Almost sure Kallianpur–Robbins laws for Brownian motion in the plane

The Kallianpur–Robbins law describes the long term asymptotic behaviour of integrable additive functionals of Brownian motion in the plane. In this paper we prove an almost sure version of this result. It turns out that, differently from many known results, this requires an iterated logarithmic average. A similar result is obtained for the small scales asymptotic by means of an ergodic theorem of Chacon–Ornstein type, which allows an exceptional set of scales. Received: 8 May 1998 / Revised version: 1 December 1999 / Published online: 8 August 2000     

Some exact equivalents for the Brownian motion in Hölder norm

Summary Some exact equivalents of small probabilities are given for the Wiener measure on spaces of Hölder paths. It turns out that most of them are easier to derive than their counterparts in the uniform norm because of a classical result of Z. Ciesielski which makes the Brownian motion on these spaces easy to handle. In particular we study the equivalents of the probability of B in a fixed ball, ofB in a small ball and we give applications to the speed of clustering in Strassen law.     

An action functional for Lévy Brownian motion

Stoll's construction [7] of Lévy Brownian motion l on ^d as a white noise integral is used to obtain an action functional I(x) defined for the surfaces x of l. This provides a Cameron-Martin formula for translation of Lévy measure , and also a large deviation principle for scaled Lévy measures . Proofs follow the lines of [2], where nonstandard techniques were used to give natural proofs of the corresponding results for Wiener measure.The research for this paper was supported partly by a grant from the SERC.     

On Itô s formula for multidimensional Brownian motion

Consider a d-dimensional Brownian motion X = (X ¹,…,X ^d ) and a function F which belongs locally to the Sobolev space W ^1,2. We prove an extension of It? s formula where the usual second order terms are replaced by the quadratic covariations [f _k (X), X ^k ] involving the weak first partial derivatives f _k of F. In particular we show that for any locally square-integrable function f the quadratic covariations [f(X), X ^k ] exist as limits in probability for any starting point, except for some polar set. The proof is based on new approximation results for forward and backward stochastic integrals. Received: 16 March 1998 / Revised version: 4 April 1999     

Can properly discounted projects follow geometric Brownian motion?

The geometric Brownian motion is routinely used as a dynamic model of underlying project value in real option analysis, perhaps for reasons of analytic tractability. By characterizing a stochastic state variable of future cash flows, this paper considers how transformations between a state variable and cash flows are related to project volatility and drift, and specifies necessary and sufficient conditions for project volatility and drift to be time-varying, a topic that is important for real option analysis because project value and its fluctuation can only seldom be estimated from data. This study also shows how fixed costs can cause project volatility to be mean-reverting. We conclude that the conditions of geometric Brownian motion can only rarely be met, and therefore real option analysis should be based on models of cash flow factors rather than a direct model of project value.     

Exit times from cones in ℝ n of Brownian motion

Summary For a fairly general class of cones inn dimensions (n3) we determine the corresponding distributions of Brownian first exit times. Asymptotic results may then be read off.This paper is a generalization of the author's Ph.D. dissertation completed in May 1984 at the Massachusetts Institute of Technology under the supervision of Professor R.M. DudleyThis research was supported in part by NSF grant DMS-8301367     

Quasi sure large deviation for increments of fractional Brownian motion in Hölder norm

In this paper, we first prove Schilder's theorem in Hölder norm (0 ≤ α <1) with respect to Cr,p-capacity. Then, based on this result, we further prove a sharpening of large deviation principle for increments of fractional Brownian motion for C_r,p-capacity in the stronger topology.     

Chung’s law of the iterated logarithm for subfractional Brownian motion

Let X~H= {X~H(t), t ∈ R_+} be a subfractional Brownian motion in R~d. We provide a sufficient condition for a self-similar Gaussian process to be strongly locally nondeterministic and show that X~H has the property of strong local nondeterminism. Applying this property and a stochastic integral representation of X~H, we establish Chung's law of the iterated logarithm for X~H.     

The α-orthogonal complements of regular Dirichlet subspaces for one-dimensional Brownian motion

Roughly speaking a regular Dirichlet subspace of a Dirichlet form is a subspace which is also a regular Dirichlet form on the same state space. In particular, the domain of regular Dirichlet subspace is a closed subspace of the Hilbert space induced by the domain and α-inner product of original Dirichlet form. We investigate the orthogonal complement of regular Dirichlet subspace for one-dimensional Brownian motion in this paper. Our main results indicate that this orthogonal complement has a very close connection with theα-harmonic equation under Neumann type condition.     

Asymptotics for stochastic reaction–diffusion equation driven by subordinate Brownian motion

We study the ergodicity of stochastic reaction–diffusion equation driven by subordinate Brownian motion. After establishing the strong Feller property and irreducibility of the system, we prove the tightness of the solution’s law. These properties imply that this stochastic system admits a unique invariant measure according to Doob’s and Krylov–Bogolyubov’s theories. Furthermore, we establish a large deviation principle for the occupation measure of this system by a hyper-exponential recurrence criterion. It is well known that S(P)DEs driven by $\alpha$-stable type noises do not satisfy Freidlin–Wentzell type large deviation, our result gives an example that strong dissipation overcomes heavy tailed noises to produce a Donsker–Varadhan type large deviation as time tends to infinity.     

Fekete and Szeg problem in one and higher dimensions

In this paper, we establish the Fekete and Szeg inequality for a class of holomorphic functions in the unit disk, and then we extend this result to a class of holomorphic mappings on the unit ball in a complex Banach space or on the unit polydisk in C~n.     

Li–Yorke chaos in higher dimensions: a review

Li and Yorke not only introduced the term “chaos” along with a mathematically rigorous definition of what they meant by it, but also gave a condition for chaos in scalar difference equations, their equally famous “period three implies chaos” result. Generalizations of the Li and Yorke definition of chaos to difference equations in ? ⁿ are reviewed here as well as higher dimensional conditions ensuring its existence, specifically the “snap-back repeller” condition of Marotto and its counterpart for saddle points. In addition, further generalizations to mappings in Banach spaces and complete metric spaces are considered. These will be illustrated with various simple examples including an application to chaotic dynamics on the metric space (?  ⁿ , D) of fuzzy sets on the base space ? ⁿ .     

Can piracy lead to higher prices in the music and motion picture industries?

Piracy of copyrighted goods has received increased attention in the literature. Much of this research has focused on pricing policies, protection against piracy, and governmental policies in the software industries. In this paper, we focus on pricing policies of producers in the music and motion picture industries. Exact analytical results are difficult to obtain; therefore, we develop an approximating function of the cumulative demand. This enables us to obtain closed-form expressions for the optimal price. Our results show that the existence of piracy in these industries and the lack of positive network externalities may cause monopolists to charge higher prices to optimize profits. These prices increase with increases in the speed of piracy and longer product lifecycles. We demonstrate the accuracy of our demand approximation function using a numerical experiment. We show how a two-price strategy and dual distribution channels may help in reducing the negative effects of piracy. We perform some numerical sensitivity analysis and provide managerial insights.     

Are external perturbations responsible for chaotic motion in galaxies?

We study the nature of motion in a logarithmic galactic dynamical model, with an additional external perturbation. Two different cases are investigated. In the first case the external perturbation is fixed, while in the second case it is varying with the time. Numerical experiments suggest, that responsible for the chaotic phenomena is the external perturbation, combined with the dense nucleus. Linear relationships are found to exist, between the critical value of the angular momentum and the dynamical parameters of the galactic system that is, the strength of the external perturbation, the flattening parameter and the radius of the nucleus. Moreover, the extent of the chaotic regions in the phase plane, increases linearly as the strength of the external perturbation and the flattening parameter increases. On the contrary, we observe that the percentage covered by chaotic orbits in the phase plane, decreases linearly, as the scale length of the nucleus increases, becoming less dense. Theoretical arguments are used to support and explain the numerically obtained outcomes. A comparison of the present outcomes with earlier results is also presented.     

The Kolmogorov–Čentsov theorem and Brownian motion in vector lattices

The well known Kolmogorov–?entsov theorem is proved in a Dedekind complete vector lattice (Riesz space) with weak order unit on which a strictly positive conditional expectation is defined. It gives conditions that guarantee the Hölder-continuity of a stochastic process in the space. We discuss the notion of independence of projections and elements in the vector lattice and use this together with the Kolmogorov–?entsov theorem to give an abstract definition of Brownian motion in a vector lattice. This definition captures the fact that the increments in a Brownian motion are normally distributed and that the paths are continuous.