Monte Carlo construction of cubature on Wiener space

In this paper, we investigate application of mathematical optimization to construction of a cubature formula on Wiener space, which is a weak approximation method of stochastic differential equations introduced by Lyons and Victoir (Proc R Soc Lond A 460:169–198, 2004). After giving a brief review on the cubature theory on Wiener space, we show that a cubature formula of general dimension and degree can be obtained through a Monte Carlo sampling and linear programming. This paper also includes an extension of stochastic Tchakaloff’s theorem, which technically yields the proof of our primary result.

Integrability on the Abstract Wiener Space of Double Sequences and Fernique Theorem

The integrability of a function defined on the abstract Wiener space of double Fourier coefficients is explored. The abstract Wiener space is also a Hilbert space. We define an orthonormal system of the Hilbert space to establish a measure and integration on the abstract Wiener space. We examine the integrability of a function e α · 2 defined on the abstract Wiener space for Fernique theorem. With respect to the abstract Wiener measure, the integral of the function turns out to be convergent for α < 1 / 2 . The result provides a wider choice of the constant α than that of Fernique.

Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs

We introduce a decoupling method on the Wiener space to define a wide class of anisotropic Besov spaces. The decoupling method is based on a general distributional approach and not restricted to the Wiener space. The class of Besov spaces we introduce contains the traditional isotropic Besov spaces obtained by the real interpolation method, but also new spaces that are designed to investigate backwards stochastic differential equations (BSDEs). As examples we discuss the Besov regularity (in the sense of our spaces) of forward diffusions and local times. It is shown that among our newly introduced Besov spaces there are spaces that characterize quantitative properties of directional derivatives in the Malliavin sense without computing or accessing these Malliavin derivatives explicitly. Regarding BSDEs, we deduce regularity properties of the solution processes from the Besov regularity of the initial data, in particular upper bounds for their L p L_p -variation, where the generator might be of quadratic type and where no structural assumptions, for example in terms of a forward diffusion, are assumed. As an example we treat sub-quadratic BSDEs with unbounded terminal conditions. Among other tools, we use methods from harmonic analysis. As a by-product, we improve the asymptotic behaviour of the multiplicative constant in a generalized Fefferman inequality and verify the optimality of the bound we established.

Case Study: Coefficient Training in Paley-Wiener Space, FFT, and Wavelet Theory

Bessel functions form an important class of special functions and are applied almost everywhere in mathematical physics. They are also called cylindrical functions, or cylindrical harmonics. This chapter is devoted to the construction of the generalized coherent state (GCS) and the theory of Bessel wavelets. The GCS is built by replacing the coefficient zn/n!,z∈C of the canonical CS by the cylindrical Bessel functions. Then, the Paley-Wiener space PW1 is discussed in the framework of a set of GCS related to the cylindrical Bessel functions and to the Legendre oscillator. We prove that the kernel of the finite Fourier transform (FFT) of L2-functions supported on −11 form a set of GCS. Otherwise, the wavelet transform is the special case of CS associated respectively with the Weyl-Heisenberg group (which gives the canonical CS) and with the affine group on the line. We recall the wavelet theory on R. As an application, we discuss the continuous Bessel wavelet. Thus, coherent state transformation (CST) and continuous Bessel wavelet transformation (CBWT) are defined. This chapter is mainly devoted to the application of the Bessel function.

The Hilbert Space of Double Fourier Coefficients for an Abstract Wiener Space

Fourier series is a well-established subject and widely applied in various fields. However, there is much less work on double Fourier coefficients in relation to spaces of general double sequences. We understand the space of double Fourier coefficients as an abstract space of sequences and examine relationships to spaces of general double sequences: p-power summable sequences for p = 1, 2, and the Hilbert space of double sequences. Using uniform convergence in the sense of a Cesàro mean, we verify the inclusion relationships between the four spaces of double sequences; they are nested as proper subsets. The completions of two spaces of them are found to be identical and equal to the largest one. We prove that the two-parameter Wiener space is isomorphic to the space of Cesàro means associated with double Fourier coefficients. Furthermore, we establish that the Hilbert space of double sequence is an abstract Wiener space. We think that the relationships of sequence spaces verified at an intermediate stage in this paper will provide a basis for the structures of those spaces and expect to be developed further as in the spaces of single-indexed sequences.

A Change of Scale Formula for Wiener Integrals about the First Variation on the Product Abstract Wiener Space

We shall prove the existence of the Wiener integral and the analytic Wiener and Feynman integral and we obtain those relationships and later, we prove the change of scale formula for the Wiener integral about the first variation of a function defined on the product abstract Wiener space. Later, we obtain those relationships in the Fresnel class as it’s corollaries.

Analytic Feynman Integral and a Change of Scale Formula for Wiener Integrals of an Unbounded Cylinder Function

We investigate the behavior of the unbounded cylinder function F x = ∫ 0 T α 1 t d x t 2 k ⋅ ∫ 0 T α 2 t d x t 2 k ⋅ ⋯ ⋅ ∫ 0 T α n t d x t 2 k , k = 1,2 , … whose analytic Wiener integral and analytic Feynman integral exist, we prove some relationships among the analytic Wiener integral, the analytic Feynman integral, and the Wiener integral, and we prove a change of scale formula for the Wiener integral about the unbounded function on the Wiener space C 0 0 , T .

Fractional integro-differential equations in Wiener spaces

In this paper we study the global solvability of several ordinary and partial fractional integro-differential equations in the Wiener space of functions with bounded square averages.