On Closability of Directional Gradients

Let be a centred Gaussian measure on a separable real Banach space E, and let H be a Hilbert subspace of E. We provide necessary and sufficient conditions for closability in L ^p (E,) of the gradient D _H in the direction of H. These conditions are further elaborated in case when the gradient D _H corresponds to a bilinear form associated with a certain nonsymmetric Ornstein–Uhlenbeck operator. Some natural examples of closability and nonclosability are presented.     

On a Test Statistic for Linear Trend

Let {W(s)} _s 0 be a standard Wiener process. The supremum of the squared Euclidian norm Y (t)², of the R²-valued process Y(t)=(1/t W(t), {12/t ³ int_{0 t} s dW (s)– {3/t} W(t)), t [, 1], is the asymptotic, large sample distribution, of a test statistic for a change point detection problem, of appearance of linear trend. We determine the asymptotic behavior P {sup _t [, 1] Y(t)² > u as u , of this statistic, for a fixed (0,1), and for a moving = (u) 0 at a suitable rate as u . The statistical interest of our results lie in their use as approximate test levels.     

催化介质中的超Ornstein-Uhlenbeck 过程

本文构造了催化介质中的Ornstein-Uhlenbeck过程,并在有限测试情形,证明了其persistence性质（d=1)。     

Higher-order Riesz operators for the Ornstein–Uhlenbeck Semigroup

We prove that the second-order Riesz transforms associated to the Ornstein–Uhlenbeck semigroup are weak type (1,1) with respect to the Gaussian measure in finite dimension. We also show that they are given by a principal value integral plus a constant multiple of the identity. For the Riesz transforms of order three or higher, we present a counterexample showing that the weak type (1,1) estimate fails.     

Computing the first passage time density of a time-dependent Ornstein–Uhlenbeck process to a moving boundary

In this paper we use the method of images to derive the closed-form formula for the first passage time density of a time-dependent Ornstein–Uhlenbeck process to a parametric class of moving boundaries. The results are then applied to develop a simple, efficient and systematic approximation scheme to compute tight upper and lower bounds of the first passage time density through a fixed boundary.     

Generalized Mehler Semigroups and Catalytic Branching Processes with Immigration

Skew convolution semigroups play an important role in the study of generalized Mehler semigroups and Ornstein–Uhlenbeck processes. We give a characterization for a general skew convolution semigroup on a real separable Hilbert space whose characteristic functional is not necessarily differentiable at the initial time. A connection between this subject and catalytic branching superprocesses is established through fluctuation limits, providing a rich class of non-differentiable skew convolution semigroups. Path regularity of the corresponding generalized Ornstein–Uhlenbeck processes in different topologies is also discussed.     

Option pricing under jump-diffusion models with mean-reverting bivariate jumps

We propose a jump-diffusion model where the bivariate jumps are serially correlated with a mean-reverting structure. Mathematical analysis of the jump accumulation process is given, and the European call option price is derived in analytical form. The model and analysis are further extended to allow for more general jump sizes. Numerical examples are provided to investigate the effects of mean-reversion in jumps on the risk-neutral return distributions, option prices, hedging parameters, and implied volatility smiles.     

A mathematical model of pricing in a large system of cash bonds

The purpose of this paper is to give a mathematical model to generalize the classical approach of compound interest and to overcome the time structure problem of the interest rates. We introduce a suitable stochastic process called the ‘gauge’ process such that its product with the value of any security is assumed to be a martingale in an appropriate probability space. The framework of this model gives a stochastic actualization formula for the pricing of general securities with options and includes Black and Schole's formula without using arbitrage arguments. Emphasis has been placed on numerical calculation.     

Banach Space-Valued Ornstein–Uhlenbeck Processes with General Drift Coefficients

We construct Ornstein–Uhlenbeck processes with values in Banach space and with continuous paths. The drift coefficient must only generate a strongly continuous semigroup on the Hilbert space which determines the Brownian motion. We admit arbitrary starting points and consider also invariant measures for the process, generalizing earlier work in many directions. A price for the generality is that sometimes one has to enlarge the phase space but most previously known results are covered.The constructions are based on abstract Wiener space methods, more precisely on images of abstract Wiener spaces under suitable linear transformations of the Cameron–Martin space. The image abstract Wiener measures are then given by stochastic extensions. We present the basic spaces and operators and the most important results on image spaces and stochastic extensions in some detail.     

Superdiffusive Behaviour of a Passive Ornstein–Uhlenbeck Tracer in a Turbulent Shear Flow

In this paper, we are interested in the study of the diffusion of a passive particle with positive mass by a divergence free velocity field. We consider here the very simple turbulent shear flow case, in which we will prove the superdiffusive behaviour of the motion for large enough values of the energy spectrum of the velocity field. For small values, the proof of the diffusive behaviour of the model is also new, and it is shown that this diffusion is strictly greater than the one obtained with a non-massive particle. One interesting point to insist on is that we are able to obtain explicit hydrodynamic equations without even having the stationary measure of the studied processes