650 research outputs found
A NOTE ON COMONOTONICITY AND POSITIVITY OF THE CONTROL COMPONENTS OF DECOUPLED QUADRATIC FBSDE
In this small note we are concerned with the solution of Forward-Backward
Stochastic Differential Equations (FBSDE) with drivers that grow quadratically
in the control component (quadratic growth FBSDE or qgFBSDE). The main theorem
is a comparison result that allows comparing componentwise the signs of the
control processes of two different qgFBSDE. As a byproduct one obtains
conditions that allow establishing the positivity of the control process.Comment: accepted for publicatio
Diffusion Approximation of Stochastic Master Equations with Jumps
In the presence of quantum measurements with direct photon detection the
evolution of open quantum systems is usually described by stochastic master
equations with jumps. Heuristically, from these equations one can obtain
diffusion models as approximation. A necessary condition for a general
diffusion approximation for jump master equations is presented. This
approximation is rigorously proved by using techniques for Markov process which
are based upon the convergence of Markov generators and martingale problems.
This result is illustrated by rigorously obtaining the diffusion approximation
for homodyne and heterodyne detection.Comment: 15 page
First exit times of solutions of stochastic differential equations driven by multiplicative Levy noise with heavy tails
In this paper we study first exit times from a bounded domain of a gradient
dynamical system perturbed by a small multiplicative
L\'evy noise with heavy tails. A special attention is paid to the way the
multiplicative noise is introduced. In particular we determine the asymptotics
of the first exit time of solutions of It\^o, Stratonovich and Marcus canonical
SDEs.Comment: 19 pages, 2 figure
Symmetry reduction of Brownian motion and Quantum Calogero-Moser systems
Let be a Riemannian -manifold. This paper is concerned with the
symmetry reduction of Brownian motion in and ramifications thereof in a
Hamiltonian context. Specializing to the case of polar actions we discuss
various versions of the stochastic Hamilton-Jacobi equation associated to the
symmetry reduction of Brownian motion and observe some similarities to the
Schr\"odinger equation of the quantum free particle reduction as described by
Feher and Pusztai. As an application we use this reduction scheme to derive
examples of quantum Calogero-Moser systems from a stochastic setting.Comment: V2 contains some improvements thanks to referees' suggestions; to
appear in Stochastics and Dynamic
Holomorphic transforms with application to affine processes
In a rather general setting of It\^o-L\'evy processes we study a class of
transforms (Fourier for example) of the state variable of a process which are
holomorphic in some disc around time zero in the complex plane. We show that
such transforms are related to a system of analytic vectors for the generator
of the process, and we state conditions which allow for holomorphic extension
of these transforms into a strip which contains the positive real axis. Based
on these extensions we develop a functional series expansion of these
transforms in terms of the constituents of the generator. As application, we
show that for multidimensional affine It\^o-L\'evy processes with state
dependent jump part the Fourier transform is holomorphic in a time strip under
some stationarity conditions, and give log-affine series representations for
the transform.Comment: 30 page
L\'evy-Schr\"odinger wave packets
We analyze the time--dependent solutions of the pseudo--differential
L\'evy--Schr\"odinger wave equation in the free case, and we compare them with
the associated L\'evy processes. We list the principal laws used to describe
the time evolutions of both the L\'evy process densities, and the
L\'evy--Schr\"odinger wave packets. To have self--adjoint generators and
unitary evolutions we will consider only absolutely continuous, infinitely
divisible L\'evy noises with laws symmetric under change of sign of the
independent variable. We then show several examples of the characteristic
behavior of the L\'evy--Schr\"odinger wave packets, and in particular of the
bi-modality arising in their evolutions: a feature at variance with the typical
diffusive uni--modality of both the L\'evy process densities, and the usual
Schr\"odinger wave functions.Comment: 41 pages, 13 figures; paper substantially shortened, while keeping
intact examples and results; changed format from "report" to "article";
eliminated Appendices B, C, F (old names); shifted Chapters 4 and 5 (old
numbers) from text to Appendices C, D (new names); introduced connection
between Relativistic q.m. laws and Generalized Hyperbolic law
Anomalous jumping in a double-well potential
Noise induced jumping between meta-stable states in a potential depends on
the structure of the noise. For an -stable noise, jumping triggered by
single extreme events contributes to the transition probability. This is also
called Levy flights and might be of importance in triggering sudden changes in
geophysical flow and perhaps even climatic changes. The steady state statistics
is also influenced by the noise structure leading to a non-Gibbs distribution
for an -stable noise.Comment: 11 pages, 7 figure
Bandlimited approximations to the truncated Gaussian and applications
In this paper we extend the theory of optimal approximations of functions in the -metric by entire functions of prescribed
exponential type (bandlimited functions). We solve this problem for the
truncated and the odd Gaussians using explicit integral representations and
fine properties of truncated theta functions obtained via the maximum principle
for the heat operator. As applications, we recover most of the previously known
examples in the literature and further extend the class of truncated and odd
functions for which this extremal problem can be solved, by integration on the
free parameter and the use of tempered distribution arguments. This is the
counterpart of the work \cite{CLV}, where the case of even functions is
treated.Comment: to appear in Const. Appro
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