Ramification of rough paths

The stack of iterated integrals of a path is embedded in a larger algebraic structure where iterated integrals are indexed by decorated rooted trees and where an extended Chen's multiplicative property involves the Dürr-Connes-Kreimer coproduct on rooted trees. This turns out to be the natural setting for a non-geometric theory of rough paths.     

Integration with respect to fractal functions and stochastic calculus. I

The classical Lebesgue–Stieltjes integral ∫ ^b _a fdg of real or complex-valued functions on a finite interval (a,b) is extended to a large class of integrands f and integrators g of unbounded variation. The key is to use composition formulas and integration-by-part rules for fractional integrals and Weyl derivatives. In the special case of H?lder continuous functions f and g of summed order greater than 1 convergence of the corresponding Riemann–Stieltjes sums is proved. The results are applied to stochastic integrals where g is replaced by the Wiener process and f by adapted as well as anticipating random functions. In the anticipating case we work within Slobodeckij spaces and introduce a stochastic integral for which the classical It? formula remains valid. Moreover, this approach enables us to derive calculation rules for pathwise defined stochastic integrals with respect to fractional Brownian motion. Received: 14 January 1998 / Revised version: 9 April 1998     

Functions operating on multivariate distribution and survival functions—With applications to classical mean-values and to copulas

Functions operating on multivariate distribution and survival functions are characterized, based on a theorem of Morillas, for which a new proof is presented. These results are applied to determine those classical mean values on [0,1]ⁿ which are distribution functions of probability measures on [0,1]ⁿ. As it turns out, the arithmetic mean plays a universal rôle for the characterization of distribution as well as survival functions. Another consequence is a far reaching generalization of Kimberling’s theorem, tightly connected to Archimedean copulas.     

Dyck paths and restricted permutations

This paper is devoted to characterize permutations with forbidden patterns by using canonical reduced decompositions, which leads to bijections between Dyck paths and S_n(321) and S_n(231), respectively. We also discuss permutations in S_n avoiding two patterns, one of length 3 and the other of length k. These permutations produce a kind of discrete continuity between the Motzkin and the Catalan numbers.     

Continuous version of Filippov’s theorem for fractional differential inclusions

Using Bressan-Colombo results, concerning the existence of continuous selections of lower semicontinuous multifunctions with decomposable values, we prove a continuous version of Filippov’s theorem for a fractional differential inclusion.     

Some results for fractional boundary value problem of differential inclusions

In this paper, we study fractional differential inclusions with Dirichlet boundary conditions. We prove the existence of a solution under both convexity and nonconvexity conditions on the multi-valued right-hand side. The proofs rely on nonlinear alternative Leray–Schauder type, Bressan–Colombo selection theorem and Covitz and Nadler’s fixed point theorem for multi-valued contractions. The compactness of the set solutions and relaxation results is also established. In the last section we consider the fractional boundary value problem with infinite delay.     

Transformation formulas for fractional Brownian motion

We derive a Molchan–Golosov-type integral transform which changes fractional Brownian motion of arbitrary Hurst index K$K$ into fractional Brownian motion of index H$H$. Integration is carried out over [0,t]$[0,t]$, t>0$t>0$. The formula is derived in the time domain. Based on this transform, we construct a prelimit which converges in L²(P)$L^2\left(\mathbb{P}\right)$-sense to an analogous, already known Mandelbrot–Van Ness-type integral transform, where integration is over (−∞,t]$(-\infty ,t]$, t>0$t>0$.     

Comparing the minimal Hellinger martingale measure of order q to the q-optimal martingale measure

This paper investigates the relationship between the minimal Hellinger martingale measure of order q$q$ (MHM measure hereafter) and the q$q$-optimal martingale measure for any q≠1$q\ne 1$. First, we provide more results for the MHM measure; in particular we establish its complete characterization in two manners. Then we derive two equivalent conditions for both martingale measures to coincide. These conditions are in particular fulfilled in the case of markets driven by Lévy processes. Finally, we analyze the MHM measure as well as its relationship to the q$q$-optimal martingale measure for the case of a discrete-time market model.     

Periodically correlated multivariate second order random distribution fields and stationary cross correlatedness

In this paper we consider multivariate second order operator periodically correlated random distribution fields for which we complete and extend the results from [5].     

Construction of determinantal representation of trigonometric polynomials

For a pair of n×n Hermitian matrices H and K, a real ternary homogeneous polynomial defined by F(t,x,y)=det(tI_n+xH+yK) is hyperbolic with respect to (1,0,0). The Fiedler conjecture (or Lax conjecture) is recently affirmed, namely, for any real ternary hyperbolic polynomial F(t,x,y), there exist real symmetric matrices S₁ and S₂ such that F(t,x,y)=det(tI_n+xS₁+yS₂). In this paper, we give a constructive proof of the existence of symmetric matrices for the ternary forms associated with trigonometric polynomials.     

On some properties ofJ-convex stochastic processes

Summary We present some results on the differentiability of convex stochastic processes. Furthermore, the stochastic version of a theorem onJ-convex functions majorized byJ-concave functions is given.     

A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering

Fourier normal ordering (Unterberger, 2009) [34] is a new algorithm to construct explicit rough paths over arbitrary Hölder-continuous multidimensional paths. We apply in this article the Fourier normal ordering algorithm to the construction of an explicit rough path over multi-dimensional fractional Brownian motion B$B$ with arbitrary Hurst index α$\alpha$ (in particular, for α≤1/4$\alpha \le 1/4$, which was till now an open problem) by regularizing the iterated integrals of the analytic approximation of B$B$ defined in Unterberger (2009) [32]. The regularization procedure is applied to ‘Fourier normal ordered’ iterated integrals obtained by permuting the order of integration so that innermost integrals have highest Fourier modes. The algebraic properties of this rough path are best understood using two Hopf algebras: the Hopf algebra of decorated rooted trees (Connes and Kreimer, 1998) [6] for the multiplicative or Chen property, and the shuffle algebra for the geometric or shuffle property. The rough path lives in Gaussian chaos of integer orders and is shown to have finite moments.     

Regularity of the sample paths of a class of second-order spde's

We study the sample path regularity of the solutions of a class of spde's which are second order in time and that includes the stochastic wave equation. Non-integer powers of the spatial Laplacian are allowed. The driving noise is white in time and spatially homogeneous. Continuing with the work initiated in Dalang and Mueller (Electron. J. Probab. 8 (2003) 1), we prove that the solutions belong to a fractional L²-Sobolev space. We also prove Hölder continuity in time and therefore, we obtain joint Hölder continuity in the time and space variables. Our conclusions rely on a precise analysis of the properties of the stochastic integral used in the rigourous formulation of the spde, as introduced by Dalang and Mueller. For spatial covariances given by Riesz kernels, we show that our results are optimal.     

Polarizations and differential calculus in affine spaces

Within the framework of mappings between affine spaces, the notion of nth polarization of a function will lead to an intrinsic characterization of polynomial functions. We prove that the characteristic features of derivations, such as linearity, iterability, Leibniz and chain rules are shared - at the finite level - by the polarization operators. We give these results by means of explicit general formulae, which are valid at any order n, and are based on combinatorial identities. The infinitesimal limits of the nth polarizations of a function will yield its nth derivatives (without resorting to the usual recursive definition), and the afore-mentioned properties will be recovered directly in the limit. Polynomial functions will allow us to produce a coordinate free version of Taylor's formula.     

Differential equations driven by rough paths with jumps

We develop the rough path counterpart of Itô stochastic integration and differential equations driven by general semimartingales. This significantly enlarges the classes of (Itô/forward) stochastic differential equations treatable with pathwise methods. A number of applications are discussed.     

The class of tenable zero-balanced Pólya urns with an initially dominant subset of colors

In Kholfi and Mahmoud (2011) the class of tenable irreducible nondegenerate zero-balanced Pólya urn schemes is introduced and its asymptotic behavior in various phases is studied. In the absence of an initially dominant subset of colors, the counts of balls of all the colors satisfy multivariate central limit theorems. It is reported there that the case of an initially dominant subset of colors poses challenges requiring finer asymptotic analysis. In the present investigation we follow up on this. Indeed, we characterize noncritical cases with an initially dominant subset of colors in which not all ball counts satisfy one multivariate central limit theorem, but rather a subset of the ball counts satisfies a singular multivariate central limit theorem. The rest of the cases are critical, in which all the ball counts satisfy a multivariate central limit theorem, but under a different scaling. However, for these critical cases the Gaussian phases are delayed considerably.     

Additional results of Zalcman's Pompeiu problem

Summary In this article we continue our study of the following problem posed by Lawrence Zalcman in 1972. LetS be the closed unit square. For eachz in the interior,S ⁰, ofS letS(z) be the largest closed square inS with centroidz, and for each in the interval (0, 1] letS _(z) be the square homothetic toS(z) with linear ratio . Iff is a continuous function such that its integral overS _(z) vanishes for allz in S⁰, is f =0? We show that the answer is yes if 3/4 < 1.