Peacock geodesics in Wasserstein space

Martingale optimal transport has attracted much attention due to its application in pricing and hedging in mathematical finance. The essential notion which makes martingale optimal transport different from optimal transport is peacock. A peacock is a sequence of measures which satisfies convex order property. In this paper we study peacock geodesics in Wasserstain space, and we hope this paper can provide some geometrical points of view to look at martingale optimal transport.     

A lack of Ricci bounds for the entropic measure on Wasserstein space over the interval

We examine the entropic measure, recently constructed by von Renesse and Sturm, a measure over the metric space of probability measures on the unit interval equipped with the 2-Wasserstein distance. We show that equipped with this measure, Wasserstein space over the interval does not admit generalized Ricci lower bounds in the entropic displacement convexity sense of Lott–Villani–Sturm. We discuss why this is contrary to what one might expect from heuristic considerations.     

Cumulants on the Wiener space

We combine infinite-dimensional integration by parts procedures with a recursive relation on moments (reminiscent of a formula by Barbour (1986)), and deduce explicit expressions for cumulants of functionals of a general Gaussian field. These findings yield a compact formula for cumulants on a fixed Wiener chaos, virtually replacing the usual “graph/diagram computations” adopted in most of the probabilistic literature.     

Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates

This article proposes a global, chaos-based procedure for the discretization of functionals of Brownian motion into functionals of a Poisson process with intensity $\lambda >0$. Under this discretization we study the weak convergence, as the intensity of the underlying Poisson process goes to infinity, of Poisson functionals and their corresponding Malliavin-type derivatives to their Wiener counterparts. In addition, we derive a convergence rate of $O\left({\lambda }^{?1∕4}\right)$ for the Poisson discretization of Wiener functionals by combining the multivariate Chen–Stein method with the Malliavin calculus. Our proposed sufficient condition for establishing the mentioned convergence rate involves the kernel functions in the Wiener chaos, yet we provide examples, especially the discretization of some common path dependent Wiener functionals, to which our results apply without committing the explicit computations of such kernels. To the best our knowledge, these are the first results in the literature on the universal convergence rate of a global discretization of general Wiener functionals.     

On linear optimization over Wasserstein balls

Mathematical Programming - Wasserstein balls, which contain all probability measures within a pre-specified Wasserstein distance to a reference measure, have recently enjoyed wide popularity in the...     

Hamiltonian ODEs in the Wasserstein space of probability measures

In this paper we consider a Hamiltonian H on ??₂(?^2d), the set of probability measures with finite quadratic moments on the phase space ?^2d = ?^d × ?^d, which is a metric space when endowed with the Wasserstein distance W₂. We study the initial value problem dμ_t/dt + ? · (??_d v _tμ_t) = 0, where ??_d is the canonical symplectic matrix, μ₀ is prescribed, and v _t is a tangent vector to ??₂(?^2d) at μ_t, belonging to ?H(μ_t), the subdifferential of H at μ_t. Two methods for constructing solutions of the evolutive system are provided. The first one concerns only the case where μ₀ is absolutely continuous. It ensures that μ_t remains absolutely continuous and v _t = ?H(μ_t) is the element of minimal norm in ?H(μ_t). The second method handles any initial measure μ₀. If we further assume that H is λ‐convex, proper, and lower‐semicontinuous on ??₂(?^2d), we prove that the Hamiltonian is preserved along any solution of our evolutive system, H(μ_t) = H(μ₀). © 2007 Wiley Periodicals, Inc.     

Quasi-invariance of the Wiener measure on the path space over a complete Riemannian manifold

We prove a generalization of the Cameron-Martin theorem for a geometrically and stochastically complete Riemannian manifold; namely, the Wiener measure on the path space over such a manifold is quasi-invariant under the flow generated by a Cameron-Martin vector field.     

Analytic functionals on the Wiener space

We define the analyticity of Wiener functionals and study its properties and applications to oscillatory Wiener functionals. Project supported by the National Natural Science Foundation of China.     

Hausdorff measures on the Wiener space

We construct a Hausdorff measure of finite co-dimension on the Wiener space. We then extend the Federer co-area Formula to this Wiener space for functions with the sole condition that they belong to the first Sobolev space. An explicit formula for the density of the images of the Wiener measure under such functions follows naturally from this. As a corollary, this yields a new and easy proof of the Krée-Watanabe theorem concerning the regularity of the images of the Wiener measure.     

Analytic Feynman integrals of transforms of variation of cylinder type functions over Wiener paths in abstract Wiener space

In this paper, we evaluate various analytic Feynman integrals of first variation, conditional first variation, Fourier-Feynman transform and conditional Fourier-Feynman transform of cylinder type functions defined over Wiener paths in abstract Wiener space. We also derive the analytic Feynman integral of the conditional Fourier-Feynman transform for the product of the cylinder type functions which define the functions in a Banach algebra introduced by Yoo, with n linear factors.     

Comparison inequalities on Wiener space

We define a covariance-type operator on Wiener space: for F$F$ and G$G$ two random variables in the Gross–Sobolev space D^1,2${\mathbb{D}}^{1,2}$ of random variables with a square-integrable Malliavin derivative, we let _ΓF,G?〈DF,−DL⁻¹G〉${\Gamma }_{F,G}?〈{DF,-DL}^{-1}G〉$, where D$D$ is the Malliavin derivative operator and L⁻¹$L^{-1}$ is the pseudo-inverse of the generator of the Ornstein–Uhlenbeck semigroup. We use Γ$\Gamma$ to extend the notion of covariance and canonical metric for vectors and random fields on Wiener space, and prove corresponding non-Gaussian comparison inequalities on Wiener space, which extend the Sudakov–Fernique result on comparison of expected suprema of Gaussian fields, and the Slepian inequality for functionals of Gaussian vectors. These results are proved using a so-called smart-path method on Wiener space, and are illustrated via various examples. We also illustrate the use of the same method by proving a Sherrington–Kirkpatrick universality result for spin systems in correlated and non-stationary non-Gaussian random media.     

Potentials on abstract Wiener space

The infinite dimensional Green measure g is shown to be a product measure and this provides sufficient conditions for the existence and the differentiability of potentials. Moreover, it is shown how such conditions can be used to prove that if f is Lip and if we set u = Gf, then first D²u is Lip too and second u satisfies Δu = ?2f for a wide class of functions f with arbitrary support.     

Degree theory on Wiener space

Summary. Let (W, H, μ) be an abstract Wiener space and let Tw  =  w + u (w), where u is an H-valued random variable, be a measurable transformation on W. A Sard type lemma and a degree theorem for this setup are presented and applied to derive existence of solutions to elliptic stochastic partial differential equations. Received: 19 March 1996 / In revised form: 7 January 1997     

The moment problem on the Wiener space

Consider an L¹-continuous functional ? on the vector space of polynomials of Brownian motion at given times, suppose ? commutes with the quadratic variation in a natural sense, and consider a finite set of polynomials of Brownian motion at rational times, , mapping the Wiener space to R.In the spirit of Schmüdgen's solution to the finite-dimensional moment problem, we give sufficient conditions under which ? can be written in the form ∫⋅dμ for some probability measure μ on the Wiener space such that μ-almost surely, all the random variables are nonnegative.     

Superefficient drift estimation on the Wiener space

In the framework of a nonparametric functional estimation for the drift of a Brownian motion $X_t$ we construct Stein type estimators of the form $X_t+D_t\log F$ which are superefficient when $\sqrt{F}$ is a superharmonic functional on the Wiener space for the Malliavin derivative D. To cite this article: N. Privault, A. Réveillac, C. R. Acad. Sci. Paris, Ser. I 343 (2006).     

A free probability analogue of the Wasserstein metric on the trace-state space

We define a free probability analogue of the Wasserstein metric, which extends the classical one. In dimension one, we prove that the square of the Wasserstein distance to the semi-circle distribution is majorized by a modified free entropy quantity. Submitted: August 2000.     

The Monge problem in Wiener space

We address the Monge problem in the abstract Wiener space and we give an existence result provided both marginal measures are absolutely continuous with respect to the infinite dimensional Gaussian measure γ.     

Some covariance inequalities in Wiener space

In this work we give an account of some covariance inequalities in abstract Wiener space. An FKG inequality is obtained with positivity and monotonicity being defined in terms of a given cone in the underlying Cameron-Martin space. The last part is dedicated to convex and log-concave functionals, including a proof of the Gaussian conjecture for a particular class of log-concave Wiener functionals.     

Two parameter smooth martingales on the Wiener space

We prove that two parameter smooth continuous martingales have ∞-modification and establish a Doob's inequality in terms of (p, r)-capacity for two parameter smooth martingales.     

A fractional isoperimetric problem in the Wiener space

We introduce a notion of fractional perimeter in an abstract Wiener space and show that half-spaces are the only volume-constrained minimisers.