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1.
We say that n independent trajectories ξ1(t),…,ξ
n
(t) of a stochastic process ξ(t)on a metric space are asymptotically separated if, for some ɛ > 0, the distance between ξ
i
(t
i
) and ξ
j
(t
j
) is at least ɛ, for some indices i, j and for all large enough t
1,…,t
n
, with probability 1. We prove sufficient conitions for asymptotic separationin terms of the Green function and the transition
function, for a wide class of Markov processes. In particular,if ξ is the diffusion on a Riemannian manifold generated by
the Laplace operator Δ, and the heat kernel p(t, x, y) satisfies the inequality p(t, x, x) ≤ Ct
−ν/2 then n trajectories of ξ are asymptotically separated provided . Moreover, if for some α∈(0, 2)then n trajectories of ξ(α) are asymptotically separated, where ξ(α) is the α-process generated by −(−Δ)α/2.
Received: 10 June 1999 / Revised version: 20 April 2000 / Published online: 14 December 2000
RID="*"
ID="*" Supported by the EPSRC Research Fellowship B/94/AF/1782
RID="**"
ID="**" Partially supported by the EPSRC Visiting Fellowship GR/M61573 相似文献
2.
For ν(dθ), a σ-finite Borel measure on R
d
, we consider L
2(ν(dθ))-valued stochastic processes Y(t) with te property that Y(t)=y(t,·) where y(t,θ)=∫
t
0
e
−λ(θ)(
t
−
s
)
dm(s,θ) and m(t,θ) is a continuous martingale with quadratic variation [m](t)=∫
t
0
g(s,θ)ds. We prove timewise H?lder continuity and maximal inequalities for Y and use these results to obtain Hilbert space regularity for a class of superrocesses as well as a class of stochastic evolutions
of the form dX=AXdt+GdW with W a cylindrical Brownian motion. Maximal inequalities and H?lder continuity results are also provenfor the path process
t
(τ)≗Y(τt∧t).
Received: 25 June 1999 / Revised version: 28 August 2000 /?Published online: 9 March 2001 相似文献
3.
Hydrodynamic large scale limit for the Ginzburg-Landau ∇φ interface model was established in [6]. As its next stage this
paper studies the corresponding large deviation problem. The dynamic rate functional is given by
for h=h(t,θ),t∈[0,T],θ∈?
d
, where σ=σ(u) is the surface tension for mean tilt u∈ℝ
d
. Our main tool is H
−1-method expoited by Landim and Yau [9]. The relationship to the rate functional obtained under the static situation by Deuschel
et al. [3] is also discussed.
Received: 22 February 2000 / Revised version: 19 October 2000 / Published online: 5 June 2001 相似文献
4.
Michel Talagrand 《Probability Theory and Related Fields》1998,112(4):545-563
Consider 0<α<1 and the Gaussian process Y(t) on ℝ
N
with covariance E(Y(s)Y(t))=|t|2α+|s|2α−|t−s|2α, where |t| is the Euclidean norm of t. Consider independent copies X
1,…,X
d
of Y and␣the process X(t)=(X
1(t),…,X
d
(t)) valued in ℝ
d
. When kN≤␣(k−1)αd, we show that the trajectories of X do not have k-multiple points. If N<αd and kN>(k−1)αd, the set of k-multiple points of the trajectories X is a countable union of sets of finite Hausdorff measure associated with the function ϕ(ɛ)=ɛ
k
N
/α−(
k
−1)
d
(loglog(1/ɛ))
k
. If N=αd, we show that the set of k-multiple points of the trajectories of X is a countable union of sets of finite Hausdorff measure associated with the function ϕ(ɛ)=ɛ
d
(log(1/ɛ) logloglog 1/ɛ)
k
. (This includes the case k=1.)
Received: 20 May 1997 / Revised version: 15 May 1998 相似文献
5.
Summary. Hyperbolic branching Brownian motion is a branching diffusion process in which individual particles follow independent Brownian
paths in the hyperbolic plane ?
2
, and undergo binary fission(s) at rate λ > 0. It is shown that there is a phase transition in λ: For λ≦ 1/8 the number of particles in any compact region of ?
2
is eventually 0, w.p.1, but for λ > 1/8 the number of particles in any open set grows to ∞ w.p.1. In the subcritical case (λ≦ 1/8) the set Λ of all limit points in ∂?
2
(the boundary circle at ∞) of particle trails is a Cantor set, while in the supercritical case (λ > 1/8) the set Λ has full Lebesgue measure. For λ≦ 1/8 it is shown that w.p.1 the Hausdorff dimension of Λ is δ = (1−√1−8 λ)/2.
Received: 2 November 1995 / In revised form: 22 October 1996 相似文献
6.
Let (M
t
) be any martingale with M
0≡ 0, an intermediate law M
1∼μ1, and terminal law M
2∼μ2, and let Mˉ
2≡ sup0≤
t
≤2
M
t
. In this paper we prove that there exists an upper bound, with respect to stochastic ordering of probability measures, on
the law of Mˉ
2. We construct, using excursion theory, a martingale which attains this maximum. Finally we apply this result to the robust
hedging of a lookback option.
Received: 26 December 1998 / Revised version: 20 April 2000 /?Published online: 15 February 2001 相似文献
7.
L. Saloff-Coste 《Journal of Geometric Analysis》2004,14(4):715-733
Let M =G/H be an irreducible homogeneous compact manifold of dimension n equipped with its canonical Riemannian metric. Let γ be
the lowest nonzero eigenvalue of the Laplace operator. Let μ be the normalized Haar measure and μ
t be the heat diffusion measure, i.e., the law of Brownian motion started at a fixed origin in M. We show that the total variation
distance between μt and μ is not small for t ≪λ
−1 logn.This is sharp, up to a factor of two, in the case of compact irreducible simply connected symmetric spaces. 相似文献
8.
Let {S
n
} be a random walk on ℤ
d
and let R
n
be the number of different points among 0, S
1,…, S
n
−1. We prove here that if d≥ 2, then ψ(x) := lim
n
→∞(−:1/n) logP{R
n
≥nx} exists for x≥ 0 and establish some convexity and monotonicity properties of ψ(x). The one-dimensional case will be treated in a separate paper.
We also prove a similar result for the Wiener sausage (with drift). Let B(t) be a d-dimensional Brownian motion with constant drift, and for a bounded set A⊂ℝ
d
let Λ
t
= Λ
t
(A) be the d-dimensional Lebesgue measure of the `sausage' ∪0≤
s
≤
t
(B(s) + A). Then φ(x) := lim
t→∞:
(−1/t) log P{Λ
t
≥tx exists for x≥ 0 and has similar properties as ψ.
Received: 20 April 2000 / Revised version: 1 September 2000 / Published online: 26 April 2001 相似文献
9.
We consider a conservative stochastic lattice-gas dynamics reversible with respect to the canonical Gibbs measure of the
bond dilute Ising model on ℤ
d
at inverse temperature β. When the bond dilution density p is below the percolation threshold we prove that for any particle density and any β, with probability one, the spectral gap
of the generator of the dyamics in a box of side L centered at the origin scales like L
−2. Such an estimate is then used to prove a decay to equilibrium for local functions of the form where ε is positive and arbitrarily small and α = ? for d = 1, α=1 for d≥2. In particular our result shows that, contrary to what happes for the Glauber dynamics, there is no dynamical phase transition
when β crosses the critical value β
c
of the pure system.
Received: 10 April 2000 / Revised version: 23 October 2000 / Published online: 5 June 2001 相似文献
10.
René L. Schilling 《Probability Theory and Related Fields》1998,112(4):565-611
Let (A,D(A)) be the infinitesimal generator of a Feller semigroup such that C
c
∞(ℝ
n
)⊂D(A) and A|C
c
∞(ℝ
n
) is a pseudo-differential operator with symbol −p(x,ξ) satisfying |p(•,ξ)|∞≤c(1+|ξ|2) and |Imp(x,ξ)|≤c
0Rep(x,ξ). We show that the associated Feller process {X
t
}
t
≥0 on ℝ
n
is a semimartingale, even a homogeneous diffusion with jumps (in the sense of [21]), and characterize the limiting behaviour
of its trajectories as t→0 and ∞. To this end, we introduce various indices, e.g., β∞
x
:={λ>0:lim
|ξ|→∞
|
x
−
y
|≤2/|ξ||p(y,ξ)|/|ξ|λ=0} or δ∞
x
:={λ>0:liminf
|ξ|→∞
|
x
−
y
|≤2/|ξ|
|ε|≤1|p(y,|ξ|ε)|/|ξ|λ=0}, and obtain a.s. (ℙ
x
) that lim
t
→0
t
−1/λ
s
≤
t
|X
s
−x|=0 or ∞ according to λ>β∞
x
or λ<δ∞
x
. Similar statements hold for the limit inferior and superior, and also for t→∞. Our results extend the constant-coefficient (i.e., Lévy) case considered by W. Pruitt [27].
Received: 21 July 1997 / Revised version: 26 January 1998 相似文献
11.
Let B be the Brownian motion on a noncompact non Euclidean rank one symmetric space H. A typical examples is an hyperbolic space H
n
, n > 2. For ν > 0, the Brownian bridge B
(ν) of length ν on H is the process B
t
, 0 ≤t≤ν, conditioned by B
0 = B
ν = o, where o is an origin in H. It is proved that the process converges weakly to the Brownian excursion when ν→ + ∞ (the Brownian excursion is the radial part of the Brownian Bridge
on ℝ3). The same result holds for the simple random walk on an homogeneous tree.
Received: 4 December 1998 / Revised version: 22 January 1999 相似文献
12.
Endre Csáki Miklós Csörgő Antónia Földes Zhan Shi 《Probability Theory and Related Fields》2000,117(4):515-531
Let W be a standard Brownian motion, and define Y(t)= ∫0
t
ds/W(s) as Cauchy's principal value related to local time. We determine: (a) the modulus of continuity of Y in the sense of P. Lévy; (b) the large increments of Y.
Received: 1 April 1999 / Revised version: 27 September 1999 / Published online: 14 June 2000 相似文献
13.
《Comptes Rendus de l'Academie des Sciences Series IIA Earth and Planetary Science》1998,326(6):723-726
Let M be a geometrically finite hyperbolic surface having at least one cusp, and infinite volume. We obtain the limit law under the Patterson-Sullivan measure on T1 M of the normalized integral along the geodesics of M of any 1-form closed near the cusps. This limit law is stable with parameter 2δ − 1, where δ is the Hausdorff dimension of the limit set of the subgroup Γ of Möbius isometries associated with M. 相似文献
14.
We consider a stationary grain model Ξ in ℝ
d
with convex, compact and smoothly bounded grains. We study the spherical contact distribution function F of Ξ and derive (under suitable assumptions) an explicit formula for its second derivative F″. The value F″(0) is of a simple form and admits a clear geometric interpretation.For the Boolean model we obtain an interesting new formula
for the(d− 1)-st quermass density.
Received: 22 November 1999 / Revised version: 2 November 2000 /?Published online: 14 June 2001 相似文献
15.
Summary. We study the 2D Ising model in a rectangular box Λ
L
of linear size O(L). We determine the exact asymptotic behaviour of the large deviations of the magnetization ∑
t∈ΛL
σ(t) when L→∞ for values of the parameters of the model corresponding to the phase coexistence region, where the order parameter m
* is strictly positive. We study in particular boundary effects due to an arbitrary real-valued boundary magnetic field. Using
the self-duality of the model a large part of the analysis consists in deriving properties of the covariance function <σ(0)σ(t)>, as |t|→∞, at dual values of the parameters of the model. To do this analysis we establish new results about the high-temperature
representation of the model. These results are valid for dimensions D≥2 and up to the critical temperature. They give a complete non-perturbative exposition of the high-temperature representation.
We then study the Gibbs measure conditioned by {|∑
t∈ΛL
σ(t) −m|Λ
L
||≤|Λ
L
|L
−
c
}, with 0<c<1/4 and −m
*<m<m
*. We construct the continuum limit of the model and describe the limit by the solutions of a variational problem of isoperimetric
type.
Received: 17 October 1996 / In revised form: 7 March 1997 相似文献
16.
Chih-Chung Chang Claudio Landim Stefano Olla 《Probability Theory and Related Fields》2001,119(3):381-409
We consider an asymmetric exclusion process in dimension d≥ 3 under diffusive rescaling starting from the Bernoulli product measure with density 0 < α < 1. We prove that the density
fluctuation field Y
N
t
converges to a generalized Ornstein–Uhlenbeck process, which is formally the solution of the stochastic differential equatin
dY
t
= ?Y
t
dt + dB
∇
t
, where ? is a second order differential operator and B
∇
t
is a mean zero Gaussian field with known covariances.
Received: 31 May 1999 / Revised version: 15 June 2000 / Published online: 24 January 2001 相似文献
17.
Ming Liao 《Probability Theory and Related Fields》2000,117(4):589-607
Let φ
t
be the stochastic flow of a stochastic differential equation on a compact Riemannian manifold M. Fix a point m∈M and an orthonormal frame u at m, we will show that there is a unique decomposition φ
t
= ξ
t
ψ
t
such that ξ
t
is isometric, ψ
t
fixes m and Dψ
t
(u) = us
t
, where s
t
is an upper triangular matrix. We will also establish some convergence properties in connection with the Lyapunov exponents
and the decomposition Dφ
t
(u) = u
t
s
t
with u
t
being an orthonormal frame. As an application, we can show that ψt preserves the directions in which the tangent vectors at m are dilated at fixed exponential rates.
Received: 19 November 1998 / Revised version: 1 October 1999 / Published online: 14 June 2000 相似文献
18.
We consider an operator K˚ϕ = Lϕ−: <CDU(x), Dϕ> in a Hilbert space H, where L is an Ornstein–Uhlenbeck operator, U∈W
1,4(H, μ) and μ is the invariant measure associated with L. We show that K˚ is essentially self-adjoint in the space L
2(H, ν) where ν is the “Gibbs” measure ν(dx) = Z
−:1
e
−:2U(x)
dx. An application to Stochastic quantization is given.
Received: 13 August 1998 / Revised version: 20 September 1999 / Published online: 8 August 2000 相似文献
19.
Hirofumi Osada 《Probability Theory and Related Fields》2001,119(2):275-310
We construct a family of diffusions P
α = {P
x} on the d-dimensional Sierpinski carpet F^. The parameter α ranges over d
H
< α < ∞, where d
H
= log(3
d
− 1)/log 3 is the Hausdorff dimension of the d-dimensional Sierpinski carpet F^. These diffusions P
α are reversible with invariant measures μ = μ[α]. Here, μ are Radon measures whose topological supports are equal to F^ and satisfy self-similarity in the sense that μ(3A) = 3α·μ(A) for all A∈ℬ(F^). In addition, the diffusion is self-similar and invariant under local weak translations (cell translations) of the
Sierpinski carpet. The transition density p = p(t, x, y) is locally uniformly positive and satisfies a global Gaussian upper bound. In spite of these well-behaved properties, the
diffusions are different from Barlow-Bass' Brownian motions on the Sierpinski carpet.
Received: 30 September 1999 / Revised version: 15 June 2000 / Published online: 24 January 2000 相似文献