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Zhen-Qing Chen

Publications and source records attributed to Zhen-Qing Chen.

At least 19 recordsLinked to original sources

Discrete Approximation to Time-changed Brownian Motions

We develop a general discrete approximation scheme for time-changed Brownian motions on $\mathbb{R}^d$. Our approximation scheme works for any smooth measure with full quasi-support on $\mathbb{R}^d$ with suitable initial distributions. Under some mild conditions on the smooth measure, the discrete approximation scheme works for every starting point. Our results in particular give a discrete approximation scheme for Liouville Brownian motions.

math.PR

Homogenization of anisotropic diffusion on pre-Sierpi\'{n}ski carpets

We investigate the restoration of isotropy for anisotropic diffusions on pre-Sierpi\'nski carpets in the plane, a problem previously studied by Barlow, Hattori, Hattori and Watanabe \cite{BHHW} in which they obtained a weak homogenization property for the ratio of effective resistances of the anisotropic diffusions. We establish the weak convergence of these anisotropic diffusions to Brownian motion on the Sierpi\'nski carpet. As a consequence, we give an affirmative answer to the strong homogenization conjecture raised in \cite[p.3]{BHHW}.

math.PR

Boundary Harnack principle for diffusion with jumps on metric measure spaces

A non-scale invariant BHP on any open set is obtained for a large class of discontinuous Hunt processes on metric measure spaces that are in weak duality with another Hunt process under suitable conditions in terms of estimates of exit distributions from open sets, and bounds on Green functions and the comparability of the jump density function. These conditions are easy to verify in concrete cases. Several examples are given to illustrate the main results and the new contributions of this paper. Our result in particular establishes the BHP on any open set for any Hunt process associated with a regular symmetric Dirichlet form on a metric measure space having both the strongly local term and the pure-jump term that admits a two-sided heat kernel estimates of the mixture of (sub-)Gaussian and stable-like form, as well as for a wide class of non-symmetric diffusion processes with jumps on $\mathbb R^d.$

math.PR

Functional Limits of Generalized Jackson Networks in Multi-scale Heavy Traffic

We investigate the functional limits of generalized Jackson networks in a multi-scale heavy traffic regime where stations approach full utilization at distinct, separated rates. Our main result shows that the appropriately scaled queue length processes converge weakly to a limit process whose coordinates are mutually independent. This finding reveals the underlying dynamic mechanism that explains the asymptotic independence previously observed only in stationary distributions. The specific form of the limit process is shown to depend on the initial conditions. In this paper, we consider the matching-rate and the lowest-rate initial conditions. Although the corresponding limit processes have different laws, they have the same product-form exponential limiting distribution on the positive orthant as $t\to\infty$. Moreover, we introduce and analyze a blockwise multi-scale heavy traffic regime. In this regime, the network's stations are partitioned into blocks, where stations in different blocks approach the heavy traffic at different rates, while stations within the same block share a common rate. We obtain the functional limits in this regime as well, showing that the limit process exhibits blockwise independence.

math.PR

Hypocoercivity for Hamiltonian Diffusions with Singular Drift

We establish $L^2$-exponential strong ergodicity (strong mixing) with an explicit rate of convergence for a class of degenerate diffusions with multiplicative noise and with singular drift in both the noisy and noise-free components. This class includes diffusions with an additional inert drift given by the gradient of a singular potential, as well as singular generalized stochastic Hamiltonian systems. Cases in which the diffusion is confined to a proper, bounded or unbounded subset of $\mathbb{R}^{d_1+d_2}$ are included. Concrete examples of admissible potentials are provided. To obtain these results, we use an analytical approach and study the long-time behavior of the strongly continuous contraction semigroup generated by the formal Kolmogorov backward operator. Using the theory of generalized Dirichlet forms, these objects are then identified with the transition semigroup and generator of the unique weak solution to the original stochastic differential equation. The existence and uniqueness of this solution are established under near-minimal conditions.

math.PR

Heat kernel lower bound estimates for symmetric pure jump processes via averaged jump kernels

We derive a heat kernel lower bound estimate for symmetric pure jump processes on general volume doubling metric measure spaces with possible degenerate and/or singular jump kernels using averaged jump kernels. As an application, the main result of this paper is applied to derive a lower bound estimate for the transition density function of the trace of Brownian motions on Sierpinski gaskets on the bottom of the Sierpinski gasket.

math.PR

High-order convergence rates of periodic homogenization for symmetric Lévy type operators

In this paper, we establish higher-order convergence rates of the periodic homogenizatio for symmetric Lévy-type operators, encompassing the subcritical $α$-stable regime, critical regime, and supercritical diffusive regime. To this end, we develop a systematic framework to decompose the contributions of the underlying jumping kernel across small, intermediate, and large spatial scales -- a strategy tailored to all the aforementioned regimes. To the best of our knowledge, this work represents the first comprehensive study of higher-order convergence rates in the homogenization of non-local operators.

math.PR

Quantitative Homogenization of PDEs with Neumann boundary conditions: a probabilistic approach

In this paper, we study quantitative homogenization for viscosity solutions of multi-scale semilinear second order partial differential equations (PDEs) on convex domains with Neumann boundary conditions. To this aim we use the probabilistic approach by studying the quantitative homogenization of backward stochastic differential equations (SDEs) associated with slow-fast systems of reflected SDEs.

math.PR

Persistence and local extinction for superprocesses in random environments

We consider a super-Brownian motion $\{X_t, t\geq 0\}$ in a random environment described by a centered Gaussian field $\{W(t,x),t\geq 0, x\in\mathbb{R}^d\}$ whose correlation function is given by $\mathcal{C} (x,y)(t \wedge s)$. The process takes values in $\mathcal{M}(\mathbb{R}^d)$, the space of Radon measures on $\mathbb{R}^d$. It can be characterized through a conditional Laplace transform by a parabolic stochastic partial differential equation driven by $W(t, x)$. Suppose that $\mathcal{C} (x, y)\leq g(x-y)$ for some bounded positive function $g$ on $\mathbb{R}^d$ and the initial distribution of process $X$ is the Lebesgue measure $m$ on $\mathbb{R}^d$. We prove that for dimension $d\geq 3$, whenever $$ \sup_{x\in \mathbb{R}^d} \int_{\mathbb{R}^d} |x-y|^{2-d} g(y)dy< \frac{8 (d-2) π^{d/2}}{d 2^d Γ\left(d/2-1\right)}, $$ the distribution of $X_t$ converges weakly as $t \to \infty$ to a non-trivial invariant probability distribution $π^m$ on $\mathcal{M}(\mathbb{R}^d)$ with mean measure $m$. This result in particular gives an affirmative answer to Conjecture 1.4 of Mytnik and Xiong (Electron. J. Probab. 12: 1349-1378 (2007)). We further show that given $ Θ\in C^β(\mathbb{R}^d)$ $(β>1)$, when $\mathcal{C}(x,y)= a Θ(x-y)$ with $a$ being large enough, the superprocess $X$ suffers local extinction.

math.PR

Heat kernel for reflected jump diffusion on Ahlfors regular domains

We study reflected jump diffusions on Ahlfors regular domains in general metric measure spaces. Under the condition that the Dirichlet form on the ambient space satisfies a capacity upper bound estimate, we construct an extension operator from the reflected Dirichlet space to the ambient Dirichlet space, with a scale-invariant local bound. Second, we establish the mixed stable-like heat kernel estimates for the reflected jump diffusion, assuming that the process on the ambient space satisfies the same type of heat kernel estimates.

math.PR

Boundary trace theorems for symmetric reflected diffusions

Starting with a transient irreducible diffusion process $X^0$ on a locally compact separable metric space $(D, d)$, one can construct a canonical symmetric reflected diffusion process $\bar X$ on a completion $D^*$ of $(D, d)$ through the theory of reflected Dirichlet spaces. The boundary trace process $\check X$ of $X$ on the boundary $\partial D:=D^*\setminus D$ is the reflected diffusion process $\bar X$ time-changed by a smooth measure $ν$ having full quasi-support on $\partial D$. The Dirichlet form of the trace process $\check X$ is called the trace Dirichlet form. In the first part of the paper, we give a Besov space type characterization of the domain of the trace Dirichlet form for any good smooth measure $ν$ on the boundary $\partial D$. In the second part of this paper, we study properties of the harmonic measure of $\bar X$ on the boundary $\partial D$. In particular, we provide a condition equivalent to the doubling property of the harmonic measure. Finally, we characterize and provide estimates of the jump kernel of the trace Dirichlet form under the doubling condition of the harmonic measure on $\partial D$.

math.PR

Quantitative homogenization on time-dependent random conductance models with stable-like jumps

We establish quantitative homogenization results for time-dependent random conductance models with stable-like long range jumps on $\Z^d$, where the transition probability from $x$ to $y$ is given by $w_{t, x,y}|x-y|^{-d-α}$ with $α\in (0,2)$. In particular, time-dependent random coefficients $\{w_{t,x,y}: t\in \R_+, (x,y)\in E\}$ are uniformly bounded from above (but may be degenerate), and satisfy the Kolmogorov continuous condition, where $E=\{(x, y): x \not= y \in \Z^d\}$ is the set of all unordered pairs on $\Z^d$. The proofs are based on $L^2$-estimates and energy estimates for solutions to regionalparabolic equations and multi-scale Poincaré inequalities associated with time-dependent symmetric stable-like random walks with random coefficients.

math.PR

Harnack inequalities for nonlocal operators with supercritical drifts and their applications

In this paper, we investigate Harnack estimates for weak solutions to the following nonlocal equation: $$ \partial_t u = Δ^{α/2} u + b \cdot \nabla u + f, $$ where $Δ^{α/2}$ denotes the fractional Laplacian, $b$ is a divergence-free vector field in a critical or supercritical regularity regime, and $f$ is a distribution in a fractional Sobolev space with negative indices. As applications of the analytical results obtained in this paper, we establish the well-posedness of critical stochastic quasi-geostrophic equations driven by additive Brownian noise, prove the existence of weak solutions to the two-dimensional fractional Navier--Stokes equations with measure-valued initial vorticity, and demonstrate the well-posedness of generalized martingale problems associated with critical stochastic differential equations.

math.AP

Sub-diffusive Black-Scholes model and Girsanov transform for sub-diffusions

We propose a novel Black-Scholes model under which the stock price processes are modeled by stochastic differential equations driven by sub-diffusions. The new framework can capture the less financial activity phenomenon during the bear markets while having the classical Black- Scholes model as its special case. The sub-diffusive spot market is arbitrage-free but is in general incomplete. We investigate the pricing for European-style contingent claims under this new model. For this, we study the Girsanov transform for sub-diffusions and use it to find risk-neutral probability measures for the new Black-Scholes model. Finally, we derive the explicit formula for the price of European call options and show that it can be determined by a partial differential equation (PDE) involving a fractional derivative in time, which we coin a time-fractional Black-Scholes PDE.

math.PR

Dirichlet heat kernel estimates for rectilinear stable processes

Let $d \geq 2$, $α\in (0,2)$, and $X$ be the rectilinear $α$-stable process on $\mathbb{R}^d$. We first present a geometric characterization of an open subset $D\subset \mathbb{R}^d$ so that the part process $X^D$ of $X$ in $D$ is irreducible. We then study the properties of the transition density functions of $X^D$, including the strict positivity property as well as their sharp two-sided bounds in $C^{1,1}$ domains in $\mathbb{R}^d$. Our bounds are shown to be sharp for a class of $C^{1,1}$ domains.

math.PR

Dirichlet problem for diffusions with jumps

In this paper, we study Dirichlet problem for non-local operator on bounded domains in ${\mathbb R}^d$ $$ {\cal L}u = {\rm div}(A(x) \nabla (x)) + b(x) \cdot \nabla u(x) + \int_{{\mathbb R}^d} (u(y)-u(x) ) J(x, dy) , $$ where $A(x)=(a_{ij}(x))_{1\leq i,j\leq d}$ is a measurable $d\times d$ matrix-valued function on ${\mathbb R}^d$ that is uniformly elliptic and bounded, $b$ is an ${\mathbb R}^d$-valued function so that $|b|^2$ is in some Kato class ${\mathbb K}_d$, for each $x\in {\mathbb R}^d$, $J(x, dy)$ is a finite measure on ${\mathbb R}^d$ so that $x\mapsto J(x, {\mathbb R}^d)$ is in the Kato class ${\mathbb K}_d$. We show there is a unique Feller process $X$ having strong Feller property associated with ${\cal L}$, which can be obtained from the diffusion process having generator $ {\rm div}(A(x) \nabla (x)) + b(x) \cdot \nabla u(x) $ through redistribution. We further show that for any bounded connected open subset $D\subset{\mathbb R}^d$ that is regular with respect to the Laplace operator $Δ$ and for any bounded continuous function $φ$ on $D^c$, the Dirichlet problem ${\cal L} u=0$ in $D$ with $u=φ$ on $D^c$ has a unique bounded continuous weak solution on ${\mathbb R}^d$. This unique weak solution can be represented in terms of the Feller process associated with ${\cal L}$.

math.PR

Uniform boundary Harnack principle for non-local operators on metric measure spaces

We obtain a uniform boundary Harnack principle (BHP) on any open sets for a large class of non-local operators on metric measure spaces under a jump measure comparability and tail estimate condition, and an upper bound condition on the distribution function for the exit times from balls. These conditions are satisfied by any non-local operator $\mathcal{L}$ that admits a two-sided mixed stable-like heat kernel bounds when the underlying metric measure spaces have volume doubling and reverse volume doubling properties. The results of this paper are new even for non-local operators on Euclidean spaces. In particular, our results give not only the scale invariant but also uniform BHP for the first time for non-local operators on Euclidean spaces of both divergence form and non-divergence form with measurable coefficients.

math.PR

Harnack inequality for weakly coupled nonlocal systems

In this paper, we consider a weakly coupled system of nonlocal operators which contain both diffusion part with uniformly elliptic diffusion matrices and bounded drift vectors and the jump part with relatively general jump kernels. We use the two-sided scale-invariant Green function estimation to prove the scale-invariant Harnack inequality for the weakly coupled nonlocal systems. In the case where the switching rate matrix is strictly irreducible, the scale-invariant full rank Harnack inequality is proved. Our approach is mainly probabilistic.

math.PR