Lower estimates of transition densities and bounds on exponential ergodicity for stochastic PDE's

A formula for the transition density of a Markov process defined by an infinite-dimensional stochastic equation is given in terms of the Ornstein--Uhlenbeck bridge and a useful lower estimate on the density is provided. As a consequence, uniform exponential ergodicity and $V$-ergodicity are proved for a large class of equations. We also provide computable bounds on the convergence rates and the spectral gap for the Markov semigroups defined by the equations. The bounds turn out to be uniform with respect to a large family of nonlinear drift coefficients. Examples of finite-dimensional stochastic equations and semilinear parabolic equations are given.Comment: Published at http://dx.doi.org/10.1214/009117905000000800 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

An Hilbert space approach for a class of arbitrage free implied volatilities models

We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to be arbitrage free. The arbitrage free conditions give a system of stochastic PDEs for the evolution of the implied volatility surface ${\hat\sigma}_t(T,K)$. We will focus on the family obtained fixing a strike $K$ and varying $T$. In order to give conditions to prove an existence-and-uniqueness result for the solution of the system it is here expressed in terms of the square root of the forward implied volatility and rewritten in an Hilbert space setting. The existence and the uniqueness for the (arbitrage free) evolution of the forward implied volatility, and then of the the implied volatility, among a class of models, are proved. Specific examples are also given.Comment: 21 page

An LQ problem for the heat equation on the halfline with Dirichlet boundary control and noise

We study a linear quadratic problem for a system governed by the heat equation on a halfline with Dirichlet boundary control and Dirichlet boundary noise. We show that this problem can be reformulated as a stochastic evolution equation in a certain weighted L2 space. An appropriate choice of weight allows us to prove a stronger regularity for the boundary terms appearing in the infinite dimensional state equation. The direct solution of the Riccati equation related to the associated non-stochastic problem is used to find the solution of the problem in feedback form and to write the value function of the problem.Comment: 16 pages. Many misprints have been correcte

Time irregularity of generalized Ornstein--Uhlenbeck processes

The paper is concerned with the properties of solutions to linear evolution equation perturbed by cylindrical L\'evy processes. It turns out that solutions, under rather weak requirements, do not have c\`adl\`ag modification. Some natural open questions are also stated

Lognormality of Rates and Term Structure Models

A term structure model with lognormal type volatility structure is proposed. The Heath, Jarrow and Morton (HJM) framework, coupled with the theory of stochastic evolution equations in infinite dimensions, is used to show that the resulting rates are well defined (they do not explode) and remain positive. They are bounded from below and above by lognormal processes. The model can be used to price and hedge caps, swaptions and other interest rate and currency derivatives including the Eurodollar futures contract, which requires integrability of one over zero coupon bond. This extends results obtained by Sandmann and Sondermann (1993), (1994) for Markovian lognormal short rates to (non-Markovian) lognormal forward rates.Term structure of interest rates, lognormal volatility structure, Heath, Jarrow and Morton models.

Formation and dissociation of hydrogen-related defect centers in Mg-doped GaN

Moderately and heavily Mg-doped GaN were studied by a combination of post-growth annealing processes and electron beam irradiation techniques during cathodoluminescence (CL) to elucidate the chemical origin of the recombination centers responsible for the main optical emission lines. The shallow donor at 20-30 meV below the conduction band, which is involved in the donor-acceptor-pair (DAP) emission at 3.27 eV, was attributed to a hydrogen-related center, presumably a (VN-H) complex. Due to the small dissociation energy (<2 eV) of the (VNH) complex, this emission line was strongly reduced by low-energy electron irradiation. CL investigations of the DAP at a similar energetic position in Si-doped (n-type) GaN indicated that this emission line is of different chemical origin than the 3.27 eV DAP in Mg-doped GaN. A slightly deeper DAP emission centered at 3.14 eV was observed following low-energy electron irradiation, indicating the appearance of an additional donor level with a binding energy of 100-200 meV, which was tentatively attributed to a VN-related center. The blue band (2.8-3.0 eV) in heavily Mg-doped GaN was found to consist of at least two different deep donor levels at 350±30 meV and 440±40 meV. The donor level at 350±30 meV was strongly affected by electron irradiation and attributed to a H-related defect

Exponential Mixing for a Stochastic PDE Driven by Degenerate Noise

We study stochastic partial differential equations of the reaction-diffusion type. We show that, even if the forcing is very degenerate (i.e. has not full rank), one has exponential convergence towards the invariant measure. The convergence takes place in the topology induced by a weighted variation norm and uses a kind of (uniform) Doeblin condition.Comment: 10 pages, 1 figur

Evidence of Skyrmion excitations about ν=1\nu =1 in n-Modulation Doped Single Quantum Wells by Inter-band Optical Transmission

We observe a dramatic reduction in the degree of spin-polarization of a two-dimensional electron gas in a magnetic field when the Fermi energy moves off the mid-point of the spin-gap of the lowest Landau level, $\nu=1$. This rapid decay of spin alignment to an unpolarized state occurs over small changes to both higher and lower magnetic field. The degree of electron spin polarization as a function of $\nu$ is measured through the magneto-absorption spectra which distinguish the occupancy of the two electron spin states. The data provide experimental evidence for the presence of Skyrmion excitations where exchange energy dominates Zeeman energy in the integer quantum Hall regime at $\nu=1$

Structure of the Magneto-Exciton and Optical Properties in Fractional Quantum Hall Systems

We report calculated dependence of magneto-exciton energy spectrum upon electron-hole separation $d$ in Fractional Quantum Hall systems. We calculated the dependence of photoluminescence upon $d$, and we obtained the doublet structure observed recently. The Raman scattering spectrum around resonance is calculated: a robust resonance peak at $\nu=1/3$ around gap value is reported.Comment: 13 pages, REVTEX, compressed postscript file (3 figures included