A Decomposition Theorem for Lévy Processes on Local Fields

The study of Lévy processes on local fields has been initiated by Albeverio et al. (1985)–(1998) and Evans (1989)–(1998). In this paper, a decomposition theorem for Lévy processes on local fields is given in terms of a structure result for measures on local fields and a Lévy–Khinchine representation. It is shown that a measure on a local field can be decomposed into three parts: a spherically symmetric measure, a totally non-spherically symmetric measure and a singular measure. We show that if the Radon–Nikodym derivative of the absolutely continuous part of a Lévy measure on a local field is locally constant, the Lévy process is the sum of a spherically symmetric random walk, a finite or countable set of totally non, spherically symmetric Lévy processes with single balls as support of their Lévy measure, end a singular Lévy process. These processes are independent. Explicit formulae for the transition function are obtained.     

The Lévy-Itô decomposition in free probability

In this paper we prove the free analog of the Lévy-Itô decomposition for Lévy processes. A significant part of the proof consists of introducing free Poisson random measures, proving their existence and developing a theory of integration with respect to such measures. The existence of free Poisson random measures also yields, via the free Lévy-Itô decomposition, an alternative proof of the general existence of free Lévy processes (in law).MaPhySto – The Danish National Research Foundation Network in Mathematical Physics and StochasticsSupported by the Danish Natural Science Research CouncilMathematics Subject Classification (2000): Primary 46L54; Secondary 60G20, 60G57Acknowledgement We are grateful to the referee for many helpful remarks.     

White Noise of Poisson Random Measures

We develop a white noise theory for Poisson random measures associated with a pure jump Lévy process. The starting point of this theory is the chaos expansion of Itô. We use this to construct the white noise of a Poisson random measure, which takes values in a certain distribution space. Then we show, how a Skorohod/Itô integral for point processes can be represented by a Bochner integral in terms of white noise of the random measure and a Wick product. Further, based on these concepts we derive a generalized Clark–Haussmann–Ocone theorem with respect to a combination of Gaussian noise and pure jump Lévy noise. We apply this theorem to obtain an explicit formula for partial observation minimal variance portfolios in financial markets, driven by Lévy processes. As an example we compute the closest hedge to a binary option.     

Quantum Lévy processes on dual groups

We present a theory of quantum (non-commutative) Lévy processes on dual groups which generalizes the theory of Lévy processes on bialgebras. It follows from a result of N. Muraki that there exist exactly 5 notions of non-commutative ‘positive’ stochastic independence. We show that one can associate a commutative bialgebra with each pair consisting of a dual group and one of the 5 notions of independence. This construction is related to a construction of U. Franz. Our construction has the advantage that the important case of free independence is included. We show that Lévy processes are given by their generators which are precisely the conditonally positive linear functionals on the dual group.Supported by the European Research Training Network “Quantum Probability with Applications to Physics, Information Theory and Biology”     

Asymptotics of First-Passage Time Over a One-Sided Stochastic Boundary

We study the asymptotic behavior of the first-passage times for Brownian motion, Lévy processes and continuous martingales over one-sided increasing stochastic, as well as deterministic, boundaries. In particular, we study the first-passage time of a Brownian motion over the increasing function of its local time, give necessary and sufficient conditions for t ^–1/2 asymptotics, and obtain exact asymptotics for linear functions.     

Gated Polling Systems with Lévy Inflow and Inter-Dependent Switchover Times: A Dynamical-Systems Approach

We study asymmetric polling systems where: (i) the incoming workflow processes follow general Lévy-subordinator statistics; and, (ii) the server attends the channels according to the gated service regime, and incurs random inter-dependentswitchover times when moving from one channel to the other. The analysis follows a dynamical-systems approach: a stochastic Poincaré map, governing the one-cycle dynamics of the polling system is introduced, and its statistical characteristics are studied. Explicit formulae regarding the evolution of the mean, covariance, and Laplace transform of the Poincaré map are derived. The forward orbit of the maps transform – a nonlinear deterministic dynamical system in Laplace space – fully characterizes the stochastic dynamics of the polling system. This enables us to explore the long-term behavior of the system: we prove convergence to a (unique) steady-state equilibrium, prove the equilibrium is stationary, and compute its statistical characteristics.     

Lévy-Driven Carma Processes

Properties and examples of continuous-time ARMA (CARMA) processes driven by Lévy processes are examined. By allowing Lévy processes to replace Brownian motion in the definition of a Gaussian CARMA process, we obtain a much richer class of possibly heavy-tailed continuous-time stationary processes with many potential applications in finance, where such heavy tails are frequently observed in practice. If the Lévy process has finite second moments, the correlation structure of the CARMA process is the same as that of a corresponding Gaussian CARMA process. In this paper we make use of the properties of general Lévy processes to investigate CARMA processes driven by Lévy processes {W(t)} without the restriction to finite second moments. We assume only that W (1) has finite r-th absolute moment for some strictly positive r. The processes so obtained include CARMA processes with marginal symmetric stable distributions.     

Two-parameter Lévy processes: ItÔ formula,semigroups, and generators

We consider random Lévy fields, i.e., stationary fields continuous in probability and having independent increments. We prove that the trajectories of such fields have at most one jump on every line parallel to the axes. We derive an expression for the ItÔ change of variables for Lévy fields. We also consider semigroups generated by Lévy fields and their generators.Published in Ukrainskii Matematicheskii Zhurnal, Vol.47, No. 7, pp. 952–961, July, 1995.     

Lusternik–Schnirelmann category of non-simply connected compact simple Lie groups

Let FX→B be a fibre bundle with structure group G, where B is (d−1)-connected and of finite dimension, d1. We prove that the strong L–S category of X is less than or equal to , if F has a cone decomposition of length m under a compatibility condition with the action of G on F. This gives a consistent prospect to determine the L–S category of non-simply connected Lie groups. For example, we obtain cat(PU(n))3(n−1) for all n1, which might be best possible, since we have cat(PU(p^r))=3(p^r−1) for any prime p and r1. Similarly, we obtain the L–S category of SO(n) for n9 and PO(8). We remark that all the above Lie groups satisfy the Ganea conjecture on L–S category.     

The Jacobi Field of a Lévy Process

We derive an explicit formula for the Jacobi field that is acting in an extended Fock space and corresponds to an ( -valued) Lévy process on a Riemannian manifold. The support of the measure of jumps in the Lévy–Khintchine representation for the Lévy process is supposed to have an infinite number of points. We characterize the gamma, Pascal, and Meixner processes as the only Lévy process whose Jacobi field leaves the set of finite continuous elements of the extended Fock space invariant.     

Extensions of spaces with cylindrical measures and supports of measures determined by the Lévy Laplacian

Extensions of noncountably additive (cylindrical) measures are described, and examples of Hilbert supports of the Lévy-Gauss measure are given.Translated fromMatematicheskie Zametki, Vol. 64, No. 4, pp. 483–492, October, 1998.L. Accardi acknowledges partial support of the Russian Foundation for Basic Research under grant No. 96-01-00030.     

Donsker's Delta Function of Lévy Process

Let X={X(t):tR} be a Lévy process and a non-decreasing, right continuous, bounded function with (–)=0 (((1+u ²)/u ²)d(u) is the Lévy measure). In this paper we define the Donsker delta function (X(t)–a), t>0 and aR, as a generalized Lévy functional under the condition that (0)–(0–)>0. This leads us to define F(X(t)) for any tempered distribution F, and as an application, we derive an Itô formula for F(X(t)) when has jumps at 0 and 1.     

Méthodes de Nyström pour l'équation différentielley″=f(x,y)

Résumé Dans un récent article (Hairer-Wanner [1]) nous avons donné une théorie à l'aide de laquelle on peut facilement calculer les conditions d'ordre pour une méthode de Nyström. Ici nous montrons comment on peut résoudre ce système d'équations non-linéaires. Nous donnons de plus toutes les méthodes d'ordres pours=2, 3, 4 (oùs–1 indique le nombre d'évaluations de la fonction à chaque pas); des méthodes avec un paramètre d'ordres pours=5, 6 et des méthodes particulières d'ordres–1 pours=8, 9.

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Nyström methods for the differential equationy=f(x,y)

Summary In a recent paper (Hairer-Wanner [1]) we have given a theory with which it is easy to calculate the order conditions for Nyström methods. Here we show how it is possible to solve this system of non-linear algebraic equations. Moreover we present all methods of orders fors=2, 3, 4 (s–1 indicates the number of function evaluations per step); methods with one parameter of orders fors=5, 6 and some special methods of orders–1 fors=8, 9.

     

Milnor and ray-singer metrics on the equivariant determinant of a flat vector bundle

In this paper, we extend our previous results relating Milnor and Ray-Singer metrics on the determinant of the cohomology of a flat complex vector bundle to the equivariant case. Thus, we extend Lott and Rothenberg and Lück's theorems relating equivariant combinatorial and analytic torsions to flat vector bundles which are not necessarily unitarily flat.

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Résumé Dans cet article, on étend nos résultats antérieurs reliant les métriques de Milnor et de Ray-Singer sur le déterminant de la cohomologie d'un fibré complexe plat au cas équivariant. On étend ainsi des résultats de Lott et Rothenberg et Lück, qui relient les torisons combinatoires et analytiques dans le cas équivariant, à des fibrés non nécessairement unitairement plats.

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J.-M. Bismut remercie l'Institut Universitaire de France pour son soutien.

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W. Zhang remercie l'IHES pour son accueil pendant l'année universitaire 1992–1993.     

The Class of Distributions of Periodic Ornstein–Uhlenbeck Processes Driven by Lévy Processes

The class I(c) of stationary distributions of periodic Ornstein–Uhlenbeck processes with parameter c driven by Lévy processes is analyzed. A characterization of I(c) analogous to a well-known characterization of the selfdecomposable distributions is given. The relations between I(c) for varying values of c and the relations with the class of selfdecomposable distributions and with the nested classes L_m are discussed.     

Some characterizations of unimodal distribution functions

Let F be a distribution function and let Q _F(l)=0 for l<0 and Q _F(l)= sup {F(x+l)–F(x): x} for l0 be its Lévy concentration function. This paper has two purposes: to give a characterization of unimodal distribution functions (Theorem 3.5) and a representation theorem for the class of unimodal distribution functions (Theorem 6.2), both in terms of their Lévy concentration functions.Work supported by the Natural Sciences and Engineering Research Council Canada Grants A-7339 and A-7223, by the Québec Action Concertée Grant ER-1023, and by the Deutsche Forschungsgemeinschaft     

Various topologies in the Wiener space and Lévy's stochastic area

Summary In this paper, we observe how Lévy's stochastic area looks when we see it through various topologies in the Wiener space. Our theorem implies that it is quite natural from the viewpoint of topology to define a distinct skeleton of Lévy's stochastic areaS(w) for each distinct topology in the Wiener space, or equivalently, for each distinct abstract Wiener space on which the Wiener measure andS(w) are realized. Thus we cannot determine its intrinsic skeleton in the theory of abstract Wiener spaces.     

Analysis of generalized Lévy white noise functionals

Employing the Segal-Bargmann transform (S-transform for abbreviation) of regular Lévy white noise functionals, we define and study the generalized Lévy white noise functionals by means of their functional representations acting on test functionals. The main results generalize (Gaussian) white noise analysis initiated by T. Hida to non-Gaussian cases. Thanks to the closed form of the S-transform of Lévy white noise functionals obtained in our previous paper, we are able to define and study the renormalization of products of Lévy white noises, multiplication operator by Lévy white noises, and the differential operators with respect to a Lévy white noise and their adjoint operators. In the courses of our investigation we also obtain a formula for the products of multiple Lévy-Itô stochastic integrals. As applications, we discuss the existence of Hitsuda-Skorokhod integral for Lévy processes, Kubo-Takenaka formula for Lévy processes, and Itô formula for generalized Lévy white noise functionals.     

Probabilistic and fractal aspects of Lévy trees

We investigate the random continuous trees called Lévy trees, which are obtained as scaling limits of discrete Galton-Watson trees. We give a mathematically precise definition of these random trees as random variables taking values in the set of equivalence classes of compact rooted -trees, which is equipped with the Gromov-Hausdorff distance. To construct Lévy trees, we make use of the coding by the height process which was studied in detail in previous work. We then investigate various probabilistic properties of Lévy trees. In particular we establish a branching property analogous to the well-known property for Galton-Watson trees: Conditionally given the tree below level a, the subtrees originating from that level are distributed as the atoms of a Poisson point measure whose intensity involves a local time measure supported on the vertices at distance a from the root. We study regularity properties of local times in the space variable, and prove that the support of local time is the full level set, except for certain exceptional values of a corresponding to local extinctions. We also compute several fractal dimensions of Lévy trees, including Hausdorff and packing dimensions, in terms of lower and upper indices for the branching mechanism function which characterizes the distribution of the tree. We finally discuss some applications to super-Brownian motion with a general branching mechanism.