On It^o's formula for multidimensional Brownian motion
|
|
- Francis Harrison
- 6 years ago
- Views:
Transcription
1 On It^o's formula for multidimensional Brownian motion by Hans Follmer and Philip Protter Institut fur Mathemati Humboldt-Universitat D-99 Berlin Mathematics and Statistics Department Purdue University West Lafayette IN , USA Abstract. Consider a d-dimensional Brownian motion = ( ; : : : ; d and a function F which belongs locally to the Sobolev space W ;2. We prove an extension of It^o's formula where the usual second order terms are replaced by the quadratic covariations [f (; ] involving the wea rst partial derivatives f of F. In particular we show that for any locally square-integrable function f the quadratic covariations [f(; ] exist as limits in probability for any starting point, except for some polar set. The proof is based on new approximation results for forward and bacward stochastic integrals. Key words: It^o's formula, Brownian motion, stochastic integrals, quadratic covariation, Dirichlet spaces, polar sets. Supported in part by ONR grant # N and NSF grant # 949-INT
2 . Introduction The behavior of a smooth function F on R d along the paths of d-dimensional Brownian motion is described as follows by It^o's formula. Let P x be the distribution of Brownian motion with initial point x, and let = ( ; : : : ; d denote the coordinate process on the canonical path space = C([; ; R d. Consider the process A dened by (: A t = F ( t? F (? d = t f ( s d s ; where we denote by the partial derivatives of F. It^o's formula provides an alternative description of the process A: (:2 A t = 2 t F ( s ds P x? a:s: for any t, and for any starting point x 2 R d. Note, however, that the description (.2 in terms of the Laplace operator involves second order dierentiability of F, while denition (. requires only dierentiability of rst order. In fact, the process in (. is well dened whenever F belongs to the Sobolev space W ;2, at least locally. In this case, we choose an appropriate version of F and use the wea rst derivatives f in order to dene (. P x - almost surely for all x =2 E, where E is some polar set. Thus the question arises how to formulate an analogue to (.2 for a general function F 2 W ;2 loc. Of course we can always approximate F by smooth functions F (n in such a way that the terms in (. converge to the corresponding terms for F, and then we get the description (:3 A t = lim n! 2 t F (n ( s ds: But rather we are interested in an intrinsic description which directly involves the function F itself. It turns out that such an intrinsic description can be given in terms of quadratic covariation. We show that for any initial point x 2 R d, except for some polar set, the quadratic covariations [f (; ] exist as limits in probability of the usual sums under the measure P x. Our extension of It^o's formula consists in identifying the process A dened by (. as (:4 A t = 2 for all x except for some polar set. d = [f (; ] t P x? a:s: 2
3 If F is the dierence of two positive superharmonic functions so that the distribution F is given by a signed measure, then (.5 provides an explicit description of the 2 additive functional associated to which appears in the extended It^o formula of Brosamler (97 and Meyer (978. In the general case F 2 W ;2, we can view F as a function in the Dirichlet space associated to d-dimensional Brownian motion. From this point of view, A is the process of zero energy appearing in Fuushima's decomposition of the process F ( t (t ; cf. Fuushima (98. Thus, our formula (.5 provides an explicit construction of the process of zero energy in terms of quadratic covariation. In the one-dimensional case, the extension (.5 of It^o's formula was shown in Follmer, Protter and Shiryaev (995. In this paper we consider the case d 2. The basic idea is the same: The existence of the quadratic covariations in (.4 is shown by proving that the forward and the bacward stochastic integrals of f ( can be approximated by the corresponding sums. But in contrast to the one-dimensional case, these approximation results hold only for all initial points x outside some exceptional set of capacity zero, and the proofs are more subtle. In section 2 we x a starting point x 2 R d and a measurable function f on R d. We formulate two integrability conditions on f in terms of x which guarantee that both the forward and the bacward stochastic integral can be constructed in a straightforward manner as limits in probability (:5 t f( s d s = lim n! <t i <t f( ti ( t i+? t i and (:6 t f( s d s = lim n! <t i <t f( ti+ ( t i+? t i under the measure P x. This implies the existence of the quadratic covariations (:7 [f(; ] t = lim n! <t i <t ff( ti+? f( ti g( t i+? t i as limits in probability under the measure P x, and their identication as dierences (:8 [f(; ] t = t f( s d s? t f( s d s of bacward and forward stochastic integrals. In section 3 we consider a measurable function f such that (:9 P x [ t f 2 ( s ds < ] = : 3
4 at least for some x and for some t. Note that condition (.9 is clearly a minimal requirement if we want to tal about stochastic integrals of f(. Using results of Hohnle and Sturm (993 on multidimensional analogues of the Engelbert-Schmidt - law, we show that condition (.9 implies that our integrability conditions in section 2 for the existence of the quadratic covariations [f(; ] are satised for all starting points except for some polar set. In section 4 we apply these results to the wea derivatives f of a function F 2 W ;2. This leads us to our characterization (.5 of the process A dened by (.. Using the identication (.8 of the quadratic covariations [f (; ], our version (.5 of It^o's formula can also be written in the form (: F ( t? F ( = d = t f ( s d s ; where for a function f 2 L 2 loc (Rd we dene the Stratonovich integral as (: t f( s ds = t 2 ( f( s ds + t f( s d s : The idea of deriving an extended It^o formula in terms of quadratic covariations dened by (.8 or in terms of Stratonovich integrals dened as in (. has appeared independently in Russo and Vallois (996 in a general semimartingale context, and in Lyons and hang (994 in the context of Dirichlet spaces. Note that it maes sense to use both (.8 and (. as a denition of the quantities appearing on the left hand side whenever the processes are semimartingales after time reversal. However, the explicit approximation of the stochastic integrals in (.5 and (.6 and the resulting identication of the quadratic covariations as limits in probability of the sums in (.7 is another matter. Such an approximation is of course straightforward if f is continuous. Russo and Vallois (996 consider a dierent approximation where they rst smoothe the right hand side of (.7 by taing integrals over time instead of the usual sums. In Lyons and hang (994, the identication (.7 of the quadratic covariations [f(; ] is shown under the regularity assumption that the function f belongs to the Dirichlet space, and convergence in probability is formulated with respect to a reversible reference measure. In this paper, we concentrate on the classical case of Brownian motion. But here we insist on two improvements. First, the approximations (.5, (.6 and (.7 are established with respect to a given starting point x 2 R d under explicit integrability conditions involving f and x. The second point is that we remove any smoothing and any regularity assumptions on the measurable function f. We require only the minimal integrability conditions which are needed in order to guarantee existence of the forward stochastic integral in (.. Thus, the existence of the quadratic covariations in (.4 is established on exactly the same level of generality which is appropriate for dening the stochastic integrals in (.. 4
5 2. Existence of Quadratic Covariation Let f be a measurable function on R d where d 2. Our purpose in this section is to establish the existence of the quadratic covariations [f(; ] under appropriate integrability hypotheses on f, but without assuming any regularity conditions. Consider the sums (2: <t i <t ff( ti+? f( ti g( t i +? t i along a sequence of partitions D n of R +. As in Follmer, Protter and Shiryaev (995, the idea is to decompose (2. and to show that the two sums and <t i <t <t i <t f( ti ( t i+? t i f( ti +( t i +? t i converge separately, to respectively a forward and a bacward stochastic integral. To this end we assume that the sequence of partitions satises the following conditions: (2:2 lim n! sup t i 2D n (t i+? t i = ; M := sup n t i+ sup < ; t i 2D n t i note that the second condition is satised whenever the partitions are equidistant. For a given point x 2 R d we dene two norms for f: (2:3 jjfjj (x = jf(yj jjx? yjj?d dy and (2:4 jjfjj 2 (x = ( f(y 2 v(jjx? yjjdy 2 ; where (2:5 v(r = (? log r _ if d = 2 r 2?d if d 3 (2.6 Remar. Suppose that f has compact support. If f is also bounded then both norms jjfjj i (x (i = ; 2 are clearly nite for every point x 2 R d. This is still true if f is 5
6 in L p for some p > d; see remar (3.24. In section 3 we will see that, in view of a general result on the existence of quadratic covariation, it is natural to assume niteness of both norms for all points x =2 E, where E is an exceptional set which is not hit by Brownian motion. (2.7 Proposition. Let f be a measurable function on R d with compact support, and let x 2 R d be such that jjfjj 2 (x <. Then the forward stochastic integral satises (2:8 t for each 2 f; : : : ; dg. f( s d s = lim n! <t i <t Proof. It suces to consider only the case t =. Dene the processes and n by (2:9 (!; s = f( s (!; (2: n (!; s = The convergence in (2.8 is equivalent to f( ti ( t i+? t i in L 2 (P x t i 2D n f( ti (!I (ti ;t i+ ](s: (2: lim n! jj? njj 2 = ; where we use the norm (2:2 jj jj 2 = E x [ (!; s 2 ds] 2 for any measurable function on [; ]. Observe that if f 2 C b (R d, then (2. holds by Lebesgue's dominated convergence theorem. The general case will follow by approximating f by continuous functions in the norm jj jj 2 (x : 2 Note that the Gaussian density satises the inequality p s (z = (2s? d 2 exp(?jjzjj 2 =2s (2:3 p s (zds c(rv(jjzjj 6
7 for any z 2 R d with jjzjj R, where c(r is some constant depending on R; see, e.g., Dynin (965, VIII, 8.6. Denoting by K the compact support of f and choosing R sup y2k jjy? x jj, we obtain the estimate (2:4 hence jjjj 2 2 = c(r f 2 (yp s (y? x dyds f 2 (yv(jjy? x jjdy; (2:5 jjjj 2 a 2 jjfjj 2 (x ; where a 2 = p c(r. 3 In order to obtain a similar estimate for the approximating process n, note that (2:6 p ti (z (2t i? d 2 exp(?jjzjj 2 =2s M d 2 ps (z; for t i s t i+, due to our assumption (2.2. Again using (2.3 we get jj n jj 2 = 2 f 2 (y p ti (y? x ((t i+ ^? t i dy (2:7 hence M d 2 <t i <t f 2 (y M d 2 c(rjjfjj 2 2(x ; p s (y? x dsdy (2:8 jj n jj 2 b 2 jjfjj 2 (x where b 2 = p c(rm d 4. 4 Next we choose a continuous function g with compact support such that jjg?fjj 2 (x ", and denote by and n the processes associated to g as in (2.9 and (2.. We have (2:9 jj? n jj 2 jj? jj 2 + jj? n jj 2 + jj n? n jj 2 : But (2:2 lim n jj? n jj 2 = since g is bounded and continuous, and also (2:2 jj n? n jj 2 = jj(? n jj 2 b 2 jjf? gjj 2 (x ; 7 :
8 due to our estimate (2.8 applied to the function f? g. This together with (2.5 implies (2:22 lim sup n! jj? n jj 2 jj? jj 2 + lim sup jj n? n jj 2 n! a 2 jjf? gjj 2 (x + b 2 jjf? gjj 2 (x (a 2 + b 2 ": Since " > was arbitrary we have shown (2. and hence (2.8. (2.23 Proposition. Let f be a measurable function on R d with compact support, and let x 2 R d be such that jjfjj i (x < for i = ; 2. Then the bacward stochastic integral satises (2:24 t f( s d s = lim n! <t i <t f( ti+ ( t i+? t i in L (P x for each 2 f; : : : ; dg. Proof. It suces to consider the case t =. Let P x be the distribution of the time reversed process R under P x, where (R t =?t : The time reversed process R is a d-dimensional Brownian bridge tied down to 2 R d and starting with initial distribution N(; I, where I is the identity matrix. Under P x, each component is a semimartingale with decomposition (2:25 t = + W t + t x? s? s ds; where W ( = ; : : : ; d are independent Wiener processes. The convergence in (2.24 for t = is equivalent to the convergence (2:26 f( s d s = lim n! s i 2D n <s i < f( si ( s i+? s i in L (P x ; where D n = f? t i jt i 2 D n g. Let us now use the decomposition (2.25 of under P x, and let us rst show that condition jjfjj 2 (x < implies (2:27 lim n! s i 2D n <s i < f( si (W s i+? W s i = f( s dw s in L 2 (P x : This follows as in the proof of proposition (2.7. We have only to chec that the estimates (2.5 and (2.8 have analogues in terms of the norm jj jj 2 dened by (2:28 jj jj 2 = E x [ (!; sds] 8
9 for any measurable function on [; ]. This is clear for (2.5 since (2:29 jjjj 2 = 2 E x [ = E x [ f 2 ( s ds] f 2 (? sds] = jjjj 2 2 a 2 jjfjj 2 2(x : In order to obtain an analogue to (2.8, consider the term (2:3 jj n jj 2 2 = E x [ = E x [ = s i 2D n <s i < <t i < f 2 (y f 2 ( si (s i+? s i ] f 2 ( ti+ (t i+? t i ] <t i < For t i s t i+ and for any z 2 R d we have p ti+ (y? x (t i+? t i dy: (2:3 p ti+ (z (2s? d 2 exp(? jjzjj 2 2t i+ (2s? d jjm? 2 zjj 2 2 exp(? = p s (M? 2 z 2s due to (2.2. Using again the estimate (2.3, and observing that v(m? 2 r v(r for some constant which only depends on M and d, we get (2:32 <t i < p ti+ (z(t i+? t i Returning to (2.3 we see that p s (M? 2 zds c(rv(jjm? 2 zjj c(rv(jjzjj: (2:33 jj n jj 2 b 2jjfjj 2 (x for some constant b 2. Using the estimates (2.29 and (2.33, we can now conclude as in part 3 of the proof of proposition (2.7 that (2.27 holds. 2 It remains to show (2:34 lim n! s i 2D n <s i < si+ s f( si? x s i? s ds = f( s s? x? s ds in L (P x 9
10 or, equivalently, (2:35 lim n! <t i < Let us dene the norm (2:36 jj jj = E x [ ti+ s f( ti+? x t i? s ds = f( s s? x? s ds in L (P x : j (!; sj j s? x j ds] s for any measurable function on [; ]. For the process dened in (2.9 we have (2:37 jjjj = E x [ = jf( s j j s? x j ds] s jf(yjjy? x j p s (y? x dsdy: s However for the Gaussian density p s there is a constant a such that (2:38 jjzjj p s (z ds a jjzjj?d s for any z 2 R d ; see, e.g., Dynin (98, VIII, Combining (2.37 and (2.38 yields (2:39 jjjj a jjfjj (x : 3 We also need an estimate of the form (2.39 for the approximating processes (2:4 n(!; s = t i 2D n f( ti+ (!I (ti ;t i+ ](s: We will write P i for P t i 2D n ;<t i <. Then (2:4 jj n jj = i = i = i E x [jf( ti+ j ti+ ti+ t i js? x j ds] s js E x [? xj dsjf( ti+ j] t i s ti+ t i s E x [E x [js? x jj ti+ ]jf( ti+ j]ds: Recall that a normal random variable with law N(m; 2 satises (2:42 E[jj] = m(2( m? + r 2 exp(?m2 2 2 jmj + r 2
11 where denotes the distribution function of N(;. In the conditional expectation appearing in (2.4, the normal random variable = s? x has conditional mean (2:43 m = s t i+ ( t i+? x and conditional variance (2:44 2 = s t i+ (t i+? s (M? s; where we use our assumption (2.2. Thus, (2.42 implies (2:45 E x [j s? x jj t i+ ] A i (s + B i (s where we put (2:46 A i (s = s t i+ jj ti+? x jj; B i (s = for t i s < t i+. Returning to (2.4 we obtain the estimate r 2Ms (2:47 jj n jj E x [ i ti + t i jf( ti+j s (A i (s + B i (sds]: 4 Let us rst consider the term (2:48 E x [ i ti+ t i jf( ti+j s A i sds] = jf(yj jjy? x jj i t i+? t i p ti+ (y? x dy: t i+ Due to (2.3 and (2.38 we obtain the estimate (2:49 jjzjj i s i+? s i p si+ (z jjzjj s i+ cm d 2 jjzjj?d : s p s(m? 2 zds Returning to (2.48 we see that ti+ E x [ (2:5 i t i s jf( t i+ ja i s ds] jf(yjjjy? x jj?d dy = jjfjj (x where = c M d 2 :
12 5 As to the second term on the right hand side of (2.47, we again use (2.3 to obtain the estimate (2:5 ti+ r jf( ti+j 2M ti+ E x [ B i (sds] = jf(yj ps p ti+ (y? x dsdy i t i s i t i r 2M jf(yj p p s (M? 2 (y? x dsdy: s But for any z 2 R d we have (2:52 for some constant c 2, and so (2.5 implies (2:53 E x [ i ti+ jf( ti+ j t i s p s p s (zds c 2 jjzjj?d B i (sds] l = l jjfjj (x q 2 where l = c 2M d 2. 6 Combining (2.47 with (2.5 and (2.53 we see that (2:54 jj njj b jjfjj (x ; jf(yj jjy? x jj?d dy where b = + l. Using the estimates (2.54 and (2.39, we can now conclude as in part 3 of the proof of proposition (2.7 that jj? njj tends to. This implies the convergence in (2.35 and (2.34, and so the proposition is proved. We combine propositions (2.7 and (2.23 to obtain: (2.55 Corollary. Let f be a measurable function on R d, let x 2 R d, and let K m (m be a sequence of compact sets such that (2:56 lim m! P x [ t 2 K m 8 t 2 [; T ]] = 8T > : Assume that for any m the restriction f m of f to K m satises (2:57 jjf m jj i (x < (i = ; 2: Then the quadratic covariation (2:58 [f(; ] t lim n! = t <t i <t f( s d s? ff( ti+? f( ti g( t i+? t i 2 t f( s d s
13 exists in probability under P x and satises t t f( s d s? f( s ds ; (2:59 [f(; ] t = for each 2 f; : : : ; dg. Proof. Let t be xed and " >, and let T m = infft > j t =2 K m g be the exit time from K m. We denote by S n the n-th sum in (2.58, by S the dierence of the forward and bacward stochastic integrals, and by Sn m and S m the corresponding terms if the function f is replaced by f m. Since S n = Sn m and S = Sm P x -a.s. on ft m > tg, we have (2:6 P x [js n? Sj "] P x [T m t] + P x [js m n? S m j "] for any m. Applying propositions (2.7 and (2.23 to the function f m we see that the last term converges to as n tends to. Thus, (2:6 lim sup n! P x [js n? Sj "] P x [T m t]; and due to (2.56 the result follows by letting m tend to. 3. Exceptional sets Let f be a measurable function on R d. In our approximation (2.55 of the quadratic covariation (3: [f(; ] t = t f( s d s? t f( s d s : as a limit in probability under P x, we have assumed integrability conditions on f which are formulated in terms of the initial point x. In this section we show that it is no loss of generality to mae these assumptions for all x outside some exceptional set which is not hit by Brownian motion. (3.2 Denition. A measurable set E R d is called polar if (3:3 P x [ t 2 E for some t > ] = 8x 2 R d : (3.4 Remar. This probabilistic notion of an exceptional set is equivalent to the potential theoretic notion of a set of capacity zero; see, e.g., Fuushima (98, Th and Example Equivalently, we can dene these exceptional sets in terms of the Bessel capacity of order (,2 as in iemer (989, 2.6; see, e.g., Fuushima (993, p.25. 3
14 Note rst that in order to introduce the forward stochastic integral in (3. with respect to the measure P x, at least for some x 2 R d and some t >, we clearly need the condition (3:5 P x [ t f 2 ( s ds < ] = : But the results in Hohnle and Sturm (993, Th.. show that the validity of (3.2 for some x 2 R d and some t > implies that the function f satises condition (3.5 for all t > and for all initial points x =2 E where E is some polar set. Moreover, it follows that all the assumptions we used in theorem (2.55 hold for any starting point lying outside some polar set: (3.6 Proposition. Let f be a measurable function on R d such that condition (3.5 holds for some x 2 R d and some t <. Then there exist a sequence of compact sets K m R d (m and a polar set E such that the conditions (3:7 lim m! P x [ t 2 K m 8 t 2 [; T ]] = 8T > and (3:8 f 2 m (xdx < ; jjf mjj i (x < (i = ; 2 are satised for all x =2 E and for all m, where f m denotes the restriction f I Km of f to the set K m. Proof. It is shown in Hohnle and Sturm (993, Th. 3.5 and 3.7 that the validity of (3.2 for some x 2 R d and some t < is equivalent to the fact that there exists a polar set E 2 and a sequence of compact sets K m (m with (3:9 such that the conditions (3.7 and (3: K m f 2 (xdx < (m K m v( x? y f 2 (ydy < (m are satised for any x =2 E 2. Thus, the restrictions f m of f to K m satisfy (3: f m 2 L 2 (R d ; jjf m jj 2 (x < for all x =2 E 2. 4
15 2 It remains to verify the integrability condition (3:2 jjf m jj (x < for all x outside some polar set. In view of we may assume that f has compact support K and is square integrable. Consider the Bessel potential g jfj of order dened by (3:3 (g jfj(x = g (x? yjfj(ydy; where g is dened as that function whose Fourier transform is (3:4 ^g (x = (2? 2 ( + jjxjj 2? 2 : Note that (3:5 g (z = ( jjzjj?d + o(jjzjj?d with some constant ( as jjzjj! ; see, e.g., iemer (989, p. 65. Thus, there is a constant c such that (3:6 jjy? x jj?d c g (x? y on K and so we have (3:7 jjfjj (x = K jfj(yjjy? x jj?d dy c (g jfj(x : But the function u = g f, being the Bessel potential with index = associated to the square integrable function f, belongs to the Sobolev space W ;2 ; see iemer (989, Th This implies that the version ~u dened by (3:8 ~u(x := lim # vol(b (x B (x u(zdz satises ~u(x < outside some polar set E ; see, e.g., iemer (989, Th.3..4 and 3..2 or Fuushima (993, Th. 2.. Since (3:9 lim # vol(b (x B (x for any y 6= x by Lebesgue's theorem, we obtain (3:2 u(x = lim inf # jfj(y lim vol(b (x # vol(b (x g (y? zdz = g (y? x 5 B (x B (x u(zdz; g (y? xdzdy
16 using Fatou's lemma and Fubini's theorem. For x =2 E, we have thus shown u(x < ; hence jjfjj (x < due to (3.7. Combining proposition (3.6 with corollary (2.55 we obtain: (3.2 Theorem. Let f be a measurable function on R d such that condition (3.5 holds for some x 2 R d and some t <. Then there exists a polar set E such that for any x =2 E the quadratic covariation (3:22 [f(; ] t lim n! = t <t i <t ff( ti+? f( ti g( t i+? t i t f( s d s? f( s ds exists in probability under P x and satises (3:23 [f(; ] t = for each 2 f; : : : ; dg. t t f( s d s? f( s ds ; (3.24 Remar. If f 2 L p loc (Rd for some p > d then the conlusion of the theorem holds for every starting point x 2 R d, without exception. To see this we may assume that f has compact support. In this case, the assumption that f 2 L p (R d for some p > d implies (3:25 jjfjj i (x < (i = ; 2 for every x 2 R d. Thus, our assumptions in corollary (2.55 for the existence of quadratic covariation are satised everywhere. Conditions (3.25 can be veried directly, using Holder's inequality. They also follow from the Sobolev embedding theorem. Note that the function u 2 dened by (3:26 u 2 (x = f 2 (yv( x? y dy belongs to W 2;p=2 ; see Gilbarg and Trudinger (983, Th This implies u 2 2 C(R d for p > d, hence jjfjj 2 (x < for any x 2 R d ; see iemer (989, Th Note also that for f 2 L p the Bessel potential u = g jfj belongs to W ;p ; see iemer (989, Th This implies u 2 C(R d for p > d, again by iemer (989, Th , hence jjfjj (x < for any x 2 R d, due to (3.7. 6
17 4. It^o's formula Let W ;2 denote the Sobolev space of functions in L 2 (R d such that the wea rst partial derivatives belong to L 2 (R d. Recall that a function in W ;2 can be dened everywhere, except for a polar set, in terms of its integral averages, i.e., we can choose a version F and a polar set E such that (4: F (x = lim # vol(b (x B (x F (ydy for all x 2 E ; see, e.g., Fuushima (993, Th. 2. and p.25 or iemer (989, Th Let us now consider a function in W ;2 loc, i.e., a measurable function on Rd which coincides on each compact set with a function in W ;2. We x a version F such that (4. holds outside some polar set E, and we denote by (4:2 2 L 2 loc(r d the -th wea partial derivative of F. With probability, Brownian motion does not enter a given polar set after time, and so the values F ( t (! of the function F along a Brownian path are well dened P x -almost surely for any starting point x =2 E. (4.3 Theorem. Let F 2 W ;2 loc be given as above. For all x 2 R d except for some polar set, the quadratic covariation (4:4 [f (; ] t = lim (f ( ti+? f ( ti (t n i+? t i t i t exists as a limit in probability under P x for each 2 f; : : : ; dg, and It^o's formula holds in the form d t (4:5 F ( t = F ( + f ( s ds + d [f (; ] t P x? a:s: 2 for all t. = Proof. By a localization argument as in the proof of corollary (2.55, we can assume that F has compact support and belongs to W ;2. Since f 2 L 2 (R d, we have (4:6 P x [ t = f 2 ( s ds < ] = for all x except for some polar set; see Fuushima (98, ( Due to (3.2 we can conclude that the quadratic covariations [f (; ] t are well dened as limits in 7
18 probability under P x for all x, except for some polar set. Alternatively we can apply propositions (2.7 and (2.23, using the estimates jjf jj i (x < (i = ; 2 for x =2 E [ E 2 which are implied by (4.2 and (4.25 below. 2 Let x 2 R d. Suppose that we can approximate F by functions F (n 2 C 2 (R d with compact support in such a way that (4:7 F (x = lim n! F (n (x for all x outside some polar set, and that the partial derivatives f F (n satisfy (n (4:8 lim jjf n!? f jj i (x = (i = ; 2 for the two norms introduced in section 2. Due to our estimates (2.5, (2.29, (2.39 we can conclude, as in the proof of (2.7 and (2.23, that (4:9 lim n! and (4: lim n! In particular, t t t f (n ( s ds = f ( s ds in L 2 (P x t f (n ( s d s = f ( s d s in L (P x : (4: [f (; ] t = t f ( s d s? t f ( s d s (n = lim [f n! (; ] t in L (P x : Applying It^o's formula to the functions F (n, we obtain (4:2 2 d = [f (; ] t = lim n! 2 d [f (n = (; ] t = lim n! (F (n ( t? F (n (? = F ( t? F (? d = t d = t f ( s d s f (n ( s d s P x? a:s:; where we have applied once more (4.9 in the last step. 8
19 3 In order to construct such an approximation, let us tae functions F (n 2 C 2 (R d with compact support such that (4:3 n= jjf (n? F jj ;2 < where jj jj ;2 denotes the Sobolev norm in W ;2. In particular, the functions (4:4 h := n= jf (n? f j belong to L 2 (R d since (4:5 ( h 2 (xdx 2 n= ( jf (n? f j 2 dx 2 jjf (n? F jj ;2 < : n= It follows as in part 2 of the proof of proposition (3.6 that the Bessel potential (4:6 (g h (x = g (x? yh (ydy; is nite for all x outside some polar set E. But due to (3.7 we have (4:8 jjh jj (x c (g h (x ; for some constant c, and so we have shown that jjh jj (x < for all x implies (4:9 n= jjf (n? f jj 2 (x < ; =2 E. This by monotone integration, and so we get the desired approximation (n (4:2 lim jjf n!? f jj (x = for all x =2 E. 4 Let us dene (4:2 ~ h := ( n= (f (n? f 2 2 : 9
20 Since (4:22 ~h 2 dx = n= part of the proof of (3.6 shows that (4:23 (f (n? f 2 2 dx < ; K m v(jjx? yjj ~ h 2 (ydy < for all m and for all x except for some polar set E 2, where (K m is a sequence of compact sets satisfying (3.7. In view of the localization argument in the proof of (2.55, we can assume without loss of generality that F vanishes outside K m for some m. Then we get (4:24 n= v(jjx? yjj(f (n? f 2 (ydy < for all x =2 E 2, and this implies the desired approximation (n (4:25 lim jjf n!? f jj 2 (x = for all x =2 E 2. 5 Let us also chec that (4.7 holds for all points x except for some polar set. We have (4:26 (F? F (n (x = lim # vol(b (x B (x (F? F (n (xdx for all points x except for the polar set E involved in the choice of the version F. Since (4:27 n= due to (4.3, we get the existence of (4:28 lim # vol(b (x jf? F (n j 2 W ;2 B (x n= jf? F (n j(xdx < for all x except for a polar set E 3. For x =2 E [ E 3, we can conclude that (4:29 n= jf? F (n j(x n= lim inf # lim inf # vol(b (x vol(b (x B (x B (x n= jf? F (n j(xdx jf? F (n j(xdx < ; and this implies (4.7. Thus, all properties of the approximation which were used in part 2 of the proof are satised for any x =2 E [ E [ E 2 [ E 3. 2
21 References ] Brosamler, G. (97: Quadratic variation of potentials and harmonic functions. Trans. Am. Math. Soc. 49, p [2] Dynin, E.B. (98: Marov Processes vol. I. Springer-Verlag, Berlin-Gottingen- Heidelberg [3] Follmer, H., Protter, Ph. and Shiryaev, A.N. (995: Quadratic covariation and an extension of It^o 's formula. Bernoulli (/2, [4] Fuushima, M. (98: Dirichlet Forms and Marov Processes. Amsterdam: North- Holland [5 Fuushima, M. (993: Two topics related to Dirichlet forms: quasi everywhere convergences and additive functionals. In: Dirichlet Forms. Springer Lecture Notes in Mathematics 563, 2-53 [6] Gilbarg, D. and Trudinger, N.S. (983: Elliptic Partial Dierential Equations of Second Order. Springer-Verlag, New Yor-Berlin-Heidelberg [7] Hohnle, R. and Sturm, K.-Th. (993: A Multidimensional Analogue to the --Law of Engelbert and Schmidt. Stochastics and Stochastics Reports 44, 27-4 [8] It^o, K. (944: Stochastic integral. Proc. Imperial Acad. Toyo, 2, [9] Lyons, T.J. and hang,t.s. (994: Decomposition of Dirichlet processes and its application. Ann. Probability 22, [] Meyer, P.A. (978: La formule d'it^o pour le mouvement Brownian d'apres G. Brosamler. In: Seminaire de Probabilites II. Springer Lecture Notes in Mathematics 649 [] Russo, F. and Vallois, P. (996: It^o formula for C -functions of semimartingales.prob. Theory Relat. Fields 4, 27-4 [2] iemer, W.P. (989: Wealy Dierentiable Functions. Graduate Texts in Mathematics 2, Springer-Verlag, New Yor Berlin Heidelberg 2
A Representation of Excessive Functions as Expected Suprema
A Representation of Excessive Functions as Expected Suprema Hans Föllmer & Thomas Knispel Humboldt-Universität zu Berlin Institut für Mathematik Unter den Linden 6 10099 Berlin, Germany E-mail: foellmer@math.hu-berlin.de,
More informationPathwise Construction of Stochastic Integrals
Pathwise Construction of Stochastic Integrals Marcel Nutz First version: August 14, 211. This version: June 12, 212. Abstract We propose a method to construct the stochastic integral simultaneously under
More informationBrownian Motion. 1 Definition Brownian Motion Wiener measure... 3
Brownian Motion Contents 1 Definition 2 1.1 Brownian Motion................................. 2 1.2 Wiener measure.................................. 3 2 Construction 4 2.1 Gaussian process.................................
More informationConvergence at first and second order of some approximations of stochastic integrals
Convergence at first and second order of some approximations of stochastic integrals Bérard Bergery Blandine, Vallois Pierre IECN, Nancy-Université, CNRS, INRIA, Boulevard des Aiguillettes B.P. 239 F-5456
More informationCitation Osaka Journal of Mathematics. 41(4)
TitleA non quasi-invariance of the Brown Authors Sadasue, Gaku Citation Osaka Journal of Mathematics. 414 Issue 4-1 Date Text Version publisher URL http://hdl.handle.net/1194/1174 DOI Rights Osaka University
More informationSome SDEs with distributional drift Part I : General calculus. Flandoli, Franco; Russo, Francesco; Wolf, Jochen
Title Author(s) Some SDEs with distributional drift Part I : General calculus Flandoli, Franco; Russo, Francesco; Wolf, Jochen Citation Osaka Journal of Mathematics. 4() P.493-P.54 Issue Date 3-6 Text
More informationand finally, any second order divergence form elliptic operator
Supporting Information: Mathematical proofs Preliminaries Let be an arbitrary bounded open set in R n and let L be any elliptic differential operator associated to a symmetric positive bilinear form B
More informationMarkov processes Course note 2. Martingale problems, recurrence properties of discrete time chains.
Institute for Applied Mathematics WS17/18 Massimiliano Gubinelli Markov processes Course note 2. Martingale problems, recurrence properties of discrete time chains. [version 1, 2017.11.1] We introduce
More informationGRAND SOBOLEV SPACES AND THEIR APPLICATIONS TO VARIATIONAL PROBLEMS
LE MATEMATICHE Vol. LI (1996) Fasc. II, pp. 335347 GRAND SOBOLEV SPACES AND THEIR APPLICATIONS TO VARIATIONAL PROBLEMS CARLO SBORDONE Dedicated to Professor Francesco Guglielmino on his 7th birthday W
More information. DERIVATIVES OF HARMONIC BERGMAN AND BLOCH FUNCTIONS ON THE BALL
. DERIVATIVES OF HARMONIC ERGMAN AND LOCH FUNCTIONS ON THE ALL OO RIM CHOE, HYUNGWOON KOO, AND HEUNGSU YI Abstract. On the setting of the unit ball of euclidean n-space, we investigate properties of derivatives
More information2 BAISHENG YAN When L =,it is easily seen that the set K = coincides with the set of conformal matrices, that is, K = = fr j 0 R 2 SO(n)g: Weakly L-qu
RELAXATION AND ATTAINMENT RESULTS FOR AN INTEGRAL FUNCTIONAL WITH UNBOUNDED ENERGY-WELL BAISHENG YAN Abstract. Consider functional I(u) = R jjdujn ; L det Duj dx whose energy-well consists of matrices
More informationA NOTE ON STOCHASTIC INTEGRALS AS L 2 -CURVES
A NOTE ON STOCHASTIC INTEGRALS AS L 2 -CURVES STEFAN TAPPE Abstract. In a work of van Gaans (25a) stochastic integrals are regarded as L 2 -curves. In Filipović and Tappe (28) we have shown the connection
More informationTHE HARDY LITTLEWOOD MAXIMAL FUNCTION OF A SOBOLEV FUNCTION. Juha Kinnunen. 1 f(y) dy, B(x, r) B(x,r)
Appeared in Israel J. Math. 00 (997), 7 24 THE HARDY LITTLEWOOD MAXIMAL FUNCTION OF A SOBOLEV FUNCTION Juha Kinnunen Abstract. We prove that the Hardy Littlewood maximal operator is bounded in the Sobolev
More informationn E(X t T n = lim X s Tn = X s
Stochastic Calculus Example sheet - Lent 15 Michael Tehranchi Problem 1. Let X be a local martingale. Prove that X is a uniformly integrable martingale if and only X is of class D. Solution 1. If If direction:
More informationStochastic Processes
Introduction and Techniques Lecture 4 in Financial Mathematics UiO-STK4510 Autumn 2015 Teacher: S. Ortiz-Latorre Stochastic Processes 1 Stochastic Processes De nition 1 Let (E; E) be a measurable space
More informationON TRIVIAL GRADIENT YOUNG MEASURES BAISHENG YAN Abstract. We give a condition on a closed set K of real nm matrices which ensures that any W 1 p -grad
ON TRIVIAL GRAIENT YOUNG MEASURES BAISHENG YAN Abstract. We give a condition on a closed set K of real nm matrices which ensures that any W 1 p -gradient Young measure supported on K must be trivial the
More informationA Concise Course on Stochastic Partial Differential Equations
A Concise Course on Stochastic Partial Differential Equations Michael Röckner Reference: C. Prevot, M. Röckner: Springer LN in Math. 1905, Berlin (2007) And see the references therein for the original
More informationLECTURE 2: LOCAL TIME FOR BROWNIAN MOTION
LECTURE 2: LOCAL TIME FOR BROWNIAN MOTION We will define local time for one-dimensional Brownian motion, and deduce some of its properties. We will then use the generalized Ray-Knight theorem proved in
More informationFrom Fractional Brownian Motion to Multifractional Brownian Motion
From Fractional Brownian Motion to Multifractional Brownian Motion Antoine Ayache USTL (Lille) Antoine.Ayache@math.univ-lille1.fr Cassino December 2010 A.Ayache (USTL) From FBM to MBM Cassino December
More informationItô s formula. Samy Tindel. Purdue University. Probability Theory 2 - MA 539
Itô s formula Samy Tindel Purdue University Probability Theory 2 - MA 539 Mostly taken from Brownian Motion and Stochastic Calculus by I. Karatzas and S. Shreve Samy T. Itô s formula Probability Theory
More informationu( x) = g( y) ds y ( 1 ) U solves u = 0 in U; u = 0 on U. ( 3)
M ath 5 2 7 Fall 2 0 0 9 L ecture 4 ( S ep. 6, 2 0 0 9 ) Properties and Estimates of Laplace s and Poisson s Equations In our last lecture we derived the formulas for the solutions of Poisson s equation
More informationSupplement A: Construction and properties of a reected diusion
Supplement A: Construction and properties of a reected diusion Jakub Chorowski 1 Construction Assumption 1. For given constants < d < D let the pair (σ, b) Θ, where Θ : Θ(d, D) {(σ, b) C 1 (, 1]) C 1 (,
More informationAlmost sure limit theorems for U-statistics
Almost sure limit theorems for U-statistics Hajo Holzmann, Susanne Koch and Alesey Min 3 Institut für Mathematische Stochasti Georg-August-Universität Göttingen Maschmühlenweg 8 0 37073 Göttingen Germany
More informationIndependence of some multiple Poisson stochastic integrals with variable-sign kernels
Independence of some multiple Poisson stochastic integrals with variable-sign kernels Nicolas Privault Division of Mathematical Sciences School of Physical and Mathematical Sciences Nanyang Technological
More informationON THE REGULARITY OF SAMPLE PATHS OF SUB-ELLIPTIC DIFFUSIONS ON MANIFOLDS
Bendikov, A. and Saloff-Coste, L. Osaka J. Math. 4 (5), 677 7 ON THE REGULARITY OF SAMPLE PATHS OF SUB-ELLIPTIC DIFFUSIONS ON MANIFOLDS ALEXANDER BENDIKOV and LAURENT SALOFF-COSTE (Received March 4, 4)
More information8 Singular Integral Operators and L p -Regularity Theory
8 Singular Integral Operators and L p -Regularity Theory 8. Motivation See hand-written notes! 8.2 Mikhlin Multiplier Theorem Recall that the Fourier transformation F and the inverse Fourier transformation
More informationRepresentations of Gaussian measures that are equivalent to Wiener measure
Representations of Gaussian measures that are equivalent to Wiener measure Patrick Cheridito Departement für Mathematik, ETHZ, 89 Zürich, Switzerland. E-mail: dito@math.ethz.ch Summary. We summarize results
More informationGarrett: `Bernstein's analytic continuation of complex powers' 2 Let f be a polynomial in x 1 ; : : : ; x n with real coecients. For complex s, let f
1 Bernstein's analytic continuation of complex powers c1995, Paul Garrett, garrettmath.umn.edu version January 27, 1998 Analytic continuation of distributions Statement of the theorems on analytic continuation
More informationELEMENTS OF STOCHASTIC CALCULUS VIA REGULARISATION. A la mémoire de Paul-André Meyer
ELEMENTS OF STOCHASTIC CALCULUS VIA REGULARISATION A la mémoire de Paul-André Meyer Francesco Russo (1 and Pierre Vallois (2 (1 Université Paris 13 Institut Galilée, Mathématiques 99 avenue J.B. Clément
More informationsemi-group and P x the law of starting at x 2 E. We consider a branching mechanism : R +! R + of the form (u) = au + bu 2 + n(dr)[e ru 1 + ru]; (;1) w
M.S.R.I. October 13-17 1997. Superprocesses and nonlinear partial dierential equations We would like to describe some links between superprocesses and some semi-linear partial dierential equations. Let
More informationQUASI-UNIFORMLY POSITIVE OPERATORS IN KREIN SPACE. Denitizable operators in Krein spaces have spectral properties similar to those
QUASI-UNIFORMLY POSITIVE OPERATORS IN KREIN SPACE BRANKO CURGUS and BRANKO NAJMAN Denitizable operators in Krein spaces have spectral properties similar to those of selfadjoint operators in Hilbert spaces.
More informationERRATA: Probabilistic Techniques in Analysis
ERRATA: Probabilistic Techniques in Analysis ERRATA 1 Updated April 25, 26 Page 3, line 13. A 1,..., A n are independent if P(A i1 A ij ) = P(A 1 ) P(A ij ) for every subset {i 1,..., i j } of {1,...,
More informationStochastic integral. Introduction. Ito integral. References. Appendices Stochastic Calculus I. Geneviève Gauthier.
Ito 8-646-8 Calculus I Geneviève Gauthier HEC Montréal Riemann Ito The Ito The theories of stochastic and stochastic di erential equations have initially been developed by Kiyosi Ito around 194 (one of
More informationSPACE AVERAGES AND HOMOGENEOUS FLUID FLOWS GEORGE ANDROULAKIS AND STAMATIS DOSTOGLOU
M P E J Mathematical Physics Electronic Journal ISSN 086-6655 Volume 0, 2004 Paper 4 Received: Nov 4, 2003, Revised: Mar 3, 2004, Accepted: Mar 8, 2004 Editor: R. de la Llave SPACE AVERAGES AND HOMOGENEOUS
More informationFENGBO HANG AND PAUL C. YANG
Q CURVATURE ON A CLASS OF 3 ANIFOLDS FENGBO HANG AND PAUL C. YANG Abstract. otivated by the strong maximum principle for Paneitz operator in dimension 5 or higher found in [G] and the calculation of the
More informationSOME MEASURABILITY AND CONTINUITY PROPERTIES OF ARBITRARY REAL FUNCTIONS
LE MATEMATICHE Vol. LVII (2002) Fasc. I, pp. 6382 SOME MEASURABILITY AND CONTINUITY PROPERTIES OF ARBITRARY REAL FUNCTIONS VITTORINO PATA - ALFONSO VILLANI Given an arbitrary real function f, the set D
More informationApplications of Ito s Formula
CHAPTER 4 Applications of Ito s Formula In this chapter, we discuss several basic theorems in stochastic analysis. Their proofs are good examples of applications of Itô s formula. 1. Lévy s martingale
More information1 Brownian Local Time
1 Brownian Local Time We first begin by defining the space and variables for Brownian local time. Let W t be a standard 1-D Wiener process. We know that for the set, {t : W t = } P (µ{t : W t = } = ) =
More informationSHARP BOUNDARY TRACE INEQUALITIES. 1. Introduction
SHARP BOUNDARY TRACE INEQUALITIES GILES AUCHMUTY Abstract. This paper describes sharp inequalities for the trace of Sobolev functions on the boundary of a bounded region R N. The inequalities bound (semi-)norms
More informationProbabilistic representations of solutions to the heat equation
Proc. Indian Acad. Sci. (Math. Sci.) Vol. 113, No. 3, August 23, pp. 321 332. Printed in India Probabilistic representations of solutions to the heat equation B RAJEEV and S THANGAVELU Indian Statistical
More informationWeak solutions for some quasilinear elliptic equations by the sub-supersolution method
Nonlinear Analysis 4 (000) 995 100 www.elsevier.nl/locate/na Weak solutions for some quasilinear elliptic equations by the sub-supersolution method Manuel Delgado, Antonio Suarez Departamento de Ecuaciones
More informationSTOCHASTIC DIFFERENTIAL EQUATIONS WITH EXTRA PROPERTIES H. JEROME KEISLER. Department of Mathematics. University of Wisconsin.
STOCHASTIC DIFFERENTIAL EQUATIONS WITH EXTRA PROPERTIES H. JEROME KEISLER Department of Mathematics University of Wisconsin Madison WI 5376 keisler@math.wisc.edu 1. Introduction The Loeb measure construction
More informationOn the martingales obtained by an extension due to Saisho, Tanemura and Yor of Pitman s theorem
On the martingales obtained by an extension due to Saisho, Tanemura and Yor of Pitman s theorem Koichiro TAKAOKA Dept of Applied Physics, Tokyo Institute of Technology Abstract M Yor constructed a family
More informationThe Codimension of the Zeros of a Stable Process in Random Scenery
The Codimension of the Zeros of a Stable Process in Random Scenery Davar Khoshnevisan The University of Utah, Department of Mathematics Salt Lake City, UT 84105 0090, U.S.A. davar@math.utah.edu http://www.math.utah.edu/~davar
More informationRough paths methods 4: Application to fbm
Rough paths methods 4: Application to fbm Samy Tindel Purdue University University of Aarhus 2016 Samy T. (Purdue) Rough Paths 4 Aarhus 2016 1 / 67 Outline 1 Main result 2 Construction of the Levy area:
More informationThe Dirichlet s P rinciple. In this lecture we discuss an alternative formulation of the Dirichlet problem for the Laplace equation:
Oct. 1 The Dirichlet s P rinciple In this lecture we discuss an alternative formulation of the Dirichlet problem for the Laplace equation: 1. Dirichlet s Principle. u = in, u = g on. ( 1 ) If we multiply
More informationStochastic Hamiltonian systems and reduction
Stochastic Hamiltonian systems and reduction Joan Andreu Lázaro Universidad de Zaragoza Juan Pablo Ortega CNRS, Besançon Geometric Mechanics: Continuous and discrete, nite and in nite dimensional Ban,
More informationEQUIVALENCE OF TOPOLOGIES AND BOREL FIELDS FOR COUNTABLY-HILBERT SPACES
EQUIVALENCE OF TOPOLOGIES AND BOREL FIELDS FOR COUNTABLY-HILBERT SPACES JEREMY J. BECNEL Abstract. We examine the main topologies wea, strong, and inductive placed on the dual of a countably-normed space
More informationA slow transient diusion in a drifted stable potential
A slow transient diusion in a drifted stable potential Arvind Singh Université Paris VI Abstract We consider a diusion process X in a random potential V of the form V x = S x δx, where δ is a positive
More informationOn non negative solutions of some quasilinear elliptic inequalities
On non negative solutions of some quasilinear elliptic inequalities Lorenzo D Ambrosio and Enzo Mitidieri September 28 2006 Abstract Let f : R R be a continuous function. We prove that under some additional
More informationTHE L 2 -HODGE THEORY AND REPRESENTATION ON R n
THE L 2 -HODGE THEORY AND REPRESENTATION ON R n BAISHENG YAN Abstract. We present an elementary L 2 -Hodge theory on whole R n based on the minimization principle of the calculus of variations and some
More informationMATH MEASURE THEORY AND FOURIER ANALYSIS. Contents
MATH 3969 - MEASURE THEORY AND FOURIER ANALYSIS ANDREW TULLOCH Contents 1. Measure Theory 2 1.1. Properties of Measures 3 1.2. Constructing σ-algebras and measures 3 1.3. Properties of the Lebesgue measure
More informationBrownian motion. Samy Tindel. Purdue University. Probability Theory 2 - MA 539
Brownian motion Samy Tindel Purdue University Probability Theory 2 - MA 539 Mostly taken from Brownian Motion and Stochastic Calculus by I. Karatzas and S. Shreve Samy T. Brownian motion Probability Theory
More informationSuperreplication under Volatility Uncertainty for Measurable Claims
Superreplication under Volatility Uncertainty for Measurable Claims Ariel Neufeld Marcel Nutz April 14, 213 Abstract We establish the duality formula for the superreplication price in a setting of volatility
More informationIntroduction Wavelet shrinage methods have been very successful in nonparametric regression. But so far most of the wavelet regression methods have be
Wavelet Estimation For Samples With Random Uniform Design T. Tony Cai Department of Statistics, Purdue University Lawrence D. Brown Department of Statistics, University of Pennsylvania Abstract We show
More informationSobolev spaces. May 18
Sobolev spaces May 18 2015 1 Weak derivatives The purpose of these notes is to give a very basic introduction to Sobolev spaces. More extensive treatments can e.g. be found in the classical references
More informationLecture 12. F o s, (1.1) F t := s>t
Lecture 12 1 Brownian motion: the Markov property Let C := C(0, ), R) be the space of continuous functions mapping from 0, ) to R, in which a Brownian motion (B t ) t 0 almost surely takes its value. Let
More information9 Brownian Motion: Construction
9 Brownian Motion: Construction 9.1 Definition and Heuristics The central limit theorem states that the standard Gaussian distribution arises as the weak limit of the rescaled partial sums S n / p n of
More informationDILWORTH and GIRARDI 2 2. XAMPLS: L 1 (X) vs. P 1 (X) Let X be a Banach space with dual X and let (; ;) be the usual Lebesgue measure space on [0; 1].
Contemporary Mathematics Volume 00, 0000 Bochner vs. Pettis norm: examples and results S.J. DILWORTH AND MARIA GIRARDI Contemp. Math. 144 (1993) 69{80 Banach Spaces, Bor-Luh Lin and William B. Johnson,
More informationThe Erwin Schrodinger International Pasteurgasse 6/7. Institute for Mathematical Physics A-1090 Wien, Austria
ESI The Erwin Schrodinger International Pasteurgasse 6/7 Institute for Mathematical Physics A-1090 Wien, Austria On the Point Spectrum of Dirence Schrodinger Operators Vladimir Buslaev Alexander Fedotov
More informationMathematical Institute, University of Utrecht. The problem of estimating the mean of an observed Gaussian innite-dimensional vector
On Minimax Filtering over Ellipsoids Eduard N. Belitser and Boris Y. Levit Mathematical Institute, University of Utrecht Budapestlaan 6, 3584 CD Utrecht, The Netherlands The problem of estimating the mean
More informationFunctions: A Fourier Approach. Universitat Rostock. Germany. Dedicated to Prof. L. Berg on the occasion of his 65th birthday.
Approximation Properties of Multi{Scaling Functions: A Fourier Approach Gerlind Plona Fachbereich Mathemati Universitat Rostoc 1851 Rostoc Germany Dedicated to Prof. L. Berg on the occasion of his 65th
More informationRearrangements and polar factorisation of countably degenerate functions G.R. Burton, School of Mathematical Sciences, University of Bath, Claverton D
Rearrangements and polar factorisation of countably degenerate functions G.R. Burton, School of Mathematical Sciences, University of Bath, Claverton Down, Bath BA2 7AY, U.K. R.J. Douglas, Isaac Newton
More informationThe Uniformity Principle: A New Tool for. Probabilistic Robustness Analysis. B. R. Barmish and C. M. Lagoa. further discussion.
The Uniformity Principle A New Tool for Probabilistic Robustness Analysis B. R. Barmish and C. M. Lagoa Department of Electrical and Computer Engineering University of Wisconsin-Madison, Madison, WI 53706
More informationLocal times for functions with finite variation: two versions of Stieltjes change of variables formula
Local times for functions with finite variation: two versions of Stieltjes change of variables formula Jean Bertoin and Marc Yor hal-835685, version 2-4 Jul 213 Abstract We introduce two natural notions
More informationPROPERTY OF HALF{SPACES. July 25, Abstract
A CHARACTERIZATION OF GAUSSIAN MEASURES VIA THE ISOPERIMETRIC PROPERTY OF HALF{SPACES S. G. Bobkov y and C. Houdre z July 25, 1995 Abstract If the half{spaces of the form fx 2 R n : x 1 cg are extremal
More informationON THE ASYMPTOTIC STABILITY IN TERMS OF TWO MEASURES FOR FUNCTIONAL DIFFERENTIAL EQUATIONS. G. Makay
ON THE ASYMPTOTIC STABILITY IN TERMS OF TWO MEASURES FOR FUNCTIONAL DIFFERENTIAL EQUATIONS G. Makay Student in Mathematics, University of Szeged, Szeged, H-6726, Hungary Key words and phrases: Lyapunov
More informationMarch 16, Abstract. We study the problem of portfolio optimization under the \drawdown constraint" that the
ON PORTFOLIO OPTIMIZATION UNDER \DRAWDOWN" CONSTRAINTS JAKSA CVITANIC IOANNIS KARATZAS y March 6, 994 Abstract We study the problem of portfolio optimization under the \drawdown constraint" that the wealth
More informationGENERALIZED COVARIATION FOR BANACH SPACE VALUED PROCESSES, ITÔ FORMULA AND APPLICATIONS
Di Girolami, C. and Russo, F. Osaka J. Math. 51 (214), 729 783 GENERALIZED COVARIATION FOR BANACH SPACE VALUED PROCESSES, ITÔ FORMULA AND APPLICATIONS CRISTINA DI GIROLAMI and FRANCESCO RUSSO (Received
More informationStochastic integration. P.J.C. Spreij
Stochastic integration P.J.C. Spreij this version: April 22, 29 Contents 1 Stochastic processes 1 1.1 General theory............................... 1 1.2 Stopping times...............................
More informationINTEGRABILITY OF SUPERHARMONIC FUNCTIONS IN A JOHN DOMAIN. Hiroaki Aikawa
INTEGRABILITY OF SUPERHARMONIC FUNCTIONS IN A OHN OMAIN Hiroaki Aikawa Abstract. The integrability of positive erharmonic functions on a bounded fat ohn domain is established. No exterior conditions are
More informationLOCAL TIMES OF RANKED CONTINUOUS SEMIMARTINGALES
LOCAL TIMES OF RANKED CONTINUOUS SEMIMARTINGALES ADRIAN D. BANNER INTECH One Palmer Square Princeton, NJ 8542, USA adrian@enhanced.com RAOUF GHOMRASNI Fakultät II, Institut für Mathematik Sekr. MA 7-5,
More informationMAXIMAL COUPLING OF EUCLIDEAN BROWNIAN MOTIONS
MAXIMAL COUPLING OF EUCLIDEAN BOWNIAN MOTIONS ELTON P. HSU AND KAL-THEODO STUM ABSTACT. We prove that the mirror coupling is the unique maximal Markovian coupling of two Euclidean Brownian motions starting
More informationv( x) u( y) dy for any r > 0, B r ( x) Ω, or equivalently u( w) ds for any r > 0, B r ( x) Ω, or ( not really) equivalently if v exists, v 0.
Sep. 26 The Perron Method In this lecture we show that one can show existence of solutions using maximum principle alone.. The Perron method. Recall in the last lecture we have shown the existence of solutions
More informationIterative procedure for multidimesional Euler equations Abstracts A numerical iterative scheme is suggested to solve the Euler equations in two and th
Iterative procedure for multidimensional Euler equations W. Dreyer, M. Kunik, K. Sabelfeld, N. Simonov, and K. Wilmanski Weierstra Institute for Applied Analysis and Stochastics Mohrenstra e 39, 07 Berlin,
More informationMeasure and Integration: Solutions of CW2
Measure and Integration: s of CW2 Fall 206 [G. Holzegel] December 9, 206 Problem of Sheet 5 a) Left (f n ) and (g n ) be sequences of integrable functions with f n (x) f (x) and g n (x) g (x) for almost
More informationNets Hawk Katz Theorem. There existsaconstant C>so that for any number >, whenever E [ ] [ ] is a set which does not contain the vertices of any axis
New York Journal of Mathematics New York J. Math. 5 999) {3. On the Self Crossing Six Sided Figure Problem Nets Hawk Katz Abstract. It was shown by Carbery, Christ, and Wright that any measurable set E
More informationFunctional Analysis (2006) Homework assignment 2
Functional Analysis (26) Homework assignment 2 All students should solve the following problems: 1. Define T : C[, 1] C[, 1] by (T x)(t) = t x(s) ds. Prove that this is a bounded linear operator, and compute
More informationA LOWER BOUND ON BLOWUP RATES FOR THE 3D INCOMPRESSIBLE EULER EQUATION AND A SINGLE EXPONENTIAL BEALE-KATO-MAJDA ESTIMATE. 1.
A LOWER BOUND ON BLOWUP RATES FOR THE 3D INCOMPRESSIBLE EULER EQUATION AND A SINGLE EXPONENTIAL BEALE-KATO-MAJDA ESTIMATE THOMAS CHEN AND NATAŠA PAVLOVIĆ Abstract. We prove a Beale-Kato-Majda criterion
More informationON THE HÖLDER CONTINUITY OF MATRIX FUNCTIONS FOR NORMAL MATRICES
Volume 10 (2009), Issue 4, Article 91, 5 pp. ON THE HÖLDER CONTINUITY O MATRIX UNCTIONS OR NORMAL MATRICES THOMAS P. WIHLER MATHEMATICS INSTITUTE UNIVERSITY O BERN SIDLERSTRASSE 5, CH-3012 BERN SWITZERLAND.
More informationSpectral Gap and Concentration for Some Spherically Symmetric Probability Measures
Spectral Gap and Concentration for Some Spherically Symmetric Probability Measures S.G. Bobkov School of Mathematics, University of Minnesota, 127 Vincent Hall, 26 Church St. S.E., Minneapolis, MN 55455,
More informationOn isomorphisms of Hardy spaces for certain Schrödinger operators
On isomorphisms of for certain Schrödinger operators joint works with Jacek Zienkiewicz Instytut Matematyczny, Uniwersytet Wrocławski, Poland Conference in Honor of Aline Bonami, Orleans, 10-13.06.2014.
More informationOn Kusuoka Representation of Law Invariant Risk Measures
MATHEMATICS OF OPERATIONS RESEARCH Vol. 38, No. 1, February 213, pp. 142 152 ISSN 364-765X (print) ISSN 1526-5471 (online) http://dx.doi.org/1.1287/moor.112.563 213 INFORMS On Kusuoka Representation of
More informationConditioned stochastic dierential equations: theory, examples and application to nance
Stochastic Processes and their Applications 1 (22) 19 145 www.elsevier.com/locate/spa Conditioned stochastic dierential equations: theory, examples and application to nance Fabrice Baudoin a;b; a Laboratoire
More information(1.) For any subset P S we denote by L(P ) the abelian group of integral relations between elements of P, i.e. L(P ) := ker Z P! span Z P S S : For ea
Torsion of dierentials on toric varieties Klaus Altmann Institut fur reine Mathematik, Humboldt-Universitat zu Berlin Ziegelstr. 13a, D-10099 Berlin, Germany. E-mail: altmann@mathematik.hu-berlin.de Abstract
More informationLimit theorems for multipower variation in the presence of jumps
Limit theorems for multipower variation in the presence of jumps Ole E. Barndorff-Nielsen Department of Mathematical Sciences, University of Aarhus, Ny Munkegade, DK-8 Aarhus C, Denmark oebn@imf.au.dk
More informationDifferentiation of Measures and Functions
Chapter 6 Differentiation of Measures and Functions This chapter is concerned with the differentiation theory of Radon measures. In the first two sections we introduce the Radon measures and discuss two
More informationLarge deviation properties of weakly interacting processes via weak convergence methods
Large deviation properties of wealy interacting processes via wea convergence methods A. Budhiraja, P. Dupuis, and M. Fischer December 11, 29 Abstract We study large deviation properties of systems of
More informationUlam Quaterly { Volume 2, Number 4, with Convergence Rate for Bilinear. Omar Zane. University of Kansas. Department of Mathematics
Ulam Quaterly { Volume 2, Number 4, 1994 Identication of Parameters with Convergence Rate for Bilinear Stochastic Dierential Equations Omar Zane University of Kansas Department of Mathematics Lawrence,
More informationMathematical Research Letters 4, (1997) HARDY S INEQUALITIES FOR SOBOLEV FUNCTIONS. Juha Kinnunen and Olli Martio
Mathematical Research Letters 4, 489 500 1997) HARDY S INEQUALITIES FOR SOBOLEV FUNCTIONS Juha Kinnunen and Olli Martio Abstract. The fractional maximal function of the gradient gives a pointwise interpretation
More informationPOINTWISE WEAK EXISTENCE OF DISTORTED SKEW BROWNIAN MOTION WITH RESPECT TO DISCONTINUOUS MUCKENHOUPT WEIGHTS
Dedicated to Professor Nicu Boboc on the occasion of his 8 th birthday POINTWISE WEAK EXISTENCE OF DISTORTED SKEW BROWNIAN MOTION WITH RESPECT TO DISCONTINUOUS MUCKENHOUPT WEIGHTS JIYONG SHIN and GERALD
More informationON THE PATHWISE UNIQUENESS OF SOLUTIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS
PORTUGALIAE MATHEMATICA Vol. 55 Fasc. 4 1998 ON THE PATHWISE UNIQUENESS OF SOLUTIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS C. Sonoc Abstract: A sufficient condition for uniqueness of solutions of ordinary
More informationHARMONIC ANALYSIS. Date:
HARMONIC ANALYSIS Contents. Introduction 2. Hardy-Littlewood maximal function 3. Approximation by convolution 4. Muckenhaupt weights 4.. Calderón-Zygmund decomposition 5. Fourier transform 6. BMO (bounded
More informationNON-UNIQUENESS FOR NON-NEGATIVE SOLUTIONS OF PARABOLIC STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
NON-UNIQUENESS FOR NON-NEGATIVE SOLUTIONS OF PARABOLIC STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS K. BURDY, C. MUELLER, AND E.A. PERKINS Dedicated to Don Burholder. Abstract. Pathwise non-uniqueness is
More informationHomogeneous Stochastic Differential Equations
WDS'1 Proceedings of Contributed Papers, Part I, 195 2, 21. ISBN 978-8-7378-139-2 MATFYZPRESS Homogeneous Stochastic Differential Equations J. Bártek Charles University, Faculty of Mathematics and Physics,
More informationHarmonic Functions and Brownian motion
Harmonic Functions and Brownian motion Steven P. Lalley April 25, 211 1 Dynkin s Formula Denote by W t = (W 1 t, W 2 t,..., W d t ) a standard d dimensional Wiener process on (Ω, F, P ), and let F = (F
More informationA connection between the stochastic heat equation and fractional Brownian motion, and a simple proof of a result of Talagrand
A connection between the stochastic heat equation and fractional Brownian motion, and a simple proof of a result of Talagrand Carl Mueller 1 and Zhixin Wu Abstract We give a new representation of fractional
More informationParticle representations for a class of nonlinear SPDEs
Stochastic Processes and their Applications 83 (999) 3 6 www.elsevier.com/locate/spa Particle representations for a class of nonlinear SPDEs Thomas G. Kurtz a; ;, Jie Xiong b; a Departments of Mathematics
More informationCOMPARISON THEOREMS FOR THE SPECTRAL GAP OF DIFFUSIONS PROCESSES AND SCHRÖDINGER OPERATORS ON AN INTERVAL. Ross G. Pinsky
COMPARISON THEOREMS FOR THE SPECTRAL GAP OF DIFFUSIONS PROCESSES AND SCHRÖDINGER OPERATORS ON AN INTERVAL Ross G. Pinsky Department of Mathematics Technion-Israel Institute of Technology Haifa, 32000 Israel
More informationStochastic Differential Equations.
Chapter 3 Stochastic Differential Equations. 3.1 Existence and Uniqueness. One of the ways of constructing a Diffusion process is to solve the stochastic differential equation dx(t) = σ(t, x(t)) dβ(t)
More information