Uniform stability and weak ergodicity of nonhomogeneous Markov chains defined on ordered Banach spaces with a base

In the present paper, we define an ergodicity coefficient of a positive mapping defined on ordered Banach space with a base , and study its properties. The defined coefficient is a generalization of the well-known the Dobrushin’s ergodicity coefficient. By means of the ergodicity coefficient we provide uniform asymptotical stability conditions for nonhomogeneous discrete Markov chains (NDMC). These results are even new in case of von Neumann algebras. Moreover, we find necessary and sufficient conditions for the weak ergodicity of NDMC. Certain relations between uniform asymptotical stability and weak ergodicity are considered.     

Variational Inequalities in Hilbert Spaces with Measures and Optimal Stopping Problems

We study the existence theory for parabolic variational inequalities in weighted L ² spaces with respect to excessive measures associated with a transition semigroup. We characterize the value function of optimal stopping problems for finite and infinite dimensional diffusions as a generalized solution of such a variational inequality. The weighted L ² setting allows us to cover some singular cases, such as optimal stopping for stochastic equations with degenerate diffusion coefficient. As an application of the theory, we consider the pricing of American-style contingent claims. Among others, we treat the cases of assets with stochastic volatility and with path-dependent payoffs.     

An LMI description for the cone of Lorentz-positive maps II

Let L _n be the n-dimensional second-order cone. A linear map from ? ^m to ? ⁿ is called positive if the image of L _m under this map is contained in L _n . For any pair (n,?m) of dimensions, the set of positive maps forms a convex cone. We construct a linear matrix inequality of size (n???1)(m???1) that describes this cone.     

Discrepancy operators and numerical integration on compact groups

In this paper we establish an inequality of Koksma-Hlawka-type for compact groups. We first define a discrepancy for compact groups based on discrepancy operators introduced by W. Fleischer and show the relation to the classicalL ²-discrepancy. Then we prove the inequality for functions in a weightedL ²-space.     

Weighted Hardy's inequality and the Kolmogorov equation perturbed by an inverse-square potential

In this article, we give necessary and sufficient conditions for the existence of a weak solution of a Kolmogorov equation perturbed by an inverse-square potential. More precisely, using a weighted Hardy's inequality with respect to an invariant measure μ, we show the existence of the semigroup solution of the parabolic problem corresponding to a generalized Ornstein–Uhlenbeck operator perturbed by an inverse-square potential in L ²(? ^N ,?μ). In the case of the classical Ornstein–Uhlenbeck operator we obtain nonexistence of positive exponentially bounded solutions of the parabolic problem if the coefficient of the inverse-square function is too large.     

Isoperimetric inequality from the poisson equation via curvature

In this paper, we establish an isoperimetric inequality in a metric measure space via the Poisson equation. Let (X,d,μ) be a complete, pathwise connected metric space with locally Ahlfors Q‐regular measure, where Q > 1, that supports a local L²‐Poincaré inequality. We show that, for the Poisson equation Δu = g, if the local L^∞‐norm of the gradient Du can be bounded by the Lorentz norm L^Q,1 of g, then we obtain an isoperimetric inequality and a Sobolev inequality in (X,d,μ) with optimal exponents. By assuming a suitable curvature lower bound, we establish such optimal bounds on $\||Du|\|_{L^\infty_{\rm loc}}$ . © 2011 Wiley Periodicals, Inc.     

Relatively finite measure-preserving extensions and lifting multipliers by Rokhlin cocycles

We show that under some natural ergodicity assumptions, extensions given by Rokhlin cocycles lift the multiplier property if the associated locally compact group extension has only countably many L^∞-eigenvalues. We make use of some analogs of basic results from the theory of finite-rank modules associated to an extension of measure-preserving systems in the setting of a non-singular base.     

Some remarks on the Walras equilibrium problem in Lebesgue spaces

We introduce a parametric variational inequality in order to model the time dependent Walras economic equilibrium and discuss its relation with an integral formulation in the spaces (L ^∞, L ¹). The role of monotonicity is analysed and, as a classical example, we study the Walras problem using the Cobb–Douglas functions in this new functional setting.     

ExponentialL 2-convergence andL 2-spectral gap for Markov processes

This paper deals with the exponentialL ²-convergence for jump processes. We introduce some reduction methods and improve some previous results. Then we prove that for birth-death processes, exponentialL ²-convergence coincides indeed with exponential ergodicity which is widely studied in the Markov chain theory. Research supported in part by the National Natural Science Foundation of China and Fok Ying-Tung Educational Foundation     

Sobolev inequalities of exponential type

We give sufficient conditions for domains to satisfy Sobolev inequalities of single exponential type. Earlier work in this area imposed more stringent conditions on the domains and is thus contained in our results. Moreover, the class of functions considered is based onL ⁿ log ^an L witha<1−1/n, n being the dimension of the underlying space. The limiting casea=1−1/n gives rise to an inequality of double exponential type which is shown to be valid in a large class of irregular domains. This inequality is new even in smooth domains. The second author was partially supported by a grant from Magnus Ehrnrooth Foundation.     

H1–L1 Boundedness of Riesz Transforms on Riemannian Manifolds and on Graphs

We prove that the Riesz transforms are bounded from H ¹ to L ¹ on complete Riemannian manifolds and on graphs with the doubling property and the Poincaré inequality.     

Affine Moser–Trudinger and Morrey–Sobolev inequalities

An affine Moser–Trudinger inequality, which is stronger than the Euclidean Moser–Trudinger inequality, is established. In this new affine analytic inequality an affine energy of the gradient replaces the standard L ⁿ energy of gradient. The geometric inequality at the core of the affine Moser–Trudinger inequality is a recently established affine isoperimetric inequality for convex bodies. Critical use is made of the solution to a normalized version of the L ⁿ Minkowski Problem. An affine Morrey–Sobolev inequality is also established, where the standard L ^p energy, with p > n, is replaced by the affine energy.     

Robust Weak Ergodicity And Stable Ergodicity

In this paper, we define robust weak ergodicity and study the relation between robust weak ergodicity and stable ergodicity for conservative partially hyperbolic systems. We prove that a C^r(r > 1) conservative partially hyperbolic diffeomorphism is stably ergodic if it is robustly weakly ergodic and has positive (or negative) central exponents on a positive measure set. Furthermore, if the condition of robust weak ergodicity is replaced by weak ergodicity, then the diffeomophism is an almost stably ergodic system. Additionally, we show in dimension three, a C^r(r > 1) conservative partially hyperbolic diffeomorphism can be approximated by stably ergodic systems if it is robustly weakly ergodic and robustly has non-zero central exponents.     

Uniqueness of Dirichlet forms associated with systems of infinitely many Brownian balls in ℝ d

Summary. Dirichlet forms associated with systems of infinitely many Brownian balls in ℝ ^d are studied. Introducing a linear operator L ₀ defined on a space of smooth local functions, we show the uniqueness of Dirichlet forms associated with self adjoint Markovian extensions of L ₀. We also discuss the ergodicity of the reversible process associated with the Dirichlet form. Received: 18 July 1996/In revised form: 13 February 1997     

Super Poincaré Inequalities,Orlicz Norms and Essential Spectrum

We prove some results about the super Poincaré inequality (SPI) and its relation to the spectrum of an operator: we show that it can be alternatively written with Orlicz norms instead of L ¹ norms, and we use this to give an alternative proof that a bound on the bottom of the essential spectrum implies a SPI. Finally, we apply these ideas to give a spectral proof of the log Sobolev inequality for the Gaussian measure.     

Asymptotic Optimality of Isoperimetric Constants

In this paper, we investigate the existence of L ²(π)-spectral gaps for π-irreducible, positive recurrent Markov chains with a general state space Ω. We obtain necessary and sufficient conditions for the existence of L ²(π)-spectral gaps in terms of a sequence of isoperimetric constants. For reversible Markov chains, it turns out that the spectral gap can be understood in terms of convergence of an induced probability flow to the uniform flow. These results are used to recover classical results concerning uniform ergodicity and the spectral gap property as well as other new results. As an application of our result, we present a rather short proof for the fact that geometric ergodicity implies the spectral gap property. Moreover, the main result of this paper suggests that sharp upper bounds for the spectral gap should be expected when evaluating the isoperimetric flow for certain sets. We provide several examples where the obtained upper bounds are exact.     

Characterization of Carleson measures by the Hausdorff-Young property

It is shown that the Laplace transform of an L ^p (1 < p ≤ 2) function defined on the positive semiaxis satisfies the Hausdorff-Young type inequality with a positive weight in the right complex half-plane if and only if the weight is a Carleson measure. In addition, Carleson’s weighted L ^p inequality for the harmonic extension is given with a numeric constant.     

Poincaré type inequalities on the discrete cube and in the CAR algebra

We prove L ^p Poincaré inequalities with suitable dimension free constants for functions on the discrete cube {?1, 1} ⁿ . As well known, such inequalities for p an even integer allow to recover an exponential inequality hence the concentration phenomenon first obtained by Bobkov and Götze. We also get inequalities between the L ^p norms of $ \left\vert \nabla f\right\vert We prove L ^p Poincaré inequalities with suitable dimension free constants for functions on the discrete cube {−1, 1} ⁿ . As well known, such inequalities for p an even integer allow to recover an exponential inequality hence the concentration phenomenon first obtained by Bobkov and G?tze. We also get inequalities between the L ^p norms of and moreover L ^p spaces may be replaced by more general ones. Similar results hold true, replacing functions on the cube by matrices in the *-algebra spanned by n fermions and the L ^p norm by the Schatten norm C _p .     

Ergodicity of 2D stochastic Ginzburg–Landau–Newell equations driven by degenerate noise

The current paper is devoted to stochastic Ginzburg–Landau–Newell equation with degenerate random forcing. The existence and pathwise uniqueness of strong solutions with H¹‐initial data is established, and then the existence of an invariant measure for the Feller semigroup is shown by Krylov–Bogoliubov theorem. Because of the coupled items in the stochastic Ginzburg–Landau–Newell equations, the higher order momentum estimates can be only obtained in the L²‐norm. We show the ergodicity of invariant measure for the transition semigroup by asymptotically strong Feller property and the support property. Copyright © 2017 John Wiley & Sons, Ltd.     

A Class of Singular Self-Adjoint Ordinary Differential Operators with Maximal Spectrum

We present a characterization of the almost everywhere convergence of the partial Fourier series of functions in L^p(T), 1 < p < ∞, in terms of a discrete weak-type inequality.