The Laws of Large Numbers Associated with the Linear Self-attracting Diffusion Driven by Fractional Brownian Motion and Applications

Journal of Theoretical Probability - Let $$B^H$$ be a fractional Brownian motion with Hurst index $$\frac{1}{2}\le H<1$$ . In this paper, we consider the linear self-attracting diffusion...     

Intersection Local Time for Two Independent Fractional Brownian Motions

Let B ^H and be two independent, d-dimensional fractional Brownian motions with Hurst parameter H∈(0,1). Assume d≥2. We prove that the intersection local time of B ^H and

A nonuniform L2 formula of Caputo derivative and its application to a fractional Benjamin–Bona–Mahony-type equation with nonsmooth solutions

To recover the full accuracy of discretized fractional derivatives, nonuniform mesh technique is a natural and simple approach to efficiently resolve the initial singularities that always appear in the solutions of time-fractional linear and nonlinear differential equations. We first construct a nonuniform L2 approximation for the fractional Caputo's derivative of order 1 < α < 2 and present a global consistency analysis under some reasonable regularity assumptions. The temporal nonuniform L2 formula is then utilized to develop a linearized difference scheme for a time-fractional Benjamin–Bona–Mahony-type equation. The unconditional convergence of our scheme on both uniform and nonuniform (graded) time meshes are proven with respect to the discrete H¹-norm. Numerical examples are provided to justify the accuracy.     

Fractional Brownian Density Process and Its Self-Intersection Local Time of Order k

The fractional Brownian density process is a continuous centered Gaussian ( ^d )-valued process which arises as a high-density fluctuation limit of a Poisson system of independent d-dimensional fractional Brownian motions with Hurst parameter H. ( ( ^d ) is the space of tempered distributions). The main result proved in the paper is that if the intensity measure of the (initial) Poisson random measure on ^d is either the Lebesgue measure or a finite measure, then the density process has self-intersection local time of order k 2 if and only if Hd < k/(k – 1). The latter is also the necessary and sufficient condition for existence of multiple points of order k for d-dimensional fractional Brownian motion, as proved by Talagrand¹². This result extends to a non-Markovian case the relationship known for (Markovian) symmetric -stable Lévy processes and their corresponding density processes. New methods are used in order to overcome the lack of Markov property. Other properties of the fractional Brownian density process are also given, in particular the non-semimartingale property in the case H 1/2, which is obtained by a general criterion for the non-semimartingale property of real Gaussian processes that we also prove.     

多参数双分数布朗运动相遇局部时的存在性和联合连续性

本文研究了两个相互独立的(N,d)双分数布朗运动BH1,K1和BH2,K2的相遇局部时的问题.利用Fourier分析,获得了相遇局部时的存在性和联合连续性的结果,推广了分数布朗运动相遇局部时的相关结果.     

Weak solutions to stochastic differential equations driven by fractional brownian motion

Existence of a weak solution to the n-dimensional system of stochastic differential equations driven by a fractional Brownian motion with the Hurst parameter H ∈ (0, 1) \ {1/2} is shown for a time-dependent but state-independent diffusion and a drift that may by split into a regular part and a singular one which, however, satisfies the hypotheses of the Girsanov Theorem. In particular, a stochastic nonlinear oscillator driven by a fractional noise is considered.     

Some generalizations on the boundedness of bilinear operators

For 0<p<∞, let H^p(R ⁿ) denote the Lebesgue space for p>1 and the Hardy space for p ≤1. In this paper, the authors study H^p(R ⁿ)×H^q(R ⁿ)→H^r(R ⁿ) mapping properties of bilinear operators given by finite sums of the products of the standard fractional integrals or the standard fractional integral with the Calderón-Zygmund operator. The authors prove that such mapping properties hold if and only if these operators satisfy certain cancellation conditions. Supported by the NNSF and the National Education Comittee of China.     

Fast calculation based on a spatial two-grid finite element algorithm for a nonlinear space–time fractional diffusion model

In this article, a spatial two-grid finite element (TGFE) algorithm is used to solve a two-dimensional nonlinear space–time fractional diffusion model and improve the computational efficiency. First, the second-order backward difference scheme is used to formulate the time approximation, where the time-fractional derivative is approximated by the weighted and shifted Grünwald difference operator. In order to reduce the computation time of the standard FE method, a TGFE algorithm is developed. The specific algorithm is to iteratively solve a nonlinear system on the coarse grid and then to solve a linear system on the fine grid. We prove the scheme stability of the TGFE algorithm and derive a priori error estimate with the convergence result O(Δt² + h^{r + 1 − η} + H^{2r + 2 − 2η}) . Finally, through a two-dimensional numerical calculation, we improve the computational efficiency and reduce the computation time by the TGFE algorithm.     

Continuity in Law with Respect to the Hurst Parameter of the Local Time of the Fractional Brownian Motion

We give a result of stability in law of the local time of the fractional Brownian motion with respect to small perturbations of the Hurst parameter. Concretely, we prove that the law (in the space of continuous functions) of the local time of the fractional Brownian motion with Hurst parameter H converges weakly to that of the local time of , when H tends to H ₀.      

Nonnegative functions in weighted hardy spaces

Let W be a nonnegative summable function whose logarithm is also summable with respect to the Lebesgue measure on the unit circle. For 0?<?p?<?∞ , H^p (W) denotes a weighted Hardy space on the unit circle. When W?≡?1, H ^p(W) is the usual Hardy space H^p . We are interested in H^p ( W)₊ the set of all nonnegative functions in H^p ( W). If p?≥?1/2, H^p ₊ consists of constant functions. However H^p ( W)₊ contains a nonconstant nonnegative function for some weight W. In this paper, if p?≥?1/2 we determine W and describe H^p ( W)₊ when the linear span of H^p ( W)₊ is of finite dimension. Moreover we show that the linear span of H^p (W)₊ is of infinite dimension for arbitrary weight W when 0?<?p?<?1/2.     

Exponential estimate for reaction diffusion models

Summary. We consider the superposition of a speeded up symmetric simple exclusion process with a Glauber dynamics, which leads to a reaction diffusion equation. Using a method introduced in [Y] based on the study of the time evolution of the H ₋₁ norm, we prove that the mean density of particles on microscopic boxes of size N ^α , for any 12/13<α<1, converges to the solution of the hydrodynamic equation for times up to exponential order in N, provided the initial state is in the basin of attraction of some stable equilibrium of the reaction–diffusion equation. From this result we obtain a lower bound for the escape time of a domain in the basin of attraction of the stable equilibrium point. Received: 3 March 1995 / In revised form: 2 February 1996     

Fractional Integral Operators on Anisotropic Hardy Spaces

In this paper, we introduce the fractional integral operator T of degree α of order m with respect to a dilation A for 0 < α < 1 and . First we establish the Hardy-Littlewood-Sobolev inequalities for T on anisotropic Hardy spaces associated with dilation A, which show that T is bounded from H ^p to H ^q , or from H ^p to L ^q , where 0 < p ≤ 1/(1 + α) and 1/q = 1/p − α. Then we give anisotropic Hardy spaces estimates for a class of multilinear operators formed by fractional integrals or Calderón-Zygmund singular integrals. Finally, we apply the above results to give the boundedness of the commutators of T and a BMO function. Research supported by NSF of China (Grant: 10571015) and SRFDP of China (Grant: 20050027025).     

Smoothness of stopping timesof diffusion processes

For an elliptic diffusion process, we prove that the exit time from an open set is in the fractional Sobolev spaces E^p_α (or D^p_α) provided that pα<1. The result is almost optimal.     

CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS

We find the chaos expansion of local time ? _T ^(H)(x,·) of fractional Brownian motion with Hurst coefficient H∈(0,1) at a point x∈R ^d . As an application we show that when H ₀ d<1 then ? _T ^(H)(x,·)∈L ²(μ). Here μ denotes the probability law of B ^(H) and H ₀=max{H ₁,…,H _d }. In particular, we show that when d=1 then ? _T ^(H)(x,·)∈L ²(μ) for all H∈(0,1).     

Adaptives quadratures and fractional IDEs: Applications in image processing

In this paper we show adaptive time discretizations of a fractional integro–differential equation ∂^α_tu = Δu + f, where A is a linear operator in a complex Banach space X and ∂^α_t stands for the fractional time derivative, for 1 < α < 2. Some numerical illustrations are provided showing practical applications where the computational cost is one of drawbacks, e.g., some problems related to images processing. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Global well-posedness of the fractional Klein-Gordon-Schrödinger system with rough initial data

We investigate the low regularity local and global well-posedness of the Cauchy problem for the coupled Klein-Gordon-Schrödinger system with fractional Laplacian in the Schrödinger equation in R¹⁺¹. We use Bourgain space method to study this problem and prove that this system is locally well-posed for Schrödinger data in H^s1 and wave data in H^s2 ×H^s2?1 for 3/4?α < s₁ ≤ 0 and ?1/2 < s₂ < 3/2, where α is the fractional power of Laplacian which satisfies 3/4 < α ≤ 1. Based on this local well-posedness result, we also obtain the global well-posedness of this system for s₁ = 0 and ?1/2 < s₂ < 1/2 by using the conservation law for the L² norm of u.     

Norm Inflation and Ill-Posedness for the Degasperis-Procesi Equation

For s < 3/2, it is shown that the Cauchy problem for the Degasperis-Procesi equation (DP) is ill-posed in Sobolev spaces H ^s . If 1/2 ≤ s < 3/2, then ill-posedness is due to norm inflation. This means that there exist DP solutions who are initially arbitrarily small and eventually arbitrarily large with respect to the H ^s norm, in an arbitrarily short time. Since DP solutions conserve a quantity equivalent to the L ²-norm, there is no norm inflation in H ⁰ for these solutions. In this case, ill-posedness is caused by failure of uniqueness. For all other s < 1/2, the situation is similar to H ⁰. Considering that DP is locally well-posed in H ^s for s > 3/2, this work establishes 3/2 as the critical index of well-posedness in Sobolev spaces.     

Integral representation of renormalized self-intersection local times

In this paper we apply Clark-Ocone formula to deduce an explicit integral representation for the renormalized self-intersection local time of the d-dimensional fractional Brownian motion with Hurst parameter H∈(0,1). As a consequence, we derive the existence of some exponential moments for this random variable.     

Implicit difference approximation for the time fractional diffusion equation

In this paper, we consider a time fractional diffusion equation on a finite domain. The equation is obtained from the standard diffusion equation by replacing the first-order time derivative by a fractional derivative (of order 0 < α < 1 ). We propose a computationally effective implicit difference approximation to solve the time fractional diffusion equation. Stability and convergence of the method are discussed. We prove that the implicit difference approximation (IDA) is unconditionally stable, and the IDA is convergent withO(Τ +h ²), where Τ andh are time and space steps, respectively. Some numerical examples are presented to show the application of the present technique.     

Stochastic evolution equations driven by Liouville fractional Brownian motion

Let H be a Hilbert space and E a Banach space. We set up a theory of stochastic integration of ℒ(H,E)-valued functions with respect to H-cylindrical Liouville fractional Brownian motion with arbitrary Hurst parameter 0 < β < 1. For 0 < β < ? we show that a function Φ: (0, T) → ℒ(H,E) is stochastically integrable with respect to an H-cylindrical Liouville fractional Brownian motion if and only if it is stochastically integrable with respect to an H-cylindrical fractional Brownian motion.