Generalized bochner theorems and the spectrum of complete manifolds

Bochner's theorem that a compact Riemannian manifold with positive Ricci curvature has vanishing first cohomology group has various extensions to complete noncompact manifolds with Ricci possibly negative. One still has a vanishing theorem for L ² harmonic one-forms if the infimum of the spectrum of the Laplacian on functions is greater than minus the infimum of the Ricci curvature. This result and its analogues for p-forms yield vanishing results for certain infinite volume hyperbolic manifolds. This spectral condition also imposes topological restrictions on the ends of the manifold. More refined results are obtained by taking a certain Brownian motion average of the Ricci curvature; if this average is positive, one has a vanishing theorem for the first cohomology group with compact supports on the universal cover of a compact manifold. There are corresponding results for L ² harmonic spinors on spin manifolds.     

Properties at infinity of diffusion semigroups and stochastic flows via weak uniform covers

A unified treatment is given of some results of H. Donnelly, P. Li and L. Schwartz concerning the behaviour of heat semigroups on open manifolds with given compactifications, on one hand, and the relationship with the behaviour at infinity of solutions of related stochastic differential equations on the other. A principal tool is the use of certain covers of the manifold: which also gives a non-explosion test. As a corollary we obtain known results about the behaviour of Brownian motions on a complete Riemannian manifold with Ricci curvature decaying at most quadratically in the distance function.     

Chernoff approximations of Feller semigroups in Riemannian manifolds

Chernoff approximations of Feller semigroups and the associated diffusion processes in Riemannian manifolds are studied. The manifolds are assumed to be of bounded geometry, thus including all compact manifolds and also a wide range of non-compact manifolds. Sufficient conditions are established for a class of second order elliptic operators to generate a Feller semigroup on a (generally non-compact) manifold of bounded geometry. A construction of Chernoff approximations is presented for these Feller semigroups in terms of shift operators. This provides approximations of solutions to initial value problems for parabolic equations with variable coefficients on the manifold. It also yields weak convergence of a sequence of random walks on the manifolds to the diffusion processes associated with the elliptic generator. For parallelizable manifolds this result is applied in particular to the representation of Brownian motion on the manifolds as limits of the corresponding random walks.     

Mean distance of Brownian motion on a Riemannian manifold

Consider the mean distance of Brownian motion on Riemannian manifolds. We obtain the first three terms of the asymptotic expansion of the mean distance by means of stochastic differential equation for Brownian motion on Riemannian manifold. This method proves to be much simpler for further expansion than the methods developed by Liao and Zheng (Ann. Probab. 23(1) (1995) 173). Our expansion gives the same characterizations as the mean exit time from a small geodesic ball with regard to Euclidean space and the rank 1 symmetric spaces.     

Exit probability estimates for martingales in geodesic balls,using curvature

Summary Kallenberg and Sztencel have recently discovered exponential upper bounds, independent of dimension, on the probability that a vector martingale will exit from a ball in Euclidean space by timet. This article extends their results to martingales on Riemannian manifolds, including Brownian motion, and shows how exit probabilities depend on curvature. Using comparison with rotationally symmetric manifolds, these estimates are easily computable, and are sharp up to a constant factor in certain cases.     

Laplace approximation of transition densities posed as Brownian expectations

We construct the Laplace approximation of the Lebesgue density for a discrete partial observation of a multi-dimensional stochastic differential equation. This approximation may be computed integrating systems of ordinary differential equations. The construction of the Laplace approximation begins with the definition of the point of minimum energy. We show how such a point can be defined in the Cameron–Martin space as a maximum a posteriori estimate of the underlying Brownian motion given the observation of a finite-dimensional functional. The definition of the MAP estimator is possible via a renormalization of the densities of piecewise linear approximations of the Brownian motion. Using the renormalized Brownian density the Laplace approximation of the integral over all Brownian paths can be defined. The developed theory provides a method for performing approximate maximum likelihood estimation.     

An excursion approach to maxima of the Brownian bridge

Distributions of functionals of Brownian bridge arise as limiting distributions in non-parametric statistics. In this paper we will give a derivation of distributions of extrema of the Brownian bridge based on excursion theory for Brownian motion. The idea of rescaling and conditioning on the local time has been used widely in the literature. In this paper it is used to give a unified derivation of a number of known distributions, and a few new ones. Particular cases of calculations include the distribution of the Kolmogorov–Smirnov statistic and the Kuiper statistic.     

Skew-product decompositions of Brownian motions on manifolds: A probabilistic aspect of the Lichnerowicz-Szabo theorem

We show that the only compact simply connected manifolds for which the radial part of Brownian motion enjoys the Markov property are compact two points homogeneous spaces, i.e. rank one symmetric spaces.     

Cylindrical fractional Brownian motion in Banach spaces

In this article we introduce cylindrical fractional Brownian motions in Banach spaces and develop the related stochastic integration theory. Here a cylindrical fractional Brownian motion is understood in the classical framework of cylindrical random variables and cylindrical measures. The developed stochastic integral for deterministic operator valued integrands is based on a series representation of the cylindrical fractional Brownian motion, which is analogous to the Karhunen–Loève expansion for genuine stochastic processes. In the last part we apply our results to study the abstract stochastic Cauchy problem in a Banach space driven by cylindrical fractional Brownian motion.     

Functional Integrals for the Schrodinger Equation on Compact Riemannian Manifolds

In this paper, we represent the solution of the Cauchy problem for the Schrodinger equation on compact Riemannian manifolds in terms of functional integrals with respect to the Wiener measure corresponding to the Brownian motion in a manifold and with respect to the Smolyanov surface measures constructed from the Wiener measure on trajectories in the underlying space. The representation of the solution is obtained for the case of analytic (on some sets) potential and analytic initial condition under certain assumptions on the geometric characteristics of the manifold. In the proof, we use a method due to Doss and the representations via functional integrals of the solution to the Cauchy problem for the heat equation in a compact Riemannian manifold.     

Quadratic functionals of Brownian motion

Functionals of Brownian motion can be dealt with by realizing them as functionals of white noise. Specifically, for quadratic functionals of Brownian motion, such a realization is a powerful tool to investigate them. There is a one-to-one correspondence between a quadratic functional of white noise and a symmetric L²(R²)-function which is considered as an integral kernel. By using well-known results on the integral operator we can study probabilistic properties of quadratic or certain exponential functionals of white noise. Two examples will illustrate their significance.     

Harmonic functions on Walsh’s Brownian motion

We examine a variation of two-dimensional Brownian motion introduced by Walsh that can be described as Brownian motion on the spokes of a (rimless) bicycle wheel. We construct the process by randomly assigning angles to excursions of reflecting Brownian motion. Hence, Walsh’s Brownian motion behaves like one-dimensional Brownian motion away from the origin, but differently at the origin as it is immediately sent off in random directions. Given the similarity, we characterize harmonic functions as linear functions on the rays satisfying a slope-averaging property. We also classify superharmonic functions as concave functions on the rays satisfying extra conditions.     

Existence of non-trivial harmonic functions on Cartan–Hadamard manifolds of unbounded curvature

The Liouville property of a complete Riemannian manifold M (i.e., the question whether there exist non-trivial bounded harmonic functions on M) attracted a lot of attention. For Cartan–Hadamard manifolds the role of lower curvature bounds is still an open problem. We discuss examples of Cartan–Hadamard manifolds of unbounded curvature where the limiting angle of Brownian motion degenerates to a single point on the sphere at infinity, but where nevertheless the space of bounded harmonic functions is as rich as in the non-degenerate case. To see the full boundary the point at infinity has to be blown up in a non-trivial way. Such examples indicate that the situation concerning the famous conjecture of Greene and Wu about existence of non-trivial bounded harmonic functions on Cartan–Hadamard manifolds is much more complicated than one might have expected.      

Local time–space stochastic calculus for Lévy processes

We develop a stochastic calculus on the plane with respect to the local times of a large class of Lévy processes. We can then extend to these Lévy processes an Itô formula that was established previously for Brownian motion. Our method provides also a multidimensional version of the formula. We show that this formula generates many “Itô formulas” that fit various problems. In the special case of a linear Brownian motion, we recover a recently established Itô formula that involves local times on curves. This formula is already used in financial mathematics.     

Weak convergence of laws of stochastic processes on Riemannian manifolds

Weak convergence of the laws of discrete time re-metrized stochastic processes derived from Brownian motions on compact Riemannian manifolds with heat kernels uniformly bounded by a constant on each compact set of the time parameter and bounded volumes to a stochastic process is given. With a weak condition, we also give weak convergence of those of Brownian motions themselves on manifolds in the same class. Several examples are given, which cover the cases when the manifolds collapse, the cases when the original Brownian motions converge to a non-local Markov process, and the cases when the Gromov-Hausdorff limit and the spectral limit by Kasue and Kumura are different. Received: 22 February 2000?Published online: 9 March 2001     

Stochastic systems in Riemannian manifolds

A formulation of stochastic systems in a Riemannian manifold is given by stochastic differential equations in the tangent bundle of the manifold. Brownian motion is constructed in a compact Riemannian manifold as well as the horizontal lift of this process to the bundle of orthonormal frames. The solution of some stochastic differential equations in the tangent bundle of the manifold is defined by the transformation of the measure for the manifold-valued Brownian motion by a suitable Radon-Nikodym derivative. Real-valued stochastic integrals are defined for this Brownian motion using parallelism along the Brownian paths. A stochastic control problem is formulated and solved for these stochastic systems where a suitable convexity condition is assumed.This research was supported by NSF Grants Nos. GK-32136, ENG-75-06562, and MCS-76-01695.The author wishes to thank D. Gromoll, J. Simons, and J. Thorpe for some helpful conversations on differential geometry.     

On fractional tempered stable motion

Fractional tempered stable motion (fTSm) is defined and studied. FTSm has the same covariance structure as fractional Brownian motion, while having tails heavier than Gaussian ones but lighter than (non-Gaussian) stable ones. Moreover, in short time it is close to fractional stable Lévy motion, while it is approximately fractional Brownian motion in long time. A series representation of fTSm is derived and used for simulation and to study some of its sample paths properties.     

Self-similarity of Brownian motion and a large deviation principle for random fields on a binary tree

Summary Using self-similarity of Brownian motion and its representation as a product measure on a binary tree, we construct a random sequence of probability measures which converges to the distribution of the Brownian bridge. We establish a large deviation principle for random fields on a binary tree. This leads to a class of probability measures with a certain self-similarity property. The same construction can be carried out forC[0, 1]-valued processes and we can describe, for instance, aC[0, 1]-valued Ornstein-Uhlenbeck process as a large deviation of Brownian sheet.     

Unstable invariant manifolds for stochastic PDEs driven by a fractional Brownian motion

In this paper, we consider a class of stochastic partial differential equations (SPDEs) driven by a fractional Brownian motion (fBm) with the Hurst parameter bigger than 1/2. The existence of local random unstable manifolds is shown if the linear parts of these SPDEs are hyperbolic. For this purpose we introduce a modified Lyapunov-Perron transform, which contains stochastic integrals. By the singularities inside these integrals we obtain a special Lyapunov-Perron's approach by treating a segment of the solution over time interval [0,1] as a starting point and setting up an infinite series equation involving these segments as time evolves. Using this approach, we establish the existence of local random unstable manifolds in a tempered neighborhood of an equilibrium.     

On the most visited sites by a symmetric stable process

Summary. At time t, the most visited site of a linear Brownian motion is defined as the point which realises the supremum of the local times at time t. Let V be the time indexed process of the most visited sites by a linear Brownian motion. We show that every value is polar for V. Those results are extended from Brownian motion to symmetric stable processes, and then to the absolute value of a symmetric stable process. Received: 1 March 1996 / In revised form: 17 October 1996