a martingale, and Z_n → 0 in L¹. Then Z_n → 0 a.e. and Z_τ is uniformly integrable (Theorem 3.2). If X_n is an asc. amart, τ_k a sequence of bounded stopping times, k ≤ τ_k, and E(sup_k |X_τk ? X_k?1|) < ∞, then there exists a set G such that X_n → a.e. on G and lim inf X_n = ?∞, lim sup X_n = +∞ on G^c (Theorem 2.7). Let E be a Banach space with the Radon-Nikodym property and separable dual. In the definition of an E-valued amart, Pettis integral is used. A desc. amart converges a.e. on the set {lim sup 6X_n6 < ∞}. An asc. or desc. amart converges a.e. weakly if sup_TE6X_τ6 < ∞ (Theorem 5.2; only the desc. case is new).     

Reverse processes and some limit theorems of multitype Galton-Watson processes

We classify the reverse process {X_n} of a multitype Galton-Watson process {Z_n}. In the positive recurrent cases we give the stationary measure for {X_n} explicitly, and in the critical case, supposing that all the second moments of Z₁ are finite, we establish the convergence in law to a gamma distribution. Limit distributions of {Z_cn}, 0 < c < 1, conditioned on Z_n, are also given in the subcritical, supercritical and critical cases, respectively. These extend the previous one-type work of W. W. Esty.     

On real moduli spaces of holomorphic bundles over M-curves

Let F be a genus g curve and σ:F→F a real structure with the maximal possible number of fixed circles. We study the real moduli space N^′=Fix(σ#) where σ#:N→N is the induced real structure on the moduli space N of stable holomorphic bundles of rank 2 over F with fixed non-trivial determinant. In particular, we calculate H^?(N^′,Z) in the case of g=2, generalizing Thaddeus' approach to computing H^?(N,Z).     

Some inverse problems involving conditional expectations

Let (Ω, F, P) be a probability space, let H be a sub-σ-algebra of F, and let Y be positive and H-measurable with E[Y] = 1. We discuss the structure of the convex set CE(Y; H) = {X ∈ pF: Y = E[X|H]} of random variables whose conditional expectation given H is the prescribed Y. Several characterizations of extreme points of CE(Y; H) are obtained. A necessary and sufficient condition is given in order that CE(Y; H) be the closed, convex hull of its extreme points. For the case of finite F we explicitly calculate the extreme points of CE(Y; H), identify pairs of adjacent extreme points, and characterize extreme points of CE(Y; H) ? CE(Z; G), where G is a second sub-σ-algebra of F and Z ∈ pG. When H = σ(Y) and appropriate topological hypotheses hold, extreme points of CE(Y; H) are shown to be in explicit one-to-one correspondence with certain left inverses of Y. Finally, it is shown how the same approach can be applied to the problem of extremal random measures on $\text{R}$₊ with a prescribed compensator, to deduce that the number of extreme points is zero or one.     

An inverse first-passage problem for one-dimensional diffusions with random starting point

We consider an inverse first-passage time (FPT) problem for a homogeneous one-dimensional diffusion X(t), starting from a random position η. Let S(t) be an assigned boundary, such that P(η≥S(0))=1, and F an assigned distribution function. The problem consists of finding the distribution of η such that the FPT of X(t) below S(t) has distribution F. We obtain some generalizations of the results of Jackson et al., 2009, which refer to the case when X(t) is Brownian motion and S(t) is a straight line across the origin.     

Albanese and Picard 1-motives

We define, in a purely algebraic way, 1-motives Alb⁺(X), Alb⁻(X), Pic⁺(X), and Pic⁻(X) associated with any algebraic scheme X over an algebraically closed field of characteristic zero. For X over C of dimension n, the Hodge realizations are, respectively, H^{2n − 1} (X, Z(n))/(torsion), H₁ (X, Z)/(torsion), H¹ (X, Z(1)), and H_{2n − 1} (X, Z(1 n))/(torsion).