Searcharxiv⌕ Search

arXiv subjects

René L. Schilling

Publications and source records attributed to René L. Schilling.

At least 55 records · Page 3Linked to original sources
arXiv2015

On level and collision sets of some Feller processes

This paper is about lower and upper bounds for the Hausdorff dimension of the level and collision sets of a class of Feller processes. Our approach is motivated by analogous results for Lévy processes by Hawkes (for level sets), Taylor and Jain & Pruitt (for collision sets). Since Feller processes lack independent or stationary increments, the methods developed for Lévy processes cannot be used in a straightforward manner. Under the assumption that the Feller process possesses a transition probability density, which admits lower and upper bounds of a certain type, we derive sufficient conditions for regularity and non-polarity of points; together with suitable time changes this allows us to get upper and lower bounds for the Hausdorff dimension.

math.PR↗
arXiv2015

Absolute continuity and singularity of probability measures induced by a purely discontinuous Girsanov transform of a stable process

In this paper we study mutual absolute continuity and singularity of probability measures on the path space which are induced by an isotropic stable Lévy process and the purely discontinuous Girsanov transform of this process. We also look at the problem of finiteness of the relative entropy of these measures. An important tool in the paper is the question under which circumstances the a.s. finiteness of an additive functional at infinity implies the finiteness of its expected value.

math.PR↗
arXiv2015

Weak convergence of finite element approximations of linear stochastic evolution equations with additive Lévy noise

We present an abstract framework to study weak convergence of numerical approximations of linear stochastic partial differential equations driven by additive Lévy noise. We first derive a representation formula for the error which we then apply to study space-time discretizations of the stochastic heat equation, a Volterra-type integro-differential equation, and the wave equation as examples. For twice continuously differentiable test functions with bounded second derivative (with an additional condition on the second derivative for the wave equation) the weak rate of convergence is found to be twice the strong rate. The results extend earlier work by two of the authors as we consider general square-integrable infinite-dimensional Lévy processes and do not require boundedness of the test functions and their first derivative. Furthermore, the present framework is applicable to both hyperbolic and parabolic equations, and even to stochastic Volterra integro-differential equations.

math.PR↗
arXiv2015

On the convergence analysis of the inexact linearly implicit Euler scheme for a class of SPDEs

This paper is concerned with the adaptive numerical treatment of stochastic partial differential equations. Our method of choice is Rothe's method. We use the implicit Euler scheme for the time discretization. Consequently, in each step, an elliptic equation with random right-hand side has to be solved. In practice, this cannot be performed exactly, so that efficient numerical methods are needed. Well-established adaptive wavelet or finite-element schemes, which are guaranteed to converge with optimal order, suggest themselves. We investigate how the errors corresponding to the adaptive spatial discretization propagate in time, and we show how in each time step the tolerances have to be chosen such that the resulting perturbed discretization scheme realizes the same order of convergence as the one with exact evaluations of the elliptic subproblems.

math.PR↗
arXiv2014

Lower Bounds of the Hausdorff dimension for Feller processes

Let $(X_t)_{t\ge0}$ be a Feller process generated by a pseudo-differential operator whose symbol satisfies $\|p(\cdot,ξ)\|_\infty\le c(1+|ξ|^2)$ and $p(\cdot,0)\equiv0.$ We prove that, for a large class of examples, the Hausdorff dimension of the set $\{X_t: t\in E\}$ for any analytic set $E\subset [0,\infty)$ is almost surely bounded below by $\betalower \Dh E$, where \begin{align*} \betalower&:=\sup\left\{δ>0: \lim_{|ξ|\to \infty} \frac{\inf_{z\in\R^d} \Re p(z,ξ)}{|ξ|^δ}=\infty\right\}. \end{align*}This, along with the upper bound $ \betaupperstar \Dh E$ with \begin{align*} \betaupperstar &:=\inf\left\{δ>0: \lim_{|ξ|\to \infty}\frac{\sup_{|η|\le {|ξ|}}\sup_{z\in\R^d} |p(z,η)|}{|ξ|^δ}=0\right\} \end{align*} established in Böttcher, Schilling and Wang (2014), extends the dimension estimates for Lévy processes of Blumenthal and Getoor (1961) and Millar (1971) to Feller processes.

math.PR↗
arXiv2014

Moderate deviations and Strassen's law for additive processes

We establish a moderate deviation principle for processes with independent increments under certain growth conditions for the characteristics of the process. Using this moderate deviation principle, we give a new proof for Strassen's functional law of the iterated logarithm. In particular, we show that any square-integrable Lévy process satisfies Strassen's law.

math.PR↗
arXiv2013

From Schoenberg to Pick-Nevanlinna: Toward a complete picture of the variogram class

We show that a large subclass of variograms is closed under products and that some desirable stability properties, such as the product of special compositions, can be obtained within the proposed setting. We introduce new classes of kernels of Schoenberg-Lévy type and demonstrate some important properties of rotationally invariant variograms.

math.ST↗
arXiv2012

Coupling property and gradient estimates of Lévy processes via the symbol

We derive explicitly the coupling property for the transition semigroup of a Lévy process and gradient estimates for the associated semigroup of transition operators. This is based on the asymptotic behaviour of the symbol or the characteristic exponent near zero and infinity, respectively. Our results can be applied to a large class of Lévy processes, including stable Lévy processes, layered stable processes, tempered stable processes and relativistic stable processes.

math.PR↗
arXiv2012

Lower bounded semi-Dirichlet forms associated with Lévy type operators

Let $k:E\times E\to [0,\infty)$ be a non-negative measurable function on some locally compact separable metric space $E$. We provide some simple conditions such that the quadratic form with jump kernel $k$ becomes a regular lower bounded (non-local, non-symmetric) semi-Dirichlet form. If $E=\R^n$ we identify the generator of the semi-Dirichlet form and its (formal) adjoint. In particular, we obtain a closed expression of the adjoint of the stable-like generator $-(-Δ)^{α(x)}$ in the sense of Bass. Our results complement a recent paper by Fukushima and Uemura (2012) and establishes the relation of these results with the symmetric principal value (SPV) approach due to Zhi-ming Ma and co-authors (2006).

math.PR↗
arXiv2012

Lagrangian and Hamiltonian Feynman formulae for some Feller semigroups and their perturbations

A Feynman formula is a representation of a solution of an initial (or initial-boundary) value problem for an evolution equation (or, equivalently, a representation of the semigroup resolving the problem) by a limit of $n$-fold iterated integrals of some elementary functions as $n\to\infty$. In this note we obtain some Feynman formulae for a class of semigroups associated with Feller processes. Finite dimensional integrals in the Feynman formulae give approximations for functional integrals in some Feynman--Kac formulae corresponding to the underlying processes. Hence, these Feynman formulae give an effective tool to calculate functional integrals with respect to probability measures generated by these Feller processes and, in particular, to obtain simulations of Feller processes.

math.PR↗
arXiv2011

Some Theorems on Feller Processes: Transience, Local Times and Ultracontractivity

We present sufficient conditions for the transience and the existence of local times of a Feller process, and the ultracontractivity of the associated Feller semigroup; these conditions are sharp for Lévy processes. The proof uses a local symmetrization technique and a uniform upper bound for the characteristic function of a Feller process. As a byproduct, we obtain for stable-like processes (in the sense of R.\ Bass) on $\R^d$ with smooth variable index $α(x)\in(0,2)$ a transience criterion in terms of the exponent $α(x)$; if $d=1$ and $\inf_{x\in\R} α(x)\in (1,2)$, then the stable-like process has local times.

math.PR↗
arXiv2011

Strong Feller Continuity of Feller Processes and Semigroups

We study two equivalent characterizations of the strong Feller property for a Markov process and of the associated sub-Markovian semigroup. One is described in terms of locally uniform absolute continuity, whereas the other uses local Orlicz-ultracontractivity. These criteria generalize many existing results on strong Feller continuity and seem to be more natural for Feller processes. By establishing the estimates of the first exit time from balls, we also investigate the continuity of harmonic functions for Feller processes which enjoy the strong Feller property.

math.PR↗
arXiv2011

On the Coupling Property and the Liouville Theorem for Ornstein-Uhlenbeck Processes

Using a coupling for the weighted sum of independent random variables and the explicit expression of the transition semigroup of Ornstein-Uhlenbeck processes driven by compound Poisson processes, we establish the existence of a successful coupling and the Liouville theorem for general Ornstein-Uhlenbeck processes. Then we present the explicit coupling property of Ornstein-Uhlenbeck processes directly from the behaviour of the corresponding symbol or characteristic exponent. This approach allows us to derive gradient estimates for Ornstein-Uhlenbeck processes via the symbol.

math.PR↗
arXiv2011

Functional Inequalities and Subordination: Stability of Nash and Poincaré inequalities

We show that certain functional inequalities, e.g.\ Nash-type and Poincaré-type inequalities, for infinitesimal generators of $C_0$ semigroups are preserved under subordination in the sense of Bochner. Our result improves \cite[Theorem 1.3]{BM} by A.\ Bendikov and P.\ Maheux for fractional powers, and it also holds for non-symmetric settings. As an application, we will derive hypercontractivity, supercontractivity and ultracontractivity of subordinate semigroups.

math.PR↗
arXiv2011

Constructions of Coupling Processes for Lévy Processes

We construct optimal Markov couplings of Lévy processes, whose Lévy (jump) measure has an absolutely continuous component. The construction is based on properties of subordinate Brownian motions and the coupling of Brownian motions by reflection.

math.PR↗
arXiv2011

On the Coupling Property of Lévy Processes

We give necessary and sufficient conditions guaranteeing that the coupling for Lévy processes (with non-degenerate jump part) is successful. Our method relies on explicit formulae for the transition semigroup of a compound Poisson process and earlier results by Mineka and Lindvall-Rogers on couplings of random walks. In particular, we obtain that a Lévy process admits a successful coupling, if it is a strong Feller process or if the Lévy (jump) measure has an absolutely continuous component.

math.PR↗