The dissertation consists of two parts. The first part (Chapter 1 to 4) is on some contributions to the development of a non-linear analysis on the quintessential fractal set Sierpinski gasket and its probabilistic interpretation. The second part (Chapter 5) is on the asymptotic tail decays for suprema of stochastic processes satisfying certain conditional increment controls. Chapters 1, 2 and 3 are devoted to the establishment of a theory of backward problems for non-linear stochastic differential equations on the gasket, and to derive a probabilistic representation to some parabolic type partial differential equations on the gasket. In Chapter 2, using the theory of Markov processes, we derive the existence and uniqueness of solutions to backward stochastic differential equations driven by Brownian motion on the Sierpinski gasket, for which the major technical difficulty is the exponential integrability of quadratic processes of martingale additive functionals. A Feynman-Kac type representation is obtained as an application. In Chapter 3, we study the stochastic optimal control problems for which the system uncertainties come from Brownian motion on the gasket, and derive a stochastic maximum principle. It turns out that the necessary condition for optimal control problems on the gasket consists of two equations, in contrast to the classical result on ℝ<sup>d</sup>, where the necessary condition is given by a single equation. The materials in Chapter 2 are based on a joint work with Zhongmin Qian (referenced in Chapter 2). Chapter 4 is devoted to the analytic study of some parabolic PDEs on the gasket. Using a new type of Sobolev inequality which involves singular measures developed in Section 4.2, we establish the existence and uniqueness of solutions to these PDEs, and derive the space-time regularity for solutions. As an interesting application of the results in Chapter 4 and the probabilistic representation developed in Chapter 2, we further study Burgers equations on the gasket, to which the space-time regularity for solutions is deduced. The materials in Chapter 4 are based on a joint work with Zhongmin Qian (referenced in Chapter 4). In Chapter 5, we consider a class of continuous stochastic processes which satisfy the conditional increment control condition. Typical examples include continuous martingales, fractional Brownian motions, and diffusions governed by SDEs. For such processes, we establish a Doob type maximal inequality. Under additional assumptions on the tail decays of their marginal distributions, we derive an estimate for the tail decay of the suprema (Theorem 5.3.2), which states that the suprema decays in a manner similar to the margins of the processes. In Section 5.4, as an application of Theorem 5.3.2, we derive the existence of strong solutions to a class of SDEs. The materials in this chapter is based on the work [44] by the author (Section 5.2 and Section 5.3) and an ongoing joint project with Guangyu Xi (Section 5.4).
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:757850 |
| Date | January 2018 |
| Creators | Liu, Xuan |
| Contributors | Qian, Zhongmin |
| Publisher | University of Oxford |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Source | http://ora.ox.ac.uk/objects/uuid:485474c0-2501-4ef0-a0bc-492e5c6c9d62 |
Page generated in 0.0125 seconds