Masanori Hino
We introduce the concept of functions of locally bounded variation on abstract Wiener spaces and study their properties. Some nontrivial examples and applications to stochastic analysis are also discussed.
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We prove an extension of the Ocone-Karatzas integral representation, valid for all $BV$ functions on the classical Wiener space. We establish also an elementary chain rule formula and combine the two results to compute explicit integral representations for some classes of $BV$ composite random variables.
We study the Wiener-Hopf factorization for Levy processes with bounded positive jumps and arbitrary negative jumps. Using the results from the theory of entire functions of Cartwright class we prove that the positive Wiener-Hopf factor can be expressed as an infinite product in terms of the solutions to the equation $ψ(z)=q$, where $ψ$ is the Laplace exponent of the process. Under some additional regularity assumptions on the Levy measure we obtain an asymptotic expression for these solutions, which is important for numerical computations. In the case when the process is spectrally negative wi…
The space-time distribution, $Q_A(x,dt dξ)$ say, of Brownian hitting of a bounded Borel set $A$ of the $d$-dimensional Euclidian space is studied. We derive the asymptotic form of the leading term of the time-derivative $Q_A(x, dtdξ)/dt$ for each $d =2, 3, ...$, valid uniformly with respect to the starting point $x$ of the Brownian motion, which result extends significantly the classical results for $Q_A(x, dt dξ)$ itself by Hunt ($d=2$), Joffe and Spitzer ($d= 3, 4,...$). The results are applied to find the asymptotic form of the expected volume of Wiener sausage for the Brownian bridge joini…
The solution of a (stochastic) differential equation (SDE) can be locally approximated by a stochastic expansion, a linear combination of iterated integrals. Quantities of interest, like moments, can then be approximated with the expansion. We present a formula for the case where the drivers of the equation are time and Wiener processes. We also present a Mathematica implementation of the result.
Ciesielski's isomorphism between the space of alpha-Hölder continuous functions and the space of bounded sequences is used to give an alternative proof of the large deviation principle for Wiener processes with values in Hilbert space.
An addendum to "Mild solutions to semilinear stochastic partial differential equations with locally monotone coefficients"
本文补充证明了在伪压缩半群框架下，由 Wiener 过程和 Poisson 随机测度驱动的具有局部单调系数的半线性随机偏微分方程温和解的存在唯一性，推广了作者此前仅适用于 Wiener 过程和压缩半群的结果。
Global Existence and Stability of 3D Stochastic NSEs in Bounded and Unbounded Domains Driven by a Special Multiplicative Wiener Process
本文将三维随机Navier-Stokes方程的结果从有界域推广到有界与无界域，通过局部解加Lyapunov函数方法，证明了对任意$H^1$初始数据全局解的存在唯一性，并利用强噪声防止爆破。
We present the foundations of the theory of functions of bounded variation and sets of finite perimeter in abstract Wiener spaces.
In the present paper, we consider long time behaviors of the volume of the Wiener sausage on Dirichlet spaces. We focus on the volume of the Wiener sausage for diffusion processes on metric measure spaces other than the Euclid space equipped with the Lebesgue measure. We obtain the growth rate of the expectations and almost sure behaviors of the volumes of the Wiener sausages on metric measure Dirichlet spaces satisfying Ahlfors regularity and sub-Gaussian heat kernel estimates. We show that the growth rate of the expectations on a "bounded" modification of the Euclidian space is identical wit…
We prove convergence of symmetric diffusions on Wiener spaces by using stopping times arguments and capacity techniques. The drifts of the diffusions can be singular, we require the densities of the processes to be neither bounded from above nor away from zero.
We define a capacity C on abstract Wiener spaces and prove that, for any u with bounded variation, the total variation measure |Du| is absolutely continuous with respect to C: this enables us to extend the usual rules of calculus in many cases dealing with BV functions. As an application, we show that, on the classical Wiener space, the random variable sup_{0\leqt\leqT} W_t admits a measure as second derivative, whose total variation measure is singular w.r.t. the Wiener measure.
Let (E,H,mu) be an abstract Wiener space and let D_V := VD, where D denotes the Malliavin derivative and V is a closed and densely defined operator from H into another Hilbert space G. Given a bounded operator B on G, coercive on the closure of the range of V, we consider the realisation of the operator D_V* B D_V in L^p(E,mu) for 1<p<\infty. Our main result states that the following assertions are equivalent: (1) dom((sqrt(D_V* B D_V)) = dom(D_V) and Meyer's inequalities hold for D_V* B D_V; (2) D_V D_V* B admits a bounded H-infinity calculus on the closure of the range of D_V; (3) dom(sqrt(V…
Let $(W,H,μ)$ be an abstract Wiener space and $L$ be a probability density of class LlogL. Using the measure transportation of Monge-Kantorovitch, we prove that the kernel of the projection of L on the second Wiener chaos defines an (Hilbert-Schmidt) operator which is lower bounded by another Hilbert-Schmidt operator.
Let $W$ be a Wiener process. The function $h(\cdot)$ minmizing energy $\int_0^T h'(t)^2\, dt$ among all functions satisfying $W(t)-r \le h(t) \le W(t)+ r$ on an interval $[0,T]$ is called taut string. This is a classical object well known in Variational Calculus, Mathematical Statistics, etc. We show that the energy of this taut string on large intervals is equivalent to $C^2 T\, /\, r^2$ where $C$ is some finite positive constant. While the precise value of $C$ remains unknown, we give various theoretical bounds for it as well as rather precise results of computer simulation. While the taut s…
Let {F_n} be a normalized sequence of random variables in some fixed Wiener chaos associated with a general Gaussian field, and assume that E[F_n^4] --> E[N^4]=3, where N is a standard Gaussian random variable. Our main result is the following general bound: there exist two finite constants c,C>0 such that, for n sufficiently large, c max(|E[F_n^3]|, E[F_n^4]-3) < d(F_n,N) < C max(|E[F_n^3]|, E[F_n^4]-3), where d(F_n,N) = sup |E[h(F_n)] - E[h(N)]|, and h runs over the class of all real functions with a second derivative bounded by 1. This shows that the deterministic sequence max(|E[F_n^3]|, E…
We prove the equivalence of two different types of capacities in abstract Wiener spaces. This yields a criterion for the $L^p$-uniqueness of the Ornstein-Uhlenbeck operator and its integer powers defined on suitable algebras of functions vanishing in a neighborhood of a given closed set $Σ$ of zero Gaussian measure. To prove the equivalence we show the $W^{r,p}(B,μ)$-boundedness of certain smooth nonlinear truncation operators acting on potentials of nonnegative functions. We also give connections to Gaussian Hausdorff measures. Roughly speaking, if $L^p$-uniqueness holds then the 'removed' se…
We study the local-in-time regularity of the Brownian motion with respect to localized variants of modulation spaces M^{p, q}_s and Wiener amalgam spaces W^{p, q}_s. We show that the periodic Brownian motion belongs locally in time to M^{p, q}_s (T) and W^{p, q}_s (T) for (s-1)q < -1, and the condition on the indices is optimal. Moreover, with the Wiener measure μon T, we show that (M^{p, q}_s (T), μ) and (W^{p, q}_s (T), μ) form abstract Wiener spaces for the same range of indices, yielding large deviation estimates. We also establish the endpoint regularity of the periodic Brownian motion wi…
Gradient contractivity of a rescaled resolvent on domains in Wiener spaces
本文在抽象维纳空间开集上证明 Ornstein-Uhlenbeck 算子对应的重标度预解算子在所有 $L^p$（$p>1$）中梯度压缩，推广了欧氏有界凸域上 Laplace 算子的相应结果。
The paper deals with the existence and uniqueness of the solution of the backward stochastic variational inequality: \begin{equation} \left\{\begin{array} {l}-dY_{t}+\partial φ(Y_{t})dt \ni F(t,Y_{t},Z_{t})dt-Z_{t}dB_{t},\;0\leq t<T \\ Y_{T}=η, \end{array} \right.\end{equation} where $F$ satisfies a local boundedness condition.
We develop a theory of Malliavin calculus for Banach space valued random variables. Using radonifying operators instead of symmetric tensor products we extend the Wiener-Ito isometry to Banach spaces. In the white noise case we obtain two sided L^p-estimates for multiple stochastic integrals in arbitrary Banach spaces. It is shown that the Malliavin derivative is bounded on vector-valued Wiener-Ito chaoses. Our main tools are decoupling inequalities for vector-valued random variables. In the opposite direction we use Meyer's inequalities to give a new proof of a decoupling result for Gaussian …
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