Nonnegatively curved 5-manifolds with non-abelian symmetry

We classify compact simply-connected 5-dimensional manifolds which admit a metric of nonnegative curvature with a connected non-abelian group acting by isometries. We show that they are diffeomorphic to either S^5, S^3 x S^2, the nontrivial S^3-bundle over S^2 or the Wu-manifold, SU(3)/SO(3). This result is a consequence of our equivariant classification of all SO(3) and SU(2)-actions on compact simply-connected 5-manifolds. In the case of positive curvature we obtain a partial classification.Comment: 22 page

Principal Components Analysis for Semimartingales and Stochastic PDE

In this work, we develop a novel principal component analysis (PCA) for semimartingales by introducing a suitable spectral analysis for the quadratic variation operator. Motivated by high-dimensional complex systems typically found in interest rate markets, we investigate correlation in high-dimensional high-frequency data generated by continuous semimartingales. In contrast to the traditional PCA methodology, the directions of large variations are not deterministic, but rather they are bounded variation adapted processes which maximize quadratic variation almost surely. This allows us to reduce dimensionality from high-dimensional semimartingale systems in terms of quadratic covariation rather than the usual covariance concept. The proposed methodology allows us to investigate space-time data driven by multi-dimensional latent semimartingale state processes. The theory is applied to discretely-observed stochastic PDEs which admit finite-dimensional realizations. In particular, we provide consistent estimators for finite-dimensional invariant manifolds for Heath-Jarrow-Morton models. More importantly, components of the invariant manifold associated to volatility and drift dynamics are consistently estimated and identified. The proposed methodology is illustrated with both simulated and real data sets.Comment: 54 page

A Maximal Inequality of the 2D Young Integral based on Bivariations

In this note, we establish a novel maximal inequality of the 2D Young integral $\int_a^b\int_c^d FdG$ in terms of the $(p,q)$-bivariation norms of the section functions $x\mapsto F(x,y)$ and $y\mapsto F(x,y)$ where $G:[a,b]\times [c,d]\rightarrow \mathbb{R}$ is a controlled path satisfying finite $(p,q)$-variation conditions. The proof is reminiscent from the Young's original ideas \cite{young1} in defining two-parameter integrals in terms of $(p,q)$-finite bivariations. Our result complements the standard maximal inequality established by Towghi \cite{towghi1} in terms of joint variations. We apply the maximal inequality to get novel strong approximations for 2D Young integrals w.r.t the Brownian local time in terms of number of upcrossings of a given approximating random walk.Comment: Some typos are correcte

Uniform approximation of the heat kernel on a manifold

We approximate the heat kernel $h(x,y,t)$ on a compact connected Riemannian manifold $M$ without boundary uniformly in $(x,y,t)\in M\times M\times [a,b]$, $a>0$, by $n$-fold integrals over $M^n$ of the densities of Brownian bridges. Moreover, we provide an estimate for the uniform convergence rate. As an immediate corollary, we get a uniform approximation of solutions of the Cauchy problem for the heat equation on $M$.Comment: Minor correction

Distance Closures on Complex Networks

To expand the toolbox available to network science, we study the isomorphism between distance and Fuzzy (proximity or strength) graphs. Distinct transitive closures in Fuzzy graphs lead to closures of their isomorphic distance graphs with widely different structural properties. For instance, the All Pairs Shortest Paths (APSP) problem, based on the Dijkstra algorithm, is equivalent to a metric closure, which is only one of the possible ways to calculate shortest paths. Understanding and mapping this isomorphism is necessary to analyse models of complex networks based on weighted graphs. Any conclusions derived from such models should take into account the distortions imposed on graph topology when converting proximity/strength into distance graphs, to subsequently compute path length and shortest path measures. We characterise the isomorphism using the max-min and Dombi disjunction/conjunction pairs. This allows us to: (1) study alternative distance closures, such as those based on diffusion, metric, and ultra-metric distances; (2) identify the operators closest to the metric closure of distance graphs (the APSP), but which are logically consistent; and (3) propose a simple method to compute alternative distance closures using existing algorithms for the APSP. In particular, we show that a specific diffusion distance is promising for community detection in complex networks, and is based on desirable axioms for logical inference or approximate reasoning on networks; it also provides a simple algebraic means to compute diffusion processes on networks. Based on these results, we argue that choosing different distance closures can lead to different conclusions about indirect associations on network data, as well as the structure of complex networks, and are thus important to consider

A Note on the sharp LpL^p-Covergence rate of Upcrossings to the Brownian local time

In this note, we prove a sharp $L^p$-rate of convergence of the number of upcrossings to the local time of the Brownian motion. In particular, it provides novel $p$-variation estimates ($2 < p < \infty$) for the number of upcrossings of the Brownian motion. Our result complements the fundamental work of Koshnevisan \cite{kho} who obtains an almost sure exact rate of convergence in the sup norm.Comment: Some typos are correcte

Homogenization of generalized second-order elliptic difference operators

Fix a function $W(x_1,\ldots,x_d) = \sum_{k=1}^d W_k(x_k)$ where each $W_k: \mathbb{R} \to \mathbb{R}$ is a strictly increasing right continuous function with left limits. For a diagonal matrix function $A$, let $\nabla A \nabla_W = \sum_{k=1}^d \partial_{x_k}(a_k\partial_{W_k})$ be a generalized second-order differential operator. We are interested in studying the homogenization of generalized second-order difference operators, that is, we are interested in the convergence of the solution of the equation $$\lambda u_N - \nabla^N A^N \nabla_W^N u_N = f^N$$ to the solution of the equation $$\lambda u - \nabla A \nabla_W u = f,$$ where the superscript $N$ stands for some sort of discretization. In the continuous case we study the problem in the context of $W$-Sobolev spaces, whereas in the discrete case the theory is developed here. The main result is a homogenization result. Under minor assumptions regarding weak convergence and ellipticity of these matrices $A^N$, we show that every such sequence admits a homogenization. We provide two examples of matrix functions verifying these assumptions: The first one consists to fix a matrix function $A$ with some minor regularity, and take $A^N$ to be a convenient discretization. The second one consists on the case where $A^N$ represents a random environment associated to an ergodic group, which we then show that the homogenized matrix $A$ does not depend on the realization $\omega$ of the environment. Finally, we apply this result in probability theory. More precisely, we prove a hydrodynamic limit result for some gradient processes.Comment: arXiv admin note: text overlap with arXiv:0911.4177; text overlap with arXiv:0806.3211 by other author

Asymptotic adjustments of Pearson residuals in exponential family nonlinear models

In this work we define a set of corrected Pearson residuals for continuous exponential family nonlinear models that have the same distribution as the true Pearson residuals up to order $\mathcal{O}(n^{-1})$, where $n$ is the sample size. Furthermore, we also introduce a new modification of the Pearson residuals, which we call PCA Pearson residuals, that are approximately uncorrelated. These PCA residuals are new even for the generalized linear models. The numerical results show that the PCA residuals are approximately normally distributed, thus improving previous results by Simas and Cordeiro (2009). These numerical results also show that the corrected Pearson residuals approximately follow the same distribution as the true residuals, which is a considerable improvement with respect to the Pearson residuals and also extends the previous work by Cordeiro and Simas (2009)

A weak version of path-dependent functional It\^o calculus

We introduce a variational theory for processes adapted to the multi-dimensional Brownian motion filtration that provides a differential structure allowing to describe infinitesimal evolution of Wiener functionals at very small scales. The main novel idea is to compute the "sensitivities" of processes, namely derivatives of martingale components and a weak notion of infinitesimal generators, via a finite-dimensional approximation procedure based on controlled inter-arrival times and approximating martingales. The theory comes with convergence results that allow to interpret a large class of Wiener functionals beyond semimartingales as limiting objects of differential forms which can be computed path wisely over finite-dimensional spaces. The theory reveals that solutions of BSDEs are minimizers of energy functionals w.r.t Brownian motion driving noise.Comment: Version to appear in Annals of Probabilit

Weak differentiability of Wiener functionals and occupation times

In this paper, we establish a universal variational characterization of the non-martingale components associated with weakly differentiable Wiener functionals in the sense of Le\~ao, Ohashi and Simas. It is shown that any Dirichlet process (in particular semimartingales) is a differential form w.r.t Brownian motion driving noise. The drift components are characterized in terms of limits of integral functionals of horizontal-type perturbations and first-order variation driven by a two-parameter occupation time process. Applications to a class of path-dependent rough transformations of Brownian paths under finite $p$-variation ($p\ge 2$) regularity is also discussed. Under stronger regularity conditions in the sense of finite $(p,q)$-variation, the connection between weak differentiability and two-parameter local time integrals in the sense of Young is established.Comment: Revised version. To appear in Bulletin des Sciences Math\'ematiques. arXiv admin note: text overlap with arXiv:1707.04972, arXiv:1408.142