Convergence to equilibrium for classical and quantum spin systems

Summary The paper is devoted to stochastic equations describing the evolution of classical and quantum unbounded spin systems on discrete lattices and on Euclidean spaces. Existence and asymptotic properties of the corresponding transition semigroups are studied in a unified way using the theory of dissipative operators on weighted Hilbert and Banach spaces. This paper is an enlarged and rewritten version of the paper [7].Partially supported by the Italian National Project MURST Problemi nonlinearinell' Analisi... and by DRET under contract 901636/A000/DRET/DSISR.Partially sponsored by the KBN grant 2 2003 91 02 and by the KBN grant 2PO3A 082 08     

The support of the solution to a hyperbolic SPDE

Summary In this paper we prove Stroock-Varadhan type theorems for the topological support of a hyperbolic stochastic partial differential equation in the -Hölder norm, for (0, 1/2). Our approach is based on absolutely continuous transformations of defined using non-homogeneous approximations of the Brownian sheet.Partially supported by a grant of the DGICYT n^o PB 90–0452. This work has been partially done while the author was visiting the Laboratoire de Probabilités at Paris VI     

Perfect cocycles through stochastic differential equations

Summary We prove that if is a random dynamical system (cocycle) for whicht(t, )x is a semimartingale, then it is generated by a stochastic differential equation driven by a vector field valued semimartingale with stationary increment (helix), and conversely. This relation is succinctly expressed as semimartingale cocycle=exp(semimartingale helix). To implement it we lift stochastic calculus from the traditional one-sided time to two-sided timeT= and make this consistent with ergodic theory. We also prove a general theorem on the perfection of a crude cocycle, thus solving a problem which was open for more than ten years.This article was processed by the author using the latex style filepljour Im from Springer-Verlag.     

Effective equations of two-phase flow in random media

We consider the behavior of incompressible two-phase flow in heterogeneous reservoirs with randomly placed heterogeneities; that is, in media with permeabilityA and porosity which are stationary random fields. We assume both Darcy velocity and the diffusion flux being given nonlinear functions of the concentration. Using the tools of stochastic homogenization we get the nonlinear effective equations which govern the flow behavior in a homogeneous medium, being equivalent in the sense of homogenization theory, to the original one. When is small the randomly heterogeneous porous medium behaves like a deterministic medium with effective permeability tensor A^o. It is shown how to calculate the effective permeability tensor A^o by solving auxiliary stochastic problems. Using the rescaling parameter, corresponding to the characteristic scale of heterogeneities, we prove the convergence of the homogenization process for 0. Furthermore, by using regularity results for the nonlinear effective equations we construct the correctors and establish strong convergence.

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Résumé On considère le comportement des écoulements diphasiques incompressibles dans un réservoir hétérogène avec les hétérogénéités placées aléatoirement; c'est-à-dire, dans un milieux où la permeabilitéA et la porosité sont des champs aléatoires stochastiquement homogénes. On suppose à la fois que le vecteur flux de diffusion et la vitesse de Darcy sont des fonctions nonlinéaires de la concentration. En utilisant les techniques d'homogénéisation stochastique on obtient à grande échelle des équations nonlinéaires efficaces décrivants un écoulement en milieux poreux equivalent à l'écoulement original dans le sens de la théorie de l'homogénéisation. Le milieu poreux aléatoire se comporte à grande échelle comme un milieux deterministe avec un tenseur efficace de permeabilité A ^o , pour suffisemment petit. Ce tenseur de perméabilité efficace est calculé en resolvant des problèmes stochastiques auxilliaires. Lorsque le paramétre, correspondant à l'échelle caractéristique des hétérogénéités, tend vers zero, nous montrons la convergence du processus d'homogénéisation. Finalement, en utilisant des résultats de régularité pour les équations efficaces nonlineaires obtenues, nous construisons les correcteurs et démontrons la convergence forte.

     

Existence,uniqueness and invariant measures for stochastic semilinear equations on Hilbert spaces

Summary A class of stochastic evolution equations with additive noise and weakly continuous drift is considered. First, regularity properties of the corresponding Ornstein-Uhlenbeck transition semigroupR _t are obtained. We show thatR _t is a compactC ₀-semigroup in all Sobolev spacesW ^n,p which are built on its invariant measure . Then we show the existence, uniqueness, compactness and smoothing properties of the transition semigroup for semilinear equations inL ^p() spaces and spacesW ^1,p . As a consequence we prove the uniquencess of martingale solutions to the stochastic equation and the existence of a unique invariant measure equivalent to . It is shown also that the density of this measure with respect to is inL ^p() for allp1.This work was done during the first author's stay at UNSW supported by ARC Grant 150.346 and the second author's stay at ód University supported by KBN Grant 2.1020.91.01     

The behavior of solutions of stochastic differential inequalities

Summary LetX andZ be ^d -valued solutions of the stochastic differential inequalities dX _t a(t,X _t )dt+(t,X _t )dW _t andb(t, Z _t )dt+(t, Z _t )dW _t dZ _t , respectively, with a fixed ^m -valued Wiener processW. In this paper we give conditions ona, b and under which the relationX ₀Z ₀ of the initial values leads to the same relation between the solutions with probability one. Further we discuss whether in general our conditions can be weakened or not. Then we deal with notions like maximal/minimal solution of a stochastic differential inequality. Using the comparison result we derive a sufficient condition for the existence of such solutions as well as some Gronwall-type estimates.     

Solving forward-backward stochastic differential equations explicitly — a four step scheme

Summary In this paper we investigate the nature of the adapted solutions to a class of forward-backward stochastic differential equations (SDEs for short) in which the forward equation is non-degenerate. We prove that in this case the adapted solution can always be sought in an ordinary sense over an arbitrarily prescribed time duration, via a direct Four Step Scheme. Using this scheme, we further prove that the backward components of the adapted solution are determined explicitly by the forward components via the solution of a certain quasilinear parabolic PDE system. Moreover the uniqueness of the adapted solutions (over an arbitrary time duration), as well as the continuous dependence of the solutions on the parameters, can all be proved within this unified framework. Some special cases are studied separately. In particular, we derive a new form of the integral representation of the Clark-Haussmann-Ocone type for functionals (or functions) of diffusions, in which the conditional expectation is no longer needed.Supported in part by U.S. NSF grant# DMS-9301516Supported in part by U.S. NSF grant # DMS-9103454Supported in part by NSF of China and Fok Ying Tung Education Foundation; part of this work was performed while visiting the IMA, University of Minnesota, Minneapolis, MN 55455     

Kelley-Morse+Types of well order is not a conservative extension of Kelley Morse

Summary Assuming the consistency ofZF + There is an inaccessible number of inaccessibles, we prove that Kelley Morse theory plus types is not a conservative extension of Kelley-Morse theory.This paper was partially supported by: Dirección de Investigación de la Pontificia Universidad Católica de Chile (DIUC); Fondo Nacional de Desarrollo Científico y Tecnológico (FONDECYT)     

An Erdős-Révész type law of the iterated logarithm for stationary Gaussian processes

Summary Let {X(t),t 0} be a stationary Gaussian process withEX(t)=0,EX ²(t)=1 and covariance function satisfying (i)r(t) = 1 2212;C |t | + o (|t|)ast0 for someC>0, 0<2; (ii)r(t)=0(t ^–2) as t for some >0 and (iii) sup_ts|r(t)|<1 for eachs>0. Put (t)= sup {s:0 s t,X(s) (2logs)^1/2}. The law of the iterated logarithm implies a.s. This paper gives the lower bound of (t) and obtains an Erds-Rèvèsz type LIL, i.e., a.s. if 0<<2 and . Applications to infinite series of independent Ornstein-Uhlenbeck processes and to fractional Wiener processes are also given.Research supported by the Fok Yingtung Education Foundation of China and by Charles Phelps Taft Postdoctoral Fellowship of the University of Cincinnati     

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     

Discrete wick calculus and stochastic functional equations

We develop Wick calculus over finite probability spaces and prove that there is a one-to-one correspondence between the solutions of Wick stochastic functional equations and the solutions of the deterministic functional equations obtained by turning off the noise. We also point out some possible applications to ordinary and partial stochastic differential equations.This research is supported by VISTA, a research cooperation between the Norwegian Academy of Science and Letters and Den Norske Stats Oljeselskap a.s. (STATOIL).     

Sequential estimation of the parameters of diffusion processes

For the parameter of a diffusion process(t), satisfying the stochastic differential equation d(t)=f (t,)dt+dw(l), we propose an effective sequential estimation plan with an unbiased and normally distributed estimate. The proposed sequential plan is discussed in detail for the example of a process (t) having a linear stochastic differential.Translated from Matematicheskie Zametki, Vol. 12, No. 5, pp. 627–638, November, 1972.In conclusion the author wishes to express his deep gratitude to A. N. Shiryaev for formulating the problem and for useful observations     

Large deviations for the invariant measure of a reaction-diffusion equation with non-Gaussian perturbations

Summary In this paper we establish a large deviations principle for the invariant measure of the non-Gaussian stochastic partial differential equation (SPDE) _t v =v +f(x,v )+(x,v ) . Here is a strongly-elliptic second-order operator with constant coefficients, h:=DH _xx-h, and the space variablex takes values on the unit circleS ¹. The functionsf and are of sufficient regularity to ensure existence and uniqueness of a solution of the stochastic PDE, and in particular we require that 0<mM wherem andM are some finite positive constants. The perturbationW is a Brownian sheet. It is well-known that under some simple assumptions, the solutionv ² is aC ^k (S ¹)-valued Markov process for each 0<1/2, whereC (S ¹) is the Banach space of real-valued continuous functions onS ¹ which are Hölder-continuous of exponent . We prove, under some further natural assumptions onf and which imply that the zero element ofC (S ¹) is a globally exponentially stable critical point of the unperturbed equation _t ⁰ = ⁰ +f(x,⁰), that has a unique stationary distributionv ^K, on (C (S ¹), (C ^K (S ¹))) when the perturbation parameter is small enough. Some further calculations show that as tends to zero,v ^K, tends tov ^K,0, the point mass centered on the zero element ofC (S ¹). The main goal of this paper is to show that in factv ^K, is governed by a large deviations principle (LDP). Our starting point in establishing the LDP forv ^K, is the LDP for the process , which has been shown in an earlier paper. Our methods of deriving the LDP forv ^K, based on the LDP for are slightly non-standard compared to the corresponding proofs for finite-dimensional stochastic differential equations, since the state spaceC (S ¹) is inherently infinite-dimensional.This work was performed while the author was with the Department of Mathematics, University of Maryland, College Park, MD 20742, USA     

A Kantorovich-type convergence analysis for the Gauss-Newton-Method

Summary We present a (semilocal) Kantorovich-type convergence analysis for the Gauss-Newton-Method which reduces to the wellknown Newton-Kantorovich-Theorem for the Newton-Method in a natural way. Additionnally a classification of the nonlinear regression problem into adequate and not-adequate models is obtained.     

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.     

Time reversal for infinite-dimensional diffusions

Summary In this paper we analize the reversibility of the diffusion property for the solution of certain infinite-dimensional systems of stochastic differential equations. Necessary and sufficient conditions ensuring this reversibility are given. The proofs use the techniques of the stochastic calculus of variations.This work was partly done when the first author was visiting the Centre de Recerca Matemàtica at Barcelona     

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 .     

Stochastic dilations of uniformly continuous completely positive semigroups

For an arbitrary uniformly continuous completely positive semigroup ( _t :t0) on the space of bounded operators on a Hilbert space, we construct a family (U(t)t0) of unitary operators on a Hilbert space and a conditional expectation from to, such that, for arbitraryt0,. The unitary operatorsU(t) satisfy a stochastic differential equation involving a noncommutative generalisation of infinite dimensional Brownian motion. They do not form a semigroup.Part of this work was completed when the first author was visiting research associate at the Center for Relativity, Physics Department, The University of Texas at Austin, Austin, TX 78712, U.S.A., supported in part by NSF PHY 81-01381.     

Counting Singular Matrices with Primitive Row Vectors

We solve an asymptotic problem in the geometry of numbers, where we count the number of singular n×n matrices where row vectors are primitive and of length at most T. Without the constraint of primitivity, the problem was solved by Y. Katznelson. We show that as T, the number is asymptotic to for n3. The 3-dimensional case is the most problematic and we need to invoke an equidistribution theorem due to W. M. Schmidt.