G-Expectation Weighted Sobolev Spaces, Backward SDE and Path Dependent PDE

We introduce a new notion of G-expectation-weighted Sobolev spaces, or in short, G-Sobolev spaces, and prove that a backward SDEs driven by G-Brownian motion are in fact path dependent PDEs in the corresponding Sobolev spaces under G-norms. For the linear case of G corresponding the classical Wiener probability space with Wiener measure P, we have established a 1-1 correspondence between BSDE and such new type of quasilinear PDE in the corresponding P-Sobolev space. When G is nonlinear, we also provide such 1-1 correspondence between a fully nonlinear PDE in the corresponding G-Sobolev space and BSDE driven by G-Brownian. Consequently, the existence and uniqueness of such type of fully nonlinear path-dependence PDE in G-Sobolev space have been obtained via a recent results of BSDE driven by G-Brownian motion.Comment: 22 page

On finiteness of Type IIB compactifications: Magnetized branes on elliptic Calabi-Yau threefolds

The string landscape satisfies interesting finiteness properties imposed by supersymmetry and string-theoretical consistency conditions. We study N=1 supersymmetric compactifications of Type IIB string theory on smooth elliptically fibered Calabi-Yau threefolds at large volume with magnetized D9-branes and D5-branes. We prove that supersymmetry and tadpole cancellation conditions imply that there is a finite number of such configurations. In particular, we derive an explicitly computable bound on the number of magnetic flux quanta, as well as the number of D5-branes, which is independent of the continuous moduli of the setup. The proof applies if a number of easy to check geometric conditions of the twofold base are met. We show that these geometric conditions are satisfied for the almost Fano twofold bases given by each toric variety associated to a reflexive two-dimensional polytope as well as by the generic del Pezzo surfaces dP_n with n=0,...,8. Physically, this finiteness proof shows that there exist a finite collection of four-dimensional gauge groups and chiral matter spectra in the 4D supergravity theories realized by these compactifications. As a by-product we explicitly construct all generators of the Kaehler cones of dP_n and work out their relation to representation theory.Comment: 49 pages, 1 figure, 5 tables. Minor corrections and improvements, a version to appear in JHE

Parameter estimation and model testing for Markov processes via conditional characteristic functions

Markov processes are used in a wide range of disciplines, including finance. The transition densities of these processes are often unknown. However, the conditional characteristic functions are more likely to be available, especially for L\'{e}vy-driven processes. We propose an empirical likelihood approach, for both parameter estimation and model specification testing, based on the conditional characteristic function for processes with either continuous or discontinuous sample paths. Theoretical properties of the empirical likelihood estimator for parameters and a smoothed empirical likelihood ratio test for a parametric specification of the process are provided. Simulations and empirical case studies are carried out to confirm the effectiveness of the proposed estimator and test.Comment: Published in at http://dx.doi.org/10.3150/11-BEJ400 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

Representation Theorems for Quadratic F{\cal F}-Consistent Nonlinear Expectations

In this paper we extend the notion of ``filtration-consistent nonlinear expectation" (or "${\cal F}$-consistent nonlinear expectation") to the case when it is allowed to be dominated by a $g$-expectation that may have a quadratic growth. We show that for such a nonlinear expectation many fundamental properties of a martingale can still make sense, including the Doob-Meyer type decomposition theorem and the optional sampling theorem. More importantly, we show that any quadratic ${\cal F}$-consistent nonlinear expectation with a certain domination property must be a quadratic $g$-expectation. The main contribution of this paper is the finding of the domination condition to replace the one used in all the previous works, which is no longer valid in the quadratic case. We also show that the representation generator must be deterministic, continuous, and actually must be of the simple form