Reflected Brownian motion in a cone: Semimartingale property

Summary In this paper, the object of study is reflected Brownian motion in a cone ind-dimensions (d3) with nonconstant oblique reflection on each radial line emanating from the vertex of the cone. The basic question considered here is When is this process a semimartingale?. Conditions for the existence and uniqueness of the process for which the vertex is an instantaneous state were given by Kwon, which is resolved in terms of a real parameter depending on the cone and the direction of reflection. It is shown that starting from any point of the cone, the process is a semimartingale if < 1, + 0 and not a semimartingale if < < 2.This research is supported by KOSEF grant 941-0100-011-1     

On ηα-groups and fields

Let :=. The following are known: two -sets of power are isomorphic. Let >0. Two ordered divisible Abelian groups that are -sets of power are isomorphic, two real closed fields that are -sets of power are isomorphic. The following is shown: (1) there exist 2 nonisomorphic ordered Abelian groups (respectively ordered fields) that are -sets of power ; (2) there exist 2 nonisomorphic ordered divisible Abelian groups (respectively real closed fields) of power all having the same order type; (3) there exist 2 nonisomorphic ordered divisible Abelian groups (respectively real closed fields) that are -sets having the same order type.     

Conditioned super-Brownian motion

Summary We investigate classes of conditioned super-Brownian motions, namely H-transformsP ^H with non-negative finitely-based space-time harmonic functionsH(t, ). We prove thatH ^H is the unique solution of a martingale problem with interaction and is a weak limit of a sequence of rescaled interacting branching Brownian motions. We identify the limit behaviour of H-transforms with functionsH(t, )=h(t, (1)) depending only on the total mass (1). Using the Palm measures of the super-Brownian motion we describe for an additive spacetime harmonic functionH(t, )=h(t, x) (dx) theH-transformP ^H as a conditioned super-Brownian motion in which an immortal particle moves like an h-transform of Brownian motion.     

Multilevel large deviations and interacting diffusions

Summary Let ( ^N ) be a sequence of random variables with values in a topological space which satisfy the large deviation principle. For eachM and eachN, let ^{M, N} denote the empirical measure associated withM independent copies of ^N . As a main result, we show that ( ^{M, N} ) also satisfies the large deviation principle asM,N. We derive several representations of the associated rate function. These results are then applied to empirical measure processes ^{M, N} (t) =M ^–1 _i=1 ^N _i ^N (t) 0tT, where ( ₁ ^N ,..., _M ^N (t)) is a system of weakly interacting diffusions with noise intensity 1/N. This is a continuation of our previous work on the McKean-Vlasov limit and related hierarchical models ([4], [5]).Research partially supported by a Natural Science and Engineering Research Council of Canada operating grant     

On the semimartingale representation of reflecting Brownian motion in a cusp

Summary LetC be the symmetric cusp {(x, y)²:–x yx ,x0} where >1. In this paper we decide whether or not reflecting Brownian motion inC has a semimartingale representation. Here the reflecting Brownian motion has directions of reflection that make constant angles with the unit inward normals to the boundary. Our results carry through for a wide class of asymmetric cusps too.     

Brownian charges around loops

Summary Let (X _t ⁿ ) be a Poisson sequence of independent Brownian motions in ^d ,d3; Let be a compact oriented submanifold of d, of dimensiond–2 and volume ; let t be the sum of the windings of (X _s ⁿ , 0st) around ; then t/t converges in law towards a Cauchy variable of parameter /2. A similar result is valid when the winding is replaced by the integral of a harmonic 1-form in ^d .     

Black holes on the plane drawn by a Wiener process

Summary We say that the discD()R ², of radius , located around the origin isp-covered in timeT by a Wiener processW(·) if for anyzD() there exists a 0tT such thatW(t) is a point of the disc of radiusp, located aroundz. The supremum of those 's (0) is studied for which,D() isp-covered inT.     

On the asymptotic and invariantσ-algebras of random walks on locally compact groups

Summary Consider a random walk of law on a locally compact second countable groupG. Let the starting measure be equivalent to the Haar measure and denote byQ the corresponding Markov measure on the space of pathsG . We study the relation between the spacesL (G , ^a ,Q) andL (G , ⁱ ,Q) where ^a and ⁱ stand for the asymptotic and invariant -algebras, respectively. We obtain a factorizationL (G , ^a ,Q) L (G , ⁱ ,Q)L (C) whereC is a cyclic group whose order (finite or infinite) coincides with the period of the Markov shift and is determined by the asymptotic behaviour of the convolution powers ⁿ.     

Transferring estimates for zonal convolution operators

_p - , . Ad- .     

Commutative Jacobi fields in Fock space

A jacobi field is understood to be a family (Ã()) of commuting selfadjoint operatorsÃ() acting in a Fock space, having a Jacobi structure, and depending linearly on the test functions . In this article, we give a spectral representation of such a family and outline its applications to the theory of distributions on an infinite dimensional space.This article is dedicated to the memory of my dear teacher Mark G. KreinThe work is partially supported by Fundamental Research Foundation of Ukraine, grant 1.4/62.     

Some fractal sets determined by stable processes

Summary LetY _i be independent stable subordinators in (, ,P) with indices 0< _i <1 andR _i are the ranges ofY _i ,i=1, 2. We are able to find the exact Hausdorff measure and packing measure results for the product setsR ₁×R ₂, and whenever ₁ + ₂ 1/2, we deduce results for the vector sumR ₁R ₂={x+y:xR ₁,yR ₂}.     

Lipschitz and darbo conditions for the superposition operator in ideal spaces

Summary In this paper we give necessary and sufficient conditions for the superposition operator Fx(s)=f(s, x(s)) to satisfy a Lipschitz condition Fx₁ - Fx₂kx₁ - x₂ or a Darbo condition (FN)k(N) in ideal spaces of measurable functions, where is the Hausdorff measure of noncompactness. Moreover, we characterize a large class of spaces in which the above mentioned two conditions are equivalent.

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Sunto In questo lavoro diamo delle condizioni necessarie e sufficienti perchè l'operatore di sovrapposizione Fx(s)=f (s, x(s)) soddisfi alla condizione di Lipschitz Fx₁–Fx₂ kx₁–x₂ o quella di Darbo (FN)k(N) in spazi ideali di funzioni misurabili, ove è la misura di non compattezza di Hausdorff. Inoltre, caratterizziamo un'ampia classe di spazi in cui le suddette due condizioni sono equivalenti.

     

Some remarks on the modulus of continuity of a conformal mapping of the disk onto a Jordan domain

Letd(;z, t) be the smallest diameter of the arcs of a Jordan curve with endsz andt. Consider the rapidity of decreasing ofd(;)=sup{d(;z, t):z, t , ¦z–t¦} (as 0,0) as a measure of nicety of . Letg(x) (x0) be a continuous and nondecreasing function such thatg(x)x,g(0)=0. Put¯g(x)=g(x)+x, h(x)=(¯g(x))². LetH(x) be an arbitrary primitive of 1/h ^–1(x). Note that the functionH ^–1 x is positive and increasing on (–, +),H ^–1 0 asx– andH ^–1+ asx +. The following statement is proved in the paper.Translated fromMatematicheskie Zametki, Vol. 60, No. 2, pp. 176–184, August, 1996.This research was supported by the Russian Foundation for Basic Research under grant No. 93-01-00236 and by the International Science Foundation under grant No. NCF000.     

A study on Markovian maximality,change of probability and regularity

LetE be a rigid separable Banach space andm a bounded Borel measure onE. Let Ext denote the family of all gradient type Dirichlet forms onL ²(E, m) such that the domain of their extended generators (cf. Definition 1.1) contain the smooth functions. We prove three results. First, we prove the existence of the maximum element in Ext whenever Ext is not empty. Secondly, let be the maximum element in Ext (when Ext Ø) and let be a positive function in D(). We define a new measure =²·m and we consider the family Ext associated with the measure . We prove that if is associated with a diffusion process, Ext is not empty and its maximum element is also associated with a diffusion process. Finally, whenm is a centered Gaussian measure onE, we can prove that Ext contains exactly one element.     

Embeddings of Lorentz—Marcinkiewicz spaces with mixed norms

X(Y) f -:X(Y)={fM(×): f_{X(Y)=f(x,.)YX<} . =(0, ), M (×) — , ×, X, Y, Z— . X(Y) Z(×).     

Distoriton of area and conditioned Brownian motion

Summary In a simply connected planar domainD the expected lifetime of conditioned Brownian motion may be viewed as a function on the set of hyperbolic geodesics for the domain. We show that each hyperbolic geodesic induces a decomposition ofD into disjoint subregions and that the subregions are obtained in a natural way using Euclidean geometric quantities relating toD. The lifetime associated with on each _j is then shown to be bounded by the product of the diameter of the smallest ball containing _j and the diameter of the largest ball in _j . Because this quantity is never larger than, and in general is much smaller than, the area of the largest ball in _j it leads to finite lifetime estimates in a variety of domains of infinite area.Research of the first author was supported in part by NSF Grant DMS-9100811Research of the second author was supported in part by NSF Grant DMS-9105407     

Maximal inequalities,convexity inequality,and their duality. II

, , . . . [1], , . , , ., , L logL. , , . . . . [5]. , .     

On Sets of Planes in Projective Spaces Intersecting Mutually in One Point

Let be a projective space. In this paper we consider sets of planes of such that any two planes of intersect in exactly one point. Our investigation will lead to a classification of these sets in most cases. There are the following two main results:- If is a set of planes of a projective space intersecting mutually in one point, then the set of intersection points spans a subspace of dimension 6. There are up to isomorphism only three sets where this dimension is 6. These sets are related to the Fano plane.- If is a set of planes of PG(d,q) intersecting mutually in one point, and if q3, 3(q²+q+1), then is either contained in a Klein quadric in PG(5,q), or is a dual partial spread in PG(4,q), or all elements of pass through a common point.     

Homogenization on nested fractals

Summary We study the homogenization problem on nested fractals. LetX _t be the continuous time Markov chain on the pre-nested fractal given by puttingi.i.d. random resistors on each cell. It is proved that under some conditions, converges in law to a constant time change of the Brownian motion on the fractal asn, where is the contraction rate andt _E is a time scale constant. As the Brownian motion on fractals is not a semi-martingale, we need a different approach from the well-developed martingale method.Dedicated to Professor Masatoshi Fukushima on his 60th birthdayResearch partially supported by the Yukawa Foundation     

Morera type theorems on the unit disc

, . . : , , , , .