Skew-product decompositions of Brownian motions on manifolds: A probabilistic aspect of the Lichnerowicz-Szabo theorem

We show that the only compact simply connected manifolds for which the radial part of Brownian motion enjoys the Markov property are compact two points homogeneous spaces, i.e. rank one symmetric spaces.     

Log-Sobolev inequality on non-convex Riemannian manifolds

Counterexamples are constructed to show that when the second fundamental form of the boundary is bounded below by a negative constant, any curvature lower bound is not enough to imply the log-Sobolev inequality. This indicates that in the study of functional inequalities on non-convex manifolds, the concavity of the boundary cannot be compensated by the positivity of the curvature. Next, when the boundary is merely concave on a bounded domain, a criterion on the log-Sobolev inequality known for convex manifolds is proved. Finally, when the concave part of the boundary is unbounded, a Sobolev inequality for a weighted volume measure is established, which implies an explicit sufficient condition for the log-Sobolev inequality to hold on non-convex manifolds.     

Exit probability estimates for martingales in geodesic balls,using curvature

Summary Kallenberg and Sztencel have recently discovered exponential upper bounds, independent of dimension, on the probability that a vector martingale will exit from a ball in Euclidean space by timet. This article extends their results to martingales on Riemannian manifolds, including Brownian motion, and shows how exit probabilities depend on curvature. Using comparison with rotationally symmetric manifolds, these estimates are easily computable, and are sharp up to a constant factor in certain cases.     

Diffusions with singular drift related to wave functions

Summary Schrödinger equations are equivalent to pairs of mutually time-reversed non-linear diffusion equations. Here the associated diffusion processes with singular drift are constructed under assumptions adopted from the theory of Schrödinger operators, expressed in terms of a local space-time Sobolev space.By means of Nagasawa's multiplicative functionalN _s ^t , a Radon-Nikodym derivative on the space of continuous paths, a transformed process is obtained from Wiener measure. Its singular drift is identified by Maruyama's drift transformation. For this a version of Itô's formula for continuous space-time functions with first and second order derivatives in the sense of distributions satisfying local integrability conditions has to be derived.The equivalence is shown between weak solutions of a diffusion equation with singular creation and killing term and the solutions of a Feynman-Kac integral equation with a locally integrable potential function.     

Limiting angle of Brownian motion on certain manifolds

Summary. Suppose that M is a complete, simply connected Riemannian manifold of non-positive sectional curvature with dimension m ≧ 3. If, outside a fixed compact set, the sectional curvatures are bounded above by a negative constant multiple of the inverse of the square of the geodesic distance from a fixed point and below by another negative constant multiple of the square of the geodesic distance, then the angular part of Brownian motion on M tends to a limit as time tends to infinity, and the closure of the support of the distribution of this limit is the entire S ^m−1 . This improves a result of Hsu and March. Received: 7 December 1994/In revised form: 2 September 1995     

A stochastic approach to the harmonic map heat flow on manifolds with time-dependent Riemannian metric

We first prove stochastic representation formulae for space–time harmonic mappings defined on manifolds with evolving Riemannian metric. We then apply these formulae to derive Liouville type theorems under appropriate curvature conditions. Space–time harmonic mappings which are defined globally in time correspond to ancient solutions to the harmonic map heat flow. As corollaries, we establish triviality of such ancient solutions in a variety of different situations.     

Gradient estimates and Harnack inequalities on non-compact Riemannian manifolds

A gradient-entropy inequality is established for elliptic diffusion semigroups on arbitrary complete Riemannian manifolds. As applications, a global Harnack inequality with power and a heat kernel estimate are derived.     

A reflection principle for correlated defaults

The correct valuation of the so-called “correlation products” in the credit risk market such as n$n$-th-to-default swaps or CDOs requires a better understanding of higher dimensional barrier default phenomena. We introduce a reflection principle suited for the pricing of credit derivatives on two securities, paving the way for the development of new methods in the field. For that purpose, we introduce new processes, the distributions of which involve generalized Bessel functions. As an application, we derive a closed formula for second-to-default digital swaps, under the standard Black–Cox hypothesis on the conditions triggering default.     

Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant

Summary This work is concerned with the existence and uniqueness of a class of semimartingale reflecting Brownian motions which live in the non-negative orthant of ^d . Loosely speaking, such a process has a semimartingale decomposition such that in the interior of the orthant the process behaves like a Brownian motion with a constant drift and covariance matrix, and at each of the (d-1)-dimensional faces that form the boundary of the orthant, the bounded variation part of the process increases in a given direction (constant for any particular face) so as to confine the process to the orthant. For historical reasons, this pushing at the boundary is called instantaneous reflection. In 1988, Reiman and Williams proved that a necessary condition for the existence of such a semimartingale reflecting Brownian motion (SRBM) is that the reflection matrix formed by the directions of reflection be completely-L. In this work we prove that condition is sufficient for the existence of an SRBM and that the SRBM is unique in law. It follows from the uniqueness that an SRBM defines a strong Markov process. Our results have potential application to the study of diffusions arising as approximations tomulti-class queueing networks.Research supported in part by NSF Grants DMS 8657483, 8722351 and 9023335, and a grant from AT&T Bell Labs. In addition, R.J. Williams was supported in part during the period of this research by an Alfred P. Sloan Research Fellowship     

Generalized bochner theorems and the spectrum of complete manifolds

Bochner's theorem that a compact Riemannian manifold with positive Ricci curvature has vanishing first cohomology group has various extensions to complete noncompact manifolds with Ricci possibly negative. One still has a vanishing theorem for L ² harmonic one-forms if the infimum of the spectrum of the Laplacian on functions is greater than minus the infimum of the Ricci curvature. This result and its analogues for p-forms yield vanishing results for certain infinite volume hyperbolic manifolds. This spectral condition also imposes topological restrictions on the ends of the manifold. More refined results are obtained by taking a certain Brownian motion average of the Ricci curvature; if this average is positive, one has a vanishing theorem for the first cohomology group with compact supports on the universal cover of a compact manifold. There are corresponding results for L ² harmonic spinors on spin manifolds.     

Sharp estimates for intrinsic ultracontractivity on C 1,α-domains

Let be the first Dirichlet eigenfunction on a connected bounded C ^1,α-domain in and the corresponding Dirichlet heat kernel. It is proved that where λ₂ > λ₁ are the first two Dirichlet eigenvalues. This estimate is sharp for both short and long times. Bounded Lipschitz domains, elliptic operators on manifolds, and a general framework are also discussed. Supported in part by Creative Research Group Fund of the National Foundation of China (no. 10121101), the 973-Project in China and RFDP(20040027009).     

Harnack inequality on configuration spaces: The coupling approach and a unified treatment

In this paper, we establish the dimension-free Harnack inequality on configuration spaces by using the coupling argument. Furthermore, a unified treatment is also used to prove the equivalence between the Harnack inequality on configuration space and that on the corresponding base space under a very mild condition.     

An excursion approach to maxima of the Brownian bridge

Distributions of functionals of Brownian bridge arise as limiting distributions in non-parametric statistics. In this paper we will give a derivation of distributions of extrema of the Brownian bridge based on excursion theory for Brownian motion. The idea of rescaling and conditioning on the local time has been used widely in the literature. In this paper it is used to give a unified derivation of a number of known distributions, and a few new ones. Particular cases of calculations include the distribution of the Kolmogorov–Smirnov statistic and the Kuiper statistic.     

First exit time probability for multidimensional diffusions: A PDE-based approach

First exit time distributions for multidimensional processes are key quantities in many areas of risk management and option pricing. The aim of this paper is to provide a flexible, fast and accurate algorithm for computing the probability of the first exit time from a bounded domain for multidimensional diffusions. First, we show that the probability distribution of this stopping time is the unique (weak) solution of a parabolic initial and boundary value problem. Then, we describe the algorithm which is based on a combination of the sparse tensor product finite element spaces and an hp-discontinuous Galerkin method. We illustrate our approach with several examples. We also compare the numerical results to classical Monte Carlo methods.     

The harmonic measures of Lucy Garnett

This paper presents an improved approach to the theory of harmonic measures for foliated spaces introduced by Garnett. This approach is based on a method for solving elliptic equations on foliated spaces and on the Hille-Yosida theory. The diffusion semigroup of a general Laplacian and its infinitesimal generator are made explicit. Applications of the path space to the dynamical study of a foliated space are described. In particular, the final section studies cocycles on foliated spaces, a formula for their asymptotic limit, and some analytic and geometric consequences.     

Martingale transforms and L p -norm estimates of Riesz transforms on complete Riemannian manifolds

Under the condition that the Bakry–Emery Ricci curvature is bounded from below, we prove a probabilistic representation formula of the Riesz transforms associated with a symmetric diffusion operator on a complete Riemannian manifold. Using the Burkholder sharp L ^p -inequality for martingale transforms, we obtain an explicit and dimension-free upper bound of the L ^p -norm of the Riesz transforms on such complete Riemannian manifolds for all 1 < p < ∞. In the Euclidean and the Gaussian cases, our upper bound is asymptotically sharp when p→ 1 and when p→ ∞. Research partially supported by a Delegation in CNRS at the University of Paris-Sud during the 2005–2006 academic year.     

On the spectrum of the twisted Dolbeault Laplacian over Kähler manifolds

We use Dirac operator techniques to a establish sharp lower bound for the first eigenvalue of the Dolbeault Laplacian twisted by Hermitian-Einstein connections on vector bundles of negative degree over compact Kähler manifolds.     

Harnack inequality and heat kernel estimates on manifolds with curvature unbounded below

Using the coupling by parallel translation, along with Girsanov's theorem, a new version of a dimension-free Harnack inequality is established for diffusion semigroups on Riemannian manifolds with Ricci curvature bounded below by , where c>0 is a constant and ρo is the Riemannian distance function to a fixed point o on the manifold. As an application, in the symmetric case, a Li-Yau type heat kernel bound is presented for such semigroups.