Approximation of Multiple Stratonovich Fractional Integrals

Abstract

We study multiple Riemann-Stieltjes integral approximations to multiple Stratonovich fractional integrals. Two standard approximations (Wong-Zakai and Mollifier approximations) are considered and we show the convergence in the mean square sense and uniformly on compact time intervals of these approximations to the multiple Stratonovich fractional integral.     

The Feynman-Stratonovich semigroup and stratonovich integral expansions in nonlinear filtering

Representations for the solution of the Zakai equation in terms of multiple Stratonovich integrals are derived. A new semigroup (the Feynman-Stratonovich semigroup) associated with the Zakai equation is introduced and using the relationship between multiple Stratonovich integrals and iterated Stratonovich integrals, a representation for the unnormalized conditional density,u(t,x), solely in terms of the initial density and the semigroup, is obtained. In addition, a Fourier seriestype representation foru(t,x) is given, where the coefficients in this representation uniquely solve an infinite system of partial differential equations. This representation is then used to obtain approximations foru(t,x). An explicit error bound for this approximation, which is of the same order as for the case of multiple Wiener integral representations, is obtained. Research supported by the National Science Foundation and the Air Force Office of Scientific Research Grant No. F49620 92 J 0154 and the Army Research Office Grant No. DAAL03-92-G0008.     

On Double Stratonovich Fractional Integrals and Some Strong and Weak Approximations

Abstract

Double Stratonovich integrals with respect to the odd part and even part of the fractional Brownian motion are constructed. The first and the second moments of such integrals are explicitly identified. As application of double Stratonovich integrals a strong law of large numbers for efBm and ofBm is derived.

Riemann–Stieltjes integral approximations to double Stratonovich fractional integrals are also considered. The strong convergence (almost surely and mean square) is obtained for approximations based on explicit series expansions of the fractional Brownian processes. The weak convergence is derived for approximations by processes with absolutely continuous paths which converge weakly to the considered fractional Brownian processes. The above-mentioned convergences are obtained for deterministic integrands which are given by bimeasures.     

Multiple Solutions to Stochastic Differential Delay Equations and a Related Comparison Theorem

In this article, we discuss the existence of multiple solutions to a one-dimensional stochastic differential delay equation with continuous drift coefficients and derive a related comparison theorem.     

Weak convergence to the multiple Stratonovich integral

We have considered the problem of the weak convergence, as tends to zero, of the multiple integral processes

in the space , where fL²([0,T]ⁿ) is a given function, and {η(t)}_>0 is a family of stochastic processes with absolutely continuous paths that converges weakly to the Brownian motion. In view of the known results when n2 and f(t₁,…,t_n)=1_{t1<t2<<tn}, we cannot expect that these multiple integrals converge to the multiple Itô–Wiener integral of f, because the quadratic variations of the η are null. We have obtained the existence of the limit for any {η}, when f is given by a multimeasure, and under some conditions on {η} when f is a continuous function and when f(t₁,…,t_n)=f₁(t₁)f_n(t_n)1_{t1<t2<<tn}, with f_iL²([0,T]) for any i=1,…,n. In all these cases the limit process is the multiple Stratonovich integral of the function f.     

On Weak Solutions of Stochastic Differential Equations

A new proof of existence of weak solutions to stochastic differential equations with continuous coefficients based on ideas from infinite-dimensional stochastic analysis is presented. The proof is fairly elementary, in particular, neither theorems on representation of martingales by stochastic integrals nor results on almost sure representation for tight sequences of random variables are needed.     

On Weak Solutions of Stochastic Differential Equations II

In the first part of this article a new method of proving existence of weak solutions to stochastic differential equations with continuous coefficients having at most linear growth was developed. In this second part, we show that the same method may be used even if the linear growth hypothesis is replaced with a suitable Lyapunov condition.     

Stratonovich Calculus with Respect to Fractional Brownian Sheet

Abstract

We introduce two types of Stratonovich stochastic integrals for two-parameter process. The relationship of Stratonovich integrals to Skorohod integrals will be investigated. By using this relationship, we prove that a differentiation formula for fractional Brownian sheet in Stratonovich form can be expressed as the sum of Stratonovich integrals of two types introduced in this article.     

Anticipating Stochastic Differential Equations of Stratonovich Type

We prove the existence and uniqueness of Stratonovich stochastic differential equations where the coefficients and the initial condition may depend on the whole path of the driving Wiener process. Our main hypothesis is that the diffusion coefficient satisfies the Frobenius condition. The solution is given in terms of solutions of ordinary differential equations and the Wiener process. We use this representation to study properties of the solution. Accepted 3 April 1996     

The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations

In this paper, we present two composite Milstein methods for the strong solution of Stratonovich stochastic differential equations driven by d-dimensional Wiener processes. The composite Milstein methods are a combination of semi-implicit and implicit Milstein methods. The criterion for choosing either the implicit or the semi-implicit method at each step of the numerical solution is given. The stability and convergence properties of the proposed methods are analyzed for the linear test equation. It is shown that the proposed methods converge to the exact solution in Stratonovich sense. In addition, the stability properties of our methods are found to be superior to those of the Milstein and the composite Euler methods. The convergence properties for the nonlinear case are shown numerically to be the same as the linear case. Hence, the proposed methods are a good candidate for the solution of stiff SDEs.     

On the complexity of stochastic integration

We study the complexity of approximating stochastic integrals with error for various classes of functions. For Ito integration, we show that the complexity is of order , even for classes of very smooth functions. The lower bound is obtained by showing that Ito integration is not easier than Lebesgue integration in the average case setting with the Wiener measure. The upper bound is obtained by the Milstein algorithm, which is almost optimal in the considered classes of functions. The Milstein algorithm uses the values of the Brownian motion and the integrand. It is bilinear in these values and is very easy to implement. For Stratonovich integration, we show that the complexity depends on the smoothness of the integrand and may be much smaller than the complexity of Ito integration.

     

Relaxation of Nonlocal Singular Integrals

In this paper we study well-posedness of a class of nonconvex variational principles arising in regularization theory for denoising of data with sampling errors and level set regularization methods for inverse problems. These models result in minimization of nonconvex, singular functionals involving (possibly) non-local operators.     

The generalized hu-meyer formula for random kernels

A theory of Hilbert-space-valued traces and multiple integration is developed for kernels inL ²([0, 1]^p × Θ). The multiple Ogawa and the multiple Stratonovich integrals for such kernels are introduced and sufficient conditions for their existence are obtained. The derivation of the Hu-Meyer formula connecting the multiple Ogawa and the multiple Stratonovich integrals requires the introduction of traces of random kernels. Such a derivation is obtained under appropriate conditions. This research was supported by the National Science Foundation and the Air Force Office of Scientific Research Grant No. F49620 92 J 0154 and the Army Research Office Grant No. DAAL03-92-G-0008.     

Expansion of the Stratonovich Multiple Stochastic Integrals Based on the Fourier Multiple series

An expansion of multiple Stratonovich stochastic integrals of multiplicity , into multiple series of products of Gaussian random variables is obtained. The coefficients of this expansion are the coefficients of multiple Fourier-series expansion of a function of several variables relative to a complete orthonormal system in the space . The convergence in mean of order , is established. Some expansions of multiple Stratonovich stochastic integrals with the help of polynomial and trigonometric systems are considered. Bibliography: 8 titles.     

A representation of solution of stochastic differential equations

We prove that the logarithm of the formal power series, obtained from a stochastic differential equation, is an element in the closure of the Lie algebra generated by vector fields being coefficients of equations. By using this result, we obtain a representation of the solution of stochastic differential equations in terms of Lie brackets and iterated Stratonovich integrals in the algebra of formal power series.     

On the approximation of stochastic differential equations

The stability properties of stochastic differential equations with respetct to the perturbation of the coefficients and of the driving processes are investigated in the topology of uniform convergence in probability     

Absolute Continuity of Joint Laws of Multiple Stable Stochastic Integrals

We are interested in the laws of multiple stable stochastic integrals defined by LePage series representation in references(3,10,11). We continue the study started in Ref. 3 and give conditions ensuring absolute continuity of joint laws of stable integrals. To this end, we apply a stratification method on the Skorohod space on which we first take back the problem.     

On Wong-Zakai approximation of stochastic differential equations

An approximation theorem of stochastic differential equations driven by semimartingales is proved, based on approximation of semimartingales by a sequence of processes with piecewise monotonic sample functions.     

Law of the iterated logarithm for solutions of stochastic differential equations

We prove the law of the iterated logarithm for solutions of Stochastic Differential Equations (SDEs) driven by continuous semiraartingales, under suitable conditions. This extends a result of Kulinich for classical diffusions to solutions of SDEs which are not necessarily Markov     

核为块空间函数的多重Marcinkiewicz积分

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