Results 1  10
of
272
On some exponential functionals of Brownian motion
 Adv. Appl. Prob
, 1992
"... Abstract: This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing formula for call options for the Asian options, expl ..."
Abstract

Cited by 98 (10 self)
 Add to MetaCart
Abstract: This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing formula for call options for the Asian options, explicit expressions for the heat kernels on hyperbolic spaces, diffusion processes in random environments and extensions of Lévy’s and Pitman’s theorems are discussed.
Diffusion Wavelets
, 2004
"... We present a multiresolution construction for efficiently computing, compressing and applying large powers of operators that have high powers with low numerical rank. This allows the fast computation of functions of the operator, notably the associated Green’s function, in compressed form, and their ..."
Abstract

Cited by 74 (12 self)
 Add to MetaCart
We present a multiresolution construction for efficiently computing, compressing and applying large powers of operators that have high powers with low numerical rank. This allows the fast computation of functions of the operator, notably the associated Green’s function, in compressed form, and their fast application. Classes of operators satisfying these conditions include diffusionlike operators, in any dimension, on manifolds, graphs, and in nonhomogeneous media. In this case our construction can be viewed as a farreaching generalization of Fast Multipole Methods, achieved through a different point of view, and of the nonstandard wavelet representation of CalderónZygmund and pseudodifferential operators, achieved through a different multiresolution analysis adapted to the operator. We show how the dyadic powers of an operator can be used to induce a multiresolution analysis, as in classical LittlewoodPaley and wavelet theory, and we show how to construct, with fast and stable algorithms, scaling function and wavelet bases associated to this multiresolution analysis, and the corresponding downsampling operators, and use them to compress the corresponding powers of the operator. This allows to extend multiscale signal processing to general spaces (such as manifolds and graphs) in a very natural way, with corresponding fast algorithms.
qGaussian processes: Noncommutative and classical aspects
 Commun. Math. Phys
, 1997
"... Abstract. We examine, for −1 < q < 1, qGaussian processes, i.e. families of operators (noncommutative random variables) Xt = at + a ∗ t – where the at fulfill the qcommutation relations asa ∗ t − qa ∗ t as = c(s, t) · 1 for some covariance function c(·, ·) – equipped with the vacuum expec ..."
Abstract

Cited by 65 (2 self)
 Add to MetaCart
Abstract. We examine, for −1 < q < 1, qGaussian processes, i.e. families of operators (noncommutative random variables) Xt = at + a ∗ t – where the at fulfill the qcommutation relations asa ∗ t − qa ∗ t as = c(s, t) · 1 for some covariance function c(·, ·) – equipped with the vacuum expectation state. We show that there is a qanalogue of the Gaussian functor of second quantization behind these processes and that this structure can be used to translate questions on qGaussian processes into corresponding (and much simpler) questions in the underlying Hilbert space. In particular, we use this idea to show that a large class of qGaussian processes possess a noncommutative kind of Markov property, which ensures that there exist classical versions of these noncommutative processes. This answers an old question of Frisch and Bourret [FB].
Exponential Stability for Nonlinear Filtering
, 1996
"... We study the a.s. exponential stability of the optimal filter w.r.t. its initial conditions. A bound is provided on the exponential rate (equivalently, on the memory length of the filter) for a general setting both in discrete and in continuous time, in terms of Birkhoff's contraction coefficie ..."
Abstract

Cited by 54 (2 self)
 Add to MetaCart
We study the a.s. exponential stability of the optimal filter w.r.t. its initial conditions. A bound is provided on the exponential rate (equivalently, on the memory length of the filter) for a general setting both in discrete and in continuous time, in terms of Birkhoff's contraction coefficient. Criteria for exponential stability and explicit bounds on the rate are given in the specific cases of a diffusion process on a compact manifold, and discrete time Markov chains on both continuous and discretecountable state spaces. R'esum'e Nous 'etudions la stabilit'e du filtre optimal par raport `a ses conditions initiales. Le taux de d'ecroissance exponentielle est calcul'e dans un cadre g'en'eral, pour temps discret et temps continu, en terme du coefficient de contraction de Birkhoff. Des crit`eres de stabilit'e exponentielle et des bornes explicites sur le taux sont calcul'ees pour les cas particuliers d'une diffusion sur une vari'ete compacte, ainsi que pour des chaines de Markov sur ...
Sobolev inequalities in disguise
 Indiana Univ. Math. J
, 1995
"... We present a simple and direct proof of the equivalence of various functional inequalities such as Sobolev or Nash inequalities. This proof applies in the context of Riemannian or subelliptic geometry, as well as on graphs and to certain nonlocal Sobolev norms. It only uses elementary cutoff argu ..."
Abstract

Cited by 39 (4 self)
 Add to MetaCart
We present a simple and direct proof of the equivalence of various functional inequalities such as Sobolev or Nash inequalities. This proof applies in the context of Riemannian or subelliptic geometry, as well as on graphs and to certain nonlocal Sobolev norms. It only uses elementary cutoff arguments. This method has interesting consequences concerning Trudinger type inequalities. 1. Introduction. On R n, the classical Sobolev inequality [27] indicates that, for every smooth enough function f with compact support,
Heat kernel estimates for Dirichlet fractional Laplacian
 J. European Math. Soc
"... In this paper, we consider the fractional Laplacian −(−∆) α/2 on an open subset in R d with zero exterior condition. We establish sharp twosided estimates for the heat kernel of such Dirichlet fractional Laplacian in C 1,1 open sets. This heat kernel is also the transition density of a rotationally ..."
Abstract

Cited by 36 (19 self)
 Add to MetaCart
In this paper, we consider the fractional Laplacian −(−∆) α/2 on an open subset in R d with zero exterior condition. We establish sharp twosided estimates for the heat kernel of such Dirichlet fractional Laplacian in C 1,1 open sets. This heat kernel is also the transition density of a rotationally symmetric stable process killed upon leaving a C 1,1 open set. Our results are the first sharp twosided estimates for the Dirichlet heat kernel of a nonlocal operator on open sets.
Localization of Classical Waves I: Acoustic Waves.
 Commun. Math. Phys
, 1996
"... We consider classical acoustic waves in a medium described by a position dependent mass density %(x). We assume that %(x) is a random perturbation of a periodic function % 0 (x) and that the periodic acoustic operator A 0 = \Gammar \Delta 1 %0 (x) r has a gap in the spectrum. We prove the existe ..."
Abstract

Cited by 35 (0 self)
 Add to MetaCart
We consider classical acoustic waves in a medium described by a position dependent mass density %(x). We assume that %(x) is a random perturbation of a periodic function % 0 (x) and that the periodic acoustic operator A 0 = \Gammar \Delta 1 %0 (x) r has a gap in the spectrum. We prove the existence of localized waves, i.e., finite energy solutions of the acoustic equations with the property that almost all of the wave's energy remains in a fixed bounded region of space at all times, with probability one. Localization of acoustic waves is a consequence of Anderson localization for the selfadjoint operators A = \Gammar \Delta 1 %(x) r on L 2 (R d ). We prove that, in the random medium described by %(x), the random operator A exhibits Anderson localization inside the gap in the spectrum of A 0 . This is shown even in situations when the gap is totally filled by the spectrum of the random operator; we can prescribe random environments that ensure localization in almost the wh...
Interpolated inequalities between exponential and Gaussian, Orlicz hypercontractivity and isoperimetry
, 2004
"... ..."
SubGaussian estimates of heat kernels on infinite graphs
 Duke Math. J
, 2000
"... We prove that a two sided subGaussian estimate of the heat kernel on an infinite weighted graph takes place if and only if the volume growth of the graph is uniformly polynomial and the Green kernel admits a uniform polynomial decay. ..."
Abstract

Cited by 30 (10 self)
 Add to MetaCart
We prove that a two sided subGaussian estimate of the heat kernel on an infinite weighted graph takes place if and only if the volume growth of the graph is uniformly polynomial and the Green kernel admits a uniform polynomial decay.
The spectral gap for a Glaubertype dynamics in a continuous gas
, 2000
"... . We consider a continuous gas in a d dimensional rectangular box with a nite range, positive pair potential, and we construct a Markov process in which particles appear and disappear with appropriate rates so that the process is reversible w.r.t. the Gibbs measure. If the thermodynamical paramenter ..."
Abstract

Cited by 26 (4 self)
 Add to MetaCart
. We consider a continuous gas in a d dimensional rectangular box with a nite range, positive pair potential, and we construct a Markov process in which particles appear and disappear with appropriate rates so that the process is reversible w.r.t. the Gibbs measure. If the thermodynamical paramenters are such that the Gibbs specication satises a certain mixing condition, then the spectral gap of the generator is strictly positive uniformly in the volume and boundary condition. The required mixing condition holds if, for instance, there is a convergent cluster expansion. Key Words: Spectral gap, Gibbs measures, continuous systems, birth and death processes Mathematics Subject Classication: 82C21, 60K35, 82C22, 60J75 This work was partially supported by GNAFA and by \Conanziamento Murst" v1.4 1. Introduction We consider a continuous gas in a bounded volume R d , distributed according the Gibbs probability measure associated to a nite range pair potential '. The Gibbs measu...