Stochastic partial differential equations in M-type 2 Banach spaces

We study abstract stochastic evolution equations in M-type 2 Banach spaces. Applications to stochastic partial differential equations inL ^p spaces withp2 are given. For example, solutions of such equations are Hölder continuous in the space variables.The author is an Alexander von Humboldt Stiftung fellow     

On the regularization effect of space-time white noise on quasi-linear parabolic partial differential equations

Summary We show that an existence and uniqueness and a comparison theorem hold if we add a space time white noise to a quasi-linear parabolic equation in one space dimension, even if the nonlinearity is only measurable and not even locally bounded.Research supported by the Hungarian National Foundation of Scientific Research No. 2290. Université de Provence (Aix-Marseille I), Mathématiques Case 64, Place Victor Hugo, 13331 Marseille, Cedex 3 (for the academic year 1991/92)Partially supported by DRET under contract 901636/A000/DS/SR     

Wick calculus in Gaussian analysis

We define an extension of the distribution spaces conventionally used in Gaussian analysis. This space, characterized by analytic properties of S-transforms, allows for a calculus based on the Wick product. We indicate some of its features.     

Positive matrix functions on the bitorus with prescribed Fourier coefficients in a band

Let S be a band in Z² bordered by two parallel lines that are of equal distance to the origin. Given a positive definite ¹ sequence of matrices {c_j}_jS we prove that there is a positive definite matrix function f in the Wiener algebra on the bitorus such that the Fourier coefficients equal c_k for k S. A parameterization is obtained for the set of all positive extensions f of {c_j}_jS. We also prove that among all matrix functions with these properties, there exists a distinguished one that maximizes the entropy. A formula is given for this distinguished matrix function. The results are interpreted in the context of spectral estimation of ARMA processes.     

White noise driven SPDEs with reflection

Summary We study reflected solutions of a nonlinear heat equation on the spatial interval [0, 1] with Dirichlet boundary conditions, driven by space-time white noise. The nonlinearity appears both in the drift and in the diffusion coefficient. Roughly speaking, at any point (t, x) where the solutionu(t, x) is strictly positive it obeys the equation, and at a point (t, x) whereu(t, x) is zero we add a force in order to prevent it from becoming negative. This can be viewed as an extension both of one-dimensional SDEs reflected at 0, and of deterministic variational inequalities. Existence of a minimal solution is proved. The construction uses a penalization argument, a new existence theorem for SPDEs whose coefficients depend on the past of the solution, and a comparison theorem for solutions of white-noise driven SPDEs.Partially supported by DRET under contract 901636/A000/DRET/DS/SR     

White noise driven quasilinear SPDEs with reflection

Summary We study reflected solutions of the heat equation on the spatial interval [0, 1] with Dirichlet boundary conditions, driven by an additive space-time white noise. Roughly speaking, at any point (x, t) where the solutionu(x, t) is strictly positive it obeys the equation, and at a point (x, t) whereu(x, t) is zero we add a force in order to prevent it from becoming negative. This can be viewed as an extension both of one-dimensional SDEs reflected at 0, and of deterministic variational inequalities. An existence and uniqueness result is proved, which relies heavily on new results for a deterministic variational inequality.INRIAPartially supported by DRET under contract 901636/A000/DRET/DS/SR     

Exponential ergodicity and regularity for equations with Lévy noise

We prove exponential convergence to the invariant measure, in the total variation norm, for solutions of SDEs driven by α-stable noises in finite and in infinite dimensions. Two approaches are used. The first one is based on Liapunov’s function approach by Harris, and the second on Doeblin’s coupling argument in [8]. Irreducibility and uniform strong Feller property play an essential role in both approaches. We concentrate on two classes of Markov processes: solutions of finite dimensional equations, introduced in [27], with Hölder continuous drift and a general, non-degenerate, symmetric α-stable noise, and infinite dimensional parabolic systems, introduced in [29], with Lipschitz drift and cylindrical α-stable noise. We show that if the nonlinearity is bounded, then the processes are exponential mixing. This improves, in particular, an earlier result established in [28], with a different method.     

Positive one-parameter semigroups on ordered banach spaces

In this review we describe the basic structure of positive continuous one-parameter semigroups acting on ordered Banach spaces. The review is in two parts.First we discuss the general structure of ordered Banach spaces and their ordered duals. We examine normality and generation properties of the cones of positive elements with particular emphasis on monotone properties of the norm. The special cases of Banach lattices, order-unit spaces, and base-norm spaces, are also examined.Second we develop the theory of positive strongly continuous semigroups on ordered Banach spaces, and positive weak^*-continuous semigroups on the dual spaces. Initially we derive analogues of the Feller-Miyadera-Phillips and Hille-Yosida theorems on generation of positive semigroups. Subsequently we analyse strict positivity, irreducibility, and spectral properties, in parallel with the Perron-Frobenius theory of positive matrices.     

Confined Banach spaces

We discuss smoothness of theWeyl functional calculus and use it to prove that every C*-algebra is a confined Banach space. Received: 17 August 2005     

<Emphasis Type="Italic">L</Emphasis><Superscript><Emphasis Type="Italic">p</Emphasis></Superscript> estimates for the uniform norm of solutions of quasilinear SPDE's

In this paper we prove L^p estimates (p≥2) for the uniform norm of the paths of solutions of quasilinear stochastic partial differential equations (SPDE) of parabolic type. Our method is based on a version of Moser's iteration scheme developed by Aronson and Serrin in the context of non-linear parabolic PDE.     

Hedging electricity swaptions using partial integro-differential equations

The basic contracts traded on energy exchanges are swaps involving the delivery of electricity for fixed-rate payments over a certain period of time. The main objective of this article is to solve the quadratic hedging problem for European options on these swaps, known as electricity swaptions. We consider a general class of Hilbert space valued exponential jump-diffusion models. Since the forward curve is an infinite-dimensional object, but only a finite set of traded contracts are available for hedging, the market is inherently incomplete. We derive the optimization problem for the quadratic hedging problem under the risk neutral measure and state a representation of its solution, which is the starting point for numerical algorithms.     

Generic convergence of infinite products of positive linear operators

We present several results concerning the asymptotic behavior of (random) infinite products of generic sequences of positive linear operators on an ordered Banach space. In addition to a weak ergodic theorem we also obtain convergence to an operator of the formf(·) wheref is a continuous linear functional and is a common fixed point.     

Existence and instability of spike layer solutions to singular perturbation problems

An abstract framework is given to establish the existence and compute the Morse index of spike layer solutions of singularly perturbed semilinear elliptic equations. A nonlinear Lyapunov-Schmidt scheme is used to reduce the problem to one on a normally hyperbolic manifold, and the related linearized problem is also analyzed using this reduction. As an application, we show the existence of a multi-peak spike layer solution with peaks on the boundary of the domain, and we also obtain precise estimates of the small eigenvalues of the operator obtained by linearizing at a spike layer solution.     

Defect operators, defect functions and defect indices for analytic submodules

This paper mainly concerns defect operators and defect functions of Hardy submodules, Bergman submodules over the unit ball, and Hardy submodules over the polydisk. The defect operator (function) carries key information about operator theory (function theory) and structure of analytic submodules. The problem when a submodule has finite defect is attacked for both Hardy submodules and Bergman submodules. Our interest will be in submodules generated by polynomials. The reason for choosing such submodules is to understand the interaction of operator theory, function theory and algebraic geometry.     

Minimal number of idempotent generators for certain algebras

It is known [KRS] that for each finitely generated Banach algebra there exists a numberN such that for eachn>N the matrix algebras can be generated by three idempotents. In this paper we show that the same statement is true for direct sums and , where is a finitely generated free algebra, i.e. polynomials in several non-commuting variables. These results are new even for algebras because the numberN we obtain here improves known estimates (see for example [R]). We show that the algebra can be generated by two idempotents if and only ifn _j =2 for eachj and is singly generated. Also we give an example of a free singly generated algebra for which can not be generated by two idempotents. But% MathType!MTEF!2!1!+-% feaafiart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr% 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq-Jc9% vqaqpepm0xbba9pwe9Q8fs0-yqaqpepae9pg0FirpepeKkFr0xfr-x% fr-xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaWefv3ySLgznf% gDOfdaryqr1ngBPrginfgDObYtUvgaiuaacuWFSeIqgaacaaaa!409A!\[{\tilde {\cal B}}\] can be generated by three idempotents for each singly generated free algebra .