Continuity properties of Hilbert space valued martingales

Necessary and sufficient conditions for Hölder continuity of Hilbert space valued martingales are given in terms of the associated quadratic variation. As an application one obtains a sufficient condition for a mild solution of a stochastic evolution equation to have a continuous version if the semigroup governing this equation is analytic. Further we derive Levy's modulus of continuity for the Hilbert space valued stochastic integral with the Wiener process as integrator and obtain a generalization of the loglog law for that integral.     

A martingale characterisation of the Brownian excursion compensator

Summary The note concerns the structure of the Brownian excursion filtration ( ^x , xR). This filtration, indexed by the space variable, has infinite martingale dimension. We show how it can be characterised by the martingale properties of the reflecting Brownian local time.     

A representation theorem for smooth Brownian martingales

We show that, under certain smoothness conditions, a Brownian martingale, when evaluated at a fixed time, can be represented via an exponential formula at a later time. The time-dependent generator of this exponential operator only depends on the second order Malliavin derivative operator evaluated along a ‘frozen path’. The exponential operator can be expanded explicitly to a series representation, which resembles the Dyson series of quantum mechanics. Our continuous-time martingale representation result can be proven independently by two different methods. In the first method, one constructs a time-evolution equation, by passage to the limit of a special case of a backward Taylor expansion of an approximating discrete-time martingale. The exponential formula is a solution of the time-evolution equation, but we emphasize in our article that the time-evolution equation is a separate result of independent interest. In the second method, we use the property of denseness of exponential functions. We provide several applications of the exponential formula, and briefly highlight numerical applications of the backward Taylor expansion.     

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.     

The uniform random tree in a Brownian excursion

Summary To any Brownian excursione with duration (e) and anyt ₁, ...,t _p [0,(e)], we associate a branching tree withp branches denoted byT _p (e, t ₁,...,t _p ), which is closely related to the structure of the minima ofe. Our main theorem states that, ife is chosen according to the Itô measure and (t ₁, ...,t _p ) according to Lebesgue measure on [0,(e)] ^p , the treeT _p (e, t ₁, ...,t _p ) is distributed according to the uniform measure on the set of trees withp branches. The proof of this result yields additional information about the subexcursions ofe corresponding to the different branches of the tree, thus generalizing a well-known representation theorem of Bismut. If we replace the Itô measure by the law of the normalized excursion, a simple conditioning argument leads to another remarkable result originally proved by Aldous with a very different method.     

Brownian Continuity Modulus Via Series Expansions

Beginning with the series representation in terms of Haar functions, we give a simplified proof of the Lévy modulus of continuity for standard Brownian motion.     

Carleson measures on product domains and 2-parameter Brownian martingales

Archiv der Mathematik -     

Quasimartingales,martingales locales,semimartingales et filtration naturelle

Résumé L'objet de cet article est de démontrer que certaines propriétés d'un processus stochastique sont préservées par restriction de la famille de tribus à la filtration naturelle du processus. Le résultat principal dit que toute semimartingale reste une semimartingale pour sa filtration naturelle, mais pour établir cela nous traitons le cas des quasimartingales, et des martingales locales bornées dansL ¹.     

Phase transition for Parking blocks,Brownian excursion and coalescence

In this paper, we consider hashing with linear probing for a hashing table with m places, n items (n < m), and ? = m ? n empty places. For a noncomputer science‐minded reader, we shall use the metaphore of n cars parking on m places: each car c_i chooses a place p_i at random, and if p_i is occupied, c_i tries successively p_i + 1, p_i + 2, until it finds an empty place. Pittel [42] proves that when ?/m goes to some positive limit β < 1, the size B of the largest block of consecutive cars satisfies 2(β ? 1 ? log β)B = 2 log m ? 3 log log m + Ξ_m, where Ξ_m converges weakly to an extreme‐value distribution. In this paper we examine at which level for n a phase transition occurs between B = o(m) and m ? B = o(m). The intermediate case reveals an interesting behavior of sizes of blocks, related to the standard additive coalescent in the same way as the sizes of connected components of the random graph are related to the multiplicative coalescent. © 2002 Wiley Periodicals, Inc. Random Struct. Alg., 21: 76–119, 2002     

An enlargement of filtration for Brownian motion

Let Bt be an Ft Brownian motion and Gt be an enlargement of filtration of Ft from some Gaussian random variables. We obtain equations for ht such that Bt ht is a Gt-Brownian motion.     

Functional Modulus of Continuity for Brownian Motion in Holder Norm

The author establishes a large deviation for κ-dimensional Brownian motion B in stronger topology, by which the functional modulus of continuity for B in Hoelder norm can be obtained.     

Brownian运动连续模的拟必然收敛速率

在该文中, 作者得到了Brownian运动连续模在C_{r, p} - 容度意义下的泛函极限的收敛速率.     

基于构造的Brown单Lévy连续模

该文利用Schauder函数建立了Brown单的级数表示. 基于该表示, 作者得到它的Lévy连续模的简化证明.     

Brown运动连续模在Holder范数下的收敛速率

应用Brown运动在Holder范数下的大偏差和小偏差得到了Brown运动连续模在Holder范数下的泛函极限的收敛速率.