In this work we prove that for any dimension $d\geq 1$ and any $γ\in (0,1)$ super-Brownian motion corresponding to the log-Laplace equation \begin{equation*} \begin{split} \frac{\partial v(t,x)}{\partial t } & = \frac{1}{2}\bigtriangleup v(t,x) + v^γ(t,x) ,\: (t,x) \in \mathbb{R}_+\times \mathbb{R}^d,\\ v(0,x)&= f(x) \end{split} \end{equation*} is absolutely continuous with respect to the Lebesgue measure at any fixed time $t>0$. Our proof is based on properties of solutions of the \LL\ equation.
We also prove that when initial datum $v(0,\cdot)$ is a finite, non-zero measure, then the \LL\ equation has a unique, continuous solution. Moreover this solution continuously depends on initial data.
We consider the stochastic continuity equation perturbed by a fractional Brownian motion and the drift is allowed to be discontinuous. We show that for almost all paths of the fractional Brownian motion there exists a solution to the equation.
This article is concerned with modulus of continuity of Brownian local times. Specifically, we focus on 3 closely related problems: (a) Limit theorem for a Brownian modulus of continuity involving Riesz potentials, where the limit law is an intricate Gaussian mixture. (b) Central limit theorems for the projections of L2 modulus of continuity for a 1-dimensional Brownian motion. (c) Extension of the second result to a 2-dimensional Brownian motion. Our proofs rely on a combination of stochastic calculus and Malliavin calculus tools, plus a thorough analysis of singular integrals.
We show that the local time of one-dimensional super-Brownian motion is locally $γ$-Hölder continuous near the boundary if $0<γ<3$ and fails to be locally $γ$-Hölder continuous if $γ>3$.
The purpose of this note is to prove a central limit theorem for the $L^3$-modulus of continuity of the Brownian local time using techniques of stochastic analysis. The main ingredients of the proof are an asymptotic version of Knight's theorem and the Clark-Ocone formula for the $L^3$-modulus of the Brownian local time.
We prove absolute continuity of Gaussian measures associated to complex Brownian bridges under certain gauge transformations. As an application we prove that the invariant measure for the periodic derivative nonlinear Schrödinger equation obtained by Nahmod, Oh, Rey-Bellet and Staffilani in [20], and with respect to which they proved almost surely global well-posedness, coincides with the weighted Wiener measure constructed by Thomann and Tzvetkov [24]. Thus, in particular we prove the invariance of the measure constructed in [24].
We prove the existence and the Besov regularity of the density of the solution to a general parabolic SPDE which includes the stochastic Burgers equation on an unbounded domain. We use an elementary approach based on the fractional integration by parts.
We give a result of stability in law of the local time of the fractional Brownian motion with respect to small perturbations of the Hurst parameter. Concretely, we prove that the law (in the space of continuous functions) of the local time of the fractional Brownian motion with Hurst parameter $H$ converges weakly to that of the local time of $B^{H_0}$, when $H$ tends to $H_0$.
We prove absolute continuity of the law of the solution, evaluated at fixed points in time and space, to a parabolic dissipative stochastic PDE on $L^2(G)$, where $G$ is an open bounded domain in $\mathbb{R}^d$ with smooth boundary. The equation is driven by a multiplicative Wiener noise and the nonlinear drift term is the superposition operator associated to a real function which is assumed to be monotone, locally Lipschitz continuous, and growing not faster than a polynomial. The proof, which uses arguments of the Malliavin calculus, crucially relies on the well-posedness theory in the mild …
We collect some applications of the variational formula established by Schröder (1988) and Rueß(2013) for the quenched Lyapunov exponent of Brownian motion in stationary and ergodic nonnegative potential. We show for example that the Lyapunov exponent for nondeterministic potential is strictly lower than the Lyapunov exponent for the averaged potential. The behaviour of the Lyapunov exponent under independent perturbations of the underlying potential is examined. And with the help of counterexamples we are able to give a detailed picture of the continuity properties of the Lyapunov exponent.
Brownian motions in the infinite-dimensional group of all unitary operators are studied under strong continuity assumption rather than norm continuity. Every such motion can be described in terms of a countable collection of independent one-dimensional Brownian motions. The proof involves continuous tensor products and continuous quantum measurements. A by-product: a Brownian motion in a separable F-space (not locally convex) is a Gaussian process.
We consider infinitely divisible distributions with symmetric Lévy measure and study the absolute continuity of them with respect to the Lebesgue measure. We prove that if $η(r)=\int_{|x|\le r} x^2 ν(dx)$ where $ν$ is the Lévy measure, then $\int_0^1 \frac{r}{η(r)}dr <\infty$ is a sufficient condition for absolute continuity. As far as we know, our result is not implied by existing results about absolute continuity of infinitely divisible distributions.
Let $\{L^{x}_{t} ; (x,t)\in R^{1}\times R^{1}_{+}\}$ denote the local time of Brownian motion and \[ α_{t}:=\int_{-\infty}^{\infty} (L^{x}_{t})^{2} dx . \] Let $η=N(0,1)$ be independent of $α_{t}$. For each fixed $t$ \[ {\int_{-\infty}^{\infty} (L^{x+h}_{t}- L^{x}_{t})^{2} dx- 4ht\over h^{3/2}} \stackrel{\mathcal{L}}{\to}({64 \over 3})^{1/2}\sqrt{α_{t}} η, \] as $h\rar 0$. Equivalently \[ {\int_{-\infty}^{\infty} (L^{x+1}_{t}- L^{x}_{t})^{2} dx- 4t\over t^{3/4}} \stackrel{\mathcal{L}}{\to}({64 \over 3} )^{1/2}\sqrt{α_{1}} η, \] as $t\rar\infty$.
We show that the law of the KPZ fixed point starting from arbitrary initial condition is absolutely continuous with respect to the law of Brownian motion $B$ on every compact interval. In particular, the Airy$_1$ process is absolutely continuous with respect to $B$ on any compact interval.
We consider the stochastic continuity equation driven by Brownian motion. We use the techniques of the Malliavin calculus to show that the law of the solution has a density with respect to the Lebesgue measure. We also prove that the density is Holder continuous and satisfies some Gaussian-type estimates.
The generalized fractional Brownian motion (GFBM) $X:=\{X(t)\}_{t\ge0}$ with parameters $γ\in [0, 1)$ and $α\in \left(-\frac12+\fracγ{2}, \, \frac12+\fracγ{2} \right)$ is a centered Gaussian $H$-self-similar process introduced by Pang and Taqqu (2019) as the scaling limit of power-law shot noise processes, where $H = α-\fracγ{2}+\frac12 \in(0,1)$. When $γ= 0$, $X$ is the ordinary fractional Brownian motion. For $γ\in (0, 1)$, GFBM $X$ does not have stationary increments, and its sample path properties such as Hölder continuity, path differentiability/non-differentiability, and the functional l…
In this paper, we prove that the laws of perturbed diffusion processes and perturbed reflected diffusion processes are absolutely continuous with respect to the Lebesgue measure. The main tool we use is the Malliavin calculus.
We derive equivalent conditions for the (local) absolute continuity of two laws of semimartingales on random sets. Our result generalizes previous results for classical semimartingales by replacing a strong uniqueness assumption by a weaker uniqueness assumption. The main tool is a generalized Girsanov's theorem, which relates laws of two possibly explosive semimartingales to a candidate density process. Its proof is based on an extension theorem for consistent families of probability measures. Moreover, we show that in a one-dimensional Itô-diffusion setting our result reproduces the known de…
We investigate the optimal Hölder continuity and hitting probabilities for systems of stochastic heat equations and stochastic wave equations driven by an additive fractional Brownian sheet with temporal index $1/2$ and spatial index $H\le1/2$. Using stochastic calculus for fractional Brownian motion, we prove that these systems are well-posed and the solutions are Hölder continuous. Furthermore, the optimal Hölder exponents are obtained, which is the first result, as far as we knew, on the optimal Hölder continuity of SHEs and SWEs driven by fractional Brownian sheet that is rough in space. B…
In this paper, we focus on the existence of the density for the law of the solutions to parabolic stochastic partial differential equations with two reflecting walls. The main tool is Malliavin calculus.
We consider piecewise deterministic Markov processes with degenerate transition kernels of the "house-of-cards"-type. We use a splitting scheme based on jump times to prove the absolute continuity, as well as some regularity, of the invariant measure of the process. Finally, we obtain finer results on the regularity of the one-dimensional marginals of the invariant measure, using integration by parts with respect to the jump times.
In this note, we show that the limiting spectral distribution of symmetric random matrices with stationary entries is absolutely continuous under some sufficient conditions. This result is applied to obtain sufficient conditions on a probability measure for its free multiplicative convolution with the semicircle law to be absolutely continuous.
We investigate the regularity of the law of Wong-Zakai-type approximations for Itô stochastic differential equations. These approximations solve random differential equations where the diffusion coefficient is Wick-multiplied by the smoothed white noise. Using a criteria based on the Malliavin calculus we establish absolute continuity and a Fokker-Planck-type equation solved in the distributional sense by the density. The parabolic smoothing effect typical of the solutions of Itô equations is lacking in this approximated framework; therefore, in order to prove absolute continuity, the initial …
We derive the modulus of continuity of a class of processes called Canonical Embedded Branching Processes (CEBP), recently introduced by Decrouez and Jones, and we establish their monofractal character. CEBP provide a rich class of processes, including the Brownian motion as a particular case. The techniques developed in this study follow the steps of Barlow and Perkins on Brownian motion on a Sierpinski gasket, though complications arise here since CEBP are not Markovian in general.
We prove joint Holder continuity and an occupation-time formula for the self-intersection local time of fractional Brownian motion. Motivated by an occupation-time formula, we also introduce a new version of the derivative of self-intersection local time for fractional Brownian motion and prove Holder conditions for this process. This process is related to a different version of the derivative of self-intersection local time studied by the authors in a previous work.
Let $B^H=\{B^H(t),t\in{\mathbb{R}_+^N}\}$ be an $(N,d)$-fractional Brownian sheet with index $H=(H_1,...,H_N)\in(0,1)^N$ defined by $B^H(t)=(B^H_1(t),...,B^H_d(t)) (t\in {\mathbb{R}}_+^N),$ where $B^H_1,...,B^H_d$ are independent copies of a real-valued fractional Brownian sheet $B_0^H$. We prove that if $d<\sum_{\ell=1}^NH_{\ell}^{-1}$, then the local times of $B^H$ are jointly continuous. This verifies a conjecture of Xiao and Zhang (Probab. Theory Related Fields 124 (2002)). We also establish sharp local and global Hölder conditions for the local times of $B^H$. These results are applied to…
We consider the Itô SDE with non-degenerate diffusion coefficient and measurable drift coefficient. Under the condition that the gradient of the diffusion coefficient and the divergences of the diffusion and drift coefficients are exponentially integrable with respect to the Gaussian measure, we show that the stochastic flow leaves the reference measure absolutely continuous.
We show that the limiting eigenvalue distribution of random symmetric Toeplitz matrices is absolutely continuous with density bounded by 8, partially answering a question of Bryc, Dembo and Jiang (2006). The main tool used in the proof is a spectral averaging technique from the theory of random Schrödinger operators. The similar question for Hankel matrices remains open.
The comparison theorem for skew Brownian motions is proved. As the corollary we get the estimate on ${\Cal L}_1-$distance between two skew Brownian motions started from different points. Using this result we prove the continuous dependence on starting point of one class of generalized diffusion processes constructed as the strong solution to an SDE.
In this paper we study mutual absolute continuity and singularity of probability measures on the path space which are induced by an isotropic stable Lévy process and the purely discontinuous Girsanov transform of this process. We also look at the problem of finiteness of the relative entropy of these measures. An important tool in the paper is the question under which circumstances the a.s. finiteness of an additive functional at infinity implies the finiteness of its expected value.
General sufficient conditions are given for absolute continuity and convergence in variation of the distributions of the unctionals on a probability space, generated by a Poisson point measure. The phase space of the Poisson point measure is supposed to be of the form (0,\infty)\times U, and its intensity measure to be equal dtΠ(du). We introduce the family of time stretching transformations of the configurations of the point measure. The sufficient conditions for absolute continuity and convergence in variation are given in the terms of the time stretching transformations and the relative dif…
We study the absolute continuity with respect to the Lebesgue measure of the distribution of the nodal volume associated with a smooth, non-degenerated and stationary Gaussian field $(f(x), {x \in \mathbb R^d})$. Under mild conditions, we prove that in dimension $d\geq 3$, the distribution of the nodal volume has an absolutely continuous component plus a possible singular part. This singular part is actually unavoidable baring in mind that some Gaussian processes have a positive probability to keep a constant sign on some compact domain. Our strategy mainly consists in proving closed Kac--Rice…
We prove the Harnack inequality and boundary Harnack principle for the absolute value of a one-dimensional recurrent subordinate Brownian motion killed upon hitting $0$, when $0$ is regular for itself and the Laplace exponent of the subordinator satisfies certain global scaling conditions. Using the conditional gauge theorem for symmetric Hunt processes we prove that the Green function of this process killed outside of some interval $(a,b)$ is comparable to the Green function of the corresponding killed subordinate Brownian motion. We also consider several properties of the compensated resolve…
Let $X$ be a $\mathbb{C}$-valued random variable with the property that $$X \ \text{ has the same law as }\ \sum_{j\ge1} T_j X_j$$ where $X_j$ are i.i.d.\ copies of $X$, which are independent of the (given) $\mathbb{C}$-valued random variables $ (T_j)_{j\ge1}$. We provide a simple criterion for the absolute continuity of the law of $X$ that requires, besides the known conditions for the existence of $X$, only finiteness of the first and second moment of $N$ - the number of nonzero weights $T_j$. Our criterion applies in particular to Biggins' martingale with complex parameter.
This paper develops a new divergence that generalizes relative entropy and can be used to compare probability measures without a requirement of absolute continuity. We establish properties of the divergence, and in particular derive and exploit a representation as an infimum convolution of optimal transport cost and relative entropy. Also included are examples of computation and approximation of the divergence, and the demonstration of properties that are useful when one quantifies model uncertainty.
For a class of partially hyperbolic $C^k$, $k>1$ diffeomorphisms with circle center leaves we prove existence and finiteness of physical (or Sinai-Ruelle-Bowen) measures, whose basins cover a full Lebesgue measure subset of the ambient manifold. Our conditions contain an open and dense subset of all $C^k$ partially hyperbolic skew-products on compact circle bundles. Our arguments blend ideas from the theory of Gibbs states for diffeomorphisms with mostly contracting center direction together with recent progress in the theory of cocycles over hyperbolic systems that call into play geometric pr…
In this article we provide a proof of the so called absolute continuity theorem for random dynamical systems on $R^d$ which have an invariant probability measure. First we present the construction of local stable manifolds in this case. Then the absolute continuity theorem basically states that for any two transversal manifolds to the family of local stable manifolds the induced Lebesgue measures on these transversal manifolds are absolutely continuous under the map that transports every point on the first manifold along the local stable manifold to the second manifold, the so-called Poincaré …
We consider a class of measures called autophage which was introduced and studied by Szekely for measures on the real line. We show that the autophage measures on finite-dimensional vector spaces over real or p-adic field are infinitely divisible without idempotent factors and are absolutely continuous with bounded continuous density. We also show that certain semistable measures on such vector spaces are absolutely continuous.
We consider the problem of absolute continuity for the one-dimensional SDE \[X_t=x+\int_0^ta(X_s) ds+Z_t,\] where $Z$ is a real Lévy process without Brownian part and $a$ a function of class $\mathcal{C}^1$ with bounded derivative. Using an elementary stratification method, we show that if the drift $a$ is monotonous at the initial point $x$, then $X_t$ is absolutely continuous for every $t>0$ if and only if $Z$ jumps infinitely often. This means that the drift term has a regularizing effect, since $Z_t$ itself may not have a density. We also prove that when $Z_t$ is absolutely continuous, the…
The paper is concerned with one-dimensional two-sided Ornstein-Uhlenbeck type processes with delay or anticipation. We prove existence and uniqueness requiring almost sure boundedness on the left half-axis in case of delay and almost sure boundedness on the right half-axis in case of anticipation. For those stochastic processes $(X,P_μ)$ we calculate the Radon-Nikodym density under time shift of trajectories, $P_μ(dX_{\cdot -t})/P_μ(dX)$, $t\in {\Bbb R}$.
We prove results for random walks in dynamic random environments which do not require the strong uniform mixing assumptions present in the literature. We focus on the "environment seen from the walker"-process and in particular its invariant law. Under general conditions it exists and is mutually absolutely continuous to the environment law. With stronger assumptions we obtain for example uniform control on the density or a quenched CLT. The general conditions are made more explicit by looking at hidden Markov models or Markov chains as environment and by providing simple examples.
This thesis develops a new divergence that generalizes relative entropy and can be used to compare probability measures without a requirement of absolute continuity. We establish properties of the divergence, and in particular derive and exploit a representation as an infimum convolution of optimal transport cost and relative entropy. We include examples of computation and approximation of the divergence, and its applications in uncertainty quantification in discrete models and Gauss-Markov models.
Consider two laws \(P\) and \(Q\) of multidimensional possibly explosive diffusions with common diffusion coefficient \(\mathfrak{a}\) and drift coefficients \(\mathfrak{b}\) and \(\mathfrak{b} + \mathfrak{a} \mathfrak{c}\), respectively, and the law \(P^\circ\) of an auxiliary diffusion with diffusion coefficient \(\langle \mathfrak{c},\mathfrak{a}\mathfrak{c}\rangle^{-1}\mathfrak{a}\) and drift coefficient \(\langle \mathfrak{c}, \mathfrak{a}\mathfrak{c}\rangle^{-1}\mathfrak{b}\). We show that \(P \ll Q\) if and only if the auxiliary diffusion \(P^\circ\) explodes almost surely and that \(P\…
In this article we establish a large deviation principle for the family {ν_ε:ε\in (0,1)} of distributions of the scaled stochastic processes {P_{-\log\sqrtε}Z_t}_{t\leq 1}, where (Z_t)_{t\in \lbrack 0,1]} is a square-integrable martingale over Brownian filtration and (P_t)_{t\geq 0} is the Ornstein-Uhlenbeck semigroup. The rate function is identified as well in terms of the Wiener-Itô chaos decomposition of the terminal value Z_{1}. The result is established by developing a continuity theorem for large deviations, together with two essential tools, the hypercontractivity of the Ornstein-Uhlenb…
We consider the two dimensional Navier-Stokes equations in vorticity form with a stochastic forcing term given by a gaussian noise, white in time and coloured in space. First, we prove existence and uniqueness of a weak (in the Walsh sense) solution process $ξ$ and we show that, if the initial vorticity $ξ_0$ is continuous in space, then there exists a space-time continuous version of the solution. In addition we show that the solution $ξ(t,x)$ (evaluated at fixed points in time and space) is locally differentiable in the Malliavin calculus sense and that its image law is absolutely continuous…
A non linear Ito equation in a Hilbert space is studied by means of Girsanov theorem. We consider a non linearity of polynomial growth in suitable norms, including that of quadratic type which appears in the Kuramoto-Sivashinsky equation and in the Navier-Stokes equation. We prove that Girsanov theorem holds for the 1-dimensional stochastic Kuramoto-Sivashinsky equation and for a modification of the 2- and 3-dimensional stochastic Navier-Stokes equation. In this way, we prove existence and uniqueness of solutions for these stochastic equations. Moreover, the asymptotic behaviour for large time…
We prove a general functional limit theorem for multiparameter fractional Brownian motion. The functional law of the iterated logarithm, functional Lévy's modulus of continuity and many other results are its particular cases. Applications to approximation theory are discussed.
In this paper, we study the continuity of the transition density of the reecting Brownian motion on a general Lipschitz domain. We also provide local estimates for the density. Applying the estimates, we prove that the surface measure on the domain is in the local Kato class of the reecting Brownian motion.
This paper studies time changes of Brownian motions by positive continuous additive functionals. Under a certain regularity condition on the associated Revuz measures, we prove that the resolvents of the time-changed Brownian motions are locally Hölder continuous in the spatial components. We also obtain lower bounds for the indice of the Hölder continuity.
