Conditioned Brownian motion in planar domains

Summary We give an upper bound for the Green functions of conditioned Brownian motion in planar domains. A corollary is the conditional gauge theorem in bounded planar domains.Supported in part by NSF grant DMS-9100244 and an AMS Centennial Fellowship     

The skorokhod oblique reflection problem in a convex polyhedron

The Skorokhod oblique reflection problem is studied in the case ofn-dimensional convex polyhedral domains. The natural sufficient condition on the reflection directions is found, which together with the Lipschitz condition on the coefficients gives the existence and uniqueness of the solution. The continuity of the corresponding solution mapping is established. This property enables one to construct in a direct way the reflected (in a convex polyhedral domain) diffusion processes possessing the nice properties.     

Boundary Harnack principle for subordinate Brownian motions

We establish a boundary Harnack principle for a large class of subordinate Brownian motions, including mixtures of symmetric stable processes, in κ$\kappa$-fat open sets (disconnected analogue of John domains). As an application of the boundary Harnack principle, we identify the Martin boundary and the minimal Martin boundary of bounded κ$\kappa$-fat open sets with respect to these processes with their Euclidean boundaries.     

Reflecting Brownian motions: Quasimartingales and strong Caccioppoli sets

A notion ofstrong Caccioppoli set is defined for bounded Euclidean domains. It is shown that stationary (normally) reflecting Brownian motion on the closure of a bounded Euclidean domain is a quasimartingale on each compact time interval if and only if the domain is a strong Caccioppoli set. A similar result is shown to hold for symmetric reflecting diffusion processes.Research supported in part by NSF Grant DMS 91-01675.Research supported in part by NSF Grants DMS 86-57483 and 90-23335.     

Lower and upper solutions for elliptic problems in nonsmooth domains

In this paper we prove some existence results of semilinear Dirichlet problems in nonsmooth domains in presence of lower and upper solutions well-ordered or not. We first prove existence results in an abstract setting using degree theory. We secondly apply them for domains with conical points.     

An invariance principle for non-symmetric Markov processes and reflecting diffusions in random domains

Summary We study an invariance principle for additive functionals of nonsymmetric Markov processes with singular mean forward velocities. We generalize results of Kipnis and Varadhan [KV] and De Masi et al. [De] in two directions: Markov processes are non-symmetric, and mean forward velocities are distributions. We study continuous time Markov processes. We use our result to homogenize non-symmetric reflecting diffusions in random domains.     

Markov processes with free-Meixner laws

We study a time-non-homogeneous Markov process which arose from free probability, and which also appeared in the study of stochastic processes with linear regressions and quadratic conditional variances. Our main result is the explicit expression for the generator of the (non-homogeneous) transition operator acting on functions that extend analytically to complex domains.     

Prescribed mean curvature equations under the transformation with non-orthogonal curvilinear coordinates

The aim of this paper is to investigate the Dirichlet problem of prescribed mean curvature equations. We show the existence of a weak solution. The boundary of domains does not always satisfy the H-convexity condition. Our method is not to construct the barrier functions directly, but to use some uniform estimate for solutions of the approximating regularized solutions.     

Existence results for critical singular elliptic systems

In this paper, we consider semilinear elliptic systems with both singular and critical growth terms in bounded domains. The existence of a nontrivial solution is obtained by variational methods.     

On the existence of positive solutions for semilinear elliptic equations with singular lower order coefficients and Dirichlet boundary conditions

We give sufficient conditions for the existence of positive solutions to some semilinear elliptic equations in bounded domains with Dirichlet boundary conditions. We impose mild conditions on the domains and lower order (nonlinear) coefficients of the equations in that the bounded domains are only required to satisfy an exterior cone condition and we allow the coefficients to have singularities controlled by Kato class functions. Our approach uses an implicit probabilistic representation, Schauder's fixed point theorem, and new a priori estimates for solutions of the corresponding linear elliptic equations. In the course of deriving these a priori estimates we show that the Green functions for operators of the form on D are comparable when one modifies the drift term b on a compact subset of D. This generalizes a previous result of Ancona [2], obtained under an condition on b, to a Kato condition on . Received: 21 April 1998 / in final form 26 March 1999     

Existence of bounded solutions for nonlinear elliptic equations in unbounded domains

In this paper we study the existence of bounded weak solutions for some nonlinear Dirichlet problems in unbounded domains. The principal part of the operator behaves like the p-laplacian operator, and the lower order terms, which depend on the solution u and its gradient u, have a power growth of order p–1 with respect to these variables, while they are bounded in the x variable. The source term belongs to a Lebesgue space with a prescribed asymptotic behaviour at infinity.     

Brownian motion on a homogeneous random fractal

Summary We introduce a simple random fractal based on the Sierpinski gasket and construct a Brownian motion upon the fractal. The properties of the process on the Sierpinski gasket are modified by the random environment. A sample path construction of the process via time truncation is used, which is a direct construction of the process on the fractal from the associated Dirichlet forms. We obtain estimates on the resolvent and transition density for the process and hence a value for the spectral dimension which satisfiesd _s=2d _f/d_w. A branching process in a random environment can be used to deduce some of the sample path properties of the process.     

Existence of solutions to quasi-linear elliptic problems with generalized Robin boundary conditions

We characterize the L^q-solvability of a class of quasi-linear elliptic equations involving the p-Laplace operator with generalized nonlinear Robin type boundary conditions on bad domains. Some uniqueness results are also given.     

Existence and non-existence of solutions for a class of Monge-Ampère equations

We study the boundary value problems for Monge-Ampère equations: detD²u=e−u in Ω⊂Rn, n?1, u_|∂Ω=0. First we prove that any solution on the ball is radially symmetric by the argument of moving plane. Then we show there exists a critical radius such that if the radius of a ball is smaller than this critical value there exists a solution, and vice versa. Using the comparison between domains we can prove that this phenomenon occurs for every domain. Finally we consider an equivalent problem with a parameter detD²u=e−tu in Ω, u_|∂Ω=0, t?0. By using Lyapunov-Schmidt reduction method we get the local structure of the solutions near a degenerate point; by Leray-Schauder degree theory, a priori estimate and bifurcation theory we get the global structure.     

Estimates of transition densities for Brownian motion on nested fractals

Summary We obtain upper and lower bounds for the transition densities of Brownian motion on nested fractals. Compared with the estimate on the Sierpinski gasket, the results require the introduction of a new exponent,d _J, related to the shortest path metric and chemical exponent on nested fractals. Further, Hölder order of the resolvent densities, sample paths and local times are obtained. The results are obtained using the theory of multi-type branching processes.     

Markov snakes and superprocesses

Summary We suggest the name Markov snakes for a class of path-valued Markov processes introduced recently by J.-F. Le Gall in connection with the theory of branching measure-valued processes. Le Gall applied this class to investigate path properties of superdiffusions and to approach probabilistically partial differential equations involving a nonlinear operator v–v ². We establish an isomorphism theorem which allows to translate results on continuous superprocesses into the language of Markov snakes and vice versa. By using this theorem, we get limit theorems for discrete Markov snakes.Partially supported by National Science Foundation Grant DMS-9301315 and by The US Army Research Office through the Mathematical Sciences Institute at Cornell University     

The Brownian snake and solutions of Δu=u 2 in a domain

Summary We investigate the connections between the path-valued process called the Brownian snake and nonnegative solutions of the partial differential equation u=u ² in a domain of ^d . In particular, we prove two conjectures recently formulated by Dynkin. The first one gives a complete characterization of the boundary polar sets, which correspond to boundary removable singularities for the equation u=u ². The second one establishes a one-to-one correspondence between nonnegative solutions that are bounded above by a harmonic function, and finite measures on the boundary that do not charge polar sets. This correspondence can be made explicit by a probabilistic formula involving a special class of additive functionals of the Brownian snake. Our proofs combine probabilistic and analytic arguments. An important role is played by a new version of the special Markov property, which is of independent interest.     

Exit time and invariant measure asymptotics for small noise constrained diffusions

Constrained diffusions, with diffusion matrix scaled by small ?>0, in a convex polyhedral cone G⊂R^k, are considered. Under suitable stability assumptions small noise asymptotic properties of invariant measures and exit times from domains are studied. Let B⊂G be a bounded domain. Under conditions, an “exponential leveling” property that says that, as ?→0, the moments of functionals of exit location from B, corresponding to distinct initial conditions, coalesce asymptotically at an exponential rate, is established. It is shown that, with appropriate conditions, difference of moments of a typical exit time functional with a sub-logarithmic growth, for distinct initial conditions in suitable compact subsets of B, is asymptotically bounded. Furthermore, as initial conditions approach 0 at a rate ?² these moments are shown to asymptotically coalesce at an exponential rate.     

Nonexistence of solutions for singular quasilinear differential inequalities with a gradient nonlinearity

This paper is devoted to prove some new nonexistence theorems for the singular quasilinear differential inequalities with a gradient nonlinearity in bounded and unbounded domains. The proofs are based on the test function method developed by Mitidieri and Pohozaev.