Brownian Processes for Monte Carlo Integration on Compact Lie Groups

This article proposes a Monte Carlo approach for the evaluation of integrals of smooth functions defined on compact Lie groups. The approach is based on the ergodic property of Brownian processes in compact Lie groups. The article provides an elementary proof of this property and obtains the following results. It gives the rate of almost sure convergence of time averages along with a “large deviations” type upper bound and a central limit theorem. It derives probability of error bounds for uniform approximation of the paths of Brownian processes using two numerical schemes. Finally, it describes generalization to compact Riemannian manifolds.     

On a class of stochastic flows driven by quantum Brownian motion

A class of quantum stochastic flows on^*-algebras is introduced which includes both classical flows on Riemannian manifolds and flows induced by Lie group actions onC ^*-algebras. Criteria are established to determine those flows which are unitarily equivalent to ones driven by classical Brownian motion. It is shown that taking complex combinations of the driving coefficients of such flows gives rise to flows which are not of Evans-Hudson type (i.e., all driving coefficients do not preserve the relevant algebra).     

Integration by parts on the Brownian Meander

We prove infinite-dimensional integration by parts formulae for the laws of the Brownian Meander, of the Bessel Bridge of dimension 3 between and of the Brownian Motion on the set of all paths taking values greater than or equal to a nonpositive constant. We give applications to SPDEs with reflection.

     

Lower classes for fractional Brownian motion

We characterize the lower classes of fractional Brownian motion by an integral test.Work partially supported by an NSF grant. Equipe d'Analyse, Tour 46, U.A. at C.N.R.S. n^o 754, Université Paris VI, 4 place Jussieu, 75230 Paris Cedex 05, and Department of Mathematics, 231 West 18th Avenue, Columbus, Ohio 43210.     

Brownian motion and algorithm complexity

The Brownian motion is shown to be a useful tool in analysing some sorting and tree manipulation algorithms.     

More on maximal inequalities for sub-fractional Brownian motion

Abstract

We derive some maximal inequalities for the sub-fractional Brownian motion using comparison theorems for Gaussian processes.     

Chung's law for integrated Brownian motion

The small ball problem for the integrated process of a real-valued Brownian motion is solved. In sharp contrast to more standard methods, our approach relies on the sample path properties of Brownian motion together with facts about local times and Lévy processes.

     

Discrete Lagrange problems with constraints valued in a Lie group

The Lagrange problem is established in the discrete field theory subject to constraints with values in a Lie group. For the admissible sections that satisfy a certain regularity condition, we prove that the critical sections of such problems are the solutions of a canonically unconstrained variational problem associated with the Lagrange problem (discrete Lagrange multiplier rule). This variational problem has a discrete Cartan 1-form, from which a Noether theory of symmetries and a multisymplectic form formula are established. The whole theory is applied to the Euler-Poincaré reduction in the discrete field theory, concluding as an illustration with the remarkable example of the harmonic maps of the discrete plane in the Lie group $SO(n)$.     

Some properties of the sub-fractional Brownian motion

We study several properties of the sub-fractional Brownian motion (fBm) introduced by Bojdecki et al. related to those of the fBm. This process is a self-similar Gaussian process depending on a parameter H ∈ (0, 2) with non stationary increments and is a generalization of the Brownian motion (Bm).

The strong variation of the indefinite stochastic integral with respect to sub-fBm is also discussed.     

The heat semigroup and Brownian motion on strip complexes

We introduce the notion of strip complex. A strip complex is a special type of complex obtained by gluing “strips” along their natural boundaries according to a given graph structure. The most familiar example is the one-dimensional complex classically associated with a graph, in which case the strips are simply copies of the unit interval (our setup actually allows for variable edge length). A leading key example is treebolic space, a geometric object studied in a number of recent articles, which arises as a horocyclic product of a metric tree with the hyperbolic plane. In this case, the graph is a regular tree, the strips are [0,1]×R, and each strip is equipped with the hyperbolic geometry of a specific strip in upper half plane. We consider natural families of Dirichlet forms on a general strip complex and show that the associated heat kernels and harmonic functions have very strong smoothness properties. We study questions such as essential self-adjointness of the underlying differential operator acting on a suitable space of smooth functions satisfying a Kirchhoff type condition at points where the strip complex bifurcates. Compatibility with projections that arise from proper group actions is also considered.     

一类幂零群上的特征值问题及估计

本文对幂零Lie群H_n×R^k上的Laplace算子,利用酉表示理论证明了它在全空间上无特征值存在,通过推广Friedrichs方法证明了在有界域上存在一列离散特征值,最后通过建立不变向量场之间的关系给出了特征值之差的估计.     

Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion

We prove the Malliavin regularity of the solution of a stochastic differential equation driven by a fractional Brownian motion of Hurst parameter H>0.5$H>0.5$. The result is based on the Fréchet differentiability with respect to the input function for deterministic differential equations driven by Hölder continuous functions. It is also shown that the law of the solution has a density with respect to the Lebesgue measure, under a suitable nondegeneracy condition.     

An approach to generate deterministic Brownian motion

We propose an approach for generation of deterministic Brownian motion. By adding an additional degree of freedom to the Langevin equation and transforming it into a system of three linear differential equations, we determine the position of switching surfaces, which act as a multi-well potential with a short fluctuation escape time. Although the model is based on the Langevin equation, the final system does not contain a stochastic term, and therefore the obtained motion is deterministic. Nevertheless, the system behavior exhibits important characteristic properties of Brownian motion, namely, a linear growth in time of the mean square displacement, a Gaussian distribution, and a −2 power law of the frequency spectrum. Furthermore, we use the detrended fluctuation analysis to prove the Brownian character of this motion.     

On the Wiener integral with respect to a sub-fractional Brownian motion on an interval

The domain of the Wiener integral with respect to a sub-fractional Brownian motion , , k≠0, is characterized. The set is a Hilbert space which contains the class of elementary functions as a dense subset. If , any element of is a function and if , the domain is a space of distributions.     

Optimal estimation of a signal perturbed by a sub-fractional Brownian motion

We consider the problem of optimal estimation of the vector parameter θ of the drift term in a sub-fractional Brownian motion. We obtain the maximum likelihood estimator as well as Bayesian estimator when the prior distribution is Gaussian.     

Brownian motion on volume preserving diffeomorphisms group and existence of global solutions of 2D stochastic Euler equation

A geometric Brownian motion performs a continuous time infinitesimal perturbation of the state of the system; this perturbation conserves the energy; exact expression for the energy transfer towards high modes is obtained ensuring existence for all time of the solution.     

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.