Random Flights in Higher Spaces

We consider in this paper random flights in ℝ ^d performed by a particle changing direction of motion at Poisson times. Directions are uniformly distributed on hyperspheres S ₁ ^d . We obtain the conditional characteristic function of the position of the particle after n changes of direction. From this characteristic function we extract the conditional distributions in terms of (n+1)−fold integrals of products of Bessel functions. These integrals can be worked out in simple terms for spaces of dimension d=2 and d=4. In these two cases also the unconditional distribution is determined in explicit form. Some distributions connected with random flights in ℝ³ are discussed and in some special cases are analyzed in full detail. We point out that a strict connection between these types of motions with infinite directions and the equation of damped waves holds only for d=2. Related motions with random velocity in spaces of lower dimension are analyzed and their distributions derived.     

Stochastic integrals for gaussian random functions

A construction of stochastic integrals Jl,, f dX is given where Fand X are random processes. Conditions of martingale type for X and nonanticipating of f with respect to X are not assumed. We suppose that f;, X are Gaussian processes, all other conditions are expressed in terms of the covariance functions off and X.     

A Review of White Noise Analysis from a Probabilistic Standpoint

The main notions and tools from white noise analysis are set up on the basis of the calculus of Gaussian random variables and the S -transform. A new proof of the formula for the S -transform of Itô integrals is given. Moreover, measurability and the martingale property with respect to the Brownian filtration are characterized in terms of the S-transform. This allows the extension of these notions to random variables and processes, respectively, in the space of Hida distributions.     

Stochastic differential equations with fractal noise

Stochastic differential equations in ?ⁿ with random coefficients are considered where one continuous driving process admits a generalized quadratic variation process. The latter and the other driving processes are assumed to possess sample paths in the fractional Sobolev space W^β₂ for some β > 1/2. The stochastic integrals are determined as anticipating forward integrals. A pathwise solution procedure is developed which combines the stochastic Itô calculus with fractional calculus via norm estimates of associated integral operators in W^α ₂ for 0 < α < 1. Linear equations are considered as a special case. This approach leads to fast computer algorithms basing on Picard's iteration method. (© 2005 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

The Finite Product Theorem for Certain Epireflections

We discuss a number of topics relating to multiple stochastic integration, where notions and ideas from point process theory seem particularly useful. Thus we give conditions for summability of certain multiple random series in terms of associated Poisson integrals, prove a decoupling result for divergence in probability to infinity, and give conditions for the existence of certain multiple integrals with respect to compensated POISSON and asymmetric LÉVY processes. In particular, the existence criteria for multiple p-stable integrals are shown to be independent of the skewness parameter.     

On local properties of functions and singular integrals in terms of the mean oscillation

This paper is devoted to research on local properties of functions and multidimensional singular integrals in terms of their mean oscillation. The conditions guaranteeing existence of a derivative in the L ^p -sense at a given point are found. Spaces which remain invariant under singular integral operators are considered.      

Discontinuous Measure-Valued Branching Processes and Generalized Stochastic Equations

We study a class of integrable and discontinuous measure-valued branching processes. They are constructed as limits of renormalized spatial branching processes, the underlying branching distribution belonging to the domain of attraction of a stable law. These processes, computed on a test function f, are semimartingales whose martingale terms are identified with integrals of f with respect to a martingale measure. According to a representation theorem of continuous (respectively purely discontinuous) martingale measures as stochastic integrals with respect to a white noise (resp. to a POISSON process), we prove that the measure-valued processes that we consider are solutions of stochastic differential equations in the space of L² (Ω)-valued vector measures.     

Semi-integer derivatives of the Airy functions and related properties of the Korteweg-de Vries-type equations

Fractional integrals and derivatives of Airy functions (Riesz potentials) are considered. For half integrals D ^−1/2 Ai(x) and D ^−1/2 Gi(x) explicit representations are found in terms of the products of Airy functions. Here Ai(x) and Gi(x) are the Airy function of the first kind and the Scorer function, respectively. Based on that representations are obtained for all semi-integer derivatives of Ai(x) and Gi(x). Applications to Korteweg–de Vries type equations are provided.      

Semi-integer derivatives of the Airy functions and related properties of the Korteweg-de Vries-type equations

Fractional integrals and derivatives of Airy functions (Riesz potentials) are considered. For half integrals D ^−1/2 Ai(x) and D ^−1/2 Gi(x) explicit representations are found in terms of the products of Airy functions. Here Ai(x) and Gi(x) are the Airy function of the first kind and the Scorer function, respectively. Based on that representations are obtained for all semi-integer derivatives of Ai(x) and Gi(x). Applications to Korteweg–de Vries type equations are provided.     

Asymptotics of Brownian integrals and pressure: Bose-Einstein statistics

The paper studies the asymptotics of the Brownian integrals with paths restricted to a bounded domain of ? ^v , when the domain is dilated to infinity. The framework is that of the Bose-Einstein statistics with paths observed within random time intervals which are integer multiplies of some fixed β > 0. The three first terms of the asymptotics are found explicitly via the functional integrals. In the case of a gas of interacting Brownian loops an expression for the volume term of the asymptotics of the log-partition function is found and the correction term is proved to by order be the boundary area of the domain.     

The representations of two types of functionals on L∞(Ω, ?) and L∞(Ω, ?, ?)

This article gives the representations of two types of real functionals on L ^∞(Ω, Ƒ) or L ^∞(Ω, Ƒ, ℙ) in terms of Choquet integrals. These functionals are comonotonically subadditive and comonotonically convex, respectively.     

Stochastic anticipative calculus for functionals of a gaussian generalized random field

We give a construction of Skorohod integrals with respect to a Gaussian D'-valued random field W The method is based on the multiple Wiener integral expansion for L ₂-functionals of W We also give a representation of the Malliavin derivative operator of L ²-functionals of W     

The generalized hu-meyer formula for random kernels

A theory of Hilbert-space-valued traces and multiple integration is developed for kernels inL ²([0, 1]^p × Θ). The multiple Ogawa and the multiple Stratonovich integrals for such kernels are introduced and sufficient conditions for their existence are obtained. The derivation of the Hu-Meyer formula connecting the multiple Ogawa and the multiple Stratonovich integrals requires the introduction of traces of random kernels. Such a derivation is obtained under appropriate conditions. This research was 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-G-0008.     

Quadrature Rules for L 1-Weighted Norms of Orthogonal Polynomials

In this paper, we obtain L ¹-weighted norms of classical orthogonal polynomials (Hermite, Laguerre and Jacobi polynomials) in terms of the zeros of these orthogonal polynomials; these expressions are usually known as quadrature rules. In particular, these new formulae are useful to calculate directly some positive defined integrals as several examples show.

     

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     

Intersection Local Times of Independent Brownian Motions as Generalized White Noise Functionals

A 'chaos expansion' of the intersection local time functional of two independent Brownian motions in R ^d is given. The expansion is in terms of normal products of white noise (corresponding to multiple Wiener integrals). As a consequence of the local structure of the normal products, the kernel functions in the expansion are explicitly given and exhibit clearly the dimension dependent singularities of the local time functional. Their L ^p -properties are discussed. An important tool for deriving the chaos expansion is a computation of the 'S-transform' of the corresponding regularized intersection local times and a control about their singular limit.     

New Expressions for Repeated Upper Tail Integrals of the Normal Distribution

Expressions are given for repeated upper tail integrals of the univariate normal density (and so also for the general Hermite function) for both positive and negative arguments. The expressions involve moments of the form E(x + i N) ⁿ and E1 / (x ² + N ²) ⁿ , where N is a unit normal random variable. Laplace transforms are provided for the Hermite functions and the moments. The practical use of these expressions is illustrated.     

Extended balance of linear momentum from higher gradient stress field theory

We present the equation of linear momentum considering higher gradients for stress and body force. Both are approximated via Taylor series expansion within a finite Cauchy cube of dimensions L_c. Whereas linear terms of the series expansion result to the classical balance of linear momentum, terms up to third order yield an extended balance equation. The extension includes an internal length scale L²_c caused by surface integrals on the cube. The approach makes use of Cauchy's theorem and standard Newtonian mechanics but constitutive assumptions are not applied. (© 2016 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Random Measures and Applications

Abstract

A mapping Z(·) from a δ-ring ?₀(?) into the vector space of random variables L ^p (P) is a vector-valued measure if it is σ-additive in the metric of its range. It is a vector measure if the range is a Banach space and a random measure if also its values are independent on disjoint sets. An important reason for this study is to construct integrals relative to such Zs, which typically do not have finite variation. For this, it is essential to find a controlling (σ-finite) measure for Z that is not available if 0 <p < 1, and here the random measure is taken to be p-stable and utilize properties of infinitely divisible distributions. In the case of p = 2, Z(·) induces a bimeasure, and if p > 2 is an integer it induces a polymeasure, either of which need not be (signed) measures on product spaces. Important applications lead to all these possibilities. In all those cases, a detailed analysis of vector-valued set functions is presented, with special focus for the cases of 0 <p < 1 and p = 2 where probability and Bochner's L ^{2, 2} boundedness plays a key role. Specialization if Z is stationary, harmonizable, and/or isotropic are discussed using the group structure of ? ⁿ , n ≥ 1, extending it for an lca group G. If Z is Banach valued or a quasi-martingale measure, methods of obtaining integrals are outlined in the last section, and open problems motivated by applications are pointed out at various places.     

Real Functions in Weighted Hardy Spaces

We study the following problem: to describe weights w on the unit circle such that the analytic and antianalytic subspaces of the corresponding weighted space ^Lp(w) have nonzero intersection. In the special case p=2, the problem is equivalent to the well-known problem on exposed points in H ¹. We show that the property in question is local, i.e., it depends on local behavior of the weight w at each point of the unit circle. Some necessary and sufficient conditions in terms of the Herglotz integrals are obtained. Bibliography: 6 titles.