On the continuity of Ornstein-Uhlenbeck processes in infinite dimensions

Summary Existence and continuity of Ornstein-Uhlenbeck processes in Banach and Hilbert spaces are investigated under various assumptions.This work was partly written when W. Smoleski visited the Mathematics Department in Angers     

Connection between deriving bridges and radial parts from multidimensional Ornstein-Uhlenbeck processes

Summary First we give a construction of bridges derived from a general Markov process using only its transition densities. We give sufficient conditions for their existence and uniqueness (in law). Then we prove that the law of the radial part of the bridge with endpoints zero derived from a special multidimensional Ornstein--Uhlenbeck process equals the law of the bridge with endpoints zero derived from the radial part of the same Ornstein--Uhlenbeck process. We also construct bridges derived from general multidimensional Ornstein--Uhlenbeck processes.     

On the Hencl's notion of absolute continuity

We prove that a slight modification of the notion of α-absolute continuity introduced in [D. Bongiorno, Absolutely continuous functions in , J. Math. Anal. Appl. 303 (2005) 119–134] is equivalent to the notion of n, λ-absolute continuity given by S. Hencl in [S. Hencl, On the notions of absolute continuity for functions of several variables, Fund. Math. 173 (2002) 175–189].     

Free Ornstein-Uhlenbeck processes

Free Ornstein-Uhlenbeck processes are studied in finite von Neumann algebras. It is shown that a free self-decomposable probability measure on R can be realized as the distribution of a stationary free Ornstein-Uhlenbeck process driven by a free Levy process. A characterization of a probability measure on R to be the stationary distribution of a periodic free Ornstein-Uhlenbeck process driven by a free Levy process is given in terms of the Levy measure of the measure. Finally, the notion of a free fractional Brownian motion is introduced. It is proved that the free stochastic differential equation driven by a fractional free Brownian motion has a unique solution. We call the solution a fractional free Ornstein-Uhlenbeck process.     

Critical Ornstein-Uhlenbeck processes

The Ornstein-Uhlenbeck position process with the invariant measure is shown to satisfy a variational principle quite analogous to Hamilton's least action principle of classical mechanics. To prove this, a stochastic calculus of variations is developed for processes with differentiable sample paths, and which form a diffusion together with their derivative. The key tool in the derivation of stochastic Euler-Lagrange-type equations is a symmetric variant of Nelson's integration by parts formula for semimartingales simultaneously adapted to an increasing and a decreasing family of-algebras. An energy conservation theorem is also proved.     

On the absolute continuity of distributions of occupation times

Some results about the structure of distributions for occupation times

On the absolute continuity of the roots of some algebraic equations

We prove that for every polynomial of degreem≤3, with coefficients depending smoothly on a real parametert, it is possible to select am-tuple of roots absolutely continuous int.

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Sunto Proviamo che per ogni polinomio di gradom≤3, i cui coefficienti dipendano con sufficiente regolarità da un parametro realet, si possono selezionarem radici (indipendenti) che sono assolutamente continue int.

     

Ornstein-Uhlenbeck processes on Lie groups

We consider Ornstein-Uhlenbeck processes (OU-processes) associated to hypo-elliptic diffusion processes on finite-dimensional Lie groups: let L be a hypo-elliptic, left-invariant “sum of the squares”-operator on a Lie group G with associated Markov process X, then we construct OU-processes by adding negative horizontal gradient drifts of functions U. In the natural case U(x)=−logp(1,x), where p(1,x) is the density of the law of X starting at identity e at time t=1 with respect to the right-invariant Haar measure on G, we show the Poincaré inequality by applying the Driver-Melcher inequality for “sum of the squares” operators on Lie groups. The resulting Markov process is called the natural OU-process associated to the hypo-elliptic diffusion on G. We prove the global strong existence of these OU-type processes on G under an integrability assumption on U. The Poincaré inequality for a large class of potentials U is then shown by a perturbation technique. These results are applied to obtain a hypo-elliptic equivalent of standard results on cooling schedules for simulated annealing on compact homogeneous spaces M.     

ON LOCAL CONTINUITY MODULI FOR GAUSSIAN PROCESSES

ＬＵＣＨＵＡＮＲＯＮＧ（陆传荣）（ＤｅｐａｒｔｍｅｎｔｏｆＭａｔｈｅｍａｔｉｃｓ，ＨａｎｇｚｈｏｕＵｎｉｖｅｒｓｉｔｙ，Ｈａｎｇｚｈｏｕ３１００２８，Ｃｈｉｎａ）（ＴｈｉｓｗｏｒｋｉｓｓｕｐｐｏｒｔｅｄｂｙｔｈｅＮａｔｉｏｎａｌＮａｔｕｒａｌＳｃｉｅ...     

Gradient estimate for Ornstein-Uhlenbeck jump processes

By using absolutely continuous lower bounds of the Lévy measure, explicit gradient estimates are derived for the semigroup of the corresponding Lévy process with a linear drift. A derivative formula is presented for the conditional distribution of the process at time t under the condition that the process jumps before t. Finally, by using bounded perturbations of the Lévy measure, the resulting gradient estimates are extended to linear SDEs driven by Lévy-type processes.     

Densities for Ornstein-Uhlenbeck processes with jumps

We consider an Ornstein–Uhlenbeck process with valuesin ⁿ driven by a Lévy process (Z_t) taking values in ^dwith d possibly smaller than n. The Lévy noise can havea degenerate or even vanishing Gaussian component. Under a controllabilityrank condition and a mild assumption on the Lévy measureof (Z_t), we prove that the law of the Ornstein–Uhlenbeckprocess at any time t > 0 has a density on ⁿ. Moreover, whenthe Lévy process is of -stable type, (0, 2), we showthat such density is a C-function.     

On finiteness and continuity of shot noise processes

For a rather general class of stochastic processes induced by time-stationary and by event-stationary random marked point processes, respectively, conditions are given for the almost sure finiteness of these processes and for their continuous dependence on the underlying random marked point process.     

Modulus of continuity of the matrix absolute value

Lipschitz continuity of the matrix absolute value |A| = (A*A)^1/2 is studied. Let A and B be invertible, and let M ₁ = max(‖A‖, ‖B‖), M ₂ = max(‖A ⁻¹‖, ‖B ⁻¹‖). Then it is shown that