Asymptotic Hölder regularity for the ellipsoid process

We obtain an asymptotic Hölder estimate for functions satisfying a dynamic programming principle arising from a so-called ellipsoid process. By the ellipsoid process we mean a generalization of the random walk where the next step in the process is taken inside a given space dependent ellipsoid. This stochastic process is related to elliptic equations in non-divergence form with bounded and measurable coefficients, and the regularity estimate is stable as the step size of the process converges to zero. The proof, which requires certain control on the distortion and the measure of the ellipsoids but not continuity assumption, is based on the coupling method.

Absolute continuity of parabolic measure and the initial-dirichlet problem

This thesis is devoted to the study of parabolic measure corresponding to a divergence form parabolic operator. We first extend to the parabolic setting a number of basic results that are well known in the elliptic case. Then following a result of Bennewitz-Lewis for non-doubling harmonic measure, we prove a criterion for non-doubling caloric measure to satisfy a weak reverse Holder inequality on an open set [omega] R(n+1), assuming as a background hypothesis only that the essential boundary of [omega] satisfies an appropriate parabolic version of Ahlfors-David regularity (which entails some backwards in time thickness). We then show that the weak reverse Holder estimate is equivalent to solvability of the initial Dirichlet problem with "lateral" data in [Lp], for some p less than [infinity]. Finally, we prove that for the heat equation, BMO-solvability implies scale invariant quantitative absolute continuity of caloric measure with respect to surface measure, in an open set [omega] with time-backwards ADR boundary. Moreover, the same results apply to the parabolic measure associated to a uniformly parabolic divergence form operator (L), with estimates depending only on dimension, the ADR constants, and parabolicity, provided that the continuous Dirichlet problem is solvable for (L) in [omega]. By a result of Fabes, Garofalo and Lanconelli [FGL], this includes the case of [C1]-Dini coefficients.

Discrete-Time Approximation of Decoupled Forward‒Backward Stochastic Differential Equations Driven by Pure Jump Lévy Processes

We present a new algorithm to discretize a decoupled forward‒backward stochastic differential equation driven by a pure jump Lévy process (FBSDEL for short). The method consists of two steps. In the first step we approximate the FBSDEL by a forward‒backward stochastic differential equation driven by a Brownian motion and Poisson process (FBSDEBP for short), in which we replace the small jumps by a Brownian motion. Then, we prove the convergence of the approximation when the size of small jumps ε goes to 0. In the second step we obtain theLp-Hölder continuity of the solution of the FBSDEBP and we construct two numerical schemes for this FBSDEBP. Based on theLp-Hölder estimate, we prove the convergence of the scheme when the number of time stepsngoes to ∞. Combining these two steps leads to the proof of the convergence of numerical schemes to the solution of FBSDEs driven by pure jump Lévy processes.

Discrete-Time Approximation of Decoupled Forward‒Backward Stochastic Differential Equations Driven by Pure Jump Lévy Processes

We present a new algorithm to discretize a decoupled forward‒backward stochastic differential equation driven by a pure jump Lévy process (FBSDEL for short). The method consists of two steps. In the first step we approximate the FBSDEL by a forward‒backward stochastic differential equation driven by a Brownian motion and Poisson process (FBSDEBP for short), in which we replace the small jumps by a Brownian motion. Then, we prove the convergence of the approximation when the size of small jumps ε goes to 0. In the second step we obtain the Lp-Hölder continuity of the solution of the FBSDEBP and we construct two numerical schemes for this FBSDEBP. Based on the Lp-Hölder estimate, we prove the convergence of the scheme when the number of time steps n goes to ∞. Combining these two steps leads to the proof of the convergence of numerical schemes to the solution of FBSDEs driven by pure jump Lévy processes.