Harmonic Analysis of Fractal Processes via C* - Algebras

We construct a harmonic analysis of iteration systems which include those which arise from wavelet algorithms based on multiresolutions. While traditional discretizations lead to asymptotic formulas, we argue here for a direct Fourier duality; but it is based on a non - commutative harmonic analysis, specifically on representations of the Cuntz C* -algebras. With this approach the waling from the wavelet takes the form of an endomorphism of B(H), H a Hilbert space derived from the lattice of translations. We use this to describe, and to calculate, new invariants for the wavelets. those iteration systems which arise from wavelets and from Julia sets, we show that the associated endomorphisms are in fact Powers shifts.     

Modelling NASDAQ Series by Sparse Multifractional Brownian Motion

The objective of this paper is to compare the performance of different estimators of Hurst index for multifractional Brownian motion (mBm), namely, Generalized Quadratic Variation (GQV) Estimator, Wavelet Estimator and Linear Regression GQV Estimator. Both estimators are used in the real financial dataset Nasdaq time series from 1971 to the 3rd quarter of 2009. Firstly, we review definitions, properties and statistical studies of fractional Brownian motion (fBm) and mBm. Secondly, a numerical artifact is observed: when we estimate the time varying Hurst index H(t) for an mBm, sampling fluctuation gives the impression that H(t) is itself a stochastic process, even when H(t) is constant. To avoid this artifact, we introduce sparse modelling for mBm and apply it to Nasdaq time series.     

An Itô Formula of Generalized Functionals and Local Time for Fractional Brownian Sheet

Abstract

By using the white noise theory for a fractional Brownian sheet, we derive an Itô formula for the generalized functionals for the fractional Brownian sheet with arbitrary Hurst parameters H ₁, H ₂ ∈ (0,1). As an application, we give the integral representations for two versions of local times of a fractional Brownian sheet, respectively.     

White noise-based stochastic calculus with respect to multifractional Brownian motion

Stochastic calculus with respect to fractional Brownian motion (fBm) has attracted a lot of interest in recent years, motivated in particular by applications in finance and Internet traffic modeling. Multifractional Brownian motion (mBm) is an extension of fBm enabling to control the local regularity of the process. It is obtained by replacing the constant Hurst parameter H of fBm by a function h(t), thus allowing for a finer modelling of various phenomena.

In this work we extend to mBm the construction of the Wick–Itô stochastic integral with respect to fBm, as originally proposed in Bender (Stoch. Process. Appl. 104 (2003), pp. 81–106), Bender (Bernouilli 9(6) (2003), pp. 955–983), Biagini et al. (Proceedings of Royal Society, special issue on stochastic analysis and applications, 2004, pp. 347–372) and Elliott and Van der Hoek (Math. Finance 13(2) (2003), pp. 301–330). In that view, a multifractional white noise is defined and used to integrate with respect to mBm a large class of stochastic processes using Wick products. Itô formulas (both for tempered distributions and for functions with sub-exponential growth) are obtained, as well as a Tanaka Formula.     

Isometries, shifts, Cuntz algebras and multiresolution wavelet analysis of scaleN

In this paper we show how wavelets originating from multiresolution analysis of scaleN give rise to certain representations of the Cuntz algebrasO _N , and conversely how the wavelets can be recovered from these representations. The representations are given on the Hilbert space by (S _i ) (z)=m _i (z)(z ^N ). We characterize the Wold decomposition of such operators. If the operators come from wavelets they are shifts, and this can be used to realize the representation on a certain Hardy space over . This is used to compare the usual scale-2 theory of wavelets with the scale-N theory. Also some other representations ofO _N of the above form called diagonal representations are characterized and classified up to unitary equivalence by a homological invariant.Work supproted in part by the U.S. National Science Foundation and the Norwegian Research Council.     

A New Method of Constructions of Non-Tensor Product Wavelets

In this paper, we give a new method of constructions of non-tensor product wavelets. We start from the one-dimensional scaling functions to directly construct the two-dimensional non-tensor product wavelets. The wavelets constructed by us possess very simple, explicit representations and high regularity, and various symmetry (i.e., axial symmetry, central symmetry, and cyclic symmetry). Using this method, we construct various non-tensor product wavelets and show that there exists a sequence of non-tensor product wavelets with high regularity which tends to the tensor product Shannon wavelet in the L ²-norm.     

Primitive partial permutation representations of the polycyclic monoids and branching function systems

We characterise the maximal proper closed inverse submonoids of the polycyclic inverse monoids, also known as Cuntz inverse semigroups, and so determine all their primitive partial permutation representations. We relate our results to the work of Kawamura on certain kinds of representations of the Cuntz C*-algebras and to the branching function systems of Bratteli and Jorgensen.      

Malliavin Calculus for Fractional Delay Equations

In this paper we study the existence of a unique solution to a general class of Young delay differential equations driven by a H?lder continuous function with parameter greater that 1/2 via the Young integration setting. Then some estimates of the solution are obtained, which allow to show that the solution of a delay differential equation driven by a fractional Brownian motion (fBm) with Hurst parameter H>1/2 has a C ^??-density. To this purpose, we use Malliavin calculus based on the Fréchet differentiability in the directions of the reproducing kernel Hilbert space associated with fBm.     

Besov regularity for the indefinite Skorohod integral with respect to the fractional Brownian motion: The singular case

Using the techniques of the Malliavin calculus and the properties of Gaussian processes, we prove that the paths of the indefinite Skorohod integral with respect to the fractional Brownian motion (fBm) with Hurst parameter less than 1/2 belongs to the Besov space B p , X H , for any p >(1/ H ).     

Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion

This paper investigates several strategies for consistently estimating the so-called Hurst parameter H responsible for the long-memory correlations in a linear class of ARCH time series, known as LARCH(∞) models, as well as in the continuous-time Gaussian stochastic process known as fractional Brownian motion (fBm). A LARCH model’s parameter is estimated using a conditional maximum likelihood method, which is proved to have good stability properties. A local Whittle estimator is also discussed. The article further proposes a specially designed conditional maximum likelihood method for estimating the H which is closer in spirit to one based on discrete observations of fBm. In keeping with the popular financial interpretation of ARCH models, all estimators are based only on observation of the “returns” of the model, not on their “volatilities”.     

On Gaussian Processes Equivalent in Law to Fractional Brownian Motion

We consider Gaussian processes that are equivalent in law to the fractional Brownian motion and their canonical representations. We prove a Hitsuda type representation theorem for the fractional Brownian motion with Hurst index H1/2. For the case H>1/2 we show that such a representation cannot hold. We also consider briefly the connection between Hitsuda and Girsanov representations. Using the Hitsuda representation we consider a certain special kind of Gaussian stochastic equation with fractional Brownian motion as noise.     

Stochastic heat equation driven by fractional noise and local time

The aim of this paper is to study the d-dimensional stochastic heat equation with a multiplicative Gaussian noise which is white in space and has the covariance of a fractional Brownian motion with Hurst parameter H ∈ (0,1) in time. Two types of equations are considered. First we consider the equation in the Itô-Skorohod sense, and later in the Stratonovich sense. An explicit chaos expansion for the solution is obtained. On the other hand, the moments of the solution are expressed in terms of the exponential moments of some weighted intersection local time of the Brownian motion.     

Unstable invariant manifolds for stochastic PDEs driven by a fractional Brownian motion

In this paper, we consider a class of stochastic partial differential equations (SPDEs) driven by a fractional Brownian motion (fBm) with the Hurst parameter bigger than 1/2. The existence of local random unstable manifolds is shown if the linear parts of these SPDEs are hyperbolic. For this purpose we introduce a modified Lyapunov-Perron transform, which contains stochastic integrals. By the singularities inside these integrals we obtain a special Lyapunov-Perron's approach by treating a segment of the solution over time interval [0,1] as a starting point and setting up an infinite series equation involving these segments as time evolves. Using this approach, we establish the existence of local random unstable manifolds in a tempered neighborhood of an equilibrium.     

Lineability of sets of nowhere analytic functions

Although the set of nowhere analytic functions on [0,1] is clearly not a linear space, we show that the family of such functions in the space of C^∞-smooth functions contains, except for zero, a dense linear submanifold. The result is even obtained for the smaller class of functions having Pringsheim singularities everywhere. Moreover, in spite of the fact that the space of differentiable functions on [0,1] contains no closed infinite-dimensional manifold in C([0,1]), we prove that the space of real C^∞-smooth functions on (0,1) does contain such a manifold in C((0,1)).     

Markov measures and extended zeta functions

In this paper we study a family of representations of the Cuntz algebras O _p where p is a prime. These algebras are built on generators and relations. They are C ^?-algebras and their representations are a part of non-commutative harmonic analysis. Starting with specific generators and relations we pass to an ambient C ^?-algebra, for example in one of the Cuntz-algebras. Our representations are motivated by the study of frequency bands in signal processing: We construct induced measures attached to those representations which turned out to be related to a class of zeta functions. For a particular case those measures give rise to a class of Markov measures and q-Bernoulli polynomials. Our approach is amenable to applications in problems from dynamics and mathematical physics: We introduce a deformation parameter q, and an associated family of q-relations where the number q is a ??quantum-deformation,?? and also a parameter in a scale of (Riemann-Ruelle) zeta functions. Our representations are used in turn in a derivation of formulas for this q-zeta function.     

Identification of the Hurst Index of a Step Fractional Brownian Motion

We propose a semi-parametric estimator for a piece-wise constant Hurst coefficient of a step fractional Brownian motion (SFBM). For the applications, we want to detect abrupt changes of the Hurst index (which represents long-range correlation) for a Gaussian process with a.s. continuous paths. The previous model of multifractional Brownian motion give a.s. discontinuous paths at change times of the Hurst index. Thus, we first propose a new kind of Fractional Brownian Motion, the SFBM and prove some (Hölder) continuity results. After, we propose an estimator of the piecewise constant Hurst parameter and prove its consistency.     

Smoothing minimally supported frequency wavelets: Part II

The main purpose of this paper is to give a procedure to “mollify” the low-pass filters of a large number ofMinimally Supported Frequency (MSF) wavelets so that the smoother functions obtained in this way are also low-pass filters for an MRA. Hence, we are able to approximate (in the L ² -norm) MSF wavelets by wavelets with any desired degree of smoothness on the Fourier transform side. Although the MSF wavelets we consider are bandlimited, this may not be true for their smooth approximations. This phenomena is related to the invariant cycles under the transformation x ↦2x (mod2π). We also give a characterization of all low-pass filters for MSF wavelets. Throughout the paper new and interesting examples of wavelets are described.     

Numerical Schemes for Rough Parabolic Equations

This paper is devoted to the study of numerical approximation schemes for a class of parabolic equations on (0,1) perturbed by a non-linear rough signal. It is the continuation of Deya (Electron. J. Probab. 16:1489–1518, 2011) and Deya et al. (Probab. Theory Relat. Fields, to appear), where the existence and uniqueness of a solution has been established. The approach combines rough paths methods with standard considerations on discretizing stochastic PDEs. The results apply to a geometric 2-rough path, which covers the case of the multidimensional fractional Brownian motion with Hurst index H>1/3.