Small-time sharp bounds for kernels of convolution semigroups

We study small-time bounds for transition densities of convolution semigroups corresponding to pure jump Lévy processes in R ^d , d ≥ 1, including the processes with jump measures which are exponentially and subexponentially localized at ∞. For a large class of Lévy measures, not necessarily symmetric or absolutely continuous with respect to Lebesgue measure, we find the optimal upper bound in both time and space for the corresponding heat kernels at ∞. In case of Lévy measures that are symmetric and absolutely continuous with densities g such that g(x) ? f(|x|) for non-increasing profile functions f, we also prove the full characterization of the sharp two-sided transition densities bounds of the form

$${p_t}\left( x \right) \asymp h{\left( t \right)^{ - d}} \cdot {1_{\left\{ {\left| x \right| \leqslant \theta h\left( t \right)} \right\}}} + tg\left( x \right) \cdot {1_{\left\{ {\left| x \right| \geqslant \theta h\left( t \right)} \right\}}},t \in \left( {0,{t_0}} \right),{t_0} > 0,x \in {\mathbb{R}^d}.$$

This is done for small and large x separately. Mainly, our argument is based on new precise upper bounds for convolutions of Lévy measures. Our investigations lead to a surprising dichotomy correspondence of the decay properties at ∞ for transition densities of pure jump Lévy processes. All results are obtained solely by analytic methods, without use of probabilistic arguments.

     

Potential kernels,probabilities of hitting a ball,harmonic functions and the boundary Harnack inequality for unimodal Lévy processes

In the first part of this article, we prove two-sided estimates of hitting probabilities of balls, the potential kernel and the Green function for a ball for general isotropic unimodal Lévy processes. We also prove a supremum estimate and a regularity result for functions harmonic with respect to a general isotropic unimodal Lévy process.In the second part we apply the recent results on the boundary Harnack inequality and Martin representation of harmonic functions for the class of isotropic unimodal Lévy processes. As a sample application, we provide sharp two-sided estimates of the Green function of a half-space.     

Harnack Inequality and Hölder Regularity Estimates for a Lévy Process with Small Jumps of High Intensity

We consider a Lévy process in ? ^d (d≥3) with the characteristic exponent $$\varPhi(\xi)=\frac{|\xi|^2}{\ln(1+|\xi|^2)}-1.$$ The scale invariant Harnack inequality and a priori estimates of harmonic functions in Hölder spaces are proved.     

Multipliers of spherical harmonics and energy of measures on the sphere

We consider the operator,f(Δ) for Δ the Laplacian, on spaces of measures on the sphere inR ^d , show how to determine a family of approximating kernels for this operator assuming that certain technical conditions are satisfied, and give estimates for theL²-norm off(Δ)μ in terms of the energy of the measure μ. We derive a formula, analogous to the classical formula relating the energy of a measure onR ^d with its Fourier transform, comparing the energy of a measure on the sphere with the size of its spherical harmonics. An application is given to pluriharmonic measures.     

Partial regularity for optimal transport maps

We prove that, for general cost functions on R ⁿ , or for the cost d ²/2 on a Riemannian manifold, optimal transport maps between smooth densities are always smooth outside a closed singular set of measure zero.     

Phragmén-Lindelöf Theorems and p-harmonic Measures for Sets Near Low-dimensional Hyperplanes

We prove estimates of a p-harmonic measure, p∈(n?m,∞], for sets in Rⁿ which are close to an m-dimensional hyperplane Λ?Rⁿ, m∈[0,n?1]. Using these estimates, we derive results of Phragmén-Lindelöf type in unbounded domains Ω?Rⁿ?Λ for p-subharmonic functions. Moreover, we give local and global growth estimates for p-harmonic functions, vanishing on sets in Rⁿ, which are close to an m-dimensional hyperplane.     

Dynkin’s Isomorphism Theorem and the Stochastic Heat Equation

Consider the stochastic heat equation \(\partial_t u = \mathcal{L} u + \dot{W}\), where \(\mathcal{L}\) is the generator of a [Borel right] Markov process in duality. We show that the solution is locally mutually absolutely continuous with respect to a smooth perturbation of the Gaussian process that is associated, via Dynkin’s isomorphism theorem, to the local times of the replica-symmetric process that corresponds to \(\mathcal{L}\). In the case that \(\mathcal{L}\) is the generator of a Lévy process on R ^d , our result gives a probabilistic explanation of the recent findings of Foondun et al. (Trans Am Math Soc, 2007).     

Symmetric rearrangements around infinity with applications to Lévy processes

We prove a new rearrangement inequality for multiple integrals, which partly generalizes a result of Friedberg and Luttinger (Arch Ration Mech 61:35–44, 1976) and can be interpreted as involving symmetric rearrangements of domains around $\infty $ . As applications, we prove two comparison results for general Lévy processes and their symmetric rearrangements. The first application concerns the survival probability of a point particle in a Poisson field of moving traps following independent Lévy motions. We show that the survival probability can only increase if the point particle does not move, and the traps and the Lévy motions are symmetrically rearranged. This essentially generalizes an isoperimetric inequality of Peres and Sousi (Geom Funct Anal 22(4):1000–1014, 2012) for the Wiener sausage. In the second application, we show that the $q$ -capacity of a Borel measurable set for a Lévy process can only decrease if the set and the Lévy process are symmetrically rearranged. This result generalizes an inequality obtained by Watanabe (Z Wahrsch Verw Gebiete 63:487–499, 1983) for symmetric Lévy processes.     

On Subordinated Multivariate Gaussian Lévy Processes

We discuss criteria for the selfdecomposability of multivariate Lévy processes. We consider in detail Thorin subordinated multivariate Gaussian Lévy processes. Partially on the basis of the author’s recent results (MII preprint No. 2004-33, 2004), in this paper, we consider the properties of the Pólya subordinated multivariate Gaussian Lévy processes. We define, as a special class, the multivariate generalized z-processes. The one-dimensional case was investigated in (Grigelionis, B.: Liet. Mat. Rink. 41(3), 303–309, 2001).     

A calculus of Fourier integral operators with inhomogeneous phase functions on R<Superscript> <Emphasis Type="Italic">d</Emphasis> </Superscript>

We construct a calculus for generalized SG Fourier integral operators, extending known results to a broader class of symbols of SG type. In particular, we do not require that the phase functions are homogeneous. An essential ingredient in the proofs is a general criterion for asymptotic expansions within the Weyl-Hörmander calculus. We also prove the L²(R^d)-boundedness of the generalized SG Fourier integral operators having regular phase functions and amplitudes uniformly bounded on R^2d.     

A Class of Singular Symmetric Markov Processes

We consider a class of pure jump Markov processes in ${\mathbb R}^d$ whose jump kernels are comparable to that of a certain d-dimensional Lévy process. Upper and lower bounds for the transition densities of these processes are obtained. We show that bounded harmonic functions associated with these processes are Hölder continuous.     

Boundary Behavior of α-Harmonic Functions on the Complement of the Sphere and Hyperplane

We study α-harmonic functions on the complement of the sphere and on the complement of the hyperplane in Euclidean spaces of dimension bigger than one, for α?∈?(1,2). We describe the corresponding Hardy spaces and prove the Fatou theorem for α-harmonic functions. We also give explicit formulas for the Martin kernel of the complement of the sphere and for the harmonic measure, Green function and Martin kernel of the complement of the hyperplane for the symmetric α-stable Lévy processes. Some extensions for the relativistic α-stable processes are discussed.     

Stochastic Comparison for Lévy-Type Processes

The main goal of this paper is to establish necessary and sufficient conditions for stochastic comparison of two general Lévy-type processes on ? ^d . By refining the test functions in Wang (Acta Math. Sin. Engl. Ser. 25:741–758, 2009), mainly the test functions of diffusion coefficients, we get the necessary conditions. The sufficiency of the conditions is obtained by constructing a new sequence of finite Lévy measures {ν ⁿ } _n≥1 different from the one in Wang (Acta Math. Sin. Engl. Ser. 25:741–758, 2009) to approach the Lévy measure ν.     

Simulation of Student–Lévy processes using series representations

Lévy processes have become very popular in many applications in finance, physics and beyond. The Student–Lévy process is one interesting special case where increments are heavy-tailed and, for 1-increments, Student t distributed. Although theoretically available, there is a lack of path simulation techniques in the literature due to its complicated form. In this paper we address this issue using series representations with the inverse Lévy measure method and the rejection method and prove upper bounds for the mean squared approximation error. In the numerical section we discuss a numerical inversion scheme to find the inverse Lévy measure efficiently. We extend the existing numerical inverse Lévy measure method to incorporate explosive Lévy tail measures. Monte Carlo studies verify the error bounds and the effectiveness of the simulation routine. As a side result we obtain series representations of the so called inverse gamma subordinator which are used to generate paths in this model.     

Bounds for the number of points on curves over finite fields

Let U be a bounded open subset of ?^d, d ≥ 2 and f ∈ C(?U). The Dirichlet solution f^CU of the Dirichlet problem associated with the Laplace equation with a boundary condition f is not continuous on the closure ū of U in general if U is not regular but it is always Baire-one.Let H(U) be the space of all functions continuous on the closure ū and harmonic on U and F(H(U)) be the space of uniformly bounded absolutely convergent series of functions in H(U). We prove that f^CU can be obtained as a uniform limit of a sequence of functions in F(H(U)). Thus f^CU belongs to the subclass B_1/2 of Baire-one functions studied for example in [8]. This is not only an improvement of the result obtained in [10] but it also shows that the Dirichlet solution on the closure ū can share better properties than to be only a Baire-one function. Moreover, our proof is more elementary than that in [10].A generalization to the abstract context of simplicial function space on a metrizable compact space is provided.We conclude the paper with a brief discussion on the solvability of the abstract Dirichlet problem with a boundary condition belonging to the space of differences of bounded semicontinuous functions complementing the results obtained in [17].     

The First Passage Time Problem Over a Moving Boundary for Asymptotically Stable Lévy Processes

We study the asymptotic tail behaviour of the first passage time over a moving boundary for asymptotically \(\alpha \)-stable Lévy processes with \(\alpha <1\). Our main result states that if the left tail of the Lévy measure is regularly varying with index \(- \alpha \), and the moving boundary is equal to \(1 - t^{\gamma }\) for some \(\gamma <1/\alpha \), then the probability that the process stays below the moving boundary has the same asymptotic polynomial order as in the case of a constant boundary. The same is true for the increasing boundary \(1 + t^{\gamma }\) with \(\gamma <1/\alpha \) under the assumption of a regularly varying right tail with index \(-\alpha \).     

Congruence by Dissection of Topological Discs—An Elementary Approach to Tarski's Circle Squaring Problem

Let G be a group of affine transformations of the plane R ² and let the family F consist of all topological discs in R ² whose boundary is subject to some smoothness condition (general, rectifiable, piecewise C ¹ , piecewise C ² ). Are any two members D,E ∈ F congruent by dissection with respect to G such that all the pieces in the corresponding dissections of D and E belong to F as well? We give an affirmative answer if G contains all affine transformations and F consists of the discs whose boundary is piecewise C ¹ . An example shows that C ¹ cannot be replaced by C ² . Moreover, if G is either the group of equiaffine transformations or the group of similarities, then congruence by dissection of two convex discs D and E turns out to be essentially equivalent to congruence by dissection of the boundaries bd(D ) and bd(E ).     

Martin–Löf random generalized Poisson processes

Martin–Löf randomness was originally defined and studied in the context of the Cantor space $2^{\omega }$. In [2] probability theoretic random closed sets (RACS) are used as the foundation for the study of Martin–Löf randomness in spaces of closed sets. We use that framework to explore Martin–Löf randomness for the space of closed subsets of $\mathbb{R}$ and a particular family of measures on this space, the generalized Poisson processes. This gives a novel class of Martin–Löf random closed subsets of $\mathbb{R}$. We describe some of the properties of these Martin–Löf random closed sets; one result establishes that a real number is Martin–Löf random if and only if it is contained in some Martin–Löf random closed set.     

Potential theory of truncated stable processes

For any , a truncated symmetric α-stable process is a symmetric Lévy process in with a Lévy density given by for some constant c. In this paper we study the potential theory of truncated symmetric stable processes in detail. We prove a Harnack inequality for nonnegative harmonic functions of these processes. We also establish a boundary Harnack principle for nonnegative functions which are harmonic with respect to these processes in bounded convex domains. We give an example of a non-convex domain for which the boundary Harnack principle fails. The research of Panki Kim is supported by Research Settlement Fund for the new faculty of Seoul National University. The research of Renming Song is supported in part by a joint US-Croatia grant INT 0302167.     

Green Function Estimates and Harnack Inequality for Subordinate Brownian Motions

Let X be a Lévy process in, , obtained by subordinating Brownian motion with a subordinator with a positive drift. Such a process has the same law as the sum of an independent Brownian motion and a Lévy process with no continuous component. We study the asymptotic behavior of the Green function of X near zero. Under the assumption that the Laplace exponent of the subordinator is a complete Bernstein function we also describe the asymptotic behavior of the Green function at infinity. With an additional assumption on the Lévy measure of the subordinator we prove that the Harnack inequality is valid for the nonnegative harmonic functions of X.