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The aim of this book is to introduce stochastic analysis, keeping in mind the viewpoint of path space. The area covered by stochastic analysis is very wide, and we focus on the topics related to Brownian motions, especially the Itô calculus and the Malliavin calculus. As is widely known, a stochastic process is a mathematical model to describe a randomly developing phenomenon. Many continuous stochastic processes are driven by Brownian motions, while basic discontinuous ones are related to Poisson point processes.
The Itô calculus, named after K. Itô who introduced the calculus in 1942, is typified by stochastic integrals, Itô's formula, and stochastic differential equations. While Itô investigated those topics in terms of Brownian motions, they are now studied in the extended framework of martingales. One of the important applications of the calculus is a construction of diffusion processes through stochastic differential equations. The Malliavin calculus was introduced by P. Malliavin in the latter half of the 1970s and developed by many researchers. As he originally called it “a stochastic calculus of variation”, it is exactly a differential calculation on a path space. It opened a way to take a purely probabilistic approach to transition densities of diffusion processes, which are fundamental objects in theory and are applied to many fields in mathematics and physics.
We made the book self-contained as much as possible. Several preliminary facts in analysis and probability theory are gathered in the Appendix. Moreover, a lot of examples are presented to help the reader to easily understand the assertions. This book is organized as follows. Chapter 1 starts with fundamental facts on stochastic processes. In particular, Brownian motions and martingales are introduced and basic properties associated with them are given. In the last three sections, investigations of path space type are made; the Cameron–Martin theorem, Schilder's theorem and an analogy with path integrals are presented.
Chapter 2 introduces stochastic integrals and Itô's formula, an associated chain rule. Although Itô originally discussed them with respect to Brownian motions, we formulate them with respect to martingales in the recent manner due to J. L. Doob, H. Kunita and S. Watanabe. Moreover, several facts on continuous martingales are discussed: for example, representations of them by time changes and those via stochastic integrals with respect to Brownian motions.
Let Ω be an open connected cone in ℝn with vertex at the origin. Assume that the Operator
is subcritical in Ω, where δΩ is the distance function to the boundary of Ω and μ ⩽ 1/4. We show that under some smoothness assumption on Ω the improved Hardy-type inequality
holds true, and the Hardy-weight λ(μ)|x|–2 is optimal in a certain definite sense. The constant λ(μ) > 0 is given explicitly.
The existence of a non-trivial bounded solution to the Dirichlet problem is established for a class of nonlinear elliptic equations involving a fully anisotropic partial differential operator. The relevant operator depends on the gradient of the unknown through the differential of a general convex function. This function need not be radial, nor have a polynomial-type growth. Besides providing genuinely new conclusions, our result recovers and embraces, in a unified framework, several contributions in the existing literature, and augments them in various special instances.
The gradient flow structure of the model introduced in Cermelli & Gurtin (1999, The motion of screw dislocations in crystalline materials undergoing antiplane shear: glide, cross-slip, fine cross-slip. Arch. Rational Mech. Anal.148(1), 3–52) for the dynamics of screw dislocations is investigated by means of a generalised minimising-movements scheme approach. The assumption of a finite number of available glide directions, together with the “maximal dissipation criterion” that governs the equations of motion, results into solving a differential inclusion rather than an ODE. This paper addresses how the model in Cermelli & Gurtin is connected to a time-discrete evolution scheme which explicitly confines dislocations to move at each time step along a single glide direction. It is proved that the time-continuous model in Cermelli & Gurtin is the limit of these time-discrete minimising-movement schemes when the time step converges to 0. The study presented here is a first step towards a generalisation of standard gradient flow theory that allows for dissipations which cannot be described by a metric.
The purpose of this paper is to provide a large class of initial data which generates global smooth solution of the 3D inhomogeneous incompressible Navier–Stokes system in the whole space $\mathbb{R}^{3}$. This class of data is based on functions which vary slowly in one direction. The idea is that 2D inhomogeneous Navier–Stokes system with large data is globally well-posed and we construct the 3D approximate solutions by the 2D solutions with a parameter. One of the key point of this study is the investigation of the time decay properties of the solutions to the 2D inhomogeneous Navier–Stokes system. We obtained the same optimal decay estimates as the solutions of 2D homogeneous Navier–Stokes system.
We study the Hausdorff measure and dimension of the set of intrinsically simultaneously $\unicode[STIX]{x1D713}$-approximable points on a curve, surface, etc, given as a graph of integer polynomials. We obtain complete answers to these questions for algebraically “nice” manifolds. This generalizes earlier work done in the case of curves.
Let be a single vertex k-graph and let be the von Neumann algebra induced from the Gelfand–Naimark–Segal (GNS) representation of a distinguished state ω of its k-graph C*-algebra . In this paper we prove the factoriality of , and furthermore determine its type when either has the little pullback property, or the intrinsic group of has rank 0. The key step to achieving this is to show that the fixed-point algebra of the modular action corresponding to ω has a unique tracial state.
The central theme of complex systems research is to understand the emergent macroscopic properties of a system from the interplay of its microscopic constituents. The emergence of macroscopic properties is often intimately related to the structure of the microscopic interactions. Here, we present an analytical approach for deriving necessary conditions that an interaction network has to obey in order to support a given type of macroscopic behaviour. The approach is based on a graphical notation, which allows rewriting Jacobi's signature criterion in an interpretable form and which can be applied to many systems of symmetrically coupled units. The derived conditions pertain to structures on all scales, ranging from individual nodes to the interaction network as a whole. For the purpose of illustration, we consider the example of synchronization, specifically the (heterogeneous) Kuramoto model and an adaptive variant. The results complete and extend the previous analysis of Do et al. (2012Phys. Rev. Lett.108, 194102).
This special issue of the European Journal of Applied Mathematics features research articles on networks, one of the most exciting areas of applied mathematics.
where H: [0,+∞) → ℝ and f : [0, 1] × ℝ → ℝ are continuous and λ > 0 is a parameter. We show that if H satisfies a boundedness condition on a specified compact set, then this, together with an assumption that H is either affine or superlinear at +∞, implies existence of at least one positive solution to the problem, even in the case where we impose no growth conditions on f. Finally, since it can hold that f(t, y) < 0 for all (t, y) ∈ [0, 1]×ℝ, the semipositone problem is included as a special case of the existence result.
We study two different heat-type equations. First, global well-posedness in the energy space of some high-order semilinear heat-type equation with exponential nonlinearity is obtained for even space dimensions. Second, a finite-time blow-up result for the critical monomial focusing heat equation with the p-Laplacian is proved.