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2023年1月3日星期二

Dini's Lemma

In our last project, we use Dini's lemma in one step of proof. This result, although should be part of undergraduate analysis, is really like magic. It says "the monotone convergence of continuous function $\{f_n\}_{n \in \mathbb{N}}$ to a continuous limit $f$ will give us locally uniform convergence. "

The monotone convergence is the key. For the case of decreasing sequence, we fix $N$, then for all $n > N$, then $f_n(y) - f(y) \leq f_N(y) - f(y)$. We then apply the classcial triangle inequality for a $\delta$-neighbor of $x$ for both $f$ and $f_N$ that 
$$f_n(y) - f(y) \leq f_N(y) - f(y) \leq \vert f_N(y) - f_N(x)\vert  + \vert f_N(x) - f(x)\vert + \vert f(x) - f(y)\vert. $$
Then only the information of $f_N$ and $f$ near $x$ can control all the convergence of sequence $n \geq N$.

2020年7月4日星期六

Maximal correlation

This is a question about the correlation. Let $X,Y$ be two Gaussion random variable $\mathcal{N}(0,1)$ with correlation $\beta$, then prove that the best constant of Cauchy inequality is 
$$Cov(f(X), g(Y)) \leq \vert \beta \vert \sqrt{Var(f(X)) Var(g(Y))}$$.

In fact, one can define the maximal correlation of random variable by the best constant above and of course it should be bigger than $\beta$. Let us remark how to prove the inequality above quickly. We can use the expansion by Hermit polynomial that we have 
$$\mathbb{E}[H_n(X) H_m(Y)] = \delta_{n,m} \left(\mathbb{E}\frac{1}{n!}[XY]\right)^n.$$
Then a centered $L^2$ functions have projection on $H_0$ zero. Then we have 
$$\mathbb{E}[f(X)g(Y)] = \sum_{n=1}^{\infty}\langle f, H_n \rangle \langle g, H_n \rangle \frac{1}{n!} \beta^n \\ \leq \vert \beta \vert \sqrt{\sum_{n=1}^{\infty}\langle f, H_n \rangle^2 \frac{1}{n!} } \sqrt{\sum_{n=1}^{\infty}\langle g, H_n \rangle^2 \frac{1}{n!} } \\ \leq \beta \vert \sqrt{Var(f(X)) Var(g(Y))}.$$
This concludes the proof.

2018年9月12日星期三

Analysis and PDE : Basic fact about evolution equation

Equation of the type evolution is one important topic in mathematics. Today,  I read some very theoretical basis of this subject.
$$
\partial_t f = \Delta f(x) + a(x) \cdot \nabla f(x) + c(x) f(x) + \int_{\mathbb{R}^d} b(y,x) f(y) dy
$$
with the condition that $a \in W^{1,\infty}, c \in L^{\infty}, b \in L^2(\mathbb{R^d \times R^d})$.
Although there are many equations (maybe of types  degenerate), but this model describes the equation of diffusion, of branching, of transport and also of mean-field, so it is already very large. Of course, we will talk about the  existence, uniqueness of this equation.

The main frame to talk about the evolution equation  is to design a Hilbert space $H$ and a Banach subspace $V \subset H$, the  advantage  is to use the duality of Hilbert space to get
$$
V \subset H = H' \subset V' .
$$
so we can talk about the weak solution of the equation and we use $|\cdot|, \|\cdot\|$ to  represent respectively the norm in $H$ and $V$.

One propose a good condition, similar to that of Lax-Milgram. If we denote by $L$ the generator, then we requires that
(1)$L : V \rightarrow V'$ is bounded.
(2)$L$ is coercive  + dissipative that $\langle Lg, g \rangle \leq - \alpha \|g\|^2 + b|g|^2$ for every $g \in V$.
This condition gives an inequality
$$
|g(T)|^2_H + 2 \alpha \int_0^T \|g(s)\|_V^2 ds \leq e^{2bT}|g_0|^2
$$
at first correct for a $g$ more regular and then we can pass to general function by approximation. This is the energy inequality, it says a lot of things and the most important the uniqueness and make sure that  the solution stays always in the function space $g \in L^{\infty}(0, T; H) \cap L^2(0,T;V) \cap H^1(0, T; V')$.

(One remark : the dissipative part just says  the Cauchy-Liptchitz condition. )

Later, we use a theorem : $ L^2(0,T;V) \cap H^1(0, T; V') \subset C([0,T];H)$. This makes sense when we do formally $g'$ and then we can manipulate as if it is regular.

The existence theory is a variant theorem of Lax-Milgram theory. When we discretize the problem, it becomes a variant elliptic equation in small discrete steps. Then, we do a sub-sequence of weak limit to get the solution of the equation. .

2018年7月20日星期五

Circle packing and its applications

One topic of this year's lecture of Saint-flour is about the circle packing, a very nice theory abridging complex analysis, probability and graph theory. I will record some main results in the two week's lectures.

Drawing circle packing : finite and infinite

A circle packing is a collection of disk $P$ to represent a planar graph.$G = (V, E)$, where the center of disk represents the vertex of graph and two disks are tangent if and only if the two vertex are connected.

For a circle  packing, we could draw easily a graph, but could we construct a circle packing from any planar graph ? This is the first question. The question could be answered by two steps : in finite case, we could have an algorithm to solve it by minimizing the energy, which depending only on the radius and for given radius we could draw the graph. Moreover, this drawing unique up to Mobius transform if we add an infinite point to make the out face a triangle.

In infinite case, the question is completed. However,  if we suppose that the bounded degree condition, this is a direct result of compactness.

Reversible Markov chain and electric network

The main question of the topic is to study the recurrence of a reversible Markov chain. In fact, we could always realize it by a electric network by designing conductance on the edges. The recurrence of an infinite simple random walk on this graph (Markov chain) is equivalent to say  $R_{eff}(x \leftrightarrow \infty) = \infty$. Very intuitively, this means that the effective resistance is infinite so we could not go to infinite freely.

Two useful lemma may be Dirichlet and Thomson : the voltage is a harmonic function which minimizes the energy and the current is unit flow which minimize the energy. 

By the electric network, the problem of recurrence is transformed to a problem of analysis of graph.

He-Schramn theorem : Classification of by circle packing

However, it's not easy to analyze the effective resistance. But He-Schramm theorem tells a classification of the infinite graph with only bounded degree : hyperbolic, circle packing in unit disk and transient; or parabolic, circle packing in plane and recurrent.

The main idea is that the circle packing provides a new view point to see the graph. The radius of disk gives something more than the distance on the graph, and this geometric information matches well with the analysis of resistance. If the circle packing is in plane, it could have a log increment of the effective resistance.

Benjamini-Schramm theorem

Our final object should be that of UIPT, which is a random object and the bounded degree condition is missing. To go pass it, a more powerful tool of Benjamini-Schramm theorem is called. This says that we could always start from some limit graph and if the object studied is a local limit of the finite, uniform rooted graph of bounded degree, it's current.

The proof of this theorem is tricky and depends mainly on a very nice estimate called "magic" lemma. Personally, I believe that this lemma has something to do with the maximal inequality and Whitney covering.

Recurrence of UIPT

The final step to prove UIPT requires all the preparation. Moreover, we apply some surgery to replacing some big degree vertex by some trees. This modification makes the Benjamini-Schramm theorem work since it reduces the degree of vertex. Moreover, some quantitative analysis is also needed to calibrate the increment of effective resistance, for example, we should know that the distribution of degree is exponential.


A final remark is that this  seems a nice proof, but how we collect all the necessary result of probability, graph theory and complex analysis ? This is a nice question. And the connection between these three area could be more profound in all senses.

2018年6月12日星期二

Analysis and PDE : Soblev space - integer and fractional type and inequality of Soblev

The Soblev space $W^{k,p}(\Omega)$ may be one of the most important tool in the domain of PDE. Its interest comes from two sides : from the view-point of mathematics, it engages on a lot of nice technique in functional and harmonic analysis. From the view-point of physic, some thing like 
$$\int_{\Omega} |\nabla u(x)|^2 dx < \infty$$
could be interpreted as the finite energy. Although the researchers use the embedding theorem everyday, sometimes when we would some more information from the constants, it's not easy, especially when we talk about the fractional order one $W^{s,p}(\Omega)$. The most direct way to illustrate its delicate usage may be a note. However, here we concentrate on the inequality of Soblev and Poincare type instead of the one of Holder type.


$W^{k,p}(\Omega), W_0^{k,p}(\Omega), W^{k,p}(\mathbb{R}^d)$

The definition of $W^{k,p}(\Omega)$ is just say that its all kind of weak derivative belongs to space $L^p(\Omega)$. However, since the function $C^{\infty}_0(\Omega)$ isn't always dense in this space, we have to define another guy as the closure under the norm of the former one. This case has no problem when we talk about the space $W^{k,p}(\mathbb{R}^d)$. The more tricky problem is that $W^{k,p}(\Omega)$ isn't the subspace of $W^{k,p}(\mathbb{R}^d)$ ! Luckily, we have one extension theorem to define $Ext(u)$ such that
$$\Vert Ext(u) \Vert_{W^{k,p}(\mathbb{R}^d)} \leq C(d,p,k, \Omega)\Vert u \Vert_{W^{k,p}(\Omega)}$$
But this theorem will use something about the property of $\Omega$. So this gives a very intuitive remark that the estimates about $W_0^{k,p}(\Omega), W^{k,p}(\mathbb{R}^d)$ don't use the property of $\Omega$ while the estimate of $W^{k,p}(\Omega)$ will use.


$W^{k,p}(\mathbb{R^d})$ and inequality of Soblev-Poincare

For $W_0^{k,p}(\Omega), W^{k,p}(\mathbb{R}^d)$, two useful inequalities are the Soblev inequality that
$$\Vert u\Vert_{L^{p*}(\mathbb{R^d})} \leq C(d,p,k)  \Vert \nabla^{k}u\Vert_{L^{p}(\mathbb{R^d})}$$
where $p*$ is some critical exponent that $p* = \frac{dp}{d - pk}$. Another important inequality is the one of Poincare that
$$\Vert u\Vert_{L^{p}(\mathbb{R^d})} \leq C(d,p,k) d(\Omega) \Vert \nabla u\Vert_{L^{p}(\mathbb{R^d})}$$
while this time it will gives one time of factor of $d(\Omega)$. The proof starts from the dense subspace $C^{\infty}_0(\Omega)$ and use the expression of integral. So it also works for the type of inequality of $u - (u)_{\Omega}$.

The interest of Poincare is that when we define the weighted norm
$$\Vert u\Vert_{\underline{W}^{k,p}(\Omega)} = \sum_{\beta \leq k}|\Omega|^{\frac{|\beta| - |k|}{d}}\Vert \partial^{\beta} u \Vert_{L^p(\Omega)}$$
we could just consider the last term that
$$\Vert u\Vert_{\underline{W}^{k,p}(\Omega)}  \simeq \Vert  \nabla^{k}u \Vert_{\underline{L}^{p}(\Omega)}$$
However, when we use the Soblev inequality, we get some supplementary power of the size.


$W^{s,p}(\Omega), W_0^{s,p}(\Omega), W^{s,p}(\mathbb{R}^d)$

Secondary, we think about another norm that
$$[u]^p_{W^{s,p}(\Omega)} = \int\int_{\Omega \times \Omega} \frac{|u(x) - u(y)|^p}{|x-y|^{d + sp}}dx dy$$
We draw an analogue when we define it in different context. However, this one isn't a norm since we observe that after a difference of constant, this semi-norm doesn't change. So when we talk about its norm, we have to add the one of $L^p$. One remark is that this semi-norm only take in account of the small size fluctuation. Two trivial inequalities are that
$$0 < s \leq s' < 1, [u]_{W^{s,p}(\Omega)} \leq (d(\Omega))^{s'-s}[u]_{W^{s',p}(\Omega)}$$


$$0 < s  < 1, [u]_{W^{s,p}(\Omega)} \leq C(d,p,s)(d(\Omega))^{1-s}\Vert \nabla u \Vert_{L^{p}(\Omega)}$$
They are correct for $u \in W_0^{s,p}(\Omega), W^{s,p}(\mathbb{R}^d)$, otherwise we have to add the constant of $C(\Omega)$.These two inequality share the same spirit of Poincare inequality that we use the diameter to replace the derivative. However, to get better description about the weighted norm, we have to think about other type of inequality. After all, we see that transform between the integer order and fractional order is always a little messy, although that we believe that they share the similar property. (As how we define them properly.)


$W^{s,p}(\mathbb{R}^d) \hookrightarrow  L^{p*}(\mathbb{R}^d)$

This result looks like the one of Soblev inequality : for $p* = \frac{dp}{d - ps}$ and $u \in W^{s,p}(\mathbb{R}^d)$, we have 
$$\Vert u\Vert_{L^{p*}(\mathbb{R^d})} \leq C(d,p,k)  [u]_{W^{s,p}(\mathbb{R^d})}$$
however, its proof is very tricky which uses many technique like decomposition dyadic. Once it's correct, we could also well take the highest derivative as the main part of the weighted norm that
$$\Vert u\Vert_{\underline{W}^{s,p}(\Omega)}  \simeq [u]_{\underline{W}^{s,p}(\Omega)}$$




$W^{1,p}(\mathbb{R}^d) \hookrightarrow  W^{s,p*}(\mathbb{R}^d)$

The final theorem, where we neglect the context since it's always same, is that for $0 < s < 1, p* = \frac{dp}{d + (s-1)p} \Leftrightarrow s - \frac{d}{p*} = 1 - \frac{d}{p}$, we have that 
$$ [u]_{W^{s,p*}(\mathbb{R^d})} \leq C(d,p,s)\Vert \nabla u\Vert_{L^{p}(\mathbb{R^d})}$$
To prove it, one important tool is Hardy-Littlewood-Soblev inequality. So this completes the relation between fractional and integer order Soblev space.

Conclusion

We got a lot of inequality. How to remember it ? Ok, we only have to take one ingredient in heart. The weighted norm eliminate the constant in the Poincare and Holder inequality, so we could use the highest derivative and any $p$ that we like. However, if we use the weighted norm of different order, the effect of scale always exists.  

2018年5月21日星期一

Analysis and PDE : Harmonic function

$\Delta u = 0$ may be one of the most important function in the PDE since it appears many times in different context and has nice properties : well, we have to say that its beautiful property implies the interesting result in physics and our natural. Here, we recall some basic property and proof strategy of this topic.

Classical solution

Although the existence should be considered as the first property necessary for study the object, maybe it's nicer to give some interesting property at first. We suppose that the solution is of class $C^2$, then one important formula is Stokes formula that 
$$\begin{eqnarray*}\int_{\partial \Omega} F \cdot \nu  d\sigma = \int_{\Omega} \nabla \cdot F(x) dx \end{eqnarray*}$$
$$\int_{\partial \Omega} u \nu  d\sigma = \int_{\Omega} \nabla u(x) dx $$
we apply this and obtain that in a domain of harmonic function we have 
$$\int_{\partial \Omega} \nabla u(x) \cdot \nu d\sigma = \int_{\Omega} \Delta u(x) dx = 0 $$
Furthermore, we obtain some useful formula as Green formula, we obtain the mean value principle that 
$$u(x) = \frac{1}{|\partial B_R(x)|}\int_{\partial B_R(x) }u(y) dy$$
One remarkable result is that this property improve the regularity as $C^{\infty}$ and it also implies the function is harmonic. (The proof is similar by the convolution below). Since if we do derivative, we get 
$$0 = \frac{d}{dr} \int_{\partial B_1(x) }u(x + ry) d\sigma = \int_{\partial B_1(x) }\nabla u(x + ry) \cdot \nu d\sigma = \frac{d}{dr} \int_{ B_r(x) } \Delta u(y) dy$$

A second important property is the Liouville proeprty. It says that a bounded harmonic function is trivial and is constant. The proof uses the fact that all the derivative are also harmonic 
$$|\partial_i u| \leq \frac{1}{\omega_d R^d} \int_{\partial B_R} |u| d\sigma \leq \frac{N}{R}\sup|u| \rightarrow 0$$
and then we use the mean value principle to analysis its size.

A third important property is the maximum principle. Idea is simple : the maximum and minimum of the function can only be attended at its boundary. Use the maximum principle, we prove that the uniqueness of the Dirichlet problem.

Weak solution is also classical solution

One very famous theorem Weyl states that all the weak solution that 
$$\int_{\Omega} u(x) \Delta \phi(x) dx = 0$$
for the test function $\phi \in C_c^{\infty}(\Omega)$ is also a strong solution of class $C^{\infty}$. The proof is very classical : we do convolution $u_{\epsilon} = u \ast \psi_{\epsilon}$. Then we prove that this function satisfies the harmonic by weak relation. Finally,  we pass this limit to the mean value principle. 
$$u_{\epsilon}(x) = \frac{1}{| B_R(x)|}\int_{ B_R(x) }u_{\epsilon}(y) dy \rightarrow u(x) = \frac{1}{| B_R(x)|}\int_{ B_R(x) }u(y) dy$$
Since this property doesn't require the regularity, we reprove that is is strong solution.

Existence

Finally, we come back to the problem of existence. There are two ways to prove the existence and it works in some more general framework. 
First one is the Lax-Milgram theorem. It treat the problem as find the inverse of operator in some function space 
$$a(u, v) = L(v)$$
The second one is the variational formation that we treat the solution  as a minimum of 
$$J(u) = \frac{1}{2}\int_{\Omega} |\nabla u|^2 dx - \int_{\Omega} f u dx$$
One can also deduce the characterization from one to another.

2018年5月16日星期三

Analysis and PDE : Covering and decomposition lemmas - Vitali, Calderon-Zygmund, Whitney

Some estimations a priori are important in PDE, while they come from some functional inequality, and some of them come from harmonic analysis and require some combinatoric covering lemma to prove it. This is a subject that I have learned several years ago from Prof. Hongquan LI when I was in Fudan. Today I spent a whole day to review them.

Vitali covering

When we study the Hardy-Littlewood maximal function 
$$\mathcal{M} f(x) = \sup_{r > 0} \frac{1}{|B_r(x)|} \int_{B_r(x)} f(y) dy$$
We would like to prove that this operator is of type strong $(p,p)$. The strategy is to prove that it is weak $(1,1)$ and strong $(\infty, \infty)$ and then uses the interpolation inequality. However, the weak $(1,1)$ isn't very clear. One tool used in the proof is so called Vitali covering. It says that for a covering $\{B_i\}_{i \geq 0}$ we could abstract a disjoint sub-covering $\{B_{kj}\}_{j \geq 0}$such that 
$$\bigcup_j^{\infty} B_{kj} \subset \bigcup_i^{\infty} B_i \subset \bigcup_j^{\infty} 3B_{kj}$$
This nice structure makes some sub-additive into additive and is very  useful in the proof.

Calderon-Zygmund decomposition

Calderon-Zygmund decomposition could be seen as a dyadic version of maximal inequality. We start by the system of dyadic cubes 
$$\mathcal{D} = \bigcup_{k \in \mathbb{Z}} \mathcal{D_k}$$ 
where $\mathcal{D_k}$ is the collection of cubes of  length $2^{-k}$. Then for any point $x$, it belongs to only one cube in the system $\mathcal{D_k}$. And any two cubes could be disjoint or one included in another - they could not have non-trivial intersection and difference at the same time. This decomposition is used to study singular integral, but at first we could use it to build a generalized cubic version of maximal function defined as 
$$\mathcal{M}_Q f(x) = \sup_{x \in Q \in \mathcal{D}} \frac{1}{|Q|} \int_{Q} f(y) dy$$

The first fact is that any open set in $\mathbb{R}^d$ could be built by the disjoint union of cubes. Idea is simple, we give one cube for each point $x$ such that $x \in Q \subset \Omega$. Then we mesh them if one belongs to another.

We apply this idea to the open set 
$$A_{\lambda} = \{x | \mathcal{M}_Q f(x)  \geq \lambda \}$$
and for each point, we choose the largest $Q$ admit. This works once we suppose $f \in L^1(\mathbb{R}^d)$ where an infinite cubes make it null. Then we know that this gives a perfect partition of the open set.
$$A_{\lambda} = \bigsqcup_{i=1}^{\infty}Q_i$$
Moreover, we know that the average at each cube is less than $2^d \lambda$ if $f$ is positive by the stopping time property, and $ \mathcal{M}_Q f(x) < \lambda \text{ a.e }$ for the point outside $A_{\lambda}$ by the Lebesgue differential theorem.  

Whitney decomposition

Finally, we give a stronger version of Whitney decomposition. It is also a dyadic decomposition but has two more properties
1, The distance of one cube from $\Omega^c$ is comparable to its length.
2, If two cubes are neighbors, their lengths are comparable.
So this decomposition looks more balanced.

Its construction is a little tricky : it applies a "level by level peeling" to cover the level by the distance to the boundary. Then we do mesh. This make the decomposition always comparable by some distance. 

2018年5月11日星期五

Analysis and PDE : Caccioppoli, Morrey, Holder and ergodic of heat equation

Since I will study my PhD in SPDE, I have to find back my once very solid capacity in analysis and PDE. Maybe, the best way is to record some nice estimation that I have met in exercises and articles.

Functional inequality Morrey

We start from some functional inequality, the most classical but powerful tools of all analysis. We state the Morrey inequality. Generally speaking, if in domain $\Omega$ and a $L^2(\Omega)$ function, all the oscillation satisfies $\forall x \in \Omega, B_r(x) \subset \Omega,$
$$
 \frac{1}{|B_r(x)|} \int_{B_r(x)} |f(y) - (f)_{ B_r(x) } |^2 dy \leq M^2 r^{2 \alpha} 
$$
then we could say that this function has a a.e modification of class $C^{0, \alpha}$ Holder. A very easy corollary is to replace the oscillation by a gradient function and Poincare. The idea of proof comes from the Lebesgue differential theorem :
$$
a.e \lim_{r \rightarrow 0} (f)_{ B_r(x) } = f(x)
$$
so it suffices to pass all the estimation to the function $(f)_{ B_r(x) }$ and use "three difference trick" to the theorem.

One Holder interpolation

As the Soblev injection tells us, roughly speaking, the Holder space is a little better than all the $L^{p}$ space. Inspired by the interpolation theorem, we would like to obtain the Holder interpolation. One is
$$
\|f\|_{L^{\infty}(B_r)} \leq C \|f\|^{\frac{2\alpha}{d+2\alpha}}_{\underline{L}^{2}(B_r)}\left(r^{\alpha}[f]_{C^{0, \alpha}(B_r)}\right)^{\frac{d}{d+2\alpha}}
$$
This tells us that if we have the function Holder + $L^2$ implies also $L^{\infty}$. This may be seen as one part of the Soblev injection, but we recall a little its proof. Idea isn't difficult but wise : we find a small ball such that the value in it is at least 1/2 maximum and then we compare its $L^2$ norm. Thanks to the regularity, the radius of ball should not be so small and we get the result.

Caccioppoli inequality

Then we come to elliptic equation :
$$- \nabla \cdot (a(x) \nabla u(x)) = h$$
The regularity is one heart question in the research and one estimation used many many times in it is the Caccioppoli inequality
$$\|\nabla u\|_{\underline{L}^{2}(B_{r/2})} \leq C \left( \frac{1}{r} \|u -  (u)_{ B_r(x) }\|_{\underline{L}^{2}(B_r)} + \|h\|_{\underline{H}^{-1}(B_r)}\right)$$
The interpretation is very natural : this bound doesn't require the regularity of the coefficients but enlarge a little the domain. In fact, it tells us the interior of the solution is more regular while the outside may be a little pike.

Functional inequality Nash

Finally, we come to study the behavior of heat equation. We know that it will decrease generally, and one useful functional inequality is Nash that $\forall f \in L^1(\mathbb{R}^d) \bigcap H^1(\mathbb{R}^d)$ we have
$$
\|f\|^{1+2/d}_{L^2} \leq \|f\|^{2/d}_{L^1} \|\nabla f\|_{L^2}
$$For the solution of heat equation, we can apply easily the bound of $L^1 \rightarrow L^\infty, L^1 \rightarrow L^1$. By the decreasing of heat flow
$$
\frac{d}{dt}\|u(t, \cdot)\|^2_{L^2} = - \|\nabla u(t, \cdot)\|^2_{L^2}
$$
and Nash inequality we obtain
$$\|u(t, \cdot)\|_{L^2} \leq C t^{-d/4}\|u(0, \cdot)\|_{L^1}$$
The interpolation works and we obtain
$$\|u(t, \cdot)\|_{L^2} \leq C t^{-\frac{d}{2}(1-1/p)}\|u(0, \cdot)\|_{L^1}$$


Ergodic of heat equation

Finally, we would like to study the ergodic property. We suppose that the initial data $u(0, \cdot)$ is Z-periodic. In this case, we have $\forall t > 1$
$$
\|u(t, \cdot) - (u)_{\Box}\|_{L^{\infty}(\Box)} \leq \exp(-ct)
$$
Idea comes from the $L^2$ estimates and Holder estimates. The former is the result of decreasing of heat flow and the latter is the result of convolution. Then the two combine. We remark that when the time is small, we could not expect a better one since the average is of range $1/\sqrt{t}$ and could not regularize better.


2018年4月6日星期五

TCL theorem for one type Riemann integral of Brownian motion


This is one question in the exercise of "Local time and excursion", but I think it is very interesting.

We consider a measurable function $g$ and a Brownian motion $(B_t)_{t \geq 0}$ one integral defined as  
$$A_t = \int_0^t g(B_s)ds$$
means the integration along the path. We suppose that $g$ is intégrable then this formula makes sense. Well, if $g$ is continuous this is obvious : although there is random part, it's in fact a Riemann integral (or Lebesgue) of continuous function. In general case, we apply a very useful formule called time of occupation
$$\int_0^t g(B_s)ds = \int g(a) L^a_t(B)da$$
Then, since $\left(L^a_t(B)\right)_{a \geq 0}$ is continuous and zero at infinity, the one has a max so $A_t$ is well defined.
One more remark for this formule : One large advantage of Lebesgue integral is the introduction of measure, so when we compare two integral, we have not to compare it point-wisely, but cut them into blocks. However, the integral like Riemann isn't good, but local time transform it again with the style of Lebesgue one. The stochastic integral face the same problem, luckily we have Ito, Doob, BDG so we can make that one like "one deterministic term + one random error".

Our main theorem is to prove that
$$\frac{1}{\sqrt{t}} A_t \Rightarrow \int g(a)da |N|$$
where $N \sim \mathcal{N}(0,1)$. This convergence is in weak sense.

We remark why this formula should be correct. One important observation is one Levy's theorem that
$$\left( L^0_t, |B_t| \right)_{t \geq 0} = (\text{law})  \left( S_t, S_t - B_t \right)_{t \geq  0}$$
So we have obviously $\frac{1}{\sqrt{t}}L^0_t$ has the same law as $|N|$. For the local time at other level, once it is touched, it will behavior like $L^0_t$.

However, the problem is that : the convergence in law of sigle random variable doesn't mean the convergence in law of random process. I make the this phrase red to point out the danger. But we know that $a \rightarrow L^a_t(B)$ is also continuous, so what's the error term ? Could this error disappear after the normalization of $\frac{1}{\sqrt{t}}$ ?

We have to go back to the analysis of the regularity of the local time. Using the Tanaka formule
$$L^a_t(B) = 2(B_t - a)^ +  - 2(B_0 - a)^ + - 2\int_{0}^t \mathbb{1}_{\{B_s > a\}} dB_s$$
We  obtain that
$$L^a_t(B) - L^0_t(B) = \left[2(B_t - a)^ +  - 2(B_0 - a)^ + \right] - \left[2(B_t )^ +  - 2(B_0 )^ +\right] + 2\int_{0}^t \mathbb{1}_{\{0 < B_s \leq a\}} dB_s$$
We would like to say that $L^a_t(B) - L^0_t(B)$ is uniformly little. The difficulty is the last one stochastic integration. However, we see that when $s$ grows, it's very rare that the Brownian motion could stay in the interval so it contributes very little to the integral (even in a stochastic one !). The powerful tool like BDG inequality tells totally the moment of this random variable. We estimate the tail so with large probability $1 - \epsilon$, the process will converge uniform to a $|N|$ process. We write down the proof properly by the density argument etc and conclude the proof.

Finally, I have to say once I come to the part of analysis the size of a random variable, the training in the course of statistic helps really a lot. That may be why we say probability and statistics are always together. (Oui, et analyse est aussi son bon amie)

2017年9月13日星期三

Rappel de probabilité (4) : convergence en loi et TCL

On continue de réviser la base de probabilité et dans cette partie, on veut attaquer le problème de convergence en loi. Peut-être il y déjà un poste sur la convergence dans un espace métrique, mais le TCL et la fonction caractéristique a quand même des intérêts.

Convergence en loi dans $\mathbb{R}$

La définition de convergence en loi dans la situation $\mathbb{R}$ est assez simple et elle est définie par
$$ F_n(x) \rightarrow F(x) $$
pour tous les points de continuité. Un peu d'analyse nous dit que cette convergence est uniforme. Il y a plusieurs façons de caractériser la convergence. Par exemple, on dit $\mu_n \Rightarrow \mu$ si pour toute la fonction continuée et bornée, on a
$$\mu_n(f) \rightarrow \mu(f)$$

Il y a d'autre critère comme l'ensemble ouvert et fermé. 
$$\forall O \text{ouvert}, \liminf \mathbb{P}(X_n \in O) \geq \mathbb{P}(X \in O)$$
Une méthode de mémoriser l'inégalité est une suite de Dirac masse qui converge vers un point dans l’adhérence. La version fermée et bord est aussi facile à décrire.

On remarque dans la démonstration de $\mathbb{R}$, la représentation est assez directe i.e si $X_n \Rightarrow X$, on peut les tous mettre dans un espace en commun tel que $X_n \rightarrow X$ presque sûrement.

D'autre cas spécifique, comme le théorème de Scheffé, qui nous dit si la variable aléatoire a une densité $f_n$ et $f_n \rightarrow f$ ponctuellement, on a aussi la convergence car l'intégration de densité est toujours 1.

Tension

On liste la notation de tension dehors car elle a un rôle très important et peut être généralisé dans d'autre espace. Gros-moto, une suite est tendue si et seulement $\forall \epsilon > 0,$ il existe un compact $K_{\epsilon}$ tel que
$$\sup_n \mathbb{P}(X_n \notin K_{\epsilon}) < \epsilon$$.

L'intérêt de cette propriété est que une suite de mesure est pré-compact si et seulement elle est tendue. Donc, montrer la tension est suivant une partie important de convergence en loi. Une stratégie standard est l'argument "tension + convergence de loi marginal".

Fonction caractéristique 

On utilise aussi la fonction caractéristique d'analyser la convergence faible de variable aléatoire. La raison profonde est l'analyse de Fourier car la fonction caractéristique est la transformée de Fourier d'une mesure. Dans le livre de Durret, on voit beaucoup d'application de la fonction caractéristique. En fait, une formule utile est
$$ \frac{1}{2}(\mu(a) + \mu(b)) + (\mu((a,b)) = \frac{1}{2\pi} \lim_{T \rightarrow \infty} \int_{-T}^{T} \frac{e^{-ita}-e^{-itb}}{it}\phi(t) dt$$

Dans le cas où la fonction caractéristique est intégrable et donc la mesure a une densité, on peut retrouver la densité par la transformée inversée.
$$ f(x) = \frac{1}{2\pi} \int e^{-itx} \phi(t) dt $$

Combiner la propriété de tension et la propriété de fonction caractéristique, si la fonction caractéristique d'une suite de mesure converge, il a une convergence qui s'appelle la convergence vague. i.e la fonction de répartition n'est pas vraiment une fonction de répartition car l'information à limite est perdu. Cependant, si cette fonction a une continuité à 0, la suite a tension donc elle converge vers une mesure.

TCL, Poisson et loi stable

Finalement, on parle un peu du théorème de TCL et loi stable. La démonstration de TCL est classique est directe par la fonction caractéristique, mais on devrait savoir que c'est juste une situation très idéale. En fait, la convergence en loi est un peu robust, dans le sens que ce théorème est correct sous la condition plus faible. Pour le TCL c'est le théorème de Lendeberg-Feller.

La convergence vers une loi de Poisson est souvent appelée "le convergence de petite nombre" car il approche la probabilité d'événement rare. On peut aussi mesurer la vitesse de convergence en distance total - qui est une bonne distance de convergence en loi pour l'état discret.  

En concernant la loi stable, c'est une situation que variance n'est pas fini. Donc on fait une normalisation différente. Les variables $X$ étudiées dans ce problème a une vitesse de décroissance comme $x^{- \alpha}, 0 < \alpha < 2$. Sa limite $Y$ a une propriété que $\forall n, \exists a_n, b_n$ tel que
$$\frac{\sum_{k=1}^n Y_k - b_n}{a_n} \overset{d}{=} Y$$. Pour la paramètre $\alpha$, la normalisation est $n^{\frac{1}{\alpha}}$.

Dans d'autre espace polonais, certaine définition est aussi bien définie mais certaine ne marche plus, surtout ceux qui utilisent la fonction caractéristique, qui demande l'existence de transformée de Fourier.

 

2017年9月1日星期五

Rappel de probabilité (3) : le théorème de grand nombre

La théorème de grand nombre est une théorie très importante dans probabilité, mais sa démonstration peut être assez technique sous différentes conditions. Pour la suite, on raconte quelques histoires sur le théorème de grand nombre.

La théorie plus classique suppose que $\{X_i\}$ sont i.i.d et sa variance est finie. Sous cette condition, on a inégalité de Markov
$$
 \mathbb{P}[\frac{S_n}{n} > \epsilon] <  \frac{Var(X)}{n \epsilon^2}
$$
qui suffit d’entraîner la loi faible. Concernant la loi forte, on choisit une sous-suite et montre la convergence p.s grâce au lemme de Borel-Cantalli. Puis on contrôle les erreurs entre eux. Cette technique est la base de beaucoup de démonstration.

Pour aller plus loin, une direction est supprimer la condition de variance. Dans ce cas, il faut utiliser la technique de troncature comme
$$
Y_n = X_n \mathbb{I} _{X_n < n}
$$
Cette technique a des propriétés incroyable mais pas évidant :
(1) Avec probabilité 1, il y a que nombre fini de $X_n \neq Y_n$
(2) $\sum_n [Var(Y_n / n)] < \infty$

La première propriété est très utile, il nous dit que l'étude de convergence se réduit comme le comportement de $Y_n$. La deuxième a beaucoup d'application. Soit on suit la même chemin que la méthode classique : montre une convergence de sous-suite et contrôle les erreurs entre eux. Soit on utilise la méthode de Kolmogorov.

La méthode de Kolmogorov est en fait, utiliser l'idée de martingale. En utilisant la convergence de martingale $L^2$, on montre p.s $\sum_n \frac{Y_n}{n}$ converge. Puis, un lemme de Kronecker - un lemme pure d'analyse maths, qui nous dit que dans cette situation,  $\frac{\sum_{k=1}^n Y_k}{n}$ converges.

La situation sans $L^1$ est aussi possible d'étudier mais cela dépend de démonstration. La loi faible peut se généraliser dans le cas de variable aléatoire corrélée ou $L^1$ faible. Mais quelques fois, on essaie aussi d'autre normalisation.

2017年6月20日星期二

Séminaire 20/06/2017 : Journée pour Yves Meyer

Il y a longtemps que je n'ai pas écrit mon blog. Aujourd'hui la séminaire à ENS Cachan est la journée pour célébrer lauréat de médaille d'Abel Yves Meyer, le fondateur de la théorie ondelette.  J'aimerais dire que j'ai déjà connu très bien l'histoire sur l'ondelette quand j'étais à l'université et c'était à la fois le premier choix de ma thèse. En conséquence, retrouver ces connaissances est comme un bon souvenir pour moi. Ici, j'ai rappelle quelques exposées intéressantes.

L'ondelette est une collection de base de $L^2(\mathbb{R})$, engendrée par translation et le changement d'échelle, orthogonal et quelques fois ils ont aussi des propriétés de décroissance, support compact etc. Généralement, ils ont la forme
$$
\psi_{j,n}(t) = \frac{1}{\sqrt{2^j}} \psi (\frac{t - 2^j n}{2^j})
$$
Dans dimension 2 la structure est un peu plus compliquée. Quand on fait le codage, c'est comme dans la transformation de Fourier, mais en fait, on garde que les coefficients plus grands que un seuil qui jette les autre termes  moins importants. Cette opération  nous permet de compresser les informations et c'est la base de JPEG. Dans l'implémentation, on utilise l'algorithme de pyramide. Malheureusement, quand Mallat raconte l'histoire, il a dit l'homme n'a plus de l'algorithme JPEG2000 car il pense que la qualité de JPEG est assez bon.

La méthode d'ondelette code l'information du signal couche par couche, bloque par bloque.

Mais dans le traitement d'image, il a d'autre technique. Un s'appelle BV décomposition. La formule est
$$
Photo = Cartoon + Texture
$$
C'est la décomposition de semi-martingale.  Dans une image, il y toujours une bonne partie comme une fonction de BV et une autre mauvaise partie comme bruit. On sépare les deux et utilise que un parmi eux.

L'aventure d'ondelette n'est pas finie. Il y a des applications dans la détection d'onde gravitationnelle, l'apprentissage approfondi etc. La racine de méthode réelle viens de la méthode complexe, mais on veut un peu plus que la méthode complexe  pour traiter le cas pas régulier. En plus, on espère de retrouver le secret dans l'algorithme de Le Cun.

J'ai  demandé aussi la question sur la simulation de géométrie imaginaire. La réponse est : la localisation est possible mais il y toujours des problème au bord. La généralisation de l'énergie de Dirichlet est faisable mais on a besoin de le refaire a la main.

2017年5月31日星期三

Séminaire 30/05/2017 : Courbure de Ricci sur graphe

Cette séminaire est très intéressante car elle réponds ma question sur comment définir une courbure sur un graphe, même si pour l'instant, la définition ne suffit pas de retrouver toutes les propriétés géométriques. Comme je travaille maintenant  sur la carte aléatoire et la gravité quantique, j'aimerais vraiment avancer encore une étape d'attaquer la partie géométrique. Pour la suite, je vais taper plusieurs propositions dans cette séminaire.(D'après Hervé Pajot)

Rappelle de géométrie Riemannienne 

Soit $M$ une variété muni de métrique $g$, on peut définir la distance de courbe $$L(r) = \int_0^1 \sqrt{g(\frac{\partial r}{\partial t}, \frac{\partial  r}{\partial t})}dt$$
et la volume $$ Vol(A) = \int_A \sqrt{det(g)} dx$$

En plus, on peut aussi définir la courbure de Ricci, qui reflet beaucoup de propriétés de cette variété. Par exemple, on sait que une variété avec la courbure de Ricci positive a une croissance de volume comme dans l'espace $\mathbb{R}^d$. Et surtout, borné en bas nous permet d'utiliser l'inégalité de Poincaré. Donc, on aimerait d'avoir une généralisation dans espace métrique.

Espace métrique

Différent que la variété Riemannienne, dans un espace métrique, la distance de courbe n'est pas bien défini à priori. C'est pour ça, on travaille dans un espace métrique, mesuré, de distance $(X, d, \mu)$. Une manière de construction est la courbure d’alexandra, qui est invariant sous la convergence de distance de Gromov-Haussdorff. D'ailleurs, la variété avec la courbure de Ricci positive  est pré-compacte dans l'espace $(K, d_{GH})$. 

Espace Wasserstein

Dans  la recherche de transport optimal,  on utilise souvent la distance de Wasserstein et l'espace de Wasserstein $(P(X), W_2)$. En fait, si l'espace $X$ est de distance, ainsi que l'espace de Wasserstein. Donc il existe géodésique entre deux distribution. Plus précisément, les élément dans  $(P(X), W_2)$ sont tous distribution de probabilité et une géodésique $\mu_t$ est la courbe plus courte de relier $\mu_0$ et $\mu_1$. Comme ça on sait comment trouver le transport optimal, c'est juste  trouver cette géodésique.

En utilisant cette idée, les mathématiciens définissent aussi une généralisation de courbure de Ricci qui s'appelle N-Ricci. Soit une une suite d'espace de courbure  positive, alors sa limite dans le sens de Gromov-Haussdorff est aussi de courbure positive. En plus, sur l'espace comme ça, on peut appliquer l'inégalité de Poincaré.

Généralisation sur graphe

Même si l'on a plusieurs manière de définir la courbure de Ricci sur un graphe, mais dans mon avis, ils ne retrouvent pas toutes les propriétés. Peut-être c'est aussi parce que l'objet étudié par probabiliste est plus concret et la description d'analyse ne suffit pas de tout dessiner.

2017年5月11日星期四

Séminaire 11/05/2017 : Probabilité de demain

This is the second edition of the seminar of this doctor probability seminar. Here I just cite some high light.

2D Ising model by Dmitry Chelkak : this is a topic which has been studies longtime, but there are still many questions open and the most  tremendous progress is found in recent year. We may  know the scaling limit of the interface of hexagon is $SLE_6$, but how about the others ? In fact, the scaling limit of the configuration is related to a similar random process - CLE conformal loop ensemble, another varied version of SLE. Moreover, a complete system of discrete complex analysis and discrete holomorphic tools are developed. There are a lot of open questions like Ising model on random maps.

Recurrence relation and dimer model by Paul Melotti : We can find a direct correspondent relation between recurrence series and the partition function of dimer model, which helps us express it explicitly, I ask the question if we could also find the recurrence for given partition function ? The answer is negative  since the recurrence is always polynomial and this is not the case for any partition function - the integrable  problem.

Flips of the triangulation on the sphere by Thomas Budzinski : The uniform triangulation is now a very popular topics. However, how we construct them ? The natural way is Monte-Carlo. We start from a configuration and we try  to flip the configuration like MCMC metropolis method. Using the $n^4$ growth and the bottleneck property, Thomas gives a inferior bound for the mixing time as $n^{\frac{5}{4}}$. However, the upper bound is missing (but he says numerical result is like this.) And we want if we could do better ?

Expander by Simon Coste : OK, this is the topic of my PSC at Polytechnique. This talk still gives me some new idea. From the point of random graph, the distribution of random value has demi-circle law and this can be generalized to some more general case - graph oriented, We ask if random map could be a expander ? It seems not but we need to add the weight ... Anyway, the spectral analysis also is an important  technique in random model.

A nonlinear SPDE by Perla EI Kettani : WOW, I find something that I look forward longtime. Once, I ask if Gaussian free field has some application in analysis and this is one example. If we consider the coefficient of each element of orthogonal base is not only a gaussian but also a Brownian motion, we  generally use the stochastic analysis frame to treat PDE, Therefore, the GFF is one type of noise as one of my friend comments on my simulation. So, probability and analysis interacts and I believe that there will be more applications.

Deformation of random field by Julie Fournier : I didn't understand much but it seems like the deformation of random field.

Bismut-Elworthy-Li formula by Henri Elad Altman : Henri fires ! This talk is about the strong Feller property. Just like the transport equation can only keep the regularity but the diffusion equation can improve the regularity, we ask the same question for the semi-group. This formula applies for a general Ito process given that the drift isn't so degenerated. This tool is essential  for the study of some kinds of equation like equation of KPZ.

Cost functional for large random trees by Marion Sciauveau : We would like to generalize  the cost functional from a discrete random tree to a continuous tree coded by Brownian excursion. Before we do the convergence and in fact, we can also embed the discrete tree into the continuous tree. The cost functional helps study the DC complexity.

Hypercube percolation by Remco van der Hofstad : A exhaustive study about the percolation on the hypercube, It is hard to imagine that the work is done without simulation. The critical point is given by
$$
\mathbb{E}_{p_c}[C_0] = 2^{n/3}
$$
and the window is about $2^{-n/3}$, which means in this period we see a drastic transition of phase.

I think a seminar like this gives us a quick understand of different direction of probability, since the subject is always very various in this domain. On the other hand, to make new friends during the seminar is also interesting. However, to see those who grow up together from prepa, master and become collaborator is an envy.



2017年5月3日星期三

Séminaire 03/05/2017 : Courbe de mesure

Résumé d'exposé d'après Hugo Lavenant sur le problème de transport optimal.

Problème de transport optimal
Sur un ensemble $\Omega$ on peut définir l'ensemble de mesure de probabilité $\mathcal{M}_1(\Omega)$. Un problème de transport optimal est chercher une manière de transport tel qu'il commence par une probabilité $\rho_0$ et termine par une autre $\rho_1$ ce coût est minimal.

Mathématiquement, l'ensemble de probabilité de transition est
$$
\Pi(\rho_0, \rho_1) = \{\pi \in \mathcal{M}_1(\Omega \times \Omega)| \forall A \in \mathcal{B}(\Omega) , \pi(A, \Omega) = \rho_0(A),  \pi(\Omega,A) = \rho_1(A)          \}
$$
et le coût est donné par la distance de Wasserstein
$$
W^2_2 (\rho_0, \rho_1) = \min_{\pi \in \Pi(\rho_0, \rho_1) } \{ \int_{\Omega \times \Omega} |x - y|^2 d\pi(x,y) \}
$$.

Bien sûr, on peut généraliser la distance ici par d'autre norme ou utiliser une distance double.


Courbe de mesure
Un théorème de Radmender nous dit dans l'espace $\mathbb{R}^d$, une fonction lipschitzienne est presque comme une fonction dérivée et on peut appliquer la formule Newton-Leibniz. En fait, c'est un résultat direct d'une fonction absolument continuée. Si on définit une flot
$$
\rho : [0, 1] \rightarrow \mathcal{M}_1(\Omega)
$$
qui est aussi lipschitzienne dans le sens de distance de Wasserstein. Alors,
$$
\frac{W_2 (\rho_{t+h}, \rho_{t})}{h}
$$
existes mais $W_2 (\rho_{t+h}, \rho_{t}) \leq \int_{t}^{t+h} |\partial \rho_t| dt$.

L’intérêt de courbe de mesure est de construire une mesure sur l'espace $\Gamma = C([0, 1], \Omega)$ donc c'est l'ensemble. Alors une mesure sur l'espace comme ça est un peu compliquée mais on rappelle qu'il est espace polonais. Donc, pour une flot, il existe une mesure $\mu \in \mathcal{M}_1(\Gamma)$ tel que
$$
 \rho_t(A) = \mu [\gamma \in \Gamma, \gamma(t) \in A]
$$
puis l'intégration
$$
\int_0^1  |\partial \rho_t|^2 dt = \int_{\Gamma} \left(\int_0^1  |\partial \gamma(t)|^2 dt\right)d\mu(\gamma)
$$
 Un dernier remarque : Cette façon relie beaucoup la analyse et la théorie de probabilité et surtout a un esprit de l'intégration de chemin. Imagine est-ce que l'on a chance de l'utiliser dans la géométrie aléatoire ? On va voir.


2017年4月17日星期一

Hard sphere model (1) : Introduction

The hard sphere model starts from the very basic assumption of classical mechanics and attempts to prove the convergence from microscopic model to macroscopic model.

Notation and basic assumption

We starts from $N$ particles following the rules of classical mechanics and each one can be designed $z_i = (x_i, v_i) \in \mathbb{T}^d \times \mathbb{R}^d, i = 1, 2, 3, \cdots N$. After one collision, the change of speed is expressed as
$$
\begin{eqnarray*}
v' &=& v - ((v - v_1)  \cdot r) r \\
v'_1 &=& v_1 - ((v_1 - v) \cdot  r) r
\end{eqnarray*}
$$

The mechanics can be reversed once we change the direction of time and speed, in another word, this system is reversible. To avoid the  abuse of notation, we always define the evolution of system in a suitable subset of all configuration like
$$
D^N_{\epsilon} = \{(z_1, z_2, \cdots z_N), \forall i \neq j, |x_i - x_j| < \epsilon \}
$$
We define the density of the configuration in a produit probability space on $\mathbb{T}^d \times \mathbb{R}^d$. Some analysis can deduce that : We can define all the configuration on the probability space except a null set.

M_{\beta}^{\otimes N}(V_N)

Boltzmann-Grad scaling and Boltzmann equation

For a single particle, its density has an invariant law following the Liouville equation $$ \partial_t f(t,x) + v \cdot \partial_x f(t,x) = 0 $$ 

We generalize this equation to $N$ hard sphere model, then the Liouville equation is 

$$ \partial_t f_N(t,Z_N) + \sum_{i = 1}^N v_i \cdot \partial_{x_i} f_N(t,Z_N) = 0 $$ 

Since we would like to study the particle chaotic phenomena, a nature idea is to calculate its invariant measure - we know the limit measure is always the invariant measure. In this case, the invariant measure is called Boltzmann measure which is 

$$M_{N, \beta} = \frac{1}{\mathcal{Z}_N} \mathbb{1}_{D^{N}_{\epsilon}}(Z_N) M_{\beta}^{\otimes N}(V_N)$$ 

this one is not exactly a Maxwell-Boltzmann distribution in cause of the exclusion condition. But some detailed analysis tells us that we can do "almost" factorization of the measure to the product of the probability.  

$$|(M_{N, \beta}^{(s)} - M_{\beta}^{\otimes s}) \mathbb{1}_{D^s_{\epsilon}}| \leq C^s \rho M_{\beta}^{\otimes s}$$

In the further blog, we will study the convergence in different context precisely. We will show that, the distribution is very near to the distribution of the solution of linear Boltzmann equation $\partial_t f + v \cdot \nabla_x f = \alpha Q(f,f)$.

Entropy paradox

Entropy introduced by Shannon and Boltzmann is a genius idea to describe the disorder degree as $H(t) = \int_{D^N_{\epsilon}}  - f_N(t, Z_N) \log{f(t,Z_N)} dZ_N$. According to this definition, the entropy of the solution of hard sphere model is constant, but that of the solution of Boltzmann equation will increase. 

In our course, we list two models to explain this paradox. The two baby model like Kac ring model and Ehrenfest model are all reversible, so they have a period or Poincare recurrence result. However, the time to appear the chaos is faster than the period. That is also the case in hard sphere model : we will see the recurrence perhaps, but it takes long long long time and during this time, the chaos repeat again and again. So how do you regard it? A deterministic system or a random system? You got the answer.

2017年3月19日星期日

An Olympiad inequality Iran96

One day, Xiaoke asks me an Olympiad inequality, which recalls me of a lot of beautiful memories.

For any $a,b,c \in \mathbb{R}$, try to prove$$(ab + bc + ca)(\frac{1}{(a+b)^2} + \frac{1}{(b+c)^2} + \frac{1}{(c+a)^2}) \geq \frac{9}{4}$$

This is a very hard inequality named "Iran96". In the WeChat post, it is said that this one is so hard that many students who participates in competitions cannot solve  it. I believe that it is a little exaggerated. Even for a Olympiad question, this is not the most difficult one.

Let us do some transform.

$$LHS = 4\sum [a^5b + b^5 a + 2a^4 b^2 + 2 a^2 b^4 + 5  a^4 bc + 3 b^3 c^3 + 13 a^3  b^2 c + 13  a^3 b c^2 + 8  a^2b^2c^2]$$
$$RHS = 90a^2b^2c^2 + 9\sum[a^4b^2 + a^2b^4 + 2a^3b^3 + 6a^3b^2c + a^2b^3c + 2 a^4bc]$$

We do some simplification and finally we have to prove this inequality$$\sum[4 a^5b + 4ab^5 + 2a^4bc + 2a^2b^2c^2] \geq \sum[a^4b^2 + a^2b^4 + 6b^3c^3 + 2a^3b^2c + 2a^3bc^2]$$

It reduces to three inequalities$$\begin{eqnarray*}3\sum(a^5b + ab^5) &\geq& 3\sum a^3b^3\\\sum(a^5b + ab^5) &\geq& \sum(a^4b^2 + a^2 b^4)\\2abc(\sum a^3 + 3abc) &\geq& 2abc\sum(a^2b + ab^2)\end{eqnarray*}$$

The last one is a very famous inequality called inequality of Schur.

2017年2月28日星期二

SLE (1) : A magical random evolution

When I came to France, I have spent longtime thinking about my future and the research field when I stayed in language school. One day, I read a introductory article which states a theorem that

"The Hausdorff dimension of the frontier of Brownian motion is  $\frac{4}{3}$"



I know the definition of Hausdorff dimension. A dimension mesures the fractal object, a good definition but very hard to calculate in maths. Usually, the mathematician gives its upper bound and lower bound but no exact value. How we reach it?

Some further search tells me a word - Schramm-Loewner Evolution, a magical random evolution relates many different models in maths and physics, especially those with fractal structure.

"Yes, it is the maths I want." I told myself and I begins the journey to understand it.

What is SLE

In short, SLE gives us a generally method to define a growing random set $K_t$, which can be considered as the scaling limit of some other random model, such as the interface of the Ising model, the frontier of the Browmian motion, and the limit of uniform spanning tree etc. 

More surprisingly, the description of the random compact set depends only on an equation - Yes, it is the most successful method ever existed for mathematicians and physicians to study the natural phenomena, and moreover, SLE relates the complex analysis and stochastic analysis together, so it takes advantages of a lot of theorems in both these fields. 

But we have to say, there exists a lot of open problems to study, since our nature is so complicated and the physical or biological models are difficult and specific enough - we have to spend a longtime understanding them.

How to define a growing compact set

The classical complex analysis studies conformal mapping and the Riemann mapping theorem tells us there is unique mapping between two domain such that the one point is fixed an the distortion at this point is also fixed. We denote $\mathbb{H}$ the half-upper plane. For a compact set $K$ such that $\mathbb{H} \backslash K$ is simple connected, we have a conformal mapping

$$
\Phi : \mathbb{H} \backslash K \rightarrow \mathbb{H}
$$

We make a linear transform (Hydrodynamic normalisation) such that the $\Phi$ has a analytic development near infinity
$$
\Phi(z) = z + \frac{2a(K)}{z} + o(\frac{1}{z^2}) \dots
$$

We remark that this mapping $\Phi$ exists using Schwartz reflection theorem and is the only one such that
$$
\| \Phi(z) - z \| \rightarrow 0 \text{ as } z \rightarrow \infty
$$

Here, $a(K)$ is called the capacity of $K$ since it measures how big $K$ is, An interesting property is that if we throw a 2-D Brownian motion starting from $Z_0 = iy$ and let $\tau$ be the exiting time of $\mathbb{H} \backslash K$, then
$$
2a = \lim_{y \rightarrow + \infty} y\mathbb{E}[Im(Y_{\tau})]
$$
this means that the capacity is a real positive number.

There is a lot of properties about this maps, such as the composition of map makes just makes the sum of capacity and the scaling property.
$$
\begin{eqnarray*}
a(\Phi_1 \circ \Phi_2) &=& a(\Phi_1) + a(\Phi_2)\\
a(\lambda K) &=& \lambda^2 a(K)\\
\end{eqnarray*}
$$

We would like this application be dynamical - that is to say we would like to define a family of mapping $g_t$ which corresponds to the standard mapply from
$$
\mathbb{H} \backslash K_t \rightarrow \mathbb{H}
$$
Obviously, this time, the series of compact set $K_t$ should have some condition. In maths, it requires that $K_t$ grows locally slowly, monotone and have good paramatrization $a(K_t) = t$. We can prove that, in this case, the growing random compact set can be characterized  by a ODE. - Loewner equation
$$
\partial_t g_t(z) = \frac{2}{g_t(z) - U_t}
$$
The ODE is well define if only there is no sigularity. We call $w_t$ the driven function and we know at the end of the lifetime $\tau$
$$
g_{\tau}(z) = U_{\tau}
$$
otherwise, we can always extend our solution.

In fact, we can treat $g_t(z)$ in two ways. First, we fix $z$, then $g_t(z)$ is a solution of ODE and we get the value of time t. Second, we fix t, then $g_t(z)$ becomes a conformal mapping. Generally, the first one is easier to get calculate the value, but if we would like to get the set $K_t$, the second is more intuitive. $K_t$ is the $z$ such that well define until the time $t$. Formally,
$$
K_t = \mathbb{H} \backslash g_t^{-1}(\mathbb{H})
$$
We have also the analytic serise
$$
g_t(z) = z + \frac{2t}{z} + o(\frac{1}{z})
$$

Some connection between harmonic function and BM is known for longtime, such as the law of BM is same after a normalized conformal mapping. The connection between this equation and probability theory is to make the driven funciton $w_t$ a random process like BM. We will states it in the next section.


Chordal SLE

We studies at first one kind of SLE which starts at 0 and walks always on the half-plan $\mathbb{H}$. We define $SLE_{\kappa}$ as following.

$$
\begin{eqnarray*}
\partial_t g_t(z) &=& \frac{2}{g_t(z) - U_t}\\
g_0(z) &=& z\\
U_t &=& \sqrt{\kappa}B_t
\end{eqnarray*}
$$

Generally, what makes different is that the driven function is a Brownian motion. But we know that the Brownian motion has some universality  in certain sense. We list some most basic properties that make the chordal $SLE_{\kappa}$ different. We recall that the random object here is the compact set $K_t$ and the function aims to help us understand the random compact set.

  1. Markov on domain. Let $T$ be a stopping time, then
    $$
    \begin{eqnarray*}
    g_T(K_{T+t} \backslash K_T) - U_T & \perp & \mathcal{F_T}\\
    g_T(K_{T+t} \backslash K_T) - U_T & \sim^{d} & K_t\\
    \end{eqnarray*}
    $$
  2.  Scaling invariace
    $$
    \frac{1}{\sqrt{\lambda}}K_{\lambda t} \sim^{d} K_t
    $$
  3.  Symmetry.
    $$
    -K_t \sim^{d} K_t
    $$

We can compare these three properties with the basic properties of Brownian motion. There are just totally parallel, That is why the researcher now consider SLE as a basic random object in dimension 2 as Brownian motion.

However, one would like to know why the driving function must be a Brownian motion. In fact, in many statistical physics, it requires a conformal Markov property.
$$
\text{ Conformal Markov preperty } = \text{ Markov on domain } + \text{ Scaling invariance }
$$
In this case, we come back to see that the driving function should be stationary, independant increment and scaling invariant, so the only choice is Brownian motion.

Phase transition

The phase transition is a very interesting topic in chordal $SLE_{\kappa}$. A baby version is to consider how the $K_t$ will eat the axis. The theorem is 
  • If $\kappa \leq 4$, a.s $\bigcup_{t \geq 0} K_t \bigcap \mathbb{R} = \{0\}$
  • If $\kappa > 4$, a.s $\mathbb{R} \subset \bigcup_{t \geq 0} K_t$
The main idea is to write $X_t = \frac{g_t(1) - U_t}{\sqrt(\kappa)}$ then this problem transforms to  a problem of Bessel process and we get the result wanted.

The proof that the $SLE_{\kappa}$ is generated by a curve is more difficult, but if we admit this property, using the Markov property that $g_t(K_{t+s}) - U_t \sim^{d} \tilde{K}_s$, then when $\kappa \leq 4$, the curve after $g_t(K_{t+s}) - U_t$ will not touch the axis, which means that it will not intersect itself and the curve is a simple curve. This is a very interesting result. 

2017年2月1日星期三

MMB (1) : Large deviation

This term, I take two courses M2 in Paris  Orsay and Polytechnique respectively in order to enrich my knowledge in probability. Today, Pascal talks about the large deviation theory.

We know the central limit theory, that is for $\{X_i\}$ i.i.d with finite variance
$$
\sqrt{M} (\bar{X}_M - \mathbb{E}[X] ) \Rightarrow \mathcal{N}(0, Var(X))
$$
However, this gives only the estimation in gap $\sigma$, but what happens for the distribution in large distance from the mean?

This requires the tool of large deviation estimation, This is a basic tool in mathematics and is used every in probability and statistics. For probabilistes, large deviation gives the probability of the events atypical and sometimes the correlation function estimation. For statisticiens, this gives the interval of confiance non-asymptotic. In a word, this is a necessary tool.

Inequality of Chernoff

We start from the typical Markov inequality
$$
\mathbb{P}\left[S_n / n - \mathbb{E}[X] > x\right] = \mathbb{P}[e^{\theta( {S_n}/{n} - \mathbb{E}[X])} > e^{\theta x}]
$$
So we get
$$
\mathbb{P}\left[S_n / n - \mathbb{E}[X] > x\right] \leq e^{- n I(x)}
$$
where we define
$$\begin{eqnarray}
\phi(\theta) &=& \log \mathbb{E}[e^{\theta X}] \\
I(x) &=& \sup_{\theta \in R} \theta x - \phi(\theta)
\end{eqnarray}$$
However, from this simple inequality, a lot technique is developed.


Inequality of Hoeffding

We can give a better estimation for the case $X$ is bounded in $[a,b]$, that is 
$$
\mathbb{P}\left[S_n / n - \mathbb{E}[X] > x\right] \leq \exp(- \frac{2 x^2}{n(b-a)^2})
$$
Idea is to develop the function $\phi$ in 0 and then give a good estimation.

Some generalized version is also possible. For exemple, we can consider not only one function, but a family of function - in another word, a dictionary. The more general theorem depends largely on the theory of covering, or approximation.

Inequality of for Gaussian

However, a big obstacle of the inequality of Hoeffding is that the condition of bound. How to treat the unbounded function, for example, Gaussian, a large class of function?

An idea is a the inequality of type entropy. The entropy of a function under the mesure $\mu$ is to define 
$$ Ent_{\mu}(f)  = \mathbb{E}(f  \log{(f)}) - \mathbb{E}(f) \log{(\mathbb{E}(f))}$$
In some case, the mesure $\mu$ verifies the inequality of log-Soblev such that
$$ Ent_{\mu}(f^2) \leq C_{\mu} \mathbb{E}_{\mu}(|\nabla f|^2) $$
In this case we can deduce an inequality
$$ \mathbb{P}(|f(Y) - \mathbb{E}(f(Y))| > \epsilon) \leq 2 \exp{(-\frac{\epsilon^2}{C_{\mu}|f|^2_{Lip}})}$$ 
It is the type of inequality of large deviation. A natural question is whether the mesure verifies the inequality of log-Soblev. It requires analysis and the answer for Gaussian is positive. However, a general case is just one branch of research.

Theorem of Gramer

A more general principle is the theorem of Gramer, which gives not only the upper bound but also the lower bound of a distribution.
$$\begin{eqnarray}
-\inf_{x \in \Gamma^{O}}I(x)
\leq \liminf_{n \rightarrow \infty} \frac{1}{n} \log \mathbb{P}\left[S_n / n \in \Gamma \right] \\
\leq \limsup_{n \rightarrow \infty} \frac{1}{n} \log \mathbb{P}\left[S_n / n \in \Gamma \right]
\leq -\inf_{x \in \Gamma^{F}}I(x)
\end{eqnarray}$$

In the course, we analyse in detail some properties of the function $\phi(\theta)$ and $I(x)$, like their convexity, zeros and monotony. The upper side is also like the Chernoff upper bound, while the left lower bound use the change of probability to prove it.

2016年11月9日星期三

BS formula, PDE and Mote-Carlo

In mathematical finance, a key problem is the price of the derivative, for example the price of the option. This semester, I take a standard master course in X, which gives me so much impression: How a system can train the mathematics financial engineer as quickly as possible. After all, there are beautiful maths in it. Here, I would like to take some point.


Preparation: Martingale, Brownian motion, Ito calculus

Before beginning the study of mathematical finance, some basic knowledge is necessary. Basic probability, large number theory and central limit is far from sufficient, but the the theory Martincale is also important. We can find a previous article in my blog. Then, the trajectory most common in maths-finance is the standard BM. Yes, we can generate some others like Poisson process, Markov process, Levy process and branching process, but the most basic one is the BM, the scaling limit of the simple random walk, who simulate the behavior of large number of investor in the market.

Personally, I believe the research about the random curve itself is interesting enough, but in maths-finance, what makes sense is the Ito calculus, which makes the integration along a random trace has sense. The integration can be defined for H^2 space, local martingale and even semi-martingale, considering adding one term of finite variation. The construction of these space and integration can be seen as a special application of real analysis and functional analysis.


Mathematics weapons: PDE vs Proba, Numeric vs Mote-Carlo, Feyman-Kac

A key formula who plays an important role and make connection of maths-finance with other domain is the Feyman-Kac formula. This formula tells us that, for calculating the expectation of some random variable, we can study a PDE associated using the generator. The inverse procedure is also correct: to treat a type of parabolic equation, we can also study the associated random process. 

In practice, these two branches also lead to different realization: numerical solution or Mote-Carlo method. Personally, the Mote-Carlo method is easier to implement, but is it necessarily better? No idea, because after we will see other examples.

Feyman-Kac can also treat the Dirichlet question, which associate not a heat equation but a Poisson equation.


Application in the context of finance

The maths-finance is not a course pure probability, so we cannot ignore the part practical. For example, in the pricing, what's the principal? If we do not make it clear, those weapons will be abused. 

There are two principle, one is no arbitrage and the other is perfect replication. The perfect replication is simple, there is no option in the nature, so when we vend one option, we have to prepare  some strategy to produce these service so that we can  give the money. However, the production procedure follows also one condition self-finance, from what we see the final PDE. Then, the no arbitrage principal makes sense. That is the price should be exact the expectation. If not, the other has arbitrage principal to make money.

When we draw conclusion, we always say that the price is the expectation after actualization under the risk neutral measure. This simple phrase uses the change of probability, the PDE and other knowledge. We pay attention that the price does not depend on the change of the stock! But just the volatility. The drift is in fact erased in the neutral risk. We know, the final object of pricing is that equilibrium but not profit!


Beyond the Feyman-Kac

From the technique part, but also the maths-financial part, the Feyman-Kac is not enough since the generator is always linear. But for some general case? For example, the optimization problem, what we do?

The answer is BSDE, an advanced method that give a backward method to solve the equation.

In addition, some other option can make the pricing totally into a maths game. The existence and uniqueness of the SDE has also some practical meaning: the count cannot be infinite in debt. So the  finance and maths interact one with the other, just like my tutor Pierre does.