Universality of random matrices and local relaxation flow

Consider the Dyson Brownian motion with parameter β, where β=1,2,4 corresponds to the eigenvalue flows for the eigenvalues of symmetric, hermitian and quaternion self-dual ensembles. For any β≥1, we prove that the relaxation time to local equilibrium for the Dyson Brownian motion is bounded above by N ^−ζ for some ζ>0. The proof is based on an estimate of the entropy flow of the Dyson Brownian motion w.r.t. a “pseudo equilibrium measure”. As an application of this estimate, we prove that the eigenvalue spacing statistics in the bulk of the spectrum for N×N symmetric Wigner ensemble is the same as that of the Gaussian Orthogonal Ensemble (GOE) in the limit N→∞. The assumptions on the probability distribution of the matrix elements of the Wigner ensemble are a subexponential decay and some minor restriction on the support.     

On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes

Firstly, we compute the distribution function for the hitting time of a linear time-dependent boundary t ↦ a + bt, a ≥ 0, b ∈ ℝ, by a reflecting Brownian motion. The main tool hereby is Doob’s formula which gives the probability that Brownian motion started inside a wedge does not hit this wedge. Other key ingredients are the time inversion property of Brownian motion and the time reversal property of diffusion bridges. Secondly, this methodology can also be applied for the three-dimensional Bessel process. Thirdly, we consider Bessel bridges from 0 to 0 with dimension parameter δ > 0 and show that the probability that such a Bessel bridge crosses an affine boundary is equal to the probability that this Bessel bridge stays below some fixed value.     

Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion

We prove the Malliavin regularity of the solution of a stochastic differential equation driven by a fractional Brownian motion of Hurst parameter H>0.5$H>0.5$. The result is based on the Fréchet differentiability with respect to the input function for deterministic differential equations driven by Hölder continuous functions. It is also shown that the law of the solution has a density with respect to the Lebesgue measure, under a suitable nondegeneracy condition.     

On geometric properties of stochastic flows related to the Lyapunov spectrum

We study the geometric properties of two stochastic flows on spheres in Euclidean space. The underlying one-point motion in both cases is Brownian. Both flows arise from the action of a Lie group valued Brownian motion on a quotient. For both flows the curvature of a curve moving under the flow is shown to be a diffusion, null recurrent in one case and transient in the other. Received: 30 April 1999 / Revised version: 4 October 1999 / Published online: 8 August 2000     

The trace of spatial brownian motion is capacity-equivalent to the unit square

Summary. We show that with probability 1, the trace B[0, 1] of Brownian motion in space, has positive capacity with respect to exactly the same kernels as the unit square. More precisely, the energy of occupation measure on B[0, 1] in the kernel f(∣x−y∣), is bounded above and below by constant multiples of the energy of Lebesgue measure on the unit square. (The constants are random, but do not depend on the kernel.) As an application, we give almost-sure asymptotics for the probability that an α-stable process approaches within ɛ of B[0, 1], conditional on B[0, 1]. The upper bound on energy is based on a strong law for the approximate self-intersections of the Brownian path. We also prove analogous capacity estimates for planar Brownian motion and for the zero-set of one-dimensional Brownian motion. Received: 8 February 1995 / In revised form: 27 July 1995     

Stochastic Integration of Operator-Valued Functions with Respect to Banach Space-Valued Brownian Motion

Let E be a real Banach space with property (α) and let W _Γ be an E-valued Brownian motion with distribution Γ. We show that a function is stochastically integrable with respect to W _Γ if and only if Γ-almost all orbits Ψx are stochastically integrable with respect to a real Brownian motion. This result is derived from an abstract result on existence of Γ-measurable linear extensions of γ-radonifying operators with values in spaces of γ-radonifying operators. As an application we obtain a necessary and sufficient condition for solvability of stochastic evolution equations driven by an E-valued Brownian motion. The first named author gratefully acknowledges the support by a ‘VIDI subsidie’ in the ‘Vernieuwingsimpuls’ programme of The Netherlands Organization for Scientific Research (NWO) and the Research Training Network HPRN-CT-2002–00281. The second named author was supported by grants from the Volkswagenstiftung (I/78593) and the Deutsche Forschungsgemeinschaft (We 2847/1–1).     

Velocity fields with power-law spectra for modeling turbulent flows

We consider a generalization of homogeneous and isotropic Çinlar velocity fields to capture power-law spectra. The random velocity field is non-Gaussian with a representation motivated by Lagrangian and Eulerian observations. A wide range of turbulent flows can be generated by varying the stochastic parameters of the model. The velocity field being a functional version of Poisson shot-noise is constructed as the superposition of eddies randomized through their types and arrival times. We introduce a dependence between the eddy types which are spatial parameters and the decay parameter which is temporal. As a result, long-range correlation in space and a power-law spectrum previously used with Ornstein–Uhlenbeck velocity fields are achieved. We show that a corresponding power-law form for the probability distribution of the eddy diameter is sufficient for this result. The parameters of the probability distribution are further specified in view of Kolmogorov theory of the inertial scales. In particular, ∣k∣^−5/3 scaling of the spectrum is obtained. In the diffusive limit, we show that the parameters governing the decay and the arrival rate, and the speed of rotation of an eddy increase while its diameter decreases. That is, the eddies arrive fast, decay fast, and rotate fast with a small radius for a Brownian limit.     

Boundary-Crossing Identities for Diffusions Having the Time-Inversion Property

We review and study a one-parameter family of functional transformations, denoted by (S ^(β)) _β∈ℝ, which, in the case β<0, provides a path realization of bridges associated to the family of diffusion processes enjoying the time-inversion property. This family includes Brownian motions, Bessel processes with a positive dimension and their conservative h-transforms. By means of these transformations, we derive an explicit and simple expression which relates the law of the boundary-crossing times for these diffusions over a given function f to those over the image of f by the mapping S ^(β), for some fixed β∈ℝ. We give some new examples of boundary-crossing problems for the Brownian motion and the family of Bessel processes. We also provide, in the Brownian case, an interpretation of the results obtained by the standard method of images and establish connections between the exact asymptotics for large time of the densities corresponding to various curves of each family.     

Symmetric stochastic integrals with respect to p-adic Brownian motion†

In this paper, we consider complex-valued Brownian motion with p-adic time index and the associated abstract Wiener space. We define symmetric stochastic integrals with respect to p-adic Brownian motion. We also provide a sufficient condition for the existence of symmetric stochastic integrals and present a relation to the adjoint of the Malliavin derivatives.     

Correlated equilibrium payoffs and public signalling in absorbing games

An absorbing game is a repeated game where some action combinations are absorbing, in the sense that whenever they are played, there is a positive probability that the game terminates, and the players receive some terminal payoff at every future stage.  We prove that every multi-player absorbing game admits a correlated equilibrium payoff. In other words, for every ε>0 there exists a probability distribution p _ε over the space of pure strategy profiles that satisfies the following. With probability at least 1−ε, if a pure strategy profile is chosen according to p _ε and each player is informed of his pure strategy, no player can profit more than ε in any sufficiently long game by deviating from the recommended strategy. Received: April 2001/Revised: June 4, 2002     

Harmonic maps from a Riemannian manifold with a pole into an Hadamard manifold with negative sectional curvatures

In this paper we show a nonexistence result for harmonic maps with a rotational nondegeneracy condition from a Riemannian manifoldM with polep ₀ to a negatively curved Hadamard manifold under the condition that the metric tensor ofM is bounded and that the sectional curvature ofM at a pointp is bounded from below by −c dist(p ₀,p)⁻² (c: a positive constant) as dist(p ₀,p)→∞. Partly supported by Grants-in-Aid for Scientific Research, The Ministry of Education, Science and Culture, Japan     

A Central Limit Theorem for isotropic flows

We establish that the image of a measure, which satisfies a certain energy condition, moving under a standard isotropic Brownian flow will, when properly scaled, have an asymptotically normal distribution under almost every realization of the flow. We derive the same result for an initial point mass moved by an isotropic Kraichnan flow.     

Multifractional, Multistable, and Other Processes with Prescribed Local Form

We present a general method for constructing stochastic processes with prescribed local form, encompassing examples such as variable amplitude multifractional Brownian and multifractional α-stable processes. We apply the method to Poisson sums to construct multistable processes, that is, processes that are locally α(t)-stable but where the stability index α(t) varies with t. In particular we construct multifractional multistable processes, where both the local self-similarity and stability indices vary.     

A Differential Analog of the Main Lemma of the Theory of Markov Branching Processes and Its Applications

We obtain a differential analog of the main lemma of the theory of Markov branching processes μ(t), t ≥ 0, with continuous time. We show that the results obtained can be used in the proof of limit theorems of the theory of branching processes by the known Stein-Tikhomirov method. Moreover, in contrast to the classical condition of nondegeneracy of the branching process {μ(t) > 0}, we consider the condition of its nondegeneracy in the distant future {μ(∞) > 0} and justify it in terms of generating functions. Under this condition, we study the asymptotic behavior of the trajectory of the process considered.__________Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 57, No. 2, pp. 258–264, February, 2005.     

Estimation of dilatations for mappings more general than quasiregular mappings

We consider the so-called ring Q-mappings, which are natural generalizations of quasiregular mappings in a sense of V?is?l?’s geometric definition of moduli. It is shown that, under the condition of nondegeneracy of these mappings, their inner dilatation is majorized by a function Q(x) to within a constant depending solely on the dimension of the space.     

Wiener’s test for super-Brownian motion and the Brownian snake

We prove a Wiener-type criterion for super-Brownian motion and the Brownian snake.If F is a Borel subset of ℝ ^d and x ∈ ℝ ^d , we provide a necessary and sufficientcondition for super-Brownian motion started at δ _x to immediately hit the set F. Equivalently, this condition is necessary and sufficient for the hitting time of F by theBrownian snake with initial point x to be 0. A key ingredient of the proof isan estimate showing that the hitting probability of F is comparable, up to multiplicative constants,to the relevant capacity of F. This estimate, which is of independent interest, refines previous results due to Perkins and Dynkin. An important role is played by additivefunctionals of the Brownian snake, which are investigated here via the potentialtheory of symmetric Markov processes. As a direct application of our probabilisticresults, we obtain a necessary and sufficient condition for the existence in a domain D of a positivesolution of the equation Δ; u = u ² which explodes at a given point of ∂ D. Received: 5 January 1996 / In revised form: 30 October 1996     

Moment inequalities and central limit properties of isotropic convex bodies

The object of our investigations are isotropic convex bodies , centred at the origin and normed to volume one, in arbitrary dimensions. We show that a certain subset of these bodies – specified by bounds on the second and fourth moments – is invariant under forming ‘expanded joinsrsquo;. Considering a body K as above as a probability space and taking , we define random variables on K. It is known that for subclasses of isotropic convex bodies satisfying a ‘concentration of mass property’, the distributions of these random variables are close to Gaussian distributions, for high dimensions n and ‘most’ directions . We show that this ‘central limit property’, which is known to hold with respect to convergence in law, is also true with respect to -convergence and -convergence of the corresponding densities. Received: 21 March 2001 / in final form: 17 October 2001 / Published online: 4 April 2002     

Ruin probabilities for a risk process with stochastic return on investments

In this paper, we consider a risk process with stochastic return on investments. The basic risk process is the classical risk process while the return on the investment generating process is a compound Poisson process plus a Brownian motion with positive drift. We obtain an integral equation for the ultimate ruin probability which is twice continuously differentiable under certain conditions. We then derive explicit expressions for the lower bound for the ruin probability. We also study a joint distribution related to exponential functionals of Brownian motion which is required in the derivations of the explicit expressions for the lower bound.     

Multi-interior-spike solutions for the Cahn-Hilliard equation with arbitrarily many peaks

We study the Cahn-Hilliard equation in a bounded smooth domain without any symmetry assumptions. We prove that for any fixed positive integer K there exist interior K–spike solutions whose peaks have maximal possible distance from the boundary and from one another. This implies that for any bounded and smooth domain there exist interior K–peak solutions. The central ingredient of our analysis is the novel derivation and exploitation of a reduction of the energy to finite dimensions (Lemma 5.5) with variables which are closely related to the location of the peaks. We do not assume nondegeneracy of the points of maximal distance to the boundary but can do with a global condition instead which in many cases is weaker. Received March 5, 1999 / Accepted June 11, 1999