From Brownian-Time Brownian Sheet to a Fourth Order and a Kuramoto–Sivashinsky-Variant Interacting PDEs Systems

In this paper a bisexual Galton–Watson branching process allowing the immigration of mating units is introduced and its limit behaviour is investigated. For the supercritical case, i.e., asymptotic growth rate greater than one, necessary and sufficient conditions for the almost sure and L ¹ convergence of the suitably normed underlying sequences are given.

     

Time changes of symmetric Markov processes and a Feynman-Kac formula

We prove a Feynman-Kac formula in the context of symmetric Markov processes and Dirichlet spaces. This result is used to characterize the Dirichlet space of the time change of an arbitrary symmetric Markov process, completing work of Silverstein and Fukushima.     

Parabolic equations and Feynman-Kac formula on general bounded domains

Parabolic equations on general bounded domains are studied. Using the refined maximum principle, existence and the semigroup property of solutions are obtained. It is also shown that the solution obtained by PDE’s method has the Feynmann-Kac representation for any bounded domains.     

A measure-valued analogue of Wiener measure and the measure-valued Feynman-Kac formula

In this article, we consider a complex-valued and a measure-valued measure on , the space of all real-valued continuous functions on . Using these concepts, we establish the measure-valued Feynman-Kac formula and we prove that this formula satisfies a Volterra integral equation. The work here is patterned to some extent on earlier works by Kluvanek in 1983 and by Lapidus in 1987, but the present setting requires a number of new concepts and results.

     

On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion

The derivative of self-intersection local time (DSLT) for Brownian motion was introduced by Rosen (2005) and subsequently used by others to study the L²$L^2$ and L³$L^3$ moduli of continuity of Brownian local time. A version of the DSLT for fractional Brownian motion (fBm) was introduced in Yan et al. (2008); however, the definition given there presents difficulties, since it is motivated by an incorrect application of the fractional Itô formula. To rectify this, we introduce a modified DSLT for fBm and prove existence using an explicit Wiener chaos expansion. We will then argue that our modification is the natural version of the DSLT by rigorously proving the corresponding Tanaka formula. This formula corrects a formal identity given in both Rosen (2005) and Yan et al. (2008). In the course of this endeavor we prove a Fubini theorem for integrals with respect to fBm. The Fubini theorem may be of independent interest, as it generalizes (to Hida distributions) similar results previously seen in the literature. As a further byproduct of our investigation, we also provide a small correction to an important technical second-moment bound for fBm which has appeared in the literature many times.     

A Nonstandard Levy-Khintchine Formula and Levy Processes

We use methods from nonstandard analysis to obtain a short and simple derivation of the Levy-Khintchine formula via an explicit construction of certain laws of the infinitesimal increments. Consequently, any arbitrary Levy process is representable as the standard part of a hyperfinite sum of infinitesimal increments.     

利用Ito公式求布朗运动和几何布朗运动的矩

利用Ito公式及Ito积分的性质求出了布朗运动和几何布朗运动的矩的一般形式,同时指出可以利用这种方法求其他扩散过程的矩.     

A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4

We prove a change of variable formula for the 2D fractional Brownian motion of index H bigger or equal to 1/4. For H strictly bigger than 1/4, our formula coincides with that obtained by using the rough paths theory. For H=1/4 (the more interesting case), there is an additional term that is a classical Wiener integral against an independent standard Brownian motion.     

Brownian intersection local times: Exponential moments and law of large masses

Consider independent Brownian motions in , each running up to its first exit time from an open domain , and their intersection local time as a measure on . We give a sharp criterion for the finiteness of exponential moments,

where are nonnegative, bounded functions with compact support in . We also derive a law of large numbers for intersection local time conditioned to have large total mass.

     

The exact Hausdorff measures for the graph and image of a multidimensional iterated Brownian motion

Let {W(t),t∈R}, {B(t),t∈R } be two independent Brownian motions on R with W(0) = B(0) = 0. In this paper, we shall consider the exact Hausdorff measures for the image and graph sets of the d-dimensional iterated Brownian motion X(t), where X(t) = (Xi(t),... ,Xd(t)) and X1(t),... ,Xd(t) are d independent copies of Y(t) = W(B(t)). In particular, for any Borel set Q (?) (0,∞), the exact Hausdorff measures of the image X(Q) = {X(t) : t∈Q} and the graph GrX(Q) = {(t, X(t)) :t∈Q}are established.     

The fractal dimensions of the level sets of the generalized iterated Brownian motion

Let{W1(t), t∈R+} and {W2(t), t∈R+} be two independent Brownian motions with W1(0) = W2(0) = 0. {H (t) = W1(|W2(t)|), t ∈R+} is called a generalized iterated Brownian motion. In this paper, the Hausdorff dimension and packing dimension of the level sets {t ∈[0, T ], H(t) = x} are established for any 0 < T ≤ 1.     

Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes

For a Gaussian process X$X$ and smooth function f$f$, we consider a Stratonovich integral of f(X)$f\left(X\right)$, defined as the weak limit, if it exists, of a sequence of Riemann sums. We give covariance conditions on X$X$ such that the sequence converges in law. This gives a change-of-variable formula in law with a correction term which is an Itô integral of f^?$f^{?}$ with respect to a Gaussian martingale independent of X$X$. The proof uses Malliavin calculus and a central limit theorem from Nourdin and Nualart (2010) [8]. This formula was known for fBm with H=1/6$H=1/6$ Nourdin et al. (2010) [9]. We extend this to a larger class of Gaussian processes.     

Iterated processes and their applications to higher order differential equations

In this paper we construct models obtained by suitably combining Brownian motions and telegraphs in such a way that their transition functions satisfy higher-order parabolic or hyperbolic equations of different types. Equations with time-varying coefficients are also derived by considering processes endowed either with drift or with suitable modifications of their structure. Finally the distribution of the maximum of the iterated Brownian motion (along with some other properties) is presented. This work is partially supported by the Natural Science Foundation of Guangdong Province, National Natural Science Foundation of China grant No. 19501026 and the Alexander von Humbodlt Foundation     

The low of the iterated logarithm for empirical processes under absolute regularity

The compact law of the iterated logarithm for empirical processes whose underlying sequence satisfies a -mixing condition is considered. In particular, we show a compact law of the iterated logarithm for VC subgraph classes of functions, for classes of functions which satisfy the bracketing condition in Doukhanet al. ⁽⁶⁾ and for some classes of smooth functions.Research partially supported by NSF Grant DMS-93-02583.     

Horizontal lift of the Brownian motion on the hyperbolic plane and the Selberg trace formula

By using an explicit representation for the horizontal lift of the Brownian motion on the Poincaré upper half-plane H², we show an expression for the heat kernel for the de Rham-Kodaira Laplacian on H². We apply the result to a study on the Selberg trace formula.     

The heat equation and reflected Brownian motion in time-dependent domains.: II. Singularities of solutions

We study the space-time Brownian motion and the heat equation in non-cylindrical domains. The paper is mostly devoted to singularities of the heat equation near rough points of the boundary. Two types of singularities are identified—heat atoms and heat singularities. A number of explicit geometric conditions are given for the existence of singularities. Other properties of the heat equation solutions are analyzed as well.     

The super order dual of an ordered vector space and the Riesz-Kantorovich formula

A classical theorem of F. Riesz and L. V. Kantorovich asserts that if is a vector lattice and and are order bounded linear functionals on , then their supremum (least upper bound) exists in and for each it satisfies the so-called Riesz-Kantorovich formula:

Related to the Riesz-Kantorovich formula is the following long-standing problem: If the supremum of two order bounded linear functionals and on an ordered vector space exists, does it then satisfy the Riesz-Kantorovich formula?

In this paper, we introduce an extension of the order dual of an ordered vector space and provide some answers to this long-standing problem. The ideas regarding the Riesz-Kantorovich formula owe their origins to the study of the fundamental theorems of welfare economics and the existence of competitive equilibrium. The techniques introduced here show that the existence of decentralizing prices for efficient allocations is closely related to the above-mentioned problem and to the properties of the Riesz-Kantorovich formula.

     

Hamiltonian systems with a stochastic force:nonlinear versus linear,and a girsanov formula

We discuss stochastic perturbations of classical Hamiltonian systems by a white noise force. We prove existence and uniqueness results for the solutions of the equation of motion under general conditions on the classical system, as well as their continuous dependence on the initial conditions. We also prove that the process in phase space is a diffusion with transition probability densities, and Lebesgue measure as c-finite invariant measure. We prove a Girsanov formula relating the solution for a nonlinear force with the one for a linear force, and give asymptotic estimates on functions of the phase space process