Traps for reflected Brownian motion

Consider an open set , d ≥ 2, and a closed ball . Let denote the expectation of the hitting time of B for reflected Brownian motion in D starting from x ∈ D. We say that D is a trap domain if . A domain D is not a trap domain if and only if the reflecting Brownian motion in D is uniformly ergodic. We fully characterize the simply connected planar trap domains using a geometric condition and give a number of (less complete) results for d > 2. Research partially supported by NSF grant DMS-0303310. Research partially supported by NSF grant DMS-0303310. Research partially supported by NSF grant DMS-0201435.     

Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant

Summary This work is concerned with the existence and uniqueness of a class of semimartingale reflecting Brownian motions which live in the non-negative orthant of ^d . Loosely speaking, such a process has a semimartingale decomposition such that in the interior of the orthant the process behaves like a Brownian motion with a constant drift and covariance matrix, and at each of the (d-1)-dimensional faces that form the boundary of the orthant, the bounded variation part of the process increases in a given direction (constant for any particular face) so as to confine the process to the orthant. For historical reasons, this pushing at the boundary is called instantaneous reflection. In 1988, Reiman and Williams proved that a necessary condition for the existence of such a semimartingale reflecting Brownian motion (SRBM) is that the reflection matrix formed by the directions of reflection be completely-L. In this work we prove that condition is sufficient for the existence of an SRBM and that the SRBM is unique in law. It follows from the uniqueness that an SRBM defines a strong Markov process. Our results have potential application to the study of diffusions arising as approximations tomulti-class queueing networks.Research supported in part by NSF Grants DMS 8657483, 8722351 and 9023335, and a grant from AT&T Bell Labs. In addition, R.J. Williams was supported in part during the period of this research by an Alfred P. Sloan Research Fellowship     

On the existence of positive solutions of semilinear elliptic equations with Dirichlet boundary conditions

Research supported in part by NSF Grants DMS 8657483 and GER 9023335     

Regeneration for chains with infinite memory

Summary A regeneration structure is established for chains with infinite memory. The memory is required to decay only along a single recurrent path. When there are many recurrent paths (e.g. under conservativity) the construction yields a decomposition into regenerative recurrent classes.Research supported by NSF Grant DMS 89-01464     

Positivity and strict contractivity of functions of operators

Carathéodory class functionsf(z) are described having the property that the self-adjoint part off(A) is positive definite for every contractionA whose spectral radius is less than 1. Analogous results are obtained for bounded analytic functions in the unit disc, and for the Nevanlinna class. Applications to Markov chains are indicated.Partially supported by the US Air Force Grant AFOSR-94-0293.Partially supported by the NSF Grant DMS-9500924.     

Distoriton of area and conditioned Brownian motion

Summary In a simply connected planar domainD the expected lifetime of conditioned Brownian motion may be viewed as a function on the set of hyperbolic geodesics for the domain. We show that each hyperbolic geodesic induces a decomposition ofD into disjoint subregions and that the subregions are obtained in a natural way using Euclidean geometric quantities relating toD. The lifetime associated with on each _j is then shown to be bounded by the product of the diameter of the smallest ball containing _j and the diameter of the largest ball in _j . Because this quantity is never larger than, and in general is much smaller than, the area of the largest ball in _j it leads to finite lifetime estimates in a variety of domains of infinite area.Research of the first author was supported in part by NSF Grant DMS-9100811Research of the second author was supported in part by NSF Grant DMS-9105407     

A geometric characterization of inner product spaces

A normed linear spaceE is an inner product space if (and only if) there is a nontrivial closed bounded setD inE such that each translate ofD which misses the origin is taken by the inversion ofE to a convex set. Research supported in part by NSF Grant No. MCS 79-02734.     

The scalar curvature equation on 2- and 3-spheres

In this article we obtain a priori estimates for solutions to the prescribed scalar curvature equation on 2- and 3-spheres under a nondegeneracy assumption on the curvature function. Using this estimate, we use the continuity method to demonstrate the existence of solutions to this equation when a map associated to the given curvature function has non-zero degree.Research of first author supported in part by NSF grant 91-03949Research of second author supported by a NSF Postdoctoral Fellowship.Research of third author supported in part by NSF grant 91-02872 and the Ellentuck Fund.     

Hammersley's interacting particle process and longest increasing subsequences

Summary In a famous paper [8] Hammersley investigated the lengthL _n of the longest increasing subsequence of a randomn-permutation. Implicit in that paper is a certain one-dimensional continuous-space interacting particle process. By studying a hydrodynamical limit for Hammersley's process we show by fairly “soft” arguments that limn ^′1/2 EL _n =2. This is a known result, but previous proofs [14, 11] relied on hard analysis of combinatorial asymptotics. Research supported by NSF Grant MCS 92-24857 and the Miller Institute for Basic Research in Science Research supported by NSF Grant DMS92-04864     

The domestic levels ofK c are iterable

We show that the models produced by theK ^c construction before (if ever) it reaches a non-domestic premouse are all iterable. As a corollary we get thatPFA plus the existence of a measurable cardinal implies the existence of a non-domestic premouse. Partially supported by the Italian MURST. Research partially supported by NSF grant DMS 98-03292. Research partially supported by NSF grant DMS 98-03611.     

Riesz decompositions and subtractivity for excessive measures

The convex cone of excessive measures of a right Markov process is an example of a superharmonic semigroup in the abstract potential theory developed by Arsove and Leutwiler. We show that their theory of Riesz decompositions can be sharpened in the case of excessive measures. In particular there is always a Riesz decomposition relative to a given potential cone (resp. harmonic cone). An element of an ordered convex cone is subtractive if each majorant is a specific majorant. This notion of subtractivity features prominently in the theory of harmonic cones. We give a complete characterization of the subtractive elements in the cone of excessive measures.The research of both authors was supported in part by NSF Grant DMS 87-21347.     

Isoperimetric Invariants For Product Markov Chains and Graph Products

Bounds on some isoperimetric constants of the Cartesian product of Markov chains are obtained in terms of related isoperimetric quantities of the individual chains.* Research supported in part by NSF Grants. Research supported by NSF Grant No. CCR-9503952 and DMS-9800351.     

<Emphasis Type="Bold">C</Emphasis><Superscript><Emphasis Type="Bold">1,</Emphasis><Emphasis Type="Italic">α</Emphasis></Superscript> regularity for infinity harmonic functions in two dimensions

We propose a new method for showing C ^{1, α} regularity for solutions of the infinity Laplacian equation and provide full details of the proof in two dimensions. The proof for dimensions n ≥ 3 depends upon some conjectured local gradient estimates for solutions of certain transformed PDE. LCE is supported in part by NSF Grant DMS-0500452. OS was supported in part by the Miller Institute for Basic Research in Science, Berkeley.     

A finite element method for approximating the time-harmonic Maxwell equations

Summary In this paper we study the use of Nédélec's curl conforming finite elements to approximate the time-harmonic Maxwell equations on a bounded domain. The analysis is complicated by the fact that the bilinear form is not coercive, and the principle part has a very large null-space. This difficulty is circumvented by using a discrete Helmholtz decomposition of the error vector. Numerical results are presented that compare two different linear elements.Research supported in part by grants from AFOSR and NSF     

Minimum cutsets for an element of a boolean lattice

An informative new proof is given for the theorem of Nowakowski that determines for all n and k the minimum size of a cutset for an element A with |A|=k of the Boolean algebra B _n of all subsets of {1,...,n}, ordered by inclusion. An inequality is obtained for cutsets for A that is reminiscent of Lubell's inequality for antichains in B _n. A new result that is provided by this approach is a list of all minimum cutsets for A.Research supported in part by NSF Grant DMS 87-01475.Research supported in part by NSF Grant DMS 86-06225 and Air Force OSR-86-0076.     

Geometric and transformational properties of Lipschitz domains,Semmes-Kenig-Toro domains,and other classes of finite perimeter domains

In the first part of this article we give intrinsic characterizations of the classes of Lipschitz and C¹ domains. Under some mild, necessary, background hypotheses (of topological and geometric measure theoretic nature), we show that a domain is Lipschitz if and only if it has a continuous transversal vector field. We also show that if the geometric measure theoretic unit normal of the domain is continuous, then the domain in question is of class C¹. In the second part of the article, we study the invariance of various classes of domains of locally finite perimeter under bi-Lipschitz and C¹ diffeomorphisms of the Euclidean space. In particular, we prove that the class of bounded regular SKT domains (previously called chord-arc domains with vanishing constant, in the literature) is stable under C¹ diffeomorphisms. A number of other applications are also presented. Acknowledgements and Notes. The work of the authors was supported in part by NSF grants DMS-0245401, DMS-0653180, DMS-FRG0456306, and DMS-0456861.     

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     

Pseudo Jordan domains and reflecting Brownian motions

Summary The manifold metric between two points in a planar domain is the minimum of the lengths of piecewiseC ¹ curves in the domain connecting these two points. We define a bounded simply connected planar region to be a pseudo Jordan domain if its boundary under the manifold metric is topologically homeomorphic to the unit circle. It is shown that reflecting Brownian motionX on a pseudo Jordan domain can be constructed starting at all points except those in a boundary subset of capacity zero.X has the expected Skorokhod decomposition under a condition which is satisfied when G has finite 1-dimensional lower Minkowski content.     

One-point extensions of Markov processes by darning

This paper is a continuation of the works by Fukushima–Tanaka (Ann Inst Henri Poincaré Probab Stat 41: 419–459, 2005) and Chen–Fukushima–Ying (Stochastic Analysis and Application, p.153–196. The Abel Symposium, Springer, Heidelberg) on the study of one-point extendability of a pair of standard Markov processes in weak duality. In this paper, general conditions to ensure such an extension are given. In the symmetric case, characterizations of the one-point extensions are given in terms of their Dirichlet forms and in terms of their L ²-infinitesimal generators. In particular, a generalized notion of flux is introduced and is used to characterize functions in the domain of the L ²-infinitesimal generator of the extended process. An important role in our investigation is played by the α-order approaching probability u _α . The research of Z.-Q. Chen is supported in part by NSF Grant DMS-0600206. The research of M. Fukushima is supported in part by Grant-in-Aid for Scientific Research of MEXT No.19540125.     

Reflecting Brownian motions and a deletion result for Sobolev spaces of order (1, 2)

Let D be an open set in ^d and E be a relatively closed subset of D having zero Lebesgue measure. A necessary and sufficient integral condition is given for the Sobolev spaces W ^1,2 (D) and W ^1,2(D\E) to be the same. The latter is equivalent to (normally) reflecting Brownian motion (RBM) on being indistinguishable (in distribution) from RBM on . This integral condition is satisfied, for example, when E has zero (d–1)-dimensional Hausdorff measure. Therefore it is possible to delete from D a relatively closed subset E having positive capacity but nevertheless the RBM on is indistinguishable from the RBM on , or equivalently, W ^1,2(D\E)=W^1,2(D). An example of such kind is: D=² and E is the Cantor set. In the proof of above mentioned results, a detailed study of RBMs on general open sets is given. In particular, a semimartingale decomposition and approximation result previously proved in [3] for RBMs on bounded open sets is extended to the case of unbounded open sets.Research supported in part by NSF Grant DMS 86-57483.