Stochastic Integration of Operator-Valued Functions with Respect to Banach Space-Valued Brownian Motion

Let E be a real Banach space with property (α) and let W _Γ be an E-valued Brownian motion with distribution Γ. We show that a function is stochastically integrable with respect to W _Γ if and only if Γ-almost all orbits Ψx are stochastically integrable with respect to a real Brownian motion. This result is derived from an abstract result on existence of Γ-measurable linear extensions of γ-radonifying operators with values in spaces of γ-radonifying operators. As an application we obtain a necessary and sufficient condition for solvability of stochastic evolution equations driven by an E-valued Brownian motion. The first named author gratefully acknowledges the support by a ‘VIDI subsidie’ in the ‘Vernieuwingsimpuls’ programme of The Netherlands Organization for Scientific Research (NWO) and the Research Training Network HPRN-CT-2002–00281. The second named author was supported by grants from the Volkswagenstiftung (I/78593) and the Deutsche Forschungsgemeinschaft (We 2847/1–1).     

Weak convergence to fractional Brownian motion in Brownian scenery

 Kesten and Spitzer have shown that certain random walks in random sceneries converge to stable processes in random sceneries. In this paper, we consider certain random walks in sceneries defined using stationary Gaussian sequence, and show their convergence towards a certain self-similar process that we call fractional Brownian motion in Brownian scenery. Received: 17 April 2002 / Revised version: 11 October 2002 / Published online: 15 April 2003 Research supported by NSFC (10131040). Mathematics Subject Classification (2002): 60J55, 60J15, 60J65 Key words or phrases: Weak convergence – Random walk in random scenery – Local time – Fractional Brownian motion in Brownian scenery     

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     

On the infinite divisibility of squared Gaussian processes

 We show that fractional Brownian motions with index in (0,1] satisfy a remarkable property: their squares are infinitely divisible. We also prove that a large class of Gaussian processes are sharing this property. This property then allows the construction of two-parameters families of processes having the additivity property of the squared Bessel processes. Received: 1 April 2002 / Revised version: 7 September 2002 / Published online: 19 December 2002 Mathematics Subject Classification (2000): 60E07, 60G15, 60J25, 60J55 Key words or phrases: Gaussian processes – Infinite divisibility – Markov processes     

Multi-self-similar Markov processes on ℝ<Subscript>+</Subscript><Superscript><Emphasis Type="Italic">n</Emphasis></Superscript> and their Lamperti representations

 A classical result, due to Lamperti, establishes a one-to-one correspondence between a class of strictly positive Markov processes that are self-similar, and the class of one-dimensional Lévy processes. This correspondence is obtained by suitably time-changing the exponential of the Lévy process. In this paper we generalise Lamperti's result to processes in n dimensions. For the representation we obtain, it is essential that the same time-change be applied to all coordinates of the processes involved. Also for the statement of the main result we need the proper concept of self-similarity in higher dimensions, referred to as multi-self-similarity in the paper. The special case where the Lévy process ξ is standard Brownian motion in n dimensions is studied in detail. There are also specific comments on the case where ξ is an n-dimensional compound Poisson process with drift. Finally, we present some results concerning moment sequences, obtained by studying the multi-self-similar processes that correspond to n-dimensional subordinators. Received: 22 August 2002 / Revised version: 10 February 2003 Published online: 15 April 2003 RID="*" ID="*" MaPhySto – Centre for Mathematical Physics and Stochastics, funded by a grant from the Danish National Research Foundation Mathematics Subject Classification (2000): 60G18, 60G51, 60J25, 60J60, 60J75 Key words or phrases: Lévy process – Self-similarity – Time-change – Exponential functional – Brownian motion – Bessel process – Piecewise deterministic Markov process – Moment sequence     

Approximation of the effective conductivity of ergodic media by periodization

 This paper is concerned with the approximation of the effective conductivity σ(A, μ) associated to an elliptic operator ∇ _xA (x,η)∇ _x where for xℝ ^d , d≥1, A(x,η) is a bounded elliptic random symmetric d×d matrix and η takes value in an ergodic probability space (X, μ). Writing A ^N (x, η) the periodization of A(x, η) on the torus T ^d _N of dimension d and side N we prove that for μ-almost all η

Weak interaction limits for one-dimensional random polymers

 In this paper we present a new and flexible method to show that, in one dimension, various self-repellent random walks converge to self-repellent Brownian motion in the limit of weak interaction after appropriate space-time scaling. Our method is based on cutting the path into pieces of an appropriately scaled length, controlling the interaction between the different pieces, and applying an invariance principle to the single pieces. In this way, we show that the self-repellent random walk large deviation rate function for the empirical drift of the path converges to the self-repellent Brownian motion large deviation rate function after appropriate scaling with the interaction parameters. The method is considerably simpler than the approach followed in our earlier work, which was based on functional analytic arguments applied to variational representations and only worked in a very limited number of situations. We consider two examples of a weak interaction limit: (1) vanishing self-repellence, (2) diverging step variance. In example (1), we recover our earlier scaling results for simple random walk with vanishing self-repellence and show how these can be extended to random walk with steps that have zero mean and a finite exponential moment. Moreover, we show that these scaling results are stable against adding self-attraction, provided the self-repellence dominates. In example (2), we prove a conjecture by Aldous for the scaling of self-avoiding walk with diverging step variance. Moreover, we consider self-avoiding walk on a two-dimensional horizontal strip such that the steps in the vertical direction are uniform over the width of the strip and find the scaling as the width tends to infinity. Received: 6 March 2002 / Revised version: 11 October 2002 / Published online: 21 February 2003 Mathematics Subject Classification (2000): 60F05, 60F10, 60J55, 82D60 Key words or phrases: Self-repellent random walk and Brownian motion – Invariance principles – Large deviations – Scaling limits – Universality     

On the Potential Theory of One-dimensional Subordinate Brownian Motions with Continuous Components

Suppose that S is a subordinator with a nonzero drift and W is an independent 1-dimensional Brownian motion. We study the subordinate Brownian motion X defined by X _t  = W(S _t ). We give sharp bounds for the Green function of the process X killed upon exiting a bounded open interval and prove a boundary Harnack principle. In the case when S is a stable subordinator with a positive drift, we prove sharp bounds for the Green function of X in (0, ∞ ), and sharp bounds for the Poisson kernel of X in a bounded open interval.     

Increment sizes of the principal value of Brownian local time

Let W be a standard Brownian motion, and define Y(t)= ∫₀ ^t ds/W(s) as Cauchy's principal value related to local time. We determine: (a) the modulus of continuity of Y in the sense of P. Lévy; (b) the large increments of Y. Received: 1 April 1999 / Revised version: 27 September 1999 / Published online: 14 June 2000     

Brownian bridge on hyperbolic spaces and on homogeneous trees

Let B be the Brownian motion on a noncompact non Euclidean rank one symmetric space H. A typical examples is an hyperbolic space H _n , n > 2. For ν > 0, the Brownian bridge B ^(ν) of length ν on H is the process B _t , 0 ≤t≤ν, conditioned by B ₀ = B _ν = o, where o is an origin in H. It is proved that the process converges weakly to the Brownian excursion when ν→ + ∞ (the Brownian excursion is the radial part of the Brownian Bridge on ℝ³). The same result holds for the simple random walk on an homogeneous tree. Received: 4 December 1998 / Revised version: 22 January 1999     

How fast are the particles of super-Brownian motion?

In this paper we investigate fast particles in the range and support ofsuper-Brownian motion in the historical setting. In this setting eachparticle of super-Brownian motion alive at time t is represented by apath w:[0,t]→ℝ ^d and the state of historical super-Brownian motionis a measure on the set of paths. Typical particles have Brownian paths,however in the uncountable collection of particles in the range of asuper-Brownian motion there are some which at exceptional times movefaster than Brownian motion. We determine the maximal speed of allparticles during a given time period E, which turns out to be afunction of the packing dimension of E. A path w in the support ofhistorical super-Brownian motion at time t is called a-fast if . Wecalculate the Hausdorff dimension of the set of a-fast paths in thesupport and the range of historical super-Brownian motion. A valuabletool in the proofs is a uniform dimension formula for the Browniansnake, which reduces dimension problems in the space of stopped paths to dimension problems on the line. Received: 27 January 2000 / Revised version: 28 August 2000 / Published online: 24 July 2001     

On the rate of convergence of a regular martingale related to a branching random walk

Let M _n , n = 1, 2, ..., be a supercritical branching random walk in which the number of direct descendants of an individual may be infinite with positive probability. Assume that the standard martingale W _n related to M _n is regular and W is a limit random variable. Let a(x) be a nonnegative function regularly varying at infinity with index greater than −1. We present sufficient conditions for the almost-sure convergence of the series . We also establish criteria for the finiteness of EW ln⁺ Wa(ln⁺ W) and E ln⁺|Z _∞|a(ln⁺|Z _∞|), where and (M _n , Q _n ) are independent identically distributed random vectors not necessarily related to M _n . __________ Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 58, No. 3, pp. 326–342, March, 2006.     

Potential theory of subordinate killed Brownian motion in a domain

 Subordination of a killed Brownian motion in a bounded domain D⊂ℝ ^d via an α/2-stable subordinator gives a process Z _t whose infinitesimal generator is −(−Δ| _D )^α/2, the fractional power of the negative Dirichlet Laplacian. In this paper we study the properties of the process Z _t in a Lipschitz domain D by comparing the process with the rotationally invariant α-stable process killed upon exiting D. We show that these processes have comparable killing measures, prove the intrinsic ultracontractivity of the generator of Z _t , prove the intrinsic ultracontractivity of the semigroup of Z _t , and, in the case when D is a bounded C ^1,1 domain, obtain bounds on the Green function and the jumping kernel of Z _t . Received: 4 April 2002 / Revised version: 1 July 2002 / Published online: 19 December 2002 This work was completed while the authors were in the Research in Pairs program at the Mathematisches Forschungsinstitut Oberwolfach. We thank the Institute for the hospitality. The research of the first author is supported in part by NSF Grant DMS-9803240. The research of the second author is supported in part by MZT grant 037008 of the Republic of Croatia. Mathematics Subject Classification (2000): Primary 60J45; Secondary 60J75, 31C25 Key words or phrases: Killed Brownian motions – Stable processes – Subordination – Fractional Laplacian     

Green function estimate for censored stable processes

 Sharp two-sided estimates for Green functions of censored α-stable process Y in a bounded C ^1,1 open set D are obtained, where α  (1, 2). It is shown that the Martin boundary and minimal Martin boundary of Y can all be identified with the Euclidean boundary of D. Sharp two-sided estimates for the Martin kernel of Y are also derived. Received: 27 January 2002 / Revised version: 10 June 2002 / Published online: 24 October 2002 This research is supported in part by NSF Grant DMS-0071486. Mathematics Subject Classification (2002): Primary: 60J45, 31C35; Secondary: 60G52, 31C15 Keywords or phrases: Censored stable process – Green function – Capacity – Martin boundary – Martin kernel – Harmonic function     

Stochastic differential equations for Dirichlet processes

We consider the stochastic differential equation dX _t = a(X _t )dW _t + b(X _t )dt, where W is a one-dimensional Brownian motion. We formulate the notion of solution and prove strong existence and pathwise uniqueness results when a is in C ^1/2 and b is only a generalized function, for example,the distributional derivative of a H?lder function or of a function of bounded variation. When b = aa′, that is, when the generator of the SDE is the divergence form operator ℒ = , a result on non-existence of a strong solution and non-pathwise uniqueness is given as well as a result which characterizes when a solution is a semimartingale or not. We also consider extensions of the notion of Stratonovich integral. Received: 23 February 2000 / Revised version: 22 January 2001 / Published online: 23 August 2001     

Limit Law of the Local Time for Brox’s Diffusion

We consider Brox’s model: a one-dimensional diffusion in a Brownian potential W. We show that the normalized local time process (L(t,m _log t +x)/t, x∈R), where m _log t is the bottom of the deepest valley reached by the process before time t, behaves asymptotically like a process which only depends on W. As a consequence, we get the weak convergence of the local time to a functional of two independent three-dimensional Bessel processes and thus the limit law of the supremum of the normalized local time. These results are discussed and compared to the discrete time and space case for which the same questions have been answered recently by Gantert, Peres, and Shi (Ann. Inst. Henri Poincaré, Probab. Stat. 46(2):525–536, 2010).     

Exit time moments, boundary value problems, and the geometry of domains in Euclidean space

Let X _t be a diffusion in Euclidean space. We initiate a study of the geometry of smoothly bounded domains in Euclidean space using the moments of the exit time for particles driven by X _t , as functionals on the space of smoothly bounded domains. We provide a characterization of critical points for each functional in terms of an overdetermined boundary value problem. For Brownian motion we prove that, for each functional, the boundary value problem which characterizes critical points admits solutions if and only if the critical point is a ball, and that all critical points are maxima. Received: 23 January 1997 / Revised version: 21 January 1998     

Laws of the iterated logarithm for high-dimensional wiener sausage

Let {β(s), s ≥ 0} be the standard Brownian motion in ℝ ^d with d ≥ 4 and let |W _r (t)| be the volume of the Wiener sausage associated with {β(s), s ≥ 0} observed until time t. From the central limit theorem of Wiener sausage, we know that when d ≥ 4 the limit distribution is normal. In this paper, we study the laws of the iterated logarithm for | W_r (t) | - \mathbbE| W_r (t) |\left| {W_r (t)} \right| - \mathbb{E}\left| {W_r (t)} \right| in this case.     

Polygons in Buildings and their Refined Side Lengths

As in a symmetric space of noncompact type, one can associate to an oriented geodesic segment in a Euclidean building a vector valued length in the Euclidean Weyl chamber Δ _euc . In addition to the metric length it contains information on the direction of the segment. In this paper we study restrictions on the Δ _euc -valued side lengths of polygons in Euclidean buildings. The main result is that for thick Euclidean buildings X the set Pn(X){\mathcal{P}n(X)} of possible Δ _euc -valued side lengths of oriented n-gons depends only on the associated spherical Coxeter complex. We show moreover that it coincides with the space of Δ _euc -valued weights of semistable weighted configurations on the Tits boundary ∂ _Tits X. The side lengths of polygons in symmetric spaces of noncompact type are studied in the related paper [KLM1]. Applications of the geometric results in both papers to algebraic group theory are given in [KLM2].