In the limit we analyze the generators of families of reversible jump processes in the n-dimensional space associated with a class of symmetric non-local Dirichlet forms and show exponential decay of the eigenfunctions. The exponential rate function is a Finsler distance, given as solution of certain eikonal equation. Fine results are sensitive to the rate functions being twice differentiable or just Lipschitz. Our estimates are similar to the semiclassical Agmon estimates for differential operators of second order. They generalize and strengthen previous results on the lattice.

京都大学 / 新制・課程博士 / 博士(理学) / 甲第22982号 / 理博第4659号 / 新制||理||1669(附属図書館) / 京都大学大学院理学研究科数学・数理解析専攻 / (主査)教授 熊谷 隆, 教授 長谷川 真人, 小澤 登高 / 学位規則第4条第1項該当 / Doctor of Science / Kyoto University / DGAM

We characterize the structure of the domain of a pure jump-type Dirichlet form which is given by a Beurling–Deny formula. In particular, we obtain su cient conditions in terms of the jumping kernel guaranteeing that the test functions are a core for the Dirichlet form and that the form is a Silverstein extension. As an application we show that for recurrent Dirichlet forms the extended Dirichlet space can be interpreted in a natural way as a homogeneous Dirichlet space. For reflected Dirichlet spaces this leads to a simple purely analytic proof that the active reflected Dirichlet space (in the sense of Chen, Fukushima and Kuwae) coincides with the extended active reflected Dirichlet space. / Dieser Beitrag ist mit Zustimmung des Rechteinhabers aufgrund einer (DFG-geförderten) Allianz- bzw. Nationallizenz frei zugänglich.

In dieser Arbeit werden die zu einem m-sektoriellen Operator assoziierten Halbgruppen betrachtet, die die Lösungen des Anfangswertproblems der zugehörigen Evolutionsgleichung beschreiben. Es wird eine 1987 von Davies veröffentlichte Methode zur Abschätzung dieser Halbgruppen verallgemeinert. Einen Schwerpunkt bilden die zu Dirichlet-Formen assoziierten Markov-Halbgruppen. Für diese werden die Resultate spezialisiert und der Zusammenhang zur intrinsischen Metrik dargelegt. Die Arbeit schließt mit verschiedenen Beispielen, die zeigen, wie mit diesen Verallgemeinerungen von Davies Methode neue Anwendungsgebiete erschlossen werden können. / This thesis is about m-sectorial operators and their associated semigroups describing the solutions of the initial value problem of the corresponding evolution equation. We generalize a method published by Davies 1987 to estimate these semigroups. A focus is set on Markov semigroups associated with Dirchlet forms. The results are applied to them and the connection to the intrinsic metric is presented. The thesis ends with different examples showing how this generalization of Davies method can be applied into new fields of application.

We characterize the structure of the domain of a pure jump-type Dirichlet form which is given by a Beurling–Deny formula. In particular, we obtain su cient conditions in terms of the jumping kernel guaranteeing that the test functions are a core for the Dirichlet form and that the form is a Silverstein extension. As an application we show that for recurrent Dirichlet forms the extended Dirichlet space can be interpreted in a natural way as a homogeneous Dirichlet space. For reflected Dirichlet spaces this leads to a simple purely analytic proof that the active reflected Dirichlet space (in the sense of Chen, Fukushima and Kuwae) coincides with the extended active reflected Dirichlet space. / Dieser Beitrag ist mit Zustimmung des Rechteinhabers aufgrund einer (DFG-geförderten) Allianz- bzw. Nationallizenz frei zugänglich.

In this thesis, we prove the existence and uniqueness of the solution to a Neumann boundary problem for an elliptic differential operator with singular coefficients, and reveal the relationship between the solution to the partial differential equation (PDE in abbreviation) and the solution to a kind of backward stochastic differential equations (BSDE in abbreviation).This study is motivated by the research on the Dirichlet problem for an elliptic operator (\cite{Z}). But it turns out that different methods are needed to deal with the reflecting diffusion on a bounded domain. For example, the integral with respect to the boundary local time, which is a nondecreasing process associated with the reflecting diffusion, needs to be estimated. This leads us to a detailed study of the reflecting diffusion. As a result, two-sided estimates on the heat kernels are established. We introduce a new type of backward differential equations with infinity horizon and prove the existence and uniqueness of both L2 and L1 solutions of the BSDEs. In this thesis, we use the BSDE to solve the semilinear Neumann boundary problem. However, this research on the BSDEs has its independent interest. Under certain conditions on both the "singular" coefficient of the elliptic operator and the "semilinear coefficient" in the deterministic differential equation, we find an explicit probabilistic solution to the Neumann problem, which supplies a L2 solution of a BSDE with infinite horizon. We also show that, less restrictive conditions on the coefficients are needed if the solution to the Neumann boundary problem only provides a L1 solution to the BSDE.

The aim of this work is to provide an introduction into the theory of infinite dimensional stochastic processes. The thesis contains the paper A class of infinite dimensional stochastic processes with unbounded diffusion written at Linköping University during 2012. The aim of that paper is to take results from the finite dimensional theory into the infinite dimensional case. This is done via the means of a coordinate representation. It is shown that for a certain kind of Dirichlet form with unbounded diffusion, we have properties such as closability, quasi-regularity, and existence of local first and second moment of the associated process. The starting chapters of this thesis contain the prerequisite theory for understanding the paper. It is my hope that any reader unfamiliar with the subject will find this thesis useful, as an introduction to the field of infinite dimensional processes.

京都大学 / 新制・課程博士 / 博士(理学) / 甲第25093号 / 理博第5000号 / 京都大学大学院理学研究科数学・数理解析専攻 / (主査)准教授 Croydon David Alexander, 教授 大木谷 耕司, 准教授 梶野 直孝 / 学位規則第4条第1項該当 / Doctor of Science / Kyoto University / DGAM

In dieser Arbeit werden die zu einem m-sektoriellen Operator assoziierten Halbgruppen betrachtet, die die Lösungen des Anfangswertproblems der zugehörigen Evolutionsgleichung beschreiben. Es wird eine 1987 von Davies veröffentlichte Methode zur Abschätzung dieser Halbgruppen verallgemeinert. Einen Schwerpunkt bilden die zu Dirichlet-Formen assoziierten Markov-Halbgruppen. Für diese werden die Resultate spezialisiert und der Zusammenhang zur intrinsischen Metrik dargelegt. Die Arbeit schließt mit verschiedenen Beispielen, die zeigen, wie mit diesen Verallgemeinerungen von Davies Methode neue Anwendungsgebiete erschlossen werden können.:Einleitung Funktionalanalytische Grundlagen Spezielle Halbgruppeneigenschaften Symmetrische Dirichlet-Formen Obere Schranken für die Halbgruppe Anwendungen Ausblick Komplexe Maße Anhang / This thesis is about m-sectorial operators and their associated semigroups describing the solutions of the initial value problem of the corresponding evolution equation. We generalize a method published by Davies 1987 to estimate these semigroups. A focus is set on Markov semigroups associated with Dirchlet forms. The results are applied to them and the connection to the intrinsic metric is presented. The thesis ends with different examples showing how this generalization of Davies method can be applied into new fields of application.:Einleitung Funktionalanalytische Grundlagen Spezielle Halbgruppeneigenschaften Symmetrische Dirichlet-Formen Obere Schranken für die Halbgruppe Anwendungen Ausblick Komplexe Maße Anhang

This thesis is devoted to the study of the applications of the error theory using Dirichlet forms. Our work is split into three parts. The first one deals with the models described by stochastic differential equations. After a short technical chapter, an innovative model for order books is proposed. We assume that the bid-ask spread is not an imperfection, but an intrinsic property of exchange markets instead. The uncertainty is carried by the Brownian motion guiding the asset. We find that spread evolutions can be evaluated using closed formulae and we estimate the impact of the underlying uncertainty on the related contingent claims. Afterwards, we deal with the PBS model, a new model to price European options. The seminal idea is to distinguish the market volatility with respect to the parameter used by traders for hedging. We assume the former constant, while the latter volatility being an erroneous subjective estimation of the former. We prove that this model anticipates a bid-ask spread and a smiled implied volatility curve. Major properties of this model are the existence of closed formulae for prices, the impact of the underlying drift and an efficient calibration strategy. The second part deals with the models described by partial differential equations. Linear and non-linear PDEs are examined separately. In the first case, we show some interesting relations between the error and wavelets theories. When non-linear PDEs are concerned, we study the sensitivity of the solution using error theory. Except when exact solution exists, two possible approaches are detailed: first, we analyze the sensitivity obtained by taking "derivatives" of the discrete governing equations. Then, we study the PDEs solved by the sensitivity of the theoretical solutions. In both cases, we show that sharp and bias solve linear PDE depending on the solution of the former PDE itself and we suggest algorithms to evaluate numerically the sensitivities. Finally, the third part is devoted to stochastic partial differential equations. Our analysis is split into two chapters. First, we study the transmission of an uncertainty, present on starting conditions, on the solution of SPDE. Then, we analyze the impact of a perturbation of the functional terms of SPDE and the coefficient of the related Green function. In both cases, we show that the sharp and bias verify linear SPDE depending on the solution of the former SPDE itself