A note on the gradient of heat semigroup

A new representation for the gradient of heat semigroup on Riemannian manifold is given by using the integration by parts formula on Wiener space, which reflects in some sense the asymptotic property of Brownian motion.     

Divergence theorems in path space

We obtain divergence theorems on the solution space of an elliptic stochastic differential equation defined on a smooth compact finite-dimensional manifold M. The resulting divergences are expressed in terms of the Ricci curvature of M with respect to a natural metric on M induced by the stochastic differential equation. The proofs of the main theorems are based on the lifting method of Malliavin together with a fundamental idea of Driver.     

Hypercontractivity for log-subharmonic functions

We prove strong hypercontractivity (SHC) inequalities for logarithmically subharmonic functions on Rn and different classes of measures: Gaussian measures on Rn, symmetric Bernoulli and symmetric uniform probability measures on R, as well as their convolutions. Surprisingly, a slightly weaker strong hypercontractivity property holds for any symmetric measure on R. A log-Sobolev inequality (LSI) is deduced from the (SHC) for compactly supported measures on Rn, still for log-subharmonic functions. An analogous (LSI) is proved for Gaussian measures on Rn and for other measures for which we know the (SHC) holds. Our log-Sobolev inequality holds in the log-subharmonic category with a constant smaller than the one for Gaussian measure in the classical context.     

Free transportation cost inequalities via random matrix approximation

By means of random matrix approximation procedure, we re-prove Biane and Voiculescus free analog of Talagrands transportation cost inequality for measures on R in a more general setup. Furthermore, we prove the free transportation cost inequality for measures on T as well by extending the method to special unitary random matrices.Supported in part by Grant-in-Aid for Scientific Research (C)14540198 and by the program R&D support scheme for funding selected IT proposals of the Ministry of Public Management, Home Affairs, Posts and Telecommunications.Supported in part by MTA-JSPS project (Quantum Probability and Information Theory) and by OTKA T032662.Supported in part by Grant-in-Aid for Young Scientists (B)14740118.Mathematics Subject Classification (2000): Primary: 46L54, 46L53; Secondary: 60F10, 15A52, 94A17.     

Generalized Transportation-Cost Inequalities and Applications

For μ: = e ^V(x)dx a probability measure on a complete connected Riemannian manifold, we establish a correspondence between the Entropy-Information inequality and the transportation-cost inequality for μ(f ²) = 1, where Φ and Ψ are increasing functions. Moreover, under the curvature–dimension condition, a Sobolev type HWI (entropy-cost-information) inequality is established. As applications, explicit estimates are obtained for the Sobolev constant and the diameter of a compact manifold, which either extend or improve some corresponding known results. Supported in part by NNSFC(10721091) and the 973-project in China.     

分部积分与Taylor公式

利用定积分的分部积分法由简到繁的推导得到了微分学中的Taylor公式从而给出了Taylor公式的另一种证法,并利用这种方法还可得到复变函数或泛函分析中的Taylor公式及某些函数的渐进级数和更广泛的函数展开.     

On a Cameron–Martin Type Quasi-Invariance Theorem and Applications to Subordinate Brownian Motion

We present a Cameron–Martin type quasi-invariance theorem for subordinate Brownian motion. As applications, we establish an integration by parts formula and construct a gradient operator on the path space of subordinate Brownian motion, and obtain some canonical Dirichlet forms. These findings extend the corresponding classical results for Brownian motion.     

从高斯公式到格林公式和牛顿—莱布尼茨公式

本文讨论高等数学课程中,高斯公式、格林公式和牛顿-莱布尼兹公式之间的内在联系,指出格林公式和牛顿 莱布尼茨公式可以分别看作一维和二维欧氏空间中的高斯公式.实际上,n维欧氏空间中的高斯公式可以看作微积分基本定理在高维欧氏空间中的表述形式.利用高斯公式还可以导出定积分、二重积分和任意n重积分的分部积分公式.     

Integration by Parts Formulae for Wiener Measures on a Path Space between two Curves

This paper is concerned with the integration by parts formulae for the pinned or the standard Wiener measures restricted on a space of paths staying between two curves. The boundary measures, concentrated on the set of paths touching one of the curves once, are specified. Our approach is based on the polygonal approximations. In particular, to establish the convergence of boundary terms, a uniform estimate is derived by means of comparison argument for a sequence of random walks conditioned to stay between two polygons. Applying the Brascamp–Lieb inequality, the stochastic integrals of Wiener type are constructed relative to the three-dimensional Bessel bridge or the Brownian meander. Supported in part by the JSPS Grant (B)(1)14340029     

某些积分的方程(组)解法

通过变量替换或分部积分可建立关于某些积分的方程,通过引入辅助积分可建立关于某些积分的方程组,解这些方程或方程组可得所求积分.     

On the Integration by Parts and Characterization of a Fractional Diffusion Process北大核心CSCD

本文研究分数扩散过程和其分部积分公式的关系.首先利用Bismut方法给出拉回公式,进而得到分数扩散过程的分部积分公式。反过来,证明了分数扩散过程可由其分部积分公式唯一刻画.     

直线上函数的Banach空间的Poincaré型不等式的变分公式

基于研究对数Sobolev,Nash和其它泛函不等式的需要,将Poincare不等式 的变分公式拓广到一大类直线上函数的Banach(Orlicz)空间.给出了这些不等式成立 与否的显式判准和显式估计. 作为典型应用,仔细考察了对数Sobolev常数.     

An integration by parts formula in a Markovian regime switching model and application to sensitivity analysis

We establish an integration by parts formula for the random functionals of a continuous-time Markov chain, based on partial differentiation with respect to jump times. In comparison with existing methods, our approach does not rely on the Girsanov theorem and it imposes less restrictions on the choice of directions of differentiation, while assuming additional continuity conditions on the considered functionals. As an application we compute sensitivities (Greeks) using stochastic weights in an asset price model with Markovian regime switching.     

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.     

Quasi-invariance and integration by parts for determinantal and permanental processes

Determinantal and permanental processes are point processes with a correlation function given by a determinant or a permanent. Their atoms exhibit mutual attraction of repulsion, thus these processes are very far from the uncorrelated situation encountered in Poisson models. We establish a quasi-invariance result: we show that if atom locations are perturbed along a vector field, the resulting process is still a determinantal (respectively permanental) process, the law of which is absolutely continuous with respect to the original distribution. Based on this formula, following Bismut approach of Malliavin calculus, we then give an integration by parts formula.     

分数布朗桥测度及其分部积分公式

In this paper, we focus on the characterization for fractional Brownian bridge measures. We give the integration by parts formula for such measures by Bismut''s method and their pull back formula. Conversely, we prove that such measures can be determined through their integration by parts formula.