Poisson process Fock space representation, chaos expansion and covariance inequalities

We consider a Poisson process $\eta$ on an arbitrary measurable space with an arbitrary sigma-finite intensity measure. We establish an explicit Fock space representation of square integrable functions of $\eta$. As a consequence we identify explicitly, in terms of iterated difference operators, the integrands in the Wiener-Ito chaos expansion. We apply these results to extend well-known variance inequalities for homogeneous Poisson processes on the line to the general Poisson case. The Poincare inequality is a special case. Further applications are covariance identities for Poisson processes on (strictly) ordered spaces and Harris-FKG-inequalities for monotone functions of $\eta$.Comment: 25 page

On the capacity functional of the infinite cluster of a Boolean model

Consider a Boolean model in $\R^d$ with balls of random, bounded radii with distribution $F_0$, centered at the points of a Poisson process of intensity $t>0$. The capacity functional of the infinite cluster $Z_\infty$ is given by \theta_L(t) = \BP\{ Z_\infty\cap L\ne\emptyset\}, defined for each compact $L\subset\R^d$. We prove for any fixed $L$ and $F_0$ that $\theta_L(t)$ is infinitely differentiable in $t$, except at the critical value $t_c$; we give a Margulis-Russo type formula for the derivatives. More generally, allowing the distribution $F_0$ to vary and viewing $\theta_L$ as a function of the measure $F:=tF_0$, we show that it is infinitely differentiable in all directions with respect to the measure $F$ in the supercritical region of the cone of positive measures on a bounded interval. We also prove that $\theta_L(\cdot)$ grows at least linearly at the critical value. This implies that the critical exponent known as $\beta$ is at most 1 (if it exists) for this model. Along the way, we extend a result of H.~Tanemura (1993), on regularity of the supercritical Boolean model in $d \geq 3$ with fixed-radius balls, to the case with bounded random radii.Comment: 23 pages, 24 references, 1 figure in Annals of Applied Probability, 201

Moments and central limit theorems for some multivariate Poisson functionals

This paper deals with Poisson processes on an arbitrary measurable space. Using a direct approach, we derive formulae for moments and cumulants of a vector of multiple Wiener-It\^o integrals with respect to the compensated Poisson process. Second, a multivariate central limit theorem is shown for a vector whose components admit a finite chaos expansion of the type of a Poisson U-statistic. The approach is based on recent results of Peccati et al.\ combining Malliavin calculus and Stein's method, and also yields Berry-Esseen type bounds. As applications, moment formulae and central limit theorems for general geometric functionals of intersection processes associated with a stationary Poisson process of $k$-dimensional flats in $\R^d$ are discussed

Martingale representation for Poisson processes with applications to minimal variance hedging

AbstractWe consider a Poisson process η on a measurable space equipped with a strict partial ordering, assumed to be total almost everywhere with respect to the intensity measure λ of η. We give a Clark–Ocone type formula providing an explicit representation of square integrable martingales (defined with respect to the natural filtration associated with η), which was previously known only in the special case, when λ is the product of Lebesgue measure on R+ and a σ-finite measure on another space X. Our proof is new and based on only a few basic properties of Poisson processes and stochastic integrals. We also consider the more general case of an independent random measure in the sense of Itô of pure jump type and show that the Clark–Ocone type representation leads to an explicit version of the Kunita–Watanabe decomposition of square integrable martingales. We also find the explicit minimal variance hedge in a quite general financial market driven by an independent random measure

Bloch electron in a magnetic field and the Ising model

The spectral determinant det(H-\epsilon I) of the Azbel-Hofstadter Hamiltonian H is related to Onsager's partition function of the 2D Ising model for any value of magnetic flux \Phi=2\pi P/Q through an elementary cell, where P and Q are coprime integers. The band edges of H correspond to the critical temperature of the Ising model; the spectral determinant at these (and other points defined in a certain similar way) is independent of P. A connection of the mean of Lyapunov exponents to the asymptotic (large Q) bandwidth is indicated.Comment: 4 pages, 1 figure, REVTE

Double butterfly spectrum for two interacting particles in the Harper model

We study the effect of interparticle interaction $U$ on the spectrum of the Harper model and show that it leads to a pure-point component arising from the multifractal spectrum of non interacting problem. Our numerical studies allow to understand the global structure of the spectrum. Analytical approach developed permits to understand the origin of localized states in the limit of strong interaction $U$ and fine spectral structure for small $U$.Comment: revtex, 4 pages, 5 figure