arXiv subjects
Publications and source records attributed to Szymon Peszat.
Laplacians associated with domains with singular boundary conditions and are considered together with semigroups on generalized Sobolev spaces, they generate. Applications are given to stochastic PDEs with singular boundary conditions.
Let $P_sϕ(x)=\mathbb{E}\, ϕ(X^x(s))$, be the transition semigroup on the space $B_b(E)$ of bounded measurable functions on a Banach space $E$, of the Markov family defined by the linear equation with additive noise $$ d X(s)= \left(AX(s) + a\right)ds + BdW(s), \qquad X(0)=x\in E. $$ We give a simple probabilistic proof of the fact that null-controlla\-bility of the corresponding deterministic system $$ d Y(s)= \left(AY(s)+ B\mathcal{U}(t)x)(s)\right)ds, \qquad Y(0)=x, $$ implies that for any $ϕ\in B_b(E)$, $P_tϕ$ is infinitely many times Fréchet differentiable and that $$ D^nP_tϕ(x)[y_1,\ldots ,y_n]= \mathbb{E}\, ϕ(X^x(t))(-1)^nI^n_t(y_1,\ldots, y_n), $$ where $I^n_t(y_1,\ldots,y_n)$ is the symmetric n-fold Itô integral of the controls $\mathcal{U}(t)y_1,\ldots \mathcal{U}(t)y_n$.
Let $(P_t)$ be the transition semigroup of the Markov family $(X^x(t))$ defined by SDE $$ d X= b(X) dt + d Z, \qquad X(0)=x, $$ where $Z=\left(Z_1, \ldots, Z_d\right)^*$ is a system of independent real-valued Lévy processes. Using the Malliavin calculus we establish the following gradient formula $$ \nabla P_tf(x)= \mathbb{E}\, f\left(X^x(t)\right) Y(t,x), \qquad f\in B_b(\mathbb{R}^d), $$ where the random field $Y$ does not depend on $f$. Sharp estimates on $\nabla P_tf(x)$ when $Z_1, \ldots , Z_d$ are $α$-stable processes, $α\in (0,2)$, are also given.
We consider a consumption-investment problem (both on finite and infinite time horizon) in which the investor has an access to the bond market. In our approach prices of bonds with different maturities are described by the general HJM factor model. We assume that the bond market consists of entire family of rolling bonds and the investment strategy is a general signed measure distributed on all real numbers representing time to maturity specifications for different rolling bonds. In particular, we can consider portfolio of coupon bonds. The investor's objective is to maximize time-additive utility of the consumption process. We solve the problem by means of the HJB equation for which we prove required regularity of its solution and all required estimates to ensure applicability of the verification theorem. Explicit calculations for affine models are presented.
We study inhomogeneous Dirichlet boundary value problems associated to a linear parabolic equation $\frac{du}{dt}=Au$ with strongly elliptic operator $A$ on bounded and unbounded domains with white noise boundary data. Our main assumption is that the heat kernel of the corresponding homogeneous problem enjoys the Gaussian type estimates taking into account the distance to the boundary. Under mild assumptions about the domain, we show that $A$ generates a $C_0$-semigroup in weighted $L^p$-spaces where the weight is a proper power of the distance from the boundary. We also prove some smoothing properties and exponential stability of the semigroup. Finally, we reformulate the Cauchy-Dirichlet problem with white noise boundary data as an evolution equation in the weighted space and prove the existence of Markovian solutions.
We study the existence of the stochastic flow associated to a linear stochastic evolution equation $$d X= AX\,d t +\sum_{k} B_k X\,d W_k, $$ on a Hilbert space. Our first result covers the case where $A$ is the generator of a $C_0$-semigroup, and $(B_k)$ is a sequence of bounded linear operators such that $\sum_k\|B_k\|<+\infty$. We also provide sufficient conditions for the existence of stochastic flows in the Schatten classes beyond the space of Hilbert-Schmidt operators. Some new results and examples concerning the so-called commutative case are presented as well.
We consider a stochastic version of a system of coupled two equations formulated by Burgers with the aim to describe the laminar and turbulent motions of a fluid in a channel. The existence and uniqueness of the solution as well as the irreducibility property of such system were given by Twardowska and Zabczyk. In the paper the existence of a unique invariant measure is investigated. The paper generalizes the results of Da Prato, Debussche and Temam, and Da Prato and Gatarek, dealing with one equation describing the turbulent motion only.
Let $(P_t)$ be the transition semigroup of a Lévy process $L$ taking values in a Hilbert space $H$. Let $ν$ be the Lévy measure of $L$. It is shown that for any bounded and measurable function $f$, $$ \int_H\left\vert P_tf(x+y)-P_tf(x)\right\vert ^2 ν(\dif y)\le \frac 1 t P_tf^2(x) \qquad \text{for all $t>0$, $x\in H$.} $$ As $ν$ can be infinite this formula establishes some smoothening effect of the semigroup $(P_t)$. In the paper some applications of the formula will be presented as well.
K. Itô characterised in \cite{ito} zero-mean stationary Gauss Markov-processes evolving on a class of infinite-dimensional spaces. In this work we extend the work of Itô in the case of Hilbert spaces: Gauss-Markov families that are time-homogenous are identified as solutions to linear stochastic differential equations with singular coefficients. Choosing an appropriate locally convex topology on the space of weakly sequentially continuous functions we also characterize the transition semigroup, the generator and its core thus providing an infinite-dimensional extension of the classical result of Courrège \cite{courrege} in the case of Gauss-Markov semigroups.
In this paper we study the Poisson and heat equations on bounded and unbounded domains with smooth boundary with random Dirichlet boundary conditions. The main novelty of this work is a convenient framework for the analysis of such equations excited by the white in time and/or space noise on the boundary. Our approach allows us to show the existence and uniqueness of weak solutions in the space of distributions. Then we prove that the solutions can be identified as smooth functions inside the domain, and finally the rate of their blow up at the boundary is estimated. A large class of noises including Wiener and fractional Wiener space time white noise, homogeneous noise and Lévy noise is considered.
In this paper we prove the law of large numbers and central limit theorem for trajectories of a particle carried by a two dimensional Eulerian velocity field. The field is given by a solution of a stochastic Navier--Stokes system with a non-degenerate noise. The spectral gap property, with respect to Wasserstein metric, for such a system has been shown in [9]. In the present paper we show that a similar property holds for the environment process corresponding to the Lagrangian observations of the velocity. In consequence we conclude the law of large numbers and the central limit theorem for the tracer. The proof of the central limit theorem relies on the martingale approximation of the trajectory process.
We formulate a criterion for the existence and uniqueness of an invariant measure for a Markov process taking values in a Polish phase space. In addition, weak-$^*$ ergodicity, that is, the weak convergence of the ergodic averages of the laws of the process starting from any initial distribution, is established. The principal assumptions are the existence of a lower bound for the ergodic averages of the transition probability function and its local uniform continuity. The latter is called the e-property. The general result is applied to solutions of some stochastic evolution equations in Hilbert spaces. As an example, we consider an evolution equation whose solution describes the Lagrangian observations of the velocity field in the passive tracer model. The weak-$^*$ mean ergodicity of the corresponding invariant measure is used to derive the law of large numbers for the trajectory of a tracer.