We present a Fukushima type decomposition in the setting of general quasi-regular semi-Dirichlet forms. The decomposition is then employed to give a transformation formula for martingale additive functionals. Applications of the results to some concrete examples of semi-Dirichlet forms are given at the end of the paper. We discuss also the uniqueness question about Doob-Meyer decomposition on optional sets of interval type.
Diffusion processes associated with semi-Dirichlet forms are studied in the paper. The main results are Fukushima's decomposition for the diffusions and a transformation formula for the corresponding martingale part of the decomposition. The results are applied to some concrete examples.
Quasidiffusions are, by definition, time-changed Brownian motions on certain closed subset of $\mathbb{R}$. They admit an explicit representation of Dirichlet forms in terms of so-called speed measures. The Fukushima subspace of a Dirichlet form means another regular Dichichlet form on the same state space but having a smaller Dirichlet space. In this paper we aim to solve the problem of Fukushima subspaces for quasidiffusions. The main result obtains all Fukushima subspaces and characterizes their structures. In addition, we will also give criteria for the uniqueness of Fukushima subspaces an…
A stochastic optimal control problem driven by an abstract evolution equation in a separable Hilbert space is considered. Thanks to the identification of the mild solution of the state equation as $ν$-weak Dirichlet process, the value processes is proved to be a real weak Dirichlet process. The uniqueness of the corresponding decomposition is used to prove a verification theorem. Through that technique several of the required assumptions are milder than those employed in previous contributions about non-regular solutions of Hamilton-Jacobi-Bellman equations.
This paper concerns a class of Banach valued processes which have finite quadratic variation. The notion introduced here generalizes the classical one, of Métivier and Pellaumail which is quite restrictive. We make use of the notion of $χ$-covariation which is a generalized notion of covariation for processes with values in two Banach spaces $B_{1}$ and $B_{2}$. $χ$ refers to a suitable subspace of the dual of the projective tensor product of $B_{1}$ and $B_{2}$. We investigate some $C^{1}$ type transformations for various classes of stochastic processes admitting a $χ$-quadratic variation and…
Let $k:E\times E\to [0,\infty)$ be a non-negative measurable function on some locally compact separable metric space $E$. We provide some simple conditions such that the quadratic form with jump kernel $k$ becomes a regular lower bounded (non-local, non-symmetric) semi-Dirichlet form. If $E=\R^n$ we identify the generator of the semi-Dirichlet form and its (formal) adjoint. In particular, we obtain a closed expression of the adjoint of the stable-like generator $-(-Δ)^{α(x)}$ in the sense of Bass. Our results complement a recent paper by Fukushima and Uemura (2012) and establishes the relation…
We study harmonic functions for general Dirichlet forms. First we review consequences of Fukushima's ergodic theorem for the harmonic functions in the domain of the $ L^{p} $ generator. Secondly we prove analogues of Yau's and Karp's Liouville theorems for weakly harmonic functions. Both say that weakly harmonic functions which satisfy certain $ L^{p} $ growth criteria must be constant. As consequence we give an integral criterion for recurrence.
For given strongly local Dirichlet forms with possibly degenerate symmetric (sub)-elliptic matrix, we show the existence of weak solutions to the stochastic differential equations (associated with the Dirichlet forms) starting from all points in $\R^d$. More precisely, using heat kernel estimates, stochastic calculus, and Dirichlet form theory, we obtain the pointwise existence of weak solutions to the stochastic differential equations which have possibly unbounded and discontinuous drift. We also present some conditions that the weak solutions become pathwise unique strong solutions and provi…
We study ergodic decompositions of Dirichlet spaces under intertwining via unitary order isomorphisms. We show that the ergodic decomposition of a quasi-regular Dirichlet space is unique up to a unique isomorphism of the indexing space. Furthermore, every unitary order isomorphism intertwining two quasi-regular Dirichlet spaces is decomposable over their ergodic decompositions up to conjugation via an isomorphism of the corresponding indexing spaces.
On any denumerable product of probability spaces, we construct a Malliavin gradient and then a divergence and a number operator. This yields a Dirichlet structure which can be shown to approach the usual structures for Poisson and Brownian processes. We obtain versions of almost all the classical functional inequalities in discrete settings which show that the Efron-Stein inequality can be interpreted as a Poincar{é} inequality or that Hoeffding decomposition of U-statistics can be interpreted as a chaos decomposition. We obtain a version of the Lyapounov central limit theorem for independent …
We study superpositions and direct integrals of quadratic and Dirichlet forms. We show that each quasi-regular Dirichlet space over a probability space admits a unique representation as a direct integral of irreducible Dirichlet spaces, quasi-regular for the same underlying topology. The same holds for each quasi-regular strongly local Dirichlet space over a metrizable Luzin, Radon measure space, and admitting carré du champ operator. In this case, the representation is only projectively unique.
In \cite{GRV}, a Feller process called Liouville Brownian motion on $\R^2$ has been introduced. It can be seen as a Brownian motion evolving in a random geometry given formally by the exponential of a (massive) Gaussian Free Field $e^{γX}$ and is the right diffusion process to consider regarding 2d-Liouville quantum gravity. In this note, we discuss the construction of the associated Dirichlet form, following essentially \cite{fuku} and the techniques introduced in \cite{GRV}. Then we carry out the analysis of the Liouville resolvent. In particular, we prove that it is strong Feller, thus obta…
The present paper continues the study of infinite dimensional calculus via regularization, started by C. Di Girolami and the second named author, introducing the notion of weak Dirichlet process in this context. Such a process X, taking values in a Banach space H, is the sum of a local martingale and a suitable orthogonal process. The concept of weak Dirichlet process fits the notion of convolution type processes, a class including mild solutions for stochastic evolution equations on infinite dimensional Hilbert spaces and in particular of several classes of stochastic partial differential equ…
We consider decompositions of processes of the form $Y=f(t,X_t)$ where $X$ is a semimartingale. The function $f$ is not required to be differentiable, so Itô's lemma does not apply. In the case where $f(t,x)$ is independent of $t$, it is shown that requiring $f$ to be locally Lipschitz continuous in $x$ is enough for an Itô-style decomposition to exist. In particular, $Y$ will be a Dirichlet process. We also look at the case where $f(t,x)$ can depend on $t$, possibly discontinuously. It is shown, under some additional mild constraints on $f$, that the same decomposition still holds. Both these…
We give a Dirichlet form approach for the construction of a distorted Brownian motion in $E := [0;\infty)^n$, $n\in\mathbb{N}$, where the behavior on the boundary is determined by the competing effects of reflection from and pinning at the boundary. The problem is formulated in an $L^2$-setting with underlying measure $μ=\varrho m$. Here $\varrho$ is a positive density, integrable with respect to the measure $m$ and fulfilling the Hamza condition. The measure $m$ is such that the boundary of $E$ is not of $m$-measure zero. A reference measure of this type is needed in order to give meaning to …
Let $Ω\subset{\mathbb R}^n$ be bounded with a smooth boundary $Γ$ and let $S$ be the symmetric operator in $L^2(Ω)$ given by the minimal realization of a second order elliptic differential operator. We give a complete classification of the Markovian self-adjoint extensions of $S$ by providing an explicit one-to-one correspondence between such extensions and the class of Dirichlet forms in $L^2(Γ)$ which are additively decomposable by the bilinear form of the Dirichlet-to-Neumann operator plus a Markovian form. By such a result two further equivalent classifications are provided: the first one …
We present a simple method to decompose the Green forms corresponding to a large class of interesting symmetric Dirichlet forms into integrals over symmetric positive semi-definite and finite range (properly supported) forms that are smoother than the original Green form. This result gives rise to multiscale decompositions of the associated Gaussian free fields into sums of independent smoother Gaussian fields with spatially localized correlations. Our method makes use of the finite propagation speed of the wave equation and Chebyshev polynomials. It improves several existing results and also …
Multiple Poisson-Dirichlet diffusions on generalized Kingman simplices
National Group for Mathematical Analysis, Probability and Applications, INdAM（意大利国家数学分析、概率与应用小组，INdAM）；Stern School of Business, NYU Abu Dhabi（纽约大学阿布扎比分校斯特恩商学院）
We consider finite energy and $L^2$ differential forms associated with strongly local regular Dirichlet forms on compact connected topologically one-dimensional spaces. We introduce notions of local exactness and local harmonicity and prove the Hodge decomposition, which in our context says that the orthogonal complement to the space of all exact 1-forms coincides with the closed span of all locally harmonic 1-forms. Then we introduce a related Hodge Laplacian and define a notion harmonicity for finite energy 1-forms. As as corollary, under a certain capacity-separation assumption, we prove th…
