Brownian functionals and applications

Hida's theory of generalized Brownian functionals is surveyed with the applications to: (1) stochastic partial differential equations, (2) Feynman integral, (3) an extension of Itô's lemma, and (4) infinite dimensional Fourier transform.This article is based on the lectures delivered at the Department of Mathematics, University of Texas at Austin during July 6–10, 1981. The author is grateful to the department, especially, Professor Klaus R. Bichteler, for the invitation and the hispitality.Research supported by NSF grant MCS-8100728.     

Convex risk functionals: Representation and applications

We introduce the family of law-invariant convex risk functionals, which includes a wide majority of practically used convex risk measures and deviation measures. We obtain a unified representation theorem for this family of functionals. Two related optimization problems are studied. In the first application, we determine worst-case values of a law-invariant convex risk functional when the mean and a higher moment such as the variance of a risk are known. Second, we consider its application in optimal reinsurance design for an insurer. With the help of the representation theorem, we can show the existence and the form of optimal solutions.     

Characteristics of nonlinear positive functionals and their applications

An eigenfunction expansion theorem is proved under certain assumptions about a nonselfadjoint operator A + V, where A is selfadjoint, not necessarily bounded below, and the eigenfunction expansion theorem for A is known.     

Localization of Wiener functionals of fractional regularity and applications

In this paper we localize some of Watanabe’s results on Wiener functionals of fractional regularity, and use them to give a precise estimate of the difference between two Donsker’s delta functionals even with fractional differentiability. As an application, the convergence rate of the density of the Euler scheme for non-Markovian stochastic differential equations is obtained.     

Non-linear functionals of the Brownian bridge and some applications

Let {b^F(t),t∈[0,1]} be an F-Brownian bridge process. We study the asymptotic behaviour of non-linear functionals of regularizations by convolution of this process and apply these results to the estimation of the variance of a non-homogeneous diffusion and to the convergence of the number of crossings of a level by the regularized process to a modification of the local time of the Brownian bridge as the regularization parameter goes to 0.     

The wavelet transform for Wiener functionals and some applications

The wavelet transform is defined for Wiener functionals. We characterize global and local regularities of Wiener functionals and we give a criterion for the existence and regularity of densities. Such a criterion is applied to diffusion processes and to the solutions to backward stochastic differential equations.     

Tail estimates for exponential functionals and applications to SDEs

In this paper, based on techniques of Malliavin calculus, we obtain an explicit bound for tail probabilities of a general class of exponential functionals. We apply the obtained results to derive asymptotic behaviors for the tail of the exponential functional of stochastic differential equations.     

Three critical points for perturbed nonsmooth functionals and applications

A recently established three-critical-points theorem of Ricceri relating to continuously Gâteaux differentiable functionals, based on a minimax inequality and on a truncation argument, is extended to Motreanu–Panagiotopoulos functionals. As an application, multiplicity results, also yielding a uniform bound on the norms of solutions, are obtained for variational–hemivariational inequalities depending on two parameters.     

Relatively compact families of functionals on abstract Wiener space and applications

In this paper we prove two relatively compact criterions in some L^p-spaces(p>1) for the set of functionals on abstract Wiener space in terms of the compact embedding theorems in finite dimensional Sobolev spaces. Then, as applications we study several relatively compact families of random fields for the solutions to SDEs (and SPDEs) with coefficients satisfying some bounded assumptions, some stochastic integrals, and local times of diffusion processes.     

Non-differentiable functionals and applications to elliptic problems with discontinuous nonlinearities

Multiple critical points theorems for non-differentiable functionals are established. Applications both to elliptic variational-hemivariational inequalities and eigenvalue problems with discontinuous nonlinearities are then presented.     

An Edgeworth expansion for functionals of Gaussian fields and its applications

This paper is concerned with the rate of convergence in the normal approximation of the sequence $\left\{F_n\right\}$, where each $F_n$ is a functional of an infinite-dimensional Gaussian field. We develop new and powerful techniques for computing the exact rate of convergence in distribution with respect to the Kolmogorov distance. As a tool for our works, the Edgeworth expansion of general orders, with an explicitly expressed remainder, will be obtained, and this remainder term will be controlled to find upper and lower bounds of the Kolmogorov distance in the case of an arbitrary sequence $\left\{F_n\right\}$. As applications, we provide the optimal fourth moment theorem of the sequence $\left\{F_n\right\}$ in the case when $\left\{F_n\right\}$ is a sequence of random variables living in a fixed Wiener chaos or a finite sum of Wiener chaoses. In the former case, our results show that the conditions given in this paper seem more natural and minimal than ones appeared in the previous works.     

Dixmier traces as singular symmetric functionals and applications to measurable operators

We unify various constructions and contribute to the theory of singular symmetric functionals on Marcinkiewicz function/operator spaces. This affords a new approach to the non-normal Dixmier and Connes-Dixmier traces (introduced by Dixmier and adapted to non-commutative geometry by Connes) living on a general Marcinkiewicz space associated with an arbitrary semifinite von Neumann algebra. The corollaries to our approach, stated in terms of the operator ideal L^(1,∞) (which is a special example of an operator Marcinkiewicz space), are: (i) a new characterization of the set of all positive measurable operators from L^(1,∞), i.e. those on which an arbitrary Connes-Dixmier trace yields the same value. In the special case, when the operator ideal L^(1,∞) is considered on a type I infinite factor, a bounded operator x belongs to L^(1,∞) if and only if the sequence of singular numbers {s_n(x)}_n?1 (in the descending order and counting the multiplicities) satisfies . In this case, our characterization amounts to saying that a positive element x∈L^(1,∞) is measurable if and only if exists; (ii) the set of Dixmier traces and the set of Connes-Dixmier traces are norming sets (up to equivalence) for the space , where the space is the closure of all finite rank operators in L^(1,∞) in the norm ∥.∥_(1,∞).     

Multiple solutions for indefinite functionals and applications to asymptotically linear problems

In this paper, by means of Morse theory of isolated critical points (orbits) we study further the critical points theory of asymptotically quadratic functionals and give some results concerning the existence of multiple critical points (orbits) which generalize a series of previous results due to Amann, Conley, Zehnder and K.C. Chang. As applications, the existence of multiple periodic solutions for asymptotically linear Hamiltonian systems is investigated. And our results generalize some recent ones due to Coti-Zelati, J.Q.Liu, S.Li, etc.This research was supported in part by the National Postdoctoral Science Fund.     

Multiple critical points for non-differentiable parametrized functionals and applications to differential inclusions

In this paper we deal with a class of non-differentiable functionals defined on a real reflexive Banach space X and depending on a real parameter of the form ${\mathcal{E}_\lambda(u)=L(u)-(J_1\circ T)(u)-\lambda (J_2\circ S)(u)}$ , where ${L:X \rightarrow \mathbb R}$ is a sequentially weakly lower semicontinuous C ¹ functional, ${J_1:Y\rightarrow\mathbb R, J_2:Z\rightarrow \mathbb R}$ (Y, Z Banach spaces) are two locally Lipschitz functionals, T : X → Y, S : X → Z are linear and compact operators and λ > 0 is a real parameter. We prove that this kind of functionals posses at least three nonsmooth critical points for each λ > 0 and there exists λ* > 0 such that the functional ${\mathcal{E}_{\lambda^\ast}}$ possesses at least four nonsmooth critical points. As an application, we study a nonhomogeneous differential inclusion involving the p(x)-Laplace operator whose weak solutions are exactly the nonsmooth critical points of some “energy functional” which satisfies the conditions required in our main result.