The maximum maximum of a martingale constrained by an intermediate law

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≡ sup_{0≤ 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     

Infinite-dimensional Langevin equations: uniqueness and rate of convergence for finite-dimensional approximations

The paper deals with the infinite-dimensional stochastic equation dX= B(t, X) dt + dW driven by a Wiener process which may also cover stochastic partial differential equations. We study a certain finite dimensional approximation of B(t, X) and give a qualitative bound for its rate of convergence to be high enough to ensure the weak uniqueness for solutions of our equation. Examples are given demonstrating the force of the new condition. Received: 6 November 1999 / Revised version: 21 August 2000 / Published online: 6 April 2001     

An explicit upper bound for Weil-Petersson volumes of the moduli spaces of punctured Riemann surfaces

An explicit upper bound for the Weil-Petersson volumes of punctured Riemann surfaces is obtained using Penner's combinatorial integration scheme from [4]. It is shown that for a fixed number of punctures n and for genus g increasing, while this limit is exactly equal to two for n=1. Received: 17 May 2000 / Revised version: 9 August 2000 / Published online: 23 July 2001     

Ungleiche Partner in der Mathematik im „Dritten Reich” Heinrich Behnke und Wilhelm Süss

Zusammenfassung. Im Mittelpunkt des Berichts stehen die Mathematiker Heinrich Behnke und Wilhelm Süss. Zun?chst werden die Positionen von Behnke und Süss im „Dritten Reich” skizziert. Zwischen den beiden entwickelte sich im Zweiten Weltkrieg eine ungleiche Partnerschaft, die anhand von zwei Beispielen dargestellt wird: der von Süss angestrebten Reorganisation des mathematischen Zeitschriftenwesens und Behnkes Unterstützung für seinen Freund und Kollegen Henri Cartan. Eingegangen am 20. Juli 2001 / Angenommen am 13. September 2001     

On the regularity of the distribution of the maximum of one-parameter Gaussian processes

The main result in this paper states that if a one-parameter Gaussian process has C ^2k paths and satisfies a non-degeneracy condition, then the distribution of its maximum on a compact interval is of class C ^k . The methods leading to this theorem permit also to give bounds on the successive derivatives of the distribution of the maximum and to study their asymptotic behaviour as the level tends to infinity. Received: 14 May 1999 / Revised version: 18 October 1999 / Published online: 14 December 2000     

A unimodularly invariant theory for immersions into the affine space

We develop a unimodularly invariant theory for immersions with higher codimension into the affine space. Received: 6 September 2001; in final form: 22 November 2001 / Published online: 29 April 2002 RID="*" ID="*" Supported by the Deutsche Forschungsgemeinschaft     

Brownian motion in cones

Summary. We study the asymptotic behavior of Brownian motion and its conditioned process in cones using an infinite series representation of its transition density. A concise probabilistic interpretation of this series in terms of the skew product decomposition of Brownian motion is derived and used to show properties of the transition density. Received: 2 April 1996 / In revised form: 21 December 1996     

Near coherence and filter games

We investigate a two-player game involving pairs of filters on ω. Our results generalize a result of Shelah ([7] Chapter VI) dealing with applications of game theory in the study of ultrafilters. Received: 28 September 1998 / Published online: 25 January 2001     

Rigorous low-temperature results for the mean field p-spins interaction model

We prove that, just below the critical temperature, the mean field p-spins interaction model, for p suitably large, spontaneously decomposes into different states. The asymptotic overlaps between any two different states are zero. Under a mild (unproven) hypothesis on the weight distribution of these states, we prove that they are pure states. This situation is called in physics “one level of symmetry breaking”. Received: 15 January 1998 / Revised version: 10 November 1999 / Published online: 21 June 2000     

Hölder continuity for spatial and path processes via spectral analysis

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     

A Local Limit Theorem on Certain p-AdicGroups and Buildings

 We present a local limit theorem for a measure on the special linear group with entries in a local field. (Received 20 March 2000; in revised form 8 September 2000)     

Inégalités de concentration pour les processus empiriques de classes de parties

We propose new concentration inequalities for maxima of set-indexed empirical processes. Our approach is based either on entropy inequalities or on martingale methods. The improvements we get concern the rate function which is exactly the large deviations rate function of a binomial law in most of the cases. Received: 11 January 2000 / Revised version: 12 May 2000 / Published online: 14 December 2000     

Rigorous results for the Hopfield model with many patterns

Summary. We perform a thorough investigation of the main aspects of the Hopfield model with many patterns. Advances are made toward the validity of the “replica symmetric” solution. Strong evidence of the validity of this solution is given over the entire domain where this validity is conjectured; complete proof is given in a subregion that contains strictly the ergodic region. Received: 22 May 1996 / In revised form: 20 May 1997     

Default swap games driven by spectrally negative Lévy processes

This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the study of an optimal stopping game subject to early default termination. Under a structural credit risk model based on spectrally negative Lévy processes, we apply the principles of smooth and continuous fit to identify the equilibrium exercise strategies for the buyer and the seller. We then rigorously prove the existence of the Nash equilibrium and compute the contract value at equilibrium. Numerical examples are provided to illustrate the impacts of default risk and other contractual features on the players’ exercise timing at equilibrium.     

Chaos decomposition of multiple fractional integrals and applications

Chaos decomposition of multiple integrals with respect to fractional Brownian motion (with H > 1/2) is given. Conversely the chaos components are expressed in terms of the multiple fractional integrals. Tensor product integrals are introduced and series expansions in those are considered. Strong laws for fractional Brownian motion are proved as an application of multiple fractional integrals. Received: 22 September 1998 / Revised version: 20 April 1999