A Distributional Approach to Multiple Stochastic Integrals and Transformations of the Poisson Measure, II

We study a class of “nonpoissonian” transformations of the configuration space (over a space of the form G=S×?, where S is a complete separable metric space) and the corresponding transformations of the Poisson measure. For the Poisson measures of the Lévy-Khinchin type we find conditions which are sufficient to ensure that the transformed measure (which in general is nonpoissonian) is absolutely continuous with respect to the initial Poisson measure and derive an expression for the corresponding Radon-Nikodym derivative. To this end we use a distributional approach to Poisson multiple stochastic integrals. This is the second of a series of papers, as compared to the first part the space G is different and the intensity measure is more general, allowing a stronger singularity at the origin.     

A Distributional Approach to Multiple Stochastic Integrals and Transformations of the Poisson Measure

We study a class of ‘nonpoissonian’ transformations of the configuration space and the corresponding transformations of the Poisson measure. For some class of Poisson measures we find conditions which are sufficient for the transformed measure (which in general is nonpoissonian) to be absolutely continuous with respect to the initial Poisson measure and get the expression for the corresponding Radon–Nikodym derivative. To solve this problem we use a distributional approach to Poisson multiple stochastic integrals.     

Classification of constant solutions of the associative Yang-Baxter equation on Mat3

We find all nonequivalent constant solutions of the classical associative Yang-Baxter equation for Mat ₃ . New examples found in the classification yield the corresponding Poisson brackets on traces, double Poisson brackets on a free associative algebra with three generators, and anti-Frobenius associative algebras.     

Moment vanishing properties of harmonic Bergman functions

We show that Poisson integrals belonging to certain weighted harmonic Bergman spaces b_δ^p on the upper half-space must have the moment vanishing properties. As an application, we show that b₀^p, p?1, contains a dense subspace whose members have the horizontal moment vanishing properties. Also, we derive related weighted norm inequalities for Poisson integrals. As a consequence, we obtain a characterization for Poisson integrals of continuous functions with compact support in order to belong to b_δ^p.     

Mixing of Poisson random measures under interacting transformations

We derive sufficient conditions for the mixing of all orders of interacting transformations of a spatial Poisson point process, under a zero-type condition in probability and a generalized adaptedness condition. This extends a classical result in the case of deterministic transformations of Poisson measures. The approach relies on moment and covariance identities for Poisson stochastic integrals with random integrands.     

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.     

La formule de Plancherel pour les groupes de Lie presque algébriques réels

We give a proof of the Plancherel formula for real almost algebraic groups in the philosophy of the orbit method, following the lines of the one given by M. Duflo and M. Vergne for simply connected semisimple Lie groups. Main ingredients are: (1) Harish-Chandra's descent method which, interpreting Plancherel formula as an equality of semi-invariant generalized functions, allows one to reduce it to a neighbourhood of zero in the Lie algebra of the centralizer of any elliptic element; (2) character formula for representations constructed by M. Duflo, we recently proved; (3) Poisson-Plancherel formula near elliptic elements s in good position, a generalization of the classical Poisson summation formula expressing the Fourier transform of the sum of a series of Harish-Chandra type elliptic orbital integrals in the Lie algebra centralizing s as a generalized function supported on a set of admissible regular forms in the dual of this Lie algebra.     

Integrals over polytopes, multiple zeta values and polylogarithms, and Euler’s constant

Let T be the triangle with vertices (1, 0), (0, 1), (1, 1). We study certain integrals over T, one of which was computed by Euler. We give expressions for them both as linear combinations of multiple zeta values, and as polynomials in single zeta values. We obtain asymptotic expansions of the integrals, and of sums of certain multiple zeta values with constant weight. We also give related expressions for Euler’s constant, and study integrals, one of which is the iterated Chen (Drinfeld-Kontsevich) integral, over some polytopes that are higher-dimensional analogs of T. The latter leads to a relation between certain multiple polylogarithm values and multiple zeta values.     

New hierarchy of integrable system bi-Hamiltonian structure and constrained flows

We have considered the hierarchy of integrable systems associated with the unstable nonlinear Schrodinger equation. The spectral gradient approach and the trace identity are used to derive the bi-Hamiltonian structure of the system. The bi-Hamiltonian property and the square eigenfunctions determined via the spectral gradient approach are then used to construct constrained flows, which is also proved to be derivable from a rational Lax operator. This new Lax operator of the constrained flows is seen to generate the classical r-matrix. Lastly it is also explicitly demonstrated that the different integrals of motion of the constrained flows Poisson commute.     

Computing multiple integrals involving matrix exponentials

In this paper, a generalization of a formula proposed by Van Loan [Computing integrals involving the matrix exponential, IEEE Trans. Automat. Control 23 (1978) 395–404] for the computation of multiple integrals of exponential matrices is introduced. In this way, the numerical evaluation of such integrals is reduced to the use of a conventional algorithm to compute matrix exponentials. The formula is applied for evaluating some kinds of integrals that frequently emerge in a number classical mathematical subjects in the framework of differential equations, numerical methods and control engineering applications.     

On the Green Function and Poisson Integrals of the Dunkl Laplacian

We prove the existence and study properties of the Green function of the unit ball for the Dunkl Laplacian △ _k in \(\mathbb {R}^{d}\). As applications we derive the Poisson-Jensen formula for △ _k -subharmonic functions and Hardy-Stein identities for the Poisson integrals of △ _k . We also obtain sharp estimates of the Newton potential kernel, Green function and Poisson kernel in the rank one case in \(\mathbb {R}^{d}\). These estimates contrast sharply with the well-known results in the potential theory of the classical Laplacian.     

On Discretization of the Euler Top

The application of intersection theory to construction of n-point finite-difference equations associated with classical integrable systems is discussed. As an example, we present a few new discretizations of motion of the Euler top sharing the integrals of motion with the continuous time system and the Poisson bracket up to the integer scaling factor.     

On p-adic multiple zeta and log gamma functions

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We define p-adic multiple zeta and log gamma functions using multiple Volkenborn integrals, and develop some of their properties. Although our functions are close analogues of classical Barnes multiple zeta and log gamma functions and have many properties similar to them, we find that our p-adic analogues also satisfy reflection functional equations which have no analogues to the complex case. We conclude with a Laurent series expansion of the p-adic multiple log gamma function for (p-adically) large x which agrees exactly with Barnes?s asymptotic expansion for the (complex) multiple log gamma function, with the fortunate exception that the error term vanishes. Indeed, it was the possibility of such an expansion which served as the motivation for our functions, since we can use these expansions computationally to p-adically investigate conjectures of Gross, Kashio, and Yoshida over totally real number fields.

Video

For a video summary of this paper, please click here or visit http://www.youtube.com/watch?v=I9Bv_CycEd8.     

Stochastic Fubini Theorem for Jump Noises in Banach Spaces

We prove a general version of the stochastic Fubini theorem for stochastic integrals of Banach space valued processes with respect to compensated Poisson random measures under weak integrability assumptions, which extends this classical result from Hilbert space setting to Banach space setting.     

Admissible convergence for the Poisson-Szegö integrals

We prove almost everywhere semirestricted admissible convergence of the Poisson-Szegö integrals ofL ^p functions (1 <p ≤ ∞) on the Bergman-Shilov boundary of a Siegel domain. In the case of symmetric domains our theorem can be deduced from the results by Peter Sjögren on admissible convergence to the boundary of Poisson integrals on symmetric spaces, although semirestricted admissible convergence means here a more general approach to the boundary then originally defined for symmetric spaces.     

Normal approximation on Poisson spaces: Mehler’s formula,second order Poincaré inequalities and stabilization

We prove a new class of inequalities, yielding bounds for the normal approximation in the Wasserstein and the Kolmogorov distance of functionals of a general Poisson process (Poisson random measure). Our approach is based on an iteration of the classical Poincaré inequality, as well as on the use of Malliavin operators, of Stein’s method, and of an (integrated) Mehler’s formula, providing a representation of the Ornstein-Uhlenbeck semigroup in terms of thinned Poisson processes. Our estimates only involve first and second order difference operators, and have consequently a clear geometric interpretation. In particular we will show that our results are perfectly tailored to deal with the normal approximation of geometric functionals displaying a weak form of stabilization, and with non-linear functionals of Poisson shot-noise processes. We discuss two examples of stabilizing functionals in great detail: (i) the edge length of the k-nearest neighbour graph, (ii) intrinsic volumes of k-faces of Voronoi tessellations. In all these examples we obtain rates of convergence (in the Kolmogorov and the Wasserstein distance) that one can reasonably conjecture to be optimal, thus significantly improving previous findings in the literature. As a necessary step in our analysis, we also derive new lower bounds for variances of Poisson functionals.     

Characterizations of Smoothness of Functions in Terms of their Jacobi Expansions

The smoothness of functions defined on (?1, 1) is characterized by the Poisson integrals of their Jacobi expansions. The generalized translation T _t and the generalized difference ${\widetilde{T}_t}$ associated with the product formulas of Jacobi polynomials are used to illustrate the smoothness of functions, which leads to very natural generalizations of the classical results of Hardy?CLittlewoood and Zygmund.     

Integral representation and asymptotic behavior of harmonic functions in half space

Using Carleman's formula of a harmonic function in the half space and Nevanlinna's representation of a harmonic function in the half sphere, we prove that a harmonic function, whose positive part satisfies a slowly growing condition, can be represented by a certain integral. This improves some classical Poisson integrals for harmonic functions.     

Some unit square integrals

In this article, we prove some identities which allow us to evaluate some multiple unit square integrals. In our examples, we will give the value of some double and triple integrals. We then prove several classical integral formulas with the help of these identities and present others that seem to be new. Finally, we get double integrals for classical constants and different expressions for two Ramanujan’s integral formulas.     

Limit theorems for some polynomial statistics of the poisson process

The central limit theorem and the theorem on large deviations for the functionals of the Poisson random process are proved. The formulas for cumulants of multiple stochastic integrals (m.s.i.) with respect to the Poisson process are obtained. The m.s.i. may be considered as anU-statistics arising in queueing theory as well as a generalization of the well-known Poisson shot-noise process, having wide applications.