Random rotations of the Wiener path

Summary Let (W, H, ) be an abstract Wiener space and letR(w) be a strongly measurable random variable with values in the set of isometries onH. Suppose that Rh is smooth in the Sobolev sense and that it is a quasi-nilpotent operator onH for everyhH. It is shown that (R(w)h) is again a Gaussian (0, |h| _H ² )-random variable. Consequently, if (e _i ,i)W ^* is a complete, orthonormal basis ofH, then defines a measure preserving transformation, a rotation, onW. It is also shown that if for some strongly measurable, operator valued (onH) random variableR, (R(w+k)h) is (0, |h| _H ² )-Gaussian for allk, hH, thenR is an isometry and Rh is quasi-nilpotent for allHH. The relation between the stochastic calculi for these Wiener pathsw and , as well as the conditions of the inverbibility of the map are discussed and the problem of the absolute continuity of the image of the Wiener measure under Euclidean motion on the Wiener space (i.e. composed with a shift) is studied.The research of the second author was supported by the Fund for the Promotion of Research at the TechnionDedicated to the memory of Albert Badrikian     

Generalized Mehler semigroups and applications

Summary We construct and study generalized Mehler semigroups (p _t ) _t 0 and their associated Markov processesM. The construction methods for (p _t ) _t 0 are based on some new purely functional analytic results implying, in particular, that any strongly continuous semigroup on a Hilbert spaceH can be extended to some larger Hilbert spaceE, with the embeddingHE being Hilbert-Schmidt. The same analytic extension results are applied to construct strong solutions to stochastic differential equations of typedX _t =C dW _t +AX _t dt (with possibly unbounded linear operatorsA andC onH) on a suitably chosen larger spaceE. For Gaussian generalized Mehler semigroups (p _t ) _t 0 with corresponding Markov processM, the associated (non-symmetric) Dirichlet forms (E D(E)) are explicitly calculated and a necessary and sufficient condition for path regularity ofM in terms of (E,D(E)) is proved. Then, using Dirichlet form methods it is shown thatM weakly solves the above stochastic differential equation if the state spaceE is chosen appropriately. Finally, we discuss the differences between these two methods yielding strong resp. weak solutions.     

Nonlinear complementarity problem and systems of convex inequalities

LetH be a nonempty closed convex subset of a topological vector spaceE andF be a real-valued function onH × H Then, we prove that, under some conditions, there existsx ₀H such thatF(x ₀,y)0 for ally H. Furthermore, we obtain a necessary and sufficient condition that a finite system of convex inequalities is irreducibly inconsistent.This work was supported in part by the Matsunaga Research Grant. The author wishes to express his sincere thanks to Professor H. Umegaki for his invaluable suggestions and advice.     

Measures induced on Wiener space by monotone shifts

Summary In this work we study the absolute continuity of the image of the Wiener measure under the transformations of the formT()=+u(), the shiftu is a random variable with values in the Cameron-Martin spaceH and is monotone in the sense that (T(+h-T(),h) _H 0 a.s. for allh inH.     

Controllability for a class of nondiagonal hyperbolic distributed bilinear systems

This paper studies controllability of the abstract hyperbolic control systemü + Au + p(t)Bu = 0 whereA andB are (possibly) unbounded linear operators on an infinite dimensional Hilbert spaceH andp(t) is a real valued scalar control. The paper gives conditions for elements of the underlying state space to be accessible from prescribed initial data (u(0),57-1 Applications to wave equations are provided.This research was supported in part by the Air Force office of Scientific Research, Air Force Systems Command, USAF, under Contract/Grant No. AFORS-81-0172. The United States Government if authorized to reproduce and distribute reprints for government purposes not withstanding any copyright herein.     

Existence of strong solutions for Itô's stochastic equations via approximations

Summary Given strong uniqueness for an Itô's stochastic equation with discontinuous coefficients, we prove that its solution can be constructed on any probability space by using, for example, Euler's polygonal approximations. Stochastic equations in ^d and in domains in ^d are considered.Research supported by the Hungarian National Foundation of Scientific Research No. 2990.Supported in part by NSF Grant DMS-9302516     

Construction of Markov processes and associated multiplicative functionals from given harmonic measures

Summary LetE be a noncompact locally compact second countable Hausdorff space. We consider the question when, given a family of finite nonzero measures onE that behave like harmonic measures associated with all relatively compact open sets inE (i.e. that satisfy a certain consistency condition), one can construct a Markov process onE and a multiplicative functional with values in [0, ) such that the hitting distributions of the process inflated by the multiplicative functional yield the given harmonic measures. We achieve this construction under weak continuity and local transience conditions on these measures that are natural in the theory of Markov processes, and a mild growth restriction on them. In particular, if the spaceE equipped with the measures satisfies the conditions of a harmonic space, such a Markov process and associated multiplicative functional exist. The result extends in a new direction the work of many authors, in probability and in axiomatic potential theory, on constructing Markov processes from given hitting distributions (i.e. from harmonic measures that have total mass no more than 1).     

Cubature formulae which are exact on spacesP,intermediate betweenP k andQ k′

Summary In this paper we search, from the orthogonal polynomial theory, for conditions which allow to obtain cubature formulae on compacts of ⁿ , with weight function, and which are exact on the spaceR( _{k 1}, k₂, ..., k_n) of all polynomials of degree k _i respectively to each variablex _i , 1in.     

De Branges spaces of entire functions closed under forming difference quotients

With a de Branges spaceH(E) of entire functions a functionq, analytic in ⁺ and satisfying there Imq(z)0, is associated. In this note we give necessary and sufficient conditions forH(E) to be closed under forming certain difference quotients in terms of the poles and zeros ofq. Moreover, we obtain a criterion whether a functionq possessing the above mentioned properties can be written as the quotient of the right upper and right lower entry of an entire matrix functionW (z) satisfying a certain kernel condition.     

Perturbation of orthonormal bases with an application to diagonalization

Given an orthonormal basis {e _n } _n=1 in a Hilbert spaceH, and a dense linear manifoldDH, we show that there exists a unitary operatorV onH such thatI-V is a trace-class operator with arbitrarily small trace norm, andVe _jD for allj. This result can be used to simplify certain arguments of J. Xia concerning the simultaneous diagonalization of operators on a space of square integrable functions.     

Projective homogeneity

We consider aC simply connected manifoldM endowed with a projective structureP and under an additional hypothesis on the projective curvature tensor, we find necessary and sufficient conditions in order thatM turns out to be a reductive homogeneous spaceG/H whereG is a Lie group acting onM as a group of automorphisms ofP.     

A note on the three color problem

It is shown that a planar graph withouti-circuits, 4 i 9, is 3-colorable. This result strengthens the result obtained by H.L. Abbott and B. Zhou.The author's research was partially supported by the Office of Naval Research, Grant number N00014-92-J-1965.     

Conditions for finite moments of waiting times inG/G/1 queues

We find conditions for E(W ) to be finite whereW is the stationary waiting time random variable in a stableG/G/1 queue with dependent service and inter-arrival times.Supported in part by KBN under grant 640/2/9, and at the Center for Stochastic Processes, Department of Statistics at the University of North Carolina Chapel Hill by the Air Force Office of Scientific Research Grant No. 91-0030 and the Army Research Office Grant No. DAAL09-92-G-0008.     

The local time of iterated Brownian motion

We define and study the local time process {L ^*(x,t);x¹,t0} of the iterated Brownian motion (IBM) {H(t):=W ₁(|W ₂ (t)|); t0}, whereW ₁(·) andW ₂(·) are independent Wiener processes.Research supported by Hungarian National Foundation for Scientific Research, Grant No. T 016384.Research supported by an NSERC Canada Grant at Carleton University, Ottawa.Research supported by a PSC CUNY Grant, No. 6-66364.     

The Skorohod integral and the derivative operator of functional of a cylindrical Brownian motion

The paper presents a definition of the Skorohod integral of operator-valued processes and the derivative operator for functional of a cylindrical Brownian motionW on a Hilbert space. The method is based on the chaos expansions in terms of multiple Wiener integrals ofW.This research was partially supported by the U.S. Air Force Office of Scientific Research Contract No. F49620 85C 0144. The research of V. Pérez-Abreu was also supported by CONACYT Grant D111-904237.     

On density properties of certain subgroups with boundedness conditions

LetG be a locally compact group acting on a topological space. Here we define some boundedness conditions for the action. For a nondiscrete locally compact vector spaceV andgG L (V), layering structures forV and the projective spaceP (V) ofV are obtained. From the layering structures, we derive then density properties of subgroups ofG with boundedness conditions. We generalize the Borel density theorem and Prasad's theorem on automorphisms of algebraic semi-simple groups. Some new results onp-adic groups are added.Partially supported by N. S. F. Grant 7702168.     

A special stability problem for linear multistep methods

The trapezoidal formula has the smallest truncation error among all linear multistep methods with a certain stability property. For this method error bounds are derived which are valid under rather general conditions. In order to make sure that the error remains bounded ast , even though the product of the Lipschitz constant and the step-size is quite large, one needs not to assume much more than that the integral curve is uniformly asymptotically stable in the sense of Liapunov.The preparation of this paper was partly sponsored by the Office of Naval Research and the US Army Research Office (Durham). Reproduction in whole or in part is permitted for any purpose of the US Government.     

The Feynman-Stratonovich semigroup and stratonovich integral expansions in nonlinear filtering

Representations for the solution of the Zakai equation in terms of multiple Stratonovich integrals are derived. A new semigroup (the Feynman-Stratonovich semigroup) associated with the Zakai equation is introduced and using the relationship between multiple Stratonovich integrals and iterated Stratonovich integrals, a representation for the unnormalized conditional density,u(t,x), solely in terms of the initial density and the semigroup, is obtained. In addition, a Fourier seriestype representation foru(t,x) is given, where the coefficients in this representation uniquely solve an infinite system of partial differential equations. This representation is then used to obtain approximations foru(t,x). An explicit error bound for this approximation, which is of the same order as for the case of multiple Wiener integral representations, is obtained. Research supported by the National Science Foundation and the Air Force Office of Scientific Research Grant No. F49620 92 J 0154 and the Army Research Office Grant No. DAAL03-92-G0008.     

Frobenius-Perron operators and approximation of invariant measures for set-valued dynamical systems

A set-valued dynamical systemF on a Borel spaceX induces a set-valued operatorF onM(X) — the set of probability measures onX. We define arepresentation ofF, each of which induces an explicitly defined selection ofF; and use this to extend the notions of invariant measure and Frobenius-Perron operators to set-valued maps. We also extend a method ofS. Ulam to Markov finite approximations of invariant measures to the set-valued case and show how this leads to the approximation ofT-invariant measures for transformations , whereT corresponds to the closure of the graph of .     

Some remarks on Rademacher's theorem in infinite dimensions

We provide an infinite dimensional version of Rademacher's theorem in a linear space provided with a bounded Radon measure . The underlying concepts of the Lipschitz property and differentiability hold -almost everywhere and only in the linear subspace of directions along which is quasiinvariant. The particular case where (X, ) is the Wiener space (and for which the subspace of quasiinvariance coincides with the Cameron-Martin space) was proved in Enchev and Stroock (1993).Partially supported by the fund for promotion of research at the Technion.