The structure of a Brownian bubble

Summary We examine local geometric properties of level sets of the Brownian sheet, and in particular, we identify the asymptotic distribution of the area of sets which correspond to excursions of the sheet high above a given level in the neighborhood of a particular random point. It is equal to the area of certain individual connected components of the random set {(s, t):B(t)>b(s)}, whereB is a standard Brownian motion andb is (essentially) a Bessel process of dimension 3. This limit distribution is studied and, in particular, explicit formulas are given for the probability that a point belongs to a specific connected component, and for the expected area of a component given the height of the excursion ofB(t)-b(s) in this component. These formulas are evaluated numerically and compared with the results from direct simulations ofB andb.The research of this author was partially supported by grants DMS-9103962 from the National Science Foundation and DAAL03-92-6-0323 from the Army Research Office     

Weak convergence to a Markov process: The martingale approach

Summary In this article, we obtain some sufficient conditions for weak convergence of a sequence of processes {X _n } toX, whenX arises as a solution to a well posed martingale problem. These conditions are tailored for application to the case when the state space for the processesX _n ,X is infinite dimensional. The usefulness of these conditions is illustrated by deriving Donsker's invariance principle for Hilbert space valued random variables. Also, continuous dependence of Hilbert space valued diffusions on diffusion and drift coefficients is proved.Research supported by National Board for Higher Mathematics, Bombay, IndiaPart of the work was done at University of California, Santa Barbara, USA     

Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant

Summary This work is concerned with the existence and uniqueness of a class of semimartingale reflecting Brownian motions which live in the non-negative orthant of ^d . Loosely speaking, such a process has a semimartingale decomposition such that in the interior of the orthant the process behaves like a Brownian motion with a constant drift and covariance matrix, and at each of the (d-1)-dimensional faces that form the boundary of the orthant, the bounded variation part of the process increases in a given direction (constant for any particular face) so as to confine the process to the orthant. For historical reasons, this pushing at the boundary is called instantaneous reflection. In 1988, Reiman and Williams proved that a necessary condition for the existence of such a semimartingale reflecting Brownian motion (SRBM) is that the reflection matrix formed by the directions of reflection be completely-L. In this work we prove that condition is sufficient for the existence of an SRBM and that the SRBM is unique in law. It follows from the uniqueness that an SRBM defines a strong Markov process. Our results have potential application to the study of diffusions arising as approximations tomulti-class queueing networks.Research supported in part by NSF Grants DMS 8657483, 8722351 and 9023335, and a grant from AT&T Bell Labs. In addition, R.J. Williams was supported in part during the period of this research by an Alfred P. Sloan Research Fellowship     

Small ball probabilities of Gaussian fields

Summary Lower bounds on the small ball probability are given for Brownian sheet type Gaussian fields as well as for general Gaussian fields with stationary increments in ^d . In particular, a sharp bound is found for the fractional Lévy Brownian fields.The research is partly supported by a National University of Singapore's Research Project     

Geography of the level sets of the Brownian sheet

Summary We describe geometric properties of {W>}, whereW is a standard real-valued Brownian sheet, in the neighborhood of the first hitP of the level set {W>} along a straight line or smooth monotone curveL. In such a neighborhood we use a decomposition of the formW(s, t)=–b(s)+B(t)+x(s, t), whereb(s) andB(t) are particular diffusion processes andx(s, t) is comparatively small, to show thatP is not on the boundary of any connected component of {W>}. Rather, components of this set form clusters nearP. An integral test for thorn-shaped neighborhoods ofL with tip atP that do not meet {W>} is given. We then analyse the position and size of clusters and individual connected components of {W>} near such a thorn, giving upper bounds on their height, width and the space between clusters. This provides a local picture of the level set. Our calculations are based on estimates of the length of excursions ofB andb and an accounting of the error termx.The research of this author was partially supported by NSF grant DMS-9103962, and, during the period of revision, by grant DAAL03-92-6-0323 from the Army Research Office     

Strong consistency of density estimation by orthogonal series methods for dependent variables with applications

Among several widely use methods of nonparametric density estimation is the technique of orthogonal series advocated by several authors. For such estimate when the observations are assumed to have been taken from strong mixing sequence in the sense of Rosenblatt [7] we study strong consistency by developing probability inequality for bounded strongly mixing random variables. The results obtained are then applied to two estimates of the functional Δ(f)=∫f ² (x)dx were strong consistency is established. One of the suggested two estimates of Δ(f) was recently studied by Schuler and Wolff [8] in the case of independent and identically distributed observations where they established consistency in the second mean of the estimate. Research supported in part by the National Research Council of Canada and in part by McMaster University Research Board. Now at Memphis State University, Memphis, Tennessee 38152, U.S.A.     

Blackwell's renewal theorem for certain linear submartingales and coupling

The present work surveys some extensions of Blackwell's renewal theorem for a certain class of linear submartingalesS which have been recently obtained by the author. The basic assumption onS is that their conditional increment distribution functions with respect to some filtration are bounded from above and below by integrable distribution functions. Under a further mean stability condition these random walks turn out to be natural candidates for satisfying Blackwell-type renewal theorems. The latter are derived by employing a coupling argument similar to that which has been used in the i.i.d. case by Lindvallet al. A number of applications are also presented.     

Baxter's inequality and convergence of finite predictors of multivariate stochastic processess

Summary We show that smoothness properties of a spectral density matrix and its optimal factor are closely related when the density satisfies theboundedness condition. This is crucial in proving multivariate generalizations of Baxter's inequality and obtaining rates of convergence of finite predictors. We rely on a technique of Lowdenslager and Rosenblum relating the optimal factor to the spectral density via Toeplitz operators.     

Integrated mean square properties of density estimation by orthogonal series methods for dependent variables

Summary The rates at which integrated mean square and mean squre errors of nonparametric density estimation by orthogonal series method for sequences of strictly stationary strong mixing random variables are obtained. These rates are better than those known to hold for the independent case and they are shown to hold for Markov processes. In fact our results when specialized to the independent case are improvements over previously known results of Schwartz (1967,Ann. Math. Statist.,38, 1262–1265). An extension of the results to estimation of the bivariate density is also given. Research supported by a faculty summer research grant MS-STAT-42 from the University of Petroleum and Minerals.     

Convergence to equilibrium of critical branching particle systems and superprocesses,and related nonlinear partial differential equations

We consider a class of multitype particle systems in ^d undergoing spatial diffusion and critical stable multitype branching, and their limits known as critical stable multitype Dawson-Watanabe processes, or superprocesses. We show that for large classes of initial states, the particle process and the superprocess converge in distribution towards known equilibrium states as time tends to infinity. As an application we obtain the asymptotic behavior of a system of nonlinear partial differential equations whose solution is related to the distribution of both the particle process and the superprocess.Research partially supported by CONACyT (Mexico), CNRS (France) and BMfWuF (Austria).     

Lyapunov exponent for the parabolic anderson model with lévy noise

We consider the asymptotic almost sure behavior of the solution of the equationwhere {Y_x:x Z^d} is a field of independent Lévy processes and is the discrete Laplacian.Research of the first two authors supported in part by a grant from NSF, of the third author by JSPS Grant-in-Aid for Scientific Research, Kiban(C) 13640103     

Traps for reflected Brownian motion

Consider an open set , d ≥ 2, and a closed ball . Let denote the expectation of the hitting time of B for reflected Brownian motion in D starting from x ∈ D. We say that D is a trap domain if . A domain D is not a trap domain if and only if the reflecting Brownian motion in D is uniformly ergodic. We fully characterize the simply connected planar trap domains using a geometric condition and give a number of (less complete) results for d > 2. Research partially supported by NSF grant DMS-0303310. Research partially supported by NSF grant DMS-0303310. Research partially supported by NSF grant DMS-0201435.     

Exchangeable and partially exchangeable random partitions

Summary Call a random partition of the positive integerspartially exchangeable if for each finite sequence of positive integersn ₁,...,n _k, the probability that the partition breaks the firstn ₁+...+n_k integers intok particular classes, of sizesn ₁,...,n_k in order of their first elements, has the same valuep(n ₁,...,n_k) for every possible choice of classes subject to the sizes constraint. A random partition is exchangeable iff it is partially exchangeable for a symmetric functionp(n ₁,...n_k). A representation is given for partially exchangeable random partitions which provides a useful variation of Kingman's representation in the exchangeable case. Results are illustrated by the two-parameter generalization of Ewens' partition structure.Research supported by N.S.F. Grants MCS91-07531 and DMS-9404345     

Predictability and stopping on lattices of sets

Summary As a first step in the development of a general theory of set-indexed martingales, we define predictability on a general space with respect to a filtration indexed by a lattice of sets. We prove a characterization of the predictable -algebra in terms of adapted and left-continuous processes without any form of topology for the index set. We then define a stopping set and show that it is a natural generalization of the stopping time; in particular, the predictable -algebra can be characterized by various stochastic intervals generated by stopping sets.Research supported by a grant from the Natural Sciences and Engineering Research Council of CanadaResearch partially done while the second author was visiting the University of Ottawa. He wishes to thank the Department of Mathematics for its hospitality     

Martingale transforms with non-atomic limits and stochastic approximation

Summary A sufficient condition for the limit of a martingale transform to posses a continuous distribution is given. The result is used to show that for a stochastic approximation procedure, if the adjustment rate is too small then it would not converge to the target value a.s. Furthermore, if the adjustment rate is taken to be 1/n as usual but the derivative of the regression function at the target value is 0, then the convergence rate is shown to be logn instead of , the rate obtained when the derivative is non-zero.Research supported by the National Science Council, R.O.C.     

Étude d'une EDPS conduite par un bruit poissonnien

Résumé . Nous étudions une équation aux dérivées partielles stochastique (EDPS), de type parabolique, posée sur ℝ ^d , d entier, et conduite par un bruit poissonnien, compensé ou non. La première partie de ce travail montre l'existence et l'unicité d'une solution progressivement mesurable. Les techniques employées sont proches de celles utilisées pour résoudre les équations analogues conduites par un bruit blanc. La seconde partie donne des conditions, portant sur l'intensité du bruit poissonnien, et permettant d'assurer certaines régularités, en espace ou bien en temps, pour le processus solution.

---

Summary. We study a Stochastic Partial Differential Equation, of parabolic type, set on ℝ ^d , with d∈ℕ. This equation is driven by a Poisson random measure, either compensated or not. The first part of this work shows existence and uniqueness of a progressively measurable solution. The technics involved are close to those used to deal with analogous equations driven by a Gaussian noise. The second part gives some criterions on the intensity of the Poisson random measure, in order to ensure some smoothness, either in space or in time, for the solution of this equation.

Received: 7 April 1997/In revised form: 20 January 1998     

Branching measure-valued processes

Summary The objective of this paper is to investigate the structure of a general subcritical branching measure-valued processX subject to the usual regularity conditions. We prove that, if the second moments of the total massX _t (E) are finite, thenX is a superprocess and we give an explicit expression of the branching characteristicsQ andl in terms of the continuous martingale component of the total massX _t (E) and the Lévy measure (jumps compensator) ofX.Partially supported by National Science Foundation Grant DMS-9146347 and by The US Army Research Office through the Mathematical Sciences Institute at Cornell University     

A new ideal metric with applications to multivariate stable limit theorems

Summary A new ideal metric of orderr>1 is introduced on ^k and a thorough analysis of its metric properties is given. In comparison to the known ideal metric of Zolotarev this new metric allows estimates from above by pseudo difference moments and thus allows applications to stable limit theorems. As applications we give the right order Berry-Esséen type result in the stable case, obtain the limiting behaviour of multivariate summability methods and discuss the approximation problem by compound Poisson distributions.Research supported by NATO GRANT CRG 900 798 and by a DFG Grant     

Processus d'Ornstein-Uhlenbeck et ensemblesW 2,2—polaires

Résumé Nous démontrons que, dans un espace de Fréchet gaussien (E,), les ensembles dec _2,2-capacité nulle sont les ensembles que le processus d'Ornstein-Uhlenbeck à deux indices à valeurs dansE ne rencontres pas. Afin de prouver ce résultat, nous établissons une inégalité entre la probabilité de rencontre d'un ensemble et la capacité de celui-ci. Nous établissons également une représentation de lac _2,2-capacité d'un ensemble par une mesure aléatoire à deux indices.

---

We show that, on a Fréchet gaussian space (E,) thec _2,2-capacity null sets are those which cannot be hit by the two-parameterE-valued Ornstein-Uhlenbeck process. In order to prove this result, an inequality between the hitting probability of a set and itsc _2,2-capacity, as well as a representation of thec _2,2-capacity of a set by a two parameter random measure, is established.