In this paper, we consider the following symmetric non-local Dirichlet forms of pure jump type on metric measure space $(M,d,μ)$: $$\mathcal{E}(f,g)=\int_{M\times M} (f(x)-f(y))(g(x)-g(y))\,J(dx,dy),$$ where $J(dx,dy)$ is a symmetric Radon measure on $M\times M\setminus {\rm diag}$ that may have different scalings for small jumps and large jumps. Under general volume doubling condition on $(M,d,μ)$ and some mild quantitative assumptions on $J(dx, dy)$ that are allowed to have light tails of polynomial decay at infinity, we establish stability results for two-sided heat kernel estimates as well as heat kernel upper bound estimates in terms of jumping kernel bounds, the cut-off Sobolev inequalities, and the Faber-Krahn inequalities (resp.\ the Poincaré inequalities). We also give stable characterizations of the corresponding parabolic Harnack inequalities.
We discuss a concept of path-dependent SDE with distributional drift with possible jumps. We interpret it via a suitable martingale problem, for which we provide existence and uniqueness. The corresponding solutions are expected to be Dirichlet processes, nevertheless we give examples of solutions which do not fulfill this property. In the second part of the paper we indeed state and prove significant new results on the class of Dirichlet processes.
This paper develops systematically the stochastic calculus via regularization in the case of jump processes. In particular one continues the analysis of real-valued càdlàg weak Dirichlet processes with respect to a given filtration. Such a process is the sum of a local martingale and an adapted process $A$ such that $[N,A] = 0$, for any continuous local martingale $N$. Given a function $u:[0,T] \times \mathbb{R} \to \mathbb{R}$, which is of class $C^{0,1}$ (or sometimes less), we provide a chain rule type expansion for $u(t,X_t)$ which stands in applications for a chain Itô type rule.
In this paper, we study transition density functions for pure jump unimodal Lévy processes killed upon leaving an open set $D$. Under some mild assumptions on the Lévy density, we establish two-sided Dirichlet heat kernel estimates when the open set $D$ is $C^{1, 1}$. Our result covers the case that the Lévy densities of unimodal Lévy processes are regularly varying functions whose indices are equal to the Euclidean dimension. This is the first results on two-sided Dirichlet heat kernel estimates for Lévy processes such that the weak lower scaling index of the Lévy densities is not necessarily…
We examine a class of random walks in random environments on $\mathbb{Z}$ with bounded jumps, a generalization of the classic one-dimensional model. The environments we study have i.i.d. transition probability vectors drawn from Dirichlet distributions. For this model, we characterize recurrence and transience, and in the transient case we characterize ballisticity. For ballisticity, we give two parameters, $κ_0$ and $κ_1$. The parameter $κ_0$ governs finite trapping effects, and $κ_1$ governs repeated traversals of arbitrarily large regions of the graph. We show that the walk is right-transie…
In this paper we explain how the notion of ''weak Dirichlet process'' is the suitable generalization of the one of semimartingale with jumps. For such a process we provide a unique decomposition which is new also for semimartingales: in particular we introduce ''characteristics'' for weak Dirichlet processes. We also introduce a weak concept (in law) of finite quadratic variation. We investigate a set of new useful chain rules and we discuss a general framework of (possibly path-dependent with jumps) martingale problems with a set of examples of SDEs with jumps driven by a distributional drift…
We establish transience criteria for symmetric non-local Dirichlet forms on $L^2({\mathbb R}^d)$ in terms of the coefficient growth rates at infinity. Applying these criteria, we find a necessary and sufficient condition for recurrence of Dirichlet forms of symmetric stable-like with unbounded/degenerate coefficients. This condition indicates that both of the coefficient growth rates of small and big jump parts affect the sample path properties of the associated symmetric jump processes.
The paper is a continuation of our paper [12,2], and it studies functional inequalities for non-local Dirichlet forms with finite range jumps or large jumps. Let $α\in(0,2)$ and $μ_V(dx)=C_Ve^{-V(x)}\,dx$ be a probability measure. We present explicit and sharp criteria for the Poincaré inequality and the super Poincaré inequality of the following non-local Dirichlet form with finite range jump $$\mathscr{E}_{α, V}(f,f):= (1/2)\iint_{|x-y|\le 1}\frac{(f(x)-f(y))^2}{|x-y|^{d+α}} dy μ_V(dx);$$ on the other hand, we give sharp criteria for the Poincaré inequality of the non-local Dirichlet form wi…
The objective of this paper is to study the filtering problem for a system of partially observable processes $(X, Y)$, where $X$ is a non-Markovian pure-jump process representing the signal and $Y$ is a general jump-diffusion which provides observations. Our model covers the case where both processes are not necessarily quasi left-continuous, allowing them to jump at predictable stopping times. By introducing the Markovian version of the signal, we are able to compute an explicit equation for the filtering process via the innovations approach.
We give sufficient conditions for Mosco convergences for the following three cases: symmetric locally uniformly elliptic diffusions, symmetric Lévy processes, and symmetric jump processes in terms of the $L^1(\mathbb R;dx)$-local convergence of the (elliptic) coefficients, the characteristic exponents and the jump density functions,respectively. We stress that the global path properties of the corresponding Markov processes such as recurrence/transience, and conservativeness/explosion are not preserved under Mosco convergences and we give several examples where such situations indeed happen.
We present sufficient conditions, in terms of the jumping kernels, for two large classes of conservative Markov processes of pure-jump type to be purely discontinuous martingales with finite second moment. As an application, we establish the law of the iterated logarithm for sample paths of the associated processes.
We consider a class of jump processes in euclidean space which are associated to a certain non-local symmetric Dirichlet form. We prove a lower bound on the occupation times of sets, and that a support theorem holds for these processes.
In this paper we discuss weak convergence of continuous-time Markov chains to a non-symmetric pure jump process. We approach this problem using Dirichlet forms as well as semimartingales. As an application, we discuss how to approximate a given Markov process by Markov chains.
We obtain a lower bound for the coarse Ricci curvature of continuous time pure jump Markov processes, with an emphasis on interacting particle systems. Applications to several models are provided, with a detailed study of the herd behavior of a simple model of interacting agents.
We consider the symmetric non-local Dirichlet form $(E, F)$ given by \[ E (f,f)=\int_{R^d} \int_{R^d} (f(y)-f(x))^2 J(x,y) dx dy \] with $F$ the closure of the set of $C^1$ functions on $R^d$ with compact support with respect to $E_1$, where $E_1 (f, f):=E (f, f)+\int_{R^d} f(x)^2 dx$, and where the jump kernel $J$ satisfies \[ κ_1|y-x|^{-d-α} \leq J(x,y) \leq κ_2|y-x|^{-d-β} \] for $0<α< β<2, |x-y|<1$. This assumption allows the corresponding jump process to have jump intensities whose size depends on the position of the process and the direction of the jump. We prove upper and lower estimate…
In this paper, we establish a large deviation principle for a stochastic evolution equation which describes the system governing the nematic liquid crystals driven by pure jump noise. The proof is based on the weak convergence approach.
We aim in proving Poincaré inequalities for a class of pure jump Markov processes inspired by the model introduced in \cite{G-L} by Galves and Löcherbach to describe the behaviour of interacting brain neurons. In particular, we consider neurons with degenerate jumps, i.e. that lose their memory when they spike, while the probability of a spike depends on the actual position and thus the past of the whole neural system.
We obtain the boundedness in $L^p$ spaces for all $1<p<\infty$ of the so-called vertical Littlewood--Paley functions for non-local Dirichlet forms in the metric measure space under some mild assumptions. For $1<p\le 2$, the pseudo-gradient is introduced to overcome the difficulty that chain rules are not available for non-local operators, and then the Mosco convergence is used to pave the way from the finite jumping kernel case to the general case, while for $2\le p<\infty$, the Burkholder--Davis--Gundy inequality is effectively applied. The former method is analytic and the latter one is prob…
Considering irreducibility is fundamental for studying the ergodicity of stochastic dynamical systems. In this paper, we establish the irreducibility of stochastic complex Ginzburg-Laudau equations driven by pure jump noise. Our results are dimension free and the conditions placed on the driving noises are very mild. A crucial role is played by criteria developed by the authors of this paper and T. Zhang for the irreducibility of stochastic equations driven by pure jump noise. As an application, we obtain the ergodicity of stochastic complex Ginzburg-Laudau equations. We remark that our ergodi…
We study Talagrand concentration and Poincaré type inequalities for unbounded pure jump Markov processes. In particular we focus on processes with degenerate jumps that depend on the past of the whole system, based on the model introduced by Galves and Löcherbach in \cite{G-L}, in order to describe the activity of a biological neural network. As a result we obtain exponential rates of convergence to equilibrium.
In this paper we consider a large class of symmetric Markov processes $X=(X_t)_{t\ge0}$ on $\R^d$ generated by non-local Dirichlet forms, which include jump processes with small jumps of $α$-stable-like type and with large jumps of super-exponential decay. Let $D\subset \R^d$ be an open (not necessarily bounded and connected) set, and $X^D=(X_t^D)_{t\ge0}$ be the killed process of $X$ on exiting $D$. We obtain explicit criterion for the compactness and the intrinsic ultracontractivity of the Dirichlet Markov semigroup $(P^{D}_t)_{t\ge0}$ of $X^D$. When $D$ is a horn-shaped region, we further o…
A new integral with respect to an integer-valued random measure is introduced. In contrast to the finite variation integral ubiquitous in semimartingale theory (Jacod and Shiryaev, 2003, II.1.5), the new integral is closed under stochastic integration, composition, and smooth transformations. The new integral gives rise to a previously unstudied class of pure-jump processes: the sigma-locally finite variation pure-jump processes. As an application, it is shown that every semimartingale $X$ has a unique decomposition $$X = X_0 + X^{\mathrm{qc}}+X^{\mathrm{dp}},$$ where $X^{\mathrm{qc}}$ is quas…
In this paper, we develop a new method to obtain the accessibility of stochastic partial differential equations driven by additive pure jump noise. An important novelty of this paper is to allow the driving noises to be degenerate. As an application, for the first time, we obtain the accessibility of a class of stochastic equations driven by pure jump degenerate noise, which cover 2D stochastic Navier-Stokes equations, stochastic Burgers type equations, singular stochastic p-Laplace equations, stochastic fast diffusion equations, etc. As a further application, we establish the ergodicity of si…
Based on the weak existence and weak uniqueness, we study the pathwise uniqueness of the solutions for a class of one-dimensional stochastic differential equations driven by pure jump processes. By using Tanaka's formula and the local time technique, we show that there is no gap between the strong uniqueness and weak uniqueness when the coefficients of the Poisson random measures satisfy a suitable condition
Let $E$ be a locally compact separable metric space and $m$ be a positive Radon measure on it. Given a nonnegative function $k$ defined on $E\times E$ off the diagonal whose anti-symmetric part is assumed to be less singular than the symmetric part, we construct an associated regular lower bounded semi-Dirichlet form $η$ on $L^2(E;m)$ producing a Hunt process $X^0$ on $E$ whose jump behaviours are governed by $k$. For an arbitrary open subset $D\subset E$, we also construct a Hunt process $X^{D,0}$ on $D$ in an analogous manner. When $D$ is relatively compact, we show that $X^{D,0}$ is censore…
In this paper, we obtain new drift-type conditions for nonexplosion and explosion for nonhomogeneous Markov pure jump processes in Borel state spaces. The conditions are sharp; e.g., the one for nonexplosion is necessary if the state space is in addition locally compact and the $Q$-function satisfies weak Feller-type and local boundedness conditions. We comment on the relations of our conditions with the existing ones in the literature, and demonstrate some possible applications.
Let $L$ be the operator defined on $C^2$ functions by $$L f(x)=\int[f(x+h)-f(x)-1_{(|h|\leq 1)}\nabla f(x)\cdot h]\frac{n(x,h)}{|h|^{d+α(x)}}dh.$$ This is an operator of variable order and the corresponding process is of pure jump type. We consider the martingale problem associated with $L$. Sufficient conditions for existence and uniqueness are given. Transition density estimates for $α$-stable processes are also obtained.
Perturbations of super Poincaré and weak Poincaré inequalities for Lévy type Dirichlet forms are studied. When the range of jumps is finite our results are natural extensions to the corresponding ones derived earlier for diffusion processes; and we show that the study for the situation with infinite range of jumps is essentially different. Some examples are presented to illustrate the optimality of our results.
We study the notions of mild solution and generalized solution to a linear stochastic partial differential equation driven by a pure jump symmetric Lévy white noise. We identify conditions for existence for these two kinds of solutions, and we identify conditions under which they are essentially equivalent. We establish a necessary condition for the existence of a random field solution to a linear SPDE, and we apply this result to the linear stochastic heat, wave and Poisson equations driven by a symmetric $α$-stable noise.
In this paper, we shall consider the killing transform induced by a multiplicative functional on regular Dirichlet subspaces of a fixed Dirichlet form. Roughly speaking, a regular Dirichlet subspace is a closed subspace with Dirichlet and regular properties of fixed Dirichlet space. By using the killing transforms, our main results indicate that the big jump part of fixed Dirichlet form is not essential for discussing its regular Dirichlet subspaces. This fact is very similar to the status of killing measure when we consider the questions about regular Dirichlet subspaces in [6].
In this work we consider a stochastic evolution equation which describes the system governing the nematic liquid crystals driven by a pure jump noise. The existence of a martingale solution is proved for both 2D and 3D cases. The construction of the solution is based on the classical Faedo-Galerkin approximation, compactness method and the Jakubowski's version of the Skorokhod representation theorem for non-metric spaces. We prove the solution is pathwise unique and further establish the existence of a strong solution in the 2D case.
We present a new algorithms to discretize a decoupled forward backward stochastic differential equations driven by pure jump Lévy process (FBSDEL in short). The method is built in two steps. Firstly, we approximate the FBSDEL by a forward backward stochastic differential equations driven by a Brownian motion and Poisson process (FBSDEBP in short), in which we replace the small jumps by a Brownian motion. Then, we prove the convergence of the approximation when the size of small jumps $\eps$ goes to 0. In the second step, we obtain the $L^p$ Hölder continuity of the solution of FBSDEBP and we c…
We consider stochastic differential equations driven by a general Lévy processes (SDEs) with infinite activity and the related, via the Feynman-Kac formula, Dirichlet problem for parabolic integro-differential equation (PIDE). We approximate the solution of PIDE using a numerical method for the SDEs. The method is based on three ingredients: (i) we approximate small jumps by a diffusion; (ii) we use restricted jump-adaptive time-stepping; and (iii) between the jumps we exploit a weak Euler approximation. We prove weak convergence of the considered algorithm and present an in-depth analysis of …
This paper derives the asymptotic behavior of realized power variation of pure-jump Itô semimartingales as the sampling frequency within a fixed interval increases to infinity. We prove convergence in probability and an associated central limit theorem for the realized power variation as a function of its power. We apply the limit theorems to propose an efficient adaptive estimator for the activity of discretely-sampled Itô semimartingale over a fixed interval.
This paper studies homogenization of symmetric non-local Dirichlet forms with $α$-stable-like jumping kernels in one-parameter stationary ergodic environment. Under suitable conditions, we establish homogenization results and identify the limiting effective Dirichlet forms explicitly. The coefficients of the jumping kernels of Dirichlet forms and symmetrizing measures are allowed to be degenerate and unbounded; and the coefficients in the effective Dirichlet forms can be degenerate.
This paper is concerned with a class of singular stable-like Dirichlet forms on $\R^d$, which are generated by $d$ independent copies of a one-dimensional symmetric $α$-stable process, and whose Lévy jump kernel measure is concentrated on the union of the coordinate axes. Explicit and sharp criteria for Poincaré inequality, super Poincaré inequality and weak Poincaré inequality of such singular Dirichlet forms are presented. When the reference measure is a product measure on $\R^d$, we also consider the entropy inequality for the associated Dirichlet forms, which is similar to the log-Sobolev …
Under some mild assumptions on the Levy measure and the symbol we obtain gradient estimates of Dirichlet heat kernels for pure-jump isotropic unimodal Levy processes in $R^d$.
The regular subspaces of a Dirichlet form are the regular Dirichlet forms that inherit the original form but possess smaller domains. The two problems we are concerned are: (1) the existence of regular subspaces of a fixed Dirichlet form, (2) the characterization of the regular subspaces if exists. In this paper, we will first research the structure of regular subspaces for a fixed Dirichlet form. The main results indicate that the jumping and killing measures of each regular subspace are just equal to that of the original Dirichlet form. By using the independent coupling of Dirichlet forms an…
Korteweg–de Vries Institute for Mathematics, University of Amsterdam（阿姆斯特丹大学科特韦格-德弗里斯数学研究所）；Institute for Informatics, University of Amsterdam（阿姆斯特丹大学信息学研究所）；Department of Economics and Business Economics, Aarhus University（奥胡斯大学经济与商业经济系）；Department of Data Science and Analytics, BI Norwegian Business School（BI挪威商学院数据科学与分析系）；CoRE, Center for Research in Energy: Economics and Markets（能源研究中心：经济与市场）
We estimate the heat kernel of the smooth open set for the isotropic unimodal pure-jump Lévy process with infinite Lévy measure and weakly scaling Lévy-Kchintchine exponent.
Ergodicity for stochastic 2D Boussinesq equations with a highly degenerate pure jump Levy noise
College of Science, National University of Defense Technology（国防科技大学理学院）；MOE-LCSM, School of Mathematics and Statistics, Hunan Normal University（湖南师范大学数学与统计学院）；Institute of Applied Physics and Computational Mathematics（应用物理与计算数学研究所）
We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching) jump-size distributions. We give sufficient conditions for existence of optimal policies and find closed-form expressions for the optimal value function for agents with logarithmic and fractional power (CRRA) utility in the case of two-state Markov chains. The main tools are convex duality techniques, stochastic calculus for pure-jump processes and explicit formulae for the moments of telegraph processes with Markov…
The quasi-invariance is proved for the distributions of Poisson point processes under a random shift map on the path space. This leads to a natural Dirichlet form of jump type on the path space. Differently from the O-U Dirichlet form on the Wiener space satisfying the log-Sobolev inequality, this Dirichlet form merely satisfies the Poincare inequality but not the log-Sobolev one.
Motivated by the multilevel Monte Carlo method introduced by Giles [5], we study the asymptotic behavior of the normalized error process $u_{n,m}(X^n-X^{nm})$ where $X^n$ and $X^{nm}$ are respectively Euler approximations with time steps $1/n$ and $1/nm$ of a given stochastic differential equation $X$ driven by a pure jump Lévy process. In this paper, we prove that this normalized multilevel error converges to different non-trivial limiting processes with various sharp rates $u_{n,m}$ depending on the behavior of the Lévy measure around zero. Our results are consistent with those of Jacod [9] …
We construct a non-decreasing pure jump Markov process, whose jump measure heavily depends on the values taken by the process. We determine the singularity spectrum of this process, which turns out to be random and to depend locally on the values taken by the process. The result relies on fine properties of the distribution of Poisson point processes and on ubiquity theorems.
