A different quantum stochastic calculus for the Poisson process

Summary We show that a gradient operator defined by perturbations of the Poisson process jump times can be used with its adjoint operator instead of the annihilation and creation operators on the Poisson-Charlier chaotic decomposition to represent the Poisson process. The quantum stochastic integration and the Itô formula are developed accordingly, leading to commutation relations which are different from the CCR. An analog of the Weyl representation is defined for a subgroup ofSL(2, ), showing that the exponential and geometric distributions are closely related in this approach.     

Explicit continued fractions and quantum gravity

This paper deals with the subject of completely integrable systems, particularly Painlevé equations, monodromy and Stokes parameters, complex analysis, approximation theory, computational mathematics, and number theory. The starting point is the rather narrow question: What is the closed-form expression for the continued fraction expansions of functions having closed (explicit) form definition?     

Strong p-completeness of stochastic differential equations and the existence of smooth flows on noncompact manifolds

Summary Here we discuss the regularity of solutions of SDE's and obtain conditions under which a SDE on a complete Riemannian manifoldM has a global smooth solution flow, in particular improving the usual global Lipschitz hypothesis whenM=R ⁿ . There are also results on non-explosion of diffusions.Research supported by SERC grant GR/H67263     

Gradient estimates for positive harmonic functions by stochastic analysis

We prove Cheng–Yau type inequalities for positive harmonic functions on Riemannian manifolds by using methods of Stochastic Analysis. Rather than evaluating an exact Bismut formula for the differential of a harmonic function, our method relies on a Bismut type inequality which is derived by an elementary integration by parts argument from an underlying submartingale. It is the monotonicity inherited in this submartingale which allows us to establish the pointwise estimates.     

Existence and examples of quantum isometry groups for a class of compact metric spaces

We formulate a definition of isometric action of a compact quantum group (CQG) on a compact metric space, generalizing Banica's definition for finite metric spaces. For metric spaces (X,d)$(X,d)$ which can be isometrically embedded in some Euclidean space, we prove the existence of a universal object in the category of the compact quantum groups acting isometrically on (X,d)$(X,d)$. In fact, our existence theorem applies to a larger class, namely for any compact metric space (X,d)$(X,d)$ which admits a one-to-one continuous map f:X→Rⁿ$f:X\to {\mathbb{R}}^n$ for some n   such that _d0(f(x),f(y))=?(d(x,y))$d_0(f(x),f(y))=?(d(x,y))$ (where _d0$d_0$ is the Euclidean metric) for some homeomorphism ?   of R⁺${\mathbb{R}}^{+}$.     

Representation of Gaussian isotropic spin random fields

We develop a technique for the construction of random fields on algebraic structures. We deal with two general situations: random fields on homogeneous spaces of a compact group and in the spin line bundles of the 2$2$-sphere. In particular, every complex Gaussian isotropic spin random field can be represented in this way. Our construction extends P. Lévy’s original idea for the spherical Brownian motion.     

A simulation approach to optimal stopping under partial information

We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional diffusion with correlated noise. Such models where the controller is not fully aware of her environment are of interest in applied probability and financial mathematics. We propose a new approximate numerical algorithm based on the particle filtering and regression Monte Carlo methods. The algorithm maintains a continuous state space and yields an integrated approach to the filtering and control sub-problems. Our approach is entirely simulation-based and therefore allows for a robust implementation with respect to model specification. We carry out the error analysis of our scheme and illustrate with several computational examples. An extension to discretely observed stochastic volatility models is also considered.     

Infinite-dimensional Dirichlet operators I: Essential selfadjointness and associated elliptic equations

We give sufficient conditions for essential selfadjointness of operators associated with classical Dirichlet forms on Hilbert spaces and of potential perturbations of Dirichlet operators. We also study the smoothness of generalized solutions of elliptic equations corresponding to the Dirichlet operators.Supported by the Alexander von Humboldt Foundation.     

A probabilistic approach to Martin boundaries for manifolds with ends

Summary We use martingale methods and coupling arguments to prove results of Li and Tam (1987) and Donnelly (1986) characterizing positive and bounded harmonic functions, respectively, on certain manifolds with ends.Research supported by a grant from NSA/NSF     

Brownian motion and the formation of singularities in the heat flow for harmonic maps

Summary We develop a general framework for a stochastic interpretation of certain nonlinear PDEs on manifolds. The linear operation of takin expectations is replaced by the concept of martingale means, namely the notion of deterministic starting points of martingales (with respect to the Levi-Civita connection) ending up at a prescribed state. We formulate a monotonicity condition for the Riemannian quadratic variation of such martingales that allows us to turn smallness of the quadratic variation into a priori gradient bounds for solutions of the nonlinear heat equation. Such estimates lead to simple criteria for blow-ups in the nonlinear heat flow for harmonic maps with small initial energy.This article was processed by the author using the Springer-Verlag TEX QPMZGHB macro package 1991.     

Phase space Feynman path integrals via piecewise bicharacteristic paths and their semiclassical approximations

We give a fairly general class of functionals for which the phase space Feynman path integrals have a mathematically rigorous meaning. More precisely, for any functional belonging to our class, the time slicing approximation of the phase space path integral converges uniformly on compact subsets of the phase space. Our class of functionals is rich because it is closed under addition and multiplication. The interchange of the order with the Riemann integrals, the interchange of the order with a limit and the perturbation expansion formula hold in the phase space path integrals. The use of piecewise bicharacteristic paths naturally leads us to the semiclassical approximation on the phase space.     

Feynman path integrals as analysis on path space by time slicing approximation

Using the time slicing approximation, we give a mathematically rigorous definition of Feynman path integrals for a general class of functionals on the path space. As an application, we prove the interchange with Riemann-Stieltjes integrals, the interchange with a limit, the perturbation expansion formula, the semiclassical approximation, and the fundamental theorem of calculus in Feynman path integral.     

Mathematical problems of stochastic quantum mechanics: Harmonic analysis on phase space and quantum geometry

In this paper we review the mathematical methods and problems that are specific to the programme of stochastic quantum mechanics and quantum spacetime. The physical origin of these problems is explained, and then the mathematical models are developed. Three notions emerge as central to the programme: positive operator-valued (POV) measures on a Hilbert space, reproducing kernel Hilbert spaces, and fibre bundle formulations of quantum geometries. A close connection between the first two notions is shown to exist, which provides a natural setting for introducing a fibration on the associated overcomplete family of vectors. The introduction of group covariance leads to an extended version of harmonic analysis on phase space. It also yields a theory of induced group representations, which extends the results of Mackey on imprimitivity systems for locally compact groups to the more general case of systems of covariance. Quantum geometries emerge as fibre bundles whose base spaces are manifolds of mean stochastic locations for quantum test particles (i.e., spacetime excitons) that display a phase space structure, and whose fibres and structure groups contain, respectively, the aforementioned overcomplete families of vectors and unitary group representations of phase space systems of covariance.Work supported in part by the Natural Science and Engineering Research Council of Canada (NSERC) grants.     

A canonical setting and separating times for continuous local martingales

The notion of a separating time for a pair of measures on a filtered space is helpful for studying problems of (local) absolute continuity and singularity of measures. In this paper, we describe a certain canonical setting for continuous local martingales (abbreviated below as CLMs) and find an explicit form of separating times for CLMs in this setting.     

A variational approach to some boundary value problems in the half-line

We study the existence of solutions for two kinds of boundary value problem in the interval [0,[. The problems are suggested by models in Mathematical Physics. In the first kind of problem the condition at the left endpoint is u(0) = while in the second kind a homogeneous Neumann condition u = 0 is imposed. In both cases solutions should satisfy u(+) = 0. Our approach is variational, solutions being obtained as minimizers or mountain pass critical points of some functional.Received: October 21, 2003; revised: June 2, 2004Supported by Fundção para a Ciência e a Tecnologia, program POCTI (Portugal/FEDER-EU).     

On solutions to backward stochastic partial differential equations for Lévy processes

In this paper, we prove the existence and uniqueness of the solution for a class of backward stochastic partial differential equations (BSPDEs, for short) driven by the Teugels martingales associated with a Lévy process satisfying some moment conditions and by an independent Brownian motion. An example is given to illustrate the theory.     

Path integrals on finite sets

We construct an analogue of the Feynman path integral for the case of % MathType!MTEF!2!1!+-% feaafiart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr% 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq-Jc9% vqaqpepm0xbba9pwe9Q8fs0-yqaqpepae9pg0FirpepeKkFr0xfr-x% fr-xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaeyOeI0YaaS% aaaeaacaaIXaaabaGaamyAaaaadaWcaaqaaiabgkGi2cqaaiabgkGi% 2kaadshaaaqeduuDJXwAKbYu51MyVXgaiuaacqWFvpGAcaWG0bGaey% ypa0JaamisamaaBaaaleaacaGGOaaabeaakmaaBaaaleaacaGGPaaa% beaakiab-v9aQjaadshaaaa!4A8D!\[ - \frac{1}{i}\frac{\partial }{{\partial t}}\varphi t = H_( _) \varphi t\] in which H ₍₎ is a self-adjoint operator in the space L ²(M)= % MathType!MTEF!2!1!+-% feaafiart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr% 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq-Jc9% vqaqpepm0xbba9pwe9Q8fs0-yqaqpepae9pg0FirpepeKkFr0xfr-x% fr-xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaeSOaHmkaaa!3744!\[\mathbb{C}\], where _M is a finite set, the paths being functions of % MathType!MTEF!2!1!+-% feaafiart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr% 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq-Jc9% vqaqpepm0xbba9pwe9Q8fs0-yqaqpepae9pg0FirpepeKkFr0xfr-x% fr-xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaeSyhHekaaa!375D!\[\mathbb{R}\] with values in M. The path integral is a family of measures F _t,t with values in the operators on L ²(M), or equivalently, a family of complex measures corresponding to matrix coefficients.It is shown that these measures on path space are in some sense dominated by the measure of a Markov process. This implies that F _t,t is concentrated on the set of step functions S[t,t].This allows one to make sense of, and prove, the analogue of Feynman's formula for the propagator of the Hamiltonian H=H ₀+V, where V is a potential, namely the formula: % MathType!MTEF!2!1!+-% feaafiart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr% 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq-Jc9% vqaqpepm0xbba9pwe9Q8fs0-yqaqpepae9pg0FirpepeKkFr0xfr-x% fr-xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaaeyzamaaCa% aaleqabaGaeyOeI0IaamyAaiaacIcacaWG0bGaai4jaiabgkHiTiaa% dshacaGGPaGaamisaaaakiabg2da9maapebabaGaaeyzamaaCaaale% qabaGaeyOeI0IaamyAamaapedabaGaamOvaiaacIcatCvAUfKttLea% ryqr1ngBPrgaiuGacqWF4baEcaGGOaGaam4CaiaacMcacaGGPaGaae% izaiaabohaaWqaaiaadshaaeaacaWG0bGaai4jaaGdcqGHRiI8aaaa% kiaadAeadaWgaaWcbaGaamiDaiaacEcacaGGSaGaamiDaaqabaGcca% GGOaGaaeizaiab-Hha4jaacMcaaSqaaiaadofacaGGBbGaamiDaiaa% cYcacaWG0bGaai4jaiaac2faaeqaniabgUIiYdaaaa!6410!\[{\text{e}}^{ - i(t' - t)H} = \int_{S[t,t']} {{\text{e}}^{ - i\int_t^{t'} {V(x(s)){\text{ds}}} } F_{t',t} ({\text{d}}x)} \]and the corresponding formulas for the matrix coefficients, in which the integral extends over the paths beginning and ending in the appropriate points. We show that the measures F _t,t are completely determined by these equations and by a certain multiplicative property.The path integral corresponding to a two-particle system without interaction is the direct product of the corresponding path integrals. The propagator for a two-particle system with interaction can be obtained by repeated integration.Finally, we show that the above integral formula can be generalized to the case where the potential is time dependent.     

A classification of martingale Hardy spaces associated with rearrangement-invariant function spaces

Let X be a rearrangement-invariant Banach function space over a complete probability space , and denote by the Hardy space consisting of all martingales such that . We prove that implies for any filtration if and only if Doobs inequality holds in X, where denotes the martingale defined by , n = 0, 1, 2, ..., and a.s.Received: 1 August 2000     

First exit time probability for multidimensional diffusions: A PDE-based approach

First exit time distributions for multidimensional processes are key quantities in many areas of risk management and option pricing. The aim of this paper is to provide a flexible, fast and accurate algorithm for computing the probability of the first exit time from a bounded domain for multidimensional diffusions. First, we show that the probability distribution of this stopping time is the unique (weak) solution of a parabolic initial and boundary value problem. Then, we describe the algorithm which is based on a combination of the sparse tensor product finite element spaces and an hp-discontinuous Galerkin method. We illustrate our approach with several examples. We also compare the numerical results to classical Monte Carlo methods.