Generalized Ito Formulae and Space-Time Lebesgue-Stieltjes Integrals of Local Times

Uniformly consistently estimating the proportion of false null hypotheses via Lebesgue-Stieltjes integral equations

The proportion of false null hypotheses is a very important quantity in statistical modelling and inference based on the two-component mixture model and its extensions, and in control and estimation of the false discovery rate and false non-discovery rate. Most existing estimators of this proportion threshold p-values, deconvolve the mixture model under constraints on its components, or depend heavily on the location-shift property of distributions. Hence, they usually are not consistent, applicable to non-location-shift distributions, or applicable to discrete statistics or p-values. To elimi…

Representation of Itô Integrals by Lebesgue/Bochner Integrals

In [22], it was proved that as long as the integrand has certain properties, the corresponding Itô integral can be written as a (parameterized) Lebesgue integral (or a Bochner integral). In this paper, we show that such a question can be answered in a more positive and refined way. To do this, we need to characterize the dual of the Banach space of some vector-valued stochastic processes having different integrability with respect to the time variable and the probability measure. The later can be regarded as a variant of the classical Riesz Representation Theorem, and therefore it will be usef…

Integral representations of some functionals of fractional Brownian motion

We prove change of variables formulas [Itô formulas] for functions of both arithmetic and geometric averages of geometric fractional Brownian motion. They are valid for all convex functions, not only for smooth ones. These change of variables formulas provide us integral representations of functions of average in the sense of generalized Lebesgue-Stieltjes integral.

A note on Malliavin smoothness on the Lévy space

We consider Malliavin calculus based on the Itô chaos decomposition of square integrable random variables on the Lévy space. We show that when a random variable satisfies a certain measurability condition, its differentiability and fractional differentiability can be determined by weighted Lebesgue spaces. The measurability condition is satisfied for all random variables if the underlying Lévy process is a compound Poisson process on a finite time interval.

Two-parameter $p, q$-variation Paths and Integrations of Local Times

In this paper, we prove two main results. The first one is to give a new condition for the existence of two-parameter $p, q$-variation path integrals. Our condition of locally bounded $p,q$-variation is more natural and easy to verify than those of Young. This result can be easily generalized to multi-parameter case. The second result is to define the integral of local time $\int_{-\infty}^\infty\int_0^t g(s,x)d_{s,x}L_s(x)$ pathwise and then give generalized It$\hat {\rm o}$'s formula when $\nabla^-f(s,x)$ is only of bounded $p,q$-variation in $(s,x)$. In the case that $g(s,x)=\nabla^-f(s,x)$…

The structure of the local time of Markov processes indexed by Levy trees

We construct the analogue of the local time -- at a fixed point $x$ -- for Markov processes indexed by Levy trees. We start by proving that Markov processes indexed by Levy trees satisfy a special Markov property which can be thought as a spatial version of the classical Markov property. Then, we construct the analogue of the local time by an approximation procedure and we characterize the support of its Lebesgue-Stieltjes measure. We also give an equivalent construction in terms of a special family of exit local times. Finally, combining these results, we show that the points at which the Mar…

Local times for solutions of the complex Ginzburg-Landau equation and the inviscid limit

We consider the behaviour of the distribution for stationary solutions of the complex Ginzburg-Landau equation perturbed by a random force. It was proved earlier that if the random force is proportional to the square root of the viscosity, then the family of stationary measures possesses an accumulation point as the viscosity goes to zero. We show that if $μ$ is such point, then the distributions of the L^2 norm and of the energy possess a density with respect to the Lebesgue measure. The proofs are based on Itô's formula and some properties of local time for semimartingales.

二重迭代斯特劳尼希随机积分的展开。基于广义多重和迭代傅里叶级数的综合方法

Expansion of Iterated Stratonovich Stochastic Integrals of Multiplicity 2. Combined Approach Based on Generalized Multiple and Iterated Fourier Series

本文基于广义多重和迭代傅里叶级数的综合方法，研究二重迭代斯特劳尼希随机积分的展开，并证明其均方收敛性，为伊藤随机微分方程的数值积分提供理论支持。

Martingale representation for Poisson processes with applications to minimal variance hedging

We consider a Poisson process $η$ on a measurable space $(\BY,\mathcal{Y})$ equipped with a partial ordering, assumed to be strict almost everwhwere with respect to the intensity measure $λ$ of $η$. We give a Clark-Ocone type formula providing an explicit representation of square integrable martingales (defined with respect to the natural filtration associated with $η$), which was previously known only in the special case, when $λ$ is the product of Lebesgue measure on $\R_+$ and a $σ$-finite measure on another space $\BX$. Our proof is new and based on only a few basic properties of Poisson p…