161 research outputs found
Non-equilibrium stochastic dynamics in continuum: The free case
We study the problem of identification of a proper state-space for the
stochastic dynamics of free particles in continuum, with their possible birth
and death. In this dynamics, the motion of each separate particle is described
by a fixed Markov process on a Riemannian manifold . The main problem
arising here is a possible collapse of the system, in the sense that, though
the initial configuration of particles is locally finite, there could exist a
compact set in such that, with probability one, infinitely many particles
will arrive at this set at some time . We assume that has infinite
volume and, for each , we consider the set of all
infinite configurations in for which the number of particles in a compact
set is bounded by a constant times the -th power of the volume of the
set. We find quite general conditions on the process which guarantee that
the corresponding infinite particle process can start at each configuration
from , will never leave , and has cadlag (or,
even, continuous) sample paths in the vague topology. We consider the following
examples of applications of our results: Brownian motion on the configuration
space, free Glauber dynamics on the configuration space (or a birth-and-death
process in ), and free Kawasaki dynamics on the configuration space. We also
show that if , then for a wide class of starting distributions,
the (non-equilibrium) free Glauber dynamics is a scaling limit of
(non-equilibrium) free Kawasaki dynamics
Stochastic porous media equations and self-organized criticality: convergence to the critical state in all dimensions
If is the solution to the stochastic porous media equation in
, modelling the self-organized
criticaity and is the critical state, then it is proved that
\int^\9_0m(\cal O\setminus\cal O^t_0)dt<\9, and
\lim_{t\to\9}\int_{\cal O}|X(t)-X_c|d\xi=\ell<\9,\ \mathbb{P}{-a.s.} Here,
is the Lebesgue measure and is the critical region
and a.e.
. If the stochastic Gaussian perturbation has only finitely many
modes (but is still function-valued), \lim_{t\to\9}\int_K|X(t)-X_c|d\xi=0
exponentially fast for all compact with probability one, if
the noise is sufficiently strong. We also recover that in the deterministic
case
Invariant, super and quasi-martingale functions of a Markov process
We identify the linear space spanned by the real-valued excessive functions
of a Markov process with the set of those functions which are quasimartingales
when we compose them with the process. Applications to semi-Dirichlet forms are
given. We provide a unifying result which clarifies the relations between
harmonic, co-harmonic, invariant, co-invariant, martingale and co-martingale
functions, showing that in the conservative case they are all the same.
Finally, using the co-excessive functions, we present a two-step approach to
the existence of invariant probability measures
Dimension-independent Harnack inequalities for subordinated semigroups
Dimension-independent Harnack inequalities are derived for a class of
subordinate semigroups. In particular, for a diffusion satisfying the
Bakry-Emery curvature condition, the subordinate semigroup with power
satisfies a dimension-free Harnack inequality provided ,
and it satisfies the log-Harnack inequality for all Some
infinite-dimensional examples are also presented
Strong uniqueness for SDEs in Hilbert spaces with nonregular drift
We prove pathwise uniqueness for a class of stochastic differential equations (SDE) on a Hilbert space with cylindrical Wiener noise, whose non-linear drift parts are sums of the subdifferential of a convex function and a bounded part. This generalizes a classical result by one of the authors to infinite dimensions. Our results also generalize and improve recent results by N. Champagnat and P. E. Jabin, proved in finite dimensions, in the case where their diffusion matrix is constant and non-degenerate and their weakly differentiable drift is the (weak) gradient of a convex function. We also prove weak existence, hence obtain unique strong solutions by the Yamada-Watanabe theorem. The proofs are based in part on a recent maximal regularity result in infinite dimensions, the theory of quasi-regular Dirichlet forms and an infinite dimensional version of a Zvonkin-type transformation. As a main application we show pathwise uniqueness for stochastic reaction diffusion equations perturbed by a Borel measurable bounded drift. Hence such SDE have a unique strong solution
Strong uniqueness for stochastic evolution equations in Hilbert spaces perturbed by a bounded measurable drift
We prove pathwise (hence strong) uniqueness of solutions to stochastic
evolution equations in Hilbert spaces with merely measurable bounded drift and
cylindrical Wiener noise, thus generalizing Veretennikov's fundamental result
on to infinite dimensions. Because Sobolev regularity results
implying continuity or smoothness of functions do not hold on
infinite-dimensional spaces, we employ methods and results developed in the
study of Malliavin-Sobolev spaces in infinite dimensions. The price we pay is
that we can prove uniqueness for a large class, but not for every initial
distribution. Such restriction, however, is common in infinite dimensions.Comment: Published in at http://dx.doi.org/10.1214/12-AOP763 the Annals of
Probability (http://www.imstat.org/aop/) by the Institute of Mathematical
Statistics (http://www.imstat.org
Fokker-Planck type equations with Sobolev diffusion coefficients and BV drift coefficients
In this paper we give an affirmative answer to an open question mentioned in
[Le Bris and Lions, Comm. Partial Differential Equations 33 (2008),
1272--1317], that is, we prove the well-posedness of the Fokker-Planck type
equations with Sobolev diffusion coefficients and BV drift coefficients.Comment: 11 pages. The proof has been modifie
Upper estimate of martingale dimension for self-similar fractals
We study upper estimates of the martingale dimension of diffusion
processes associated with strong local Dirichlet forms. By applying a general
strategy to self-similar Dirichlet forms on self-similar fractals, we prove
that for natural diffusions on post-critically finite self-similar sets
and that is dominated by the spectral dimension for the Brownian motion
on Sierpinski carpets.Comment: 49 pages, 7 figures; minor revision with adding a referenc
Large Deviations for Stochastic Evolution Equations with Small Multiplicative Noise
The Freidlin-Wentzell large deviation principle is established for the
distributions of stochastic evolution equations with general monotone drift and
small multiplicative noise. As examples, the main results are applied to derive
the large deviation principle for different types of SPDE such as stochastic
reaction-diffusion equations, stochastic porous media equations and fast
diffusion equations, and the stochastic p-Laplace equation in Hilbert space.
The weak convergence approach is employed in the proof to establish the Laplace
principle, which is equivalent to the large deviation principle in our
framework.Comment: 31 pages, published in Appl. Math. Opti
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