Stochastic analysis, rough path analysis and fractional Brownian motions

 In this paper we show, by using dyadic approximations, the existence of a geometric rough path associated with a fractional Brownian motion with Hurst parameter greater than 1/4. Using the integral representation of fractional Brownian motions, we furthermore obtain a Skohorod integral representation of the geometric rough path we constructed. By the results in [Ly1], a stochastic integration theory may be established for fractional Brownian motions, and strong solutions and a Wong-Zakai type limit theorem for stochastic differential equations driven by fractional Brownian motions can be deduced accordingly. The method can actually be applied to a larger class of Gaussian processes with covariance functions satisfying a simple decay condition. Received: 11 May 2000 / Revised version: 20 March 2001 / Published online: 11 December 2001     

Finite dimensional approximation of Riemannian path space geometry

In this paper, we construct a finite dimensional approximation for the geometry on the path space over a compact Riemannian manifold. This approximation allows to construct the horizontal lift of the Ornstein-Uhlenbeck process on the path space through the Markovian connection. We also prove a representation formula for the heat semigroup on (adapted) vector fields as well as a commutation formula for its derivative.     

A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering

Fourier normal ordering (Unterberger, 2009) [34] is a new algorithm to construct explicit rough paths over arbitrary Hölder-continuous multidimensional paths. We apply in this article the Fourier normal ordering algorithm to the construction of an explicit rough path over multi-dimensional fractional Brownian motion B$B$ with arbitrary Hurst index α$\alpha$ (in particular, for α≤1/4$\alpha \le 1/4$, which was till now an open problem) by regularizing the iterated integrals of the analytic approximation of B$B$ defined in Unterberger (2009) [32]. The regularization procedure is applied to ‘Fourier normal ordered’ iterated integrals obtained by permuting the order of integration so that innermost integrals have highest Fourier modes. The algebraic properties of this rough path are best understood using two Hopf algebras: the Hopf algebra of decorated rooted trees (Connes and Kreimer, 1998) [6] for the multiplicative or Chen property, and the shuffle algebra for the geometric or shuffle property. The rough path lives in Gaussian chaos of integer orders and is shown to have finite moments.     

A decomposition of the Brownian path

The Brownian path {ω(s); 0 ⩽ s ⩽ t} is dissected and then reassembled in such a way that

• (i) the last visit γ_t at the origin, as well as the fragment {ω(s); γ_t ⩽ s ⩽ t}, are left invariant;
• (ii) on [0, γ_t], local time becomes maximum-to-date and occupation time of|R₊ becomes location of maximum; and
• (iii) the resulting process is again Brownian.

Characterizations of conditional processes are employed to establish the result. Several consequences of the latter are discussed.     

Brownian motion in infinite dimensional manifolds

We discuss the extension to infinite dimensional Riemannian—Wiener manifolds of the transport approximation to Brownian motion, which was formulated by M. Pinsky for finite dimensional manifolds. A global representation is given for the Laplace—Beltrami operator in terms of the Riemannian spray and a homogenizing operator based upon the central hitting measure of the surface of the unit ball with respect to the Brownian motion on the model space.Research supported by NSF grant MCS8202319.     

Three dimensional distribution of Brownian motion extrema

This paper describes the joint distributions of minima, maxima and endpoint values for a three dimensional (3D) Wiener process. In particular, the results provide the joint cumulative distributions for the maxima and/or minima of the components of the process. The method of images is used to derive explicit expressions for the densities; the analysis can only be carried out for special correlation structures and requires a detailed study of partitions of the sphere by means of spherical triangles. The joint densities obtained can be used in several applied fields such as financial mathematics to obtain analytical expressions for prices of options for the 3D geometric Brownian motion process.     

Almost-sure path properties of fractional Brownian sheet

The almost sure sample function behavior of the vector-valued fractional Brownian sheet is investigated. In particular, the global and the local moduli of continuity of the sample functions are studied. These results give precise information about the continuity and the oscillation behavior of the sample functions.     

Brownian motions on infinite dimensional quadric hypersurfaces

Summary A potential theory on an infinite dimensional quadric hypersurfaceS is developed following Lévy's limiting procedure. For a given real sequence { _n } _n=1 a quadratic fromh(x) on an infinite dimensional real sequence spaceE is defined by and a quadric hypersurfaceS is defined byS:={xE;h(x)=c}, and the Laplacian onS is introduced by the limiting procedure. Instead of a direct use of , the Brownian motion(t)=( ₁(t)), ₂(t),...), the diffusion process ((t),P ^x ) onS with the generator is constructed by solving a system of stochastic differential equations according to . The law of large numbers forX _n (t:=( _n , _n (t)) is proved, and ergodic properties are discussed.     

How characteristic are characteristic functions?

Every game form and effectivity function (EF) generates a family of characteristic functions (CFs) via feasible utility function profiles. We investigate the extent this family characterizes the underlying structure in which agents interact. The strategic structure CFs characterize is found to be limited to that which is implicit in the representative EF. If the dependency between CF and utility function profile is observable and coalitions pursue only pure strategies, then EFs are fully characterizable by their CF progeny. When mixed strategies are viable, CFs are only sufficient for the “effective surface” of an EF. A number of important EF properties are CF characterizable even when dependency between CF and utility function profile is unobservable. Even so, radically different EFs may have the same CF lineage.     

Finite dimensional approximation in infinite dimensional mathematical programming

We consider the problem of approximating an optimal solution to a separable, doubly infinite mathematical program (P) with lower staircase structure by solutions to the programs (P(N)) obtained by truncating after the firstN variables andN constraints of (P). Viewing the surplus vector variable associated with theNth constraint as a state, and assuming that all feasible states are eventually reachable from any feasible state, we show that the efficient set of all solutions optimal to all possible feasible surplus states for (P(N)) converges to the set of optimal solutions to (P). A tie-breaking algorithm which selects a nearest-point efficient solution for (P(N)) is shown (for convex programs) to converge to an optimal solution to (P). A stopping rule is provided for discovering a value ofN sufficiently large to guarantee any prespecified level of accuracy. The theory is illustrated by an application to production planning.The work of Robert L. Smith was partially supported by the National Science Foundation under Grant ECS-8700836.     

Harmonic functions of subordinate killed Brownian motion

In this paper we study harmonic functions of subordinate killed Brownian motion in a domain D. We first prove that, when the killed Brownian semigroup in D is intrinsic ultracontractive, all nonnegative harmonic functions of the subordinate killed Brownian motion in D are continuous and then we establish a Harnack inequality for these harmonic functions. We then show that, when D is a bounded Lipschitz domain, both the Martin boundary and the minimal Martin boundary of the subordinate killed Brownian motion in D coincide with the Euclidean boundary ∂D. We also show that, when D is a bounded Lipschitz domain, a boundary Harnack principle holds for positive harmonic functions of the subordinate killed Brownian motion in D.     

Polar functions of multiparameter bifractional Brownian sheets

Let B^H,K ： （B^H,K（t）, t ∈R＋^N} be an （N,d）-bifractional Brownian sheet with Hurst indices H = （H1,..., HN） ∈ （0, 1）^N and K = （K1,..., KN）∈ （0, 1]^N. The characteristics of the polar functions for B^H,K are investigated. The relationship between the class of continuous functions satisfying the Lipschitz condition and the class of polar-functions of B^H,K is presented. The Hausdorff dimension of the fixed points and an inequality concerning the Kolmogorov＇s entropy index for B^H,K are obtained. A question proposed by LeGall about the existence of no-polar, continuous functions statisfying the Holder condition is also solved.     

Curiosities of characteristic functions

We discuss certain types of characteristic functions with surprising and interesting properties, settle two problems of Ushakov, relate to an observation by Ramachandran, and pose new questions.     

Finite dimensional injective operator spaces

We show that finite dimensional injective operator spaces are corners of finite dimensional -algebras .