We discuss certain facts involving a continuous local martingale $N$ and its supremum $\bar{N}$. A complete characterization of $(N,\bar{N})$-harmonic functions is proposed. This yields an important family of martingales, the usefulness of which is demonstrated, by means of examples involving the Skorokhod embedding problem, bounds on the law of the supremum, or the local time at 0, of a martingale with a fixed terminal distribution, or yet in some Brownian penalization problems. In particular we obtain new bounds on the law of the local time at 0, which involve the excess wealth order.
We extend some known results relating the distribution tails of a continuous local martingale supremum and its quadratic variation to the case of locally square integrable martingales with bounded jumps. The predictable and optional quadratic variations are involved in the main result.
We show that a continuous local martingale is a strict local martingale if its supremum process is not in $ L_α$ for a positive number $α$ smaller than $1$. Using this we construct a family of strict local martingales.
The following conditions are necessary and sufficient for an arbitrary càdlàg local martingale to be a uniformly integrable martingale: (i) The weak tail of the supremum of its modulus is zero; (ii) its jumps at the first-exit times from compact intervals converge to zero in $L^1$, on the events that those times are finite; and (iii) its almost sure limit is an integrable random variable.
We present a short and self-contained proof of the following result: a random time is an honest time that avoids all stopping times if and only if it coincides with the (last) time of maximum of a nonnegative local martingale with zero terminal value and no jumps while at its running supremum, where the latter running supremum process is continuous. Illustrative examples involving local martingales with discontinuous paths are provided.
We continue the study, begun in \cite{FA}, of the critical radius of embeddings, via deterministic spherical harmonics, of fixed dimensional spheres into higher dimensional ones, along with the associated problem of the distribution of the suprema of random spherical harmonics. Whereas \cite{FA} concentrated on spherical harmonics of a common degree, here we extend the results to mixed degrees, obtaining larger lower bounds on critical radii than we found previously.
This work is about a new class of martingales: the vertical martingales. We construct the vertical martingale for smooth submersions and we develop a stochastic calculus for one. Furthermore, we gives a stochastic characterization for harmonic sections.
We provide a characterization of the family of non-negative local martingales that have continuous running supremum and vanish at infinity. This is done by describing the class of random times that identify the times of maximum of such processes. In this way we extend to the case of general filtrations a result proved by Nikeghbali and Yor [NY06] for continuous filtrations. Our generalization is complementary to the one presented by Kardaras [Kar14], and is obtained by means of similar tools.
We prove a stochastic Gronwall lemma of the following type: if $Z$ is an adapted nonnegative continuous process which satisfies a linear integral inequality with an added continuous local martingale $M$ and a process $H$ on the right hand side, then for any $p \in (0,1)$ the $p$-th moment of the supremum of $Z$ is bounded by a constant $κ_p$ (which does not depend on $M$) times the $p$-th moment of the supremum of $H$. Our main tool is a martingale inequality which is due to D. Burkholder. We provide an alternative simple proof of the martingale inequality which provides an explicit numerical …
We first consider {\it deterministic} immersions of the $d$-dimensional sphere into high dimensional Euclidean spaces, where the immersion is via spherical harmonics of level $n$. The main result of the article is the, a priori unexpected, fact that there is a uniform lower bound to the critical radius of the immersions as $n\to\infty$. This fact has immediate implications for {\it random} spherical harmonics with fixed $L^2$-norm. In particular, it leads to an exact and explicit formulae for the tail probability of their (large deviation) suprema by the tube formula, and also relates this to …
This paper studies small-time behavior at the supremum of a diffusion process. For a solution to the SDE $\mathrm{d} X_t=μ(X_t)\mathrm{d} t+σ(X_t)\mathrm{d} W_t$ (where $W$ is a standard Brownian motion) we consider $(ε^{-1/2}(X_{m^X+εt}-\overline{X}))_{t\in\mathbb{R}}$ as $ε\downarrow0$, where $\overline{X}$ is the supremum of $X$ on the time interval $[0,1]$ and $m^X$ is the time of the supremum. It is shown that this process converges in law to a process $\hatξ$, where $(\hatξ_t)_{t\geq0}$ and $(\hatξ_{-t})_{t\geq0}$ arise as independent Bessel-3 processes multiplied by $-σ(\overline{X})$. …
Motivated by the harmonic mean formula in [1], we investigate the relation between the sojourn time and supremum of a random process $X(t),t\in \mathbb{R}^d$ and extend the harmonic mean formula for general stochastically continuous $X$. We discuss two applications concerning the continuity of distribution of supremum of $X$ and representations of classical Pickands constants.
University of Pennsylvania（宾夕法尼亚大学）；Cornell University（康奈尔大学）
We study an equivalence of (i) deterministic pathwise statements appearing in the online learning literature (termed \emph{regret bounds}), (ii) high-probability tail bounds for the supremum of a collection of martingales (of a specific form arising from uniform laws of large numbers for martingales), and (iii) in-expectation bounds for the supremum. By virtue of the equivalence, we prove exponential tail bounds for norms of Banach space valued martingales via deterministic regret bounds for the online mirror descent algorithm with an adaptive step size. We extend these results beyond the line…
We prove that for a so-called sticky process $S$ there exists an equivalent probability $Q$ and a $Q$-martingale $\tilde{S}$ that is arbitrarily close to $S$ in $L^p(Q)$ norm. For continuous $S$, $\tilde{S}$ can be chosen arbitrarily close to $S$ in supremum norm. In the case where $S$ is a local martingale we may choose $Q$ arbitrarily close to the original probability in the total variation norm. We provide examples to illustrate the power of our results and present applications in mathematical finance.
We identify the linear space spanned by the real-valued excessive functions of a Markov process with the set of those functions which are quasimartingales when we compose them with the process. Applications to semi-Dirichlet forms are given. We provide a unifying result which clarifies the relations between harmonic, co-harmonic, invariant, co-invariant, martingale and co-martingale functions, showing that in the conservative case they are all the same. Finally, using the co-excessive functions, we present a two-step approach to the existence of invariant probability measures.
This paper gives a definition of g-harmonic functions and shows the relation between the g-harmonic functions and g-martingales. It's direct to construct such relation under smooth case, but for continuous case we need the theory of viscosity solution. The results show that under the nonlinear expectation mechanism, we also can get the similar relation between harmonic functions and martingales. Finally, we will give a result about the strict converse problem of mean value property of g-harmonic functions.
A study of a non-linear parabolic SPDEs of the form $\partial_{t}u=\mathcal{L}\,u + σ(u)f(B_t^x,t)\dot{w}$ with $\dot{w}$ as the space-time white noise and $f(B_t^x,t)$ a space-time harmonic function was done. The function $σ:\mathbb{R}\rightarrow\mathbb{R}$ is Lipschitz continuous and $\mathcal{L}$ the $L^2$-generator of a Lévy process. Some precise condition for existence and uniqueness of the solution were given and we show that the solution grows weakly(in law/distribution) in time (for large $t$) at most a precise exponential rate for the $\mathcal{L}$; and grows in time at most a precise…
In this article, we develop a martingale approach to localized Bismut-type Hessian formulas for heat semigroups on Riemannian manifolds. Our approach extends the Hessian formulas established by Stroock (1996) and removes in particular the compact manifold restriction. To demonstrate the potential of these formulas, we give as application explicit quantitative local estimates for the Hessian of the heat semigroup, as well as for harmonic functions on regular domains in Riemannian manifolds.
Using, as main tool, the convergence theorem for discrete martingales and the mean value property of harmonic functions we solve, a particular case of, Dirichlet problem.
We investigate a possible definition of expectation and conditional expectation for random variables with values in a local field such as the $p$-adic numbers. We define the expectation by analogy with the observation that for real-valued random variables in $L^2$ the expected value is the orthogonal projection onto the constants. Previous work has shown that the local field version of $L^\infty$ is the appropriate counterpart of $L^2$, and so the expected value of a local field-valued random variable is defined to be its ``projection'' in $L^\infty$ onto the constants. Unlike the real case, t…
The BMO martingale theory is extensively used to study nonlinear multi-dimensional stochastic equations (SEs) in $\cR^p$ ($p\in [1, \infty)$) and backward stochastic differential equations (BSDEs) in $\cR^p\times \cH^p$ ($p\in (1, \infty)$) and in $\cR^\infty\times \bar{\cH^\infty}^{BMO}$, with the coefficients being allowed to be unbounded. In particular, the probabilistic version of Fefferman's inequality plays a crucial role in the development of our theory, which seems to be new. Several new results are consequently obtained. The particular multi-dimensional linear case for SDEs and BSDEs …
Using the estimate of the difference between the discrete harmonic function and its corresponding continuous version we derive a rate of convergence of the Loewner driving function for the harmonic explorer to the Brownian motion with speed 4 on the real line. Based on this convergence rate, the derivative estimate for chordal $\mbox{SLE}_4$, and the estimate of tip structure modulus for harmonic explorer paths, we obtain an explicit power-law rate of convergence of the harmonic explorer paths to the trace of chordal $\mbox{SLE}_4$ in the supremum distance.
Let $p(\cdot)$ be a measurable function defined on a probability space satisfying $0<p_-:={\rm ess}\inf_{x\in Ω}p(x)\leq {\rm ess}\sup_{x\inΩ}p(x)=:p_+<\infty$. We investigate five types of martingale Hardy spaces $H_{p(\cdot)}$ and $H_{p(\cdot),q}$ and prove their atomic decompositions when each $σ$-algebra $\mathcal F_n$ is generated by countably many atoms. Martingale inequalities and the relation of the different martingale Hardy spaces are proved as application of the atomic decomposition. In order to get these results, we introduce the following condition to replace (generalize) the so-c…
We describe a new operator space structure on $L_p$ when $p$ is an even integer and compare it with the one introduced in our previous work using complex interpolation. For the new structure, the Khintchine inequalities and Burkholder's martingale inequalities have a very natural form:\ the span of the Rademacher functions is completely isomorphic to the operator Hilbert space $OH$, and the square function of a martingale difference sequence $d_n$ is $Σ\ d_n\otimes \bar d_n$. Various inequalities from harmonic analysis are also considered in the same operator valued framework. Moreover, the ne…
We study Bessel processes on Weyl chambers of types A and B on $\mathbb R^N$. Using elementary symmetric functions, we present several space-time-harmonic functions and thus martingales for these processes $(X_t)_{t\ge0}$ which are independent from one parameter of these processes. As a consequence, $p(y):=\mathbb E(\prod_{i=1}^N (y-X_t^i))$ can be expressed via classical orthogonal polynomials. Such formulas on characteristic polynomials admit interpretations in random matrix theory where they are partially known by Diaconis, Forrester, and Gamburd.
We study $β$-Jacobi diffusion processes on alcoves in $\mathbb R^N$, depending on 3 parameters. Using elementary symmetric functions, we present space-time-harmonic functions and martingales for these processes $(X_t)_{t\ge0}$ which are independent from one parameter. This leads to a formula for $\mathbb E(\prod_{i=1}^N (y-X_{t,i}))$ in terms of classical Jacobi polynomials. For $t\to\infty$ this yields a corresponding formula for Jacobi ensembles and thus Aomoto's Selberg integral.
Let $M$ be a complete simply connected manifold which is in addition Gromov hyperbolic, coercive and roughly starlike. For a given harmonic function on $M$, a local Fatou Theorem and a pointwise criteria of non-tangential convergence coming from the density of energy are shown: at almost all points of the boundary, the harmonic function converges non-tangentially if and only if the supremum of the density of energy is finite. As an application of these results, a Calderón-Stein Theorem is proved, that is, the non-tangential properties of convergence, boundedness and finiteness of energy are eq…
One problem of wide interest involves estimating expected crossing-times. Several tools have been developed to solve this problem beginning with the works of Wald and the theory of sequential analysis. An extension of his approach is provided by the optional sampling theorem in conjunction with martingale inequalities. Deriving the explicit close form solution for the expected crossing times may be difficult. In this paper, we provide a framework that can be used to estimate expected crossing times of arbitrary stochastic processes. Our key assumption is the knowledge of the average behavior o…
We use the Bellman function method to give an elementary proof of a sharp weighted estimate for the Haar shifts, which is linear in the $A_2$ norm of the weight and in the complexity of the shift. Together with the representation of a general Calderón--Zygmund operator as a weighted average (over all dyadic lattices) of Haar shifts, (cf. arXiv:1010.0755v2[math.CA], arXiv:1007.4330v1[math.CA]) it gives a significantly simpler proof of the so-called the $A_2$ conjecture. The main estimate is a very general fact about concave functions, which can be very useful in other problems of martingale Har…
Let $X$ be a supermartingale starting from $0$ which has only nonnegative jumps. For each $0<p<1$ we determine the best constants $c_p$, $C_p$ and $\mathfrak{c}_p$ such that $$ \,\,\,\,\sup_{t\geq 0}\left|\left|X_t\right|\right|_p\leq C_p\left|\left|-\inf_{t\geq 0}X_t\right|\right|_p,$$ $$ \,\,||\sup_{t\geq 0}X_t||_p\leq c_p\left|\left|-\inf_{t\geq 0}X_t\right|\right|_p$$ and $$ ||\sup_{t\geq 0}|X_t|\;||_p\leq \mathfrak{c}_p\left|\left|-\inf_{t\geq 0}X_t\right|\right|_p.$$ The estimates are shown to be sharp if $X$ is assumed to be a stopped one-dimensional Brownian motion. The inequalities ar…
We consider a coupling of the Gaussian free field with slit holomorphic stochastic flows, called ($δ,σ$)-SLE, which contains known SLE processes (chordal, radial, and dipolar) as particular cases. In physical terms, we study a free boundary conformal field theory with one scalar bosonic field, where Green's function is assumed to have some general regular harmonic part. We establish which of these models allow coupling with ($δ,σ$)-SLE, or equivalently, when the correlation functions induce local ($δ,σ$)-SLE martingales (martingale observables).
In the first part of this article, we prove two-sided estimates of hitting probabilities of balls, the potential kernel and the Green function for a ball for general isotropic unimodal Lévy processes. Our bounds are sharp under the absence of the Gaussian component and a mild regularity condition on the density of the Lévy measure: its radial profile needs to satisfy a scaling-type condition, which is equivalent to $O$-regular variation at zero and at infinity with lower indices greater than $-d - 2$. We also prove a supremum estimate and a regularity result for functions harmonic with respect…
It is strange but fruitful to think about the functions as random processes. Any function can be viewed as a martingale (in many different ways) with discrete time. But it can be useful to have continuous time too. Processes can emulate functions, expectation of profit functional on the solution of stochastic differential equation can emulate the functional on usual familiar functions. The advantage is that now we have "all" admissible functions "enumerated" as solutions of one stochastic differential equation, and choosing the best function optimizing a given functional becomes a problem of c…
On a countable tree $T$, allowing vertices with infinite degree, we consider an arbitrary stochastic irreducible nearest neighbour transition operator $P$. We provide a boundary integral representation for general eigenfunctions of $P$ with eigenvalue $λ\in \mathbb{C}$. This is possible whenever $λ$ is in the resolvent set of $P$ as a self-adjoint operator on a suitable $\ell^2$-space and the on-diagonal elements of the resolvent ("Green function") do not vanish at $λ$. We show that when $P$ is invariant under a transitive (not necessarily fixed-point-free) group action, the latter condition h…
The paper contains the proof of $L^p$-weighted norm inequalities for both, martingales square functions and the classical square functions in harmonic analysis of Littlewood-Paley and Lusin. Furthermore, the bounds are completely explicit and are optimal not only on the dependence of the characteristics of the weight but also on the dependance on $p$, as $p\to\infty$. The proof rests on Bellman function method: the estimates are deduced from the existence of an appropriate and rather complicated function of four variables.
For discrete spectrum of 1D second-order differential/difference operators (with or without potential (killing), with the maximal/minimal domain), a pair of unified dual criteria are presented in terms of two explicit measures and the harmonic function of the operators. Interes\-tingly, these criteria can be read out from the ones for the exponential convergence of four types of stability studied earlier, simply replacing the `finite supremum' by `vanishing at infinity'. Except a dual technique, the main tool used here is a transform in terms of the harmonic function, to which two new practica…
Laplacian growth is the study of interfaces that move in proportion to harmonic measure. Physically, it arises in fluid flow and electrical problems involving a moving boundary. We survey progress over the last decade on discrete models of (internal) Laplacian growth, including the abelian sandpile, internal DLA, rotor aggregation, and the scaling limits of these models on the lattice Z^d as the mesh size goes to zero. These models provide a window into the tools of discrete potential theory: harmonic functions, martingales, obstacle problems, quadrature domains, Green functions, smoothing. We…
