Conditions For Absolute Continuity Research Articles

Absorbing Markov decision processes

In this paper, we study discrete-time absorbing Markov Decision Processes (MDP) with measurable state space and Borel action space with a given initial distribution. For such models, solutions to the characteristic equation that are not occupation measures may exist. Several necessary and sufficient conditions are provided to guarantee that any solution to the characteristic equation is an occupation measure. Under the so-called continuity-compactness conditions, we first show that a measure is precisely an occupation measure if and only if it satisfies the characteristic equation and an additional absolute continuity condition. Secondly, it is shown that the set of occupation measures is compact in the weak-strong topology if and only if the model is uniformly absorbing. Several examples are provided to illustrate our results.

Quadratic Signaling With Prior Mismatch at an Encoder and Decoder: Equilibria, Continuity, and Robustness Properties

We consider communications through a Gaussian noise channel between an encoder and a decoder which have subjective probabilistic models on the source distribution. Although they consider the same cost function, the induced expected costs are misaligned due to their prior mismatch, which requires a game-theoretic approach. We consider two approaches: a Nash setup, with no prior commitment, and a Stackelberg solution concept, where the encoder is committed to a given announced policy <italic xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">a priori</i> . We show that the Stackelberg equilibrium cost of the encoder is upper semicontinuous, under the Wasserstein metric, as encoder’s prior approaches the decoder’s prior, and it is also lower semicontinuous with Gaussian priors. For the Stackelberg setup, the optimality of affine policies for Gaussian signaling no longer holds under prior mismatch, and thus, team-theoretic optimality of linear/affine policies are not robust to perturbations. We provide conditions under which there exist informative Nash and Stackelberg equilibria with affine policies. Finally, we show existence of fully informative Nash and Stackelberg equilibria for the cheap talk problem under an absolute continuity condition.

A Pointwise Condition for the Absolute Continuity of a Function of One Variable and Its Applications

An absolutely continuous function in calculus is precisely such a function that, within the framework of Lebesgue integration, can be restored from its derivative, that is, the Newton--Leibniz theorem on the relationship between integration and differentiation is fulfilled for it. An equivalent definition is that the the sum of the moduli of the increments of the function with respect to arbitrary pair-wise disjoint intervals is less than any positive number if the sum of the lengths of the intervals is small enough. Certain sufficient conditions for absolute continuity are known, for example, the Banach--Zaretsky theorem. In this paper we prove a new sufficient condition for the absolute continuity of a function of one variable and give some of its applications to problems in the theory of function spaces. The proved condition makes it possible to significantly simplify the proof of the theorems on the pointwise description of functions of the Sobolev classes defined on Euclidean spaces and Сarnot groups.

Irreducible decomposition for Markov processes

We prove an irreducible decomposition for Markov processes associated with quasi-regular symmetric Dirichlet forms or local semi-Dirichlet forms under the absolute continuity condition of transition probability with respect to the underlying measure. We do not assume the conservativeness nor the existence of invariant measures for the processes. As applications, we establish a concrete expression for Chacon–Ornstein type ratio ergodic theorem for such Markov processes and show a compactness of semi-groups under the Green-tightness of measures in the framework of symmetric resolvent strong Feller processes without irreducibility.

Continuity properties and the support of killed exponential functionals

For two independent Lévy processes ξ and η and an exponentially distributed random variable τ with parameter q>0, independent of ξ and η, the killed exponential functional is given by Vq,ξ,η≔∫0τe−ξs−dηs. Interpreting the case q=0 as τ=∞, the random variable Vq,ξ,η is a natural generalisation of the exponential functional ∫0∞e−ξs−dηs, the law of which is well-studied in the literature as it is the stationary distribution of a generalised Ornstein–Uhlenbeck process. In this paper we show that also the law of the killed exponential functional Vq,ξ,η arises as a stationary distribution of a solution to a stochastic differential equation, thus establishing a close connection to generalised Ornstein–Uhlenbeck processes. Moreover, the support and continuity of the law of killed exponential functionals is characterised, and many sufficient conditions for absolute continuity are derived. We also obtain various new sufficient conditions for absolute continuity of ∫0te−ξs−dηs for fixed t≥0, as well as for integrals of the form ∫0∞f(s)dηs for deterministic functions f. Furthermore, applying the same techniques to the case q=0, new results on the absolute continuity of the improper integral ∫0∞e−ξs−dηs are derived.

Alternative Cauchy equation in three unknown functions

In this paper we deal with the product of two or three Cauchy differences equaled to zero. We show that in the case of two Cauchy differences, the condition of absolute continuity and differentiability of the two functions involved implies that one of them must be linear, i.e., we have a trivial solution. In the case of the product of three Cauchy differences the situation changes drastically: there exists non trivial {mathcal {C}}^{infty } solutions, while in the case of real analytic functions we obtain that at least one of the functions involved must be linear. Some open problems are then presented.

Support characterization for regular path-dependent stochastic Volterra integral equations

We consider a stochastic Volterra integral equation with regular path-dependent coefficients and a Brownian motion as integrator in a multidimensional setting. Under an imposed absolute continuity condition, the unique solution is a semimartingale that admits almost surely Hölder continuous paths. Based on functional Itô calculus, we prove that the support of its law in Hölder norms can be described by a flow of mild solutions to ordinary integro-differential equations that are constructed by means of the vertical derivative of the diffusion coefficient.

On the exit time from open sets of some semi-Markov processes

In this paper we characterize the distribution of the first exit time from an arbitrary open set for a class of semi-Markov processes obtained as time-changed Markov processes. We estimate the asymptotic behaviour of the survival function (for large $t$) and of the distribution function (for small $t$) and we provide some conditions for absolute continuity. We have been inspired by a problem of neurophyshiology and our results are particularly usefull in this field, precisely for the so-called Leaky Integrate-and-Fire (LIF) models: the use of semi-Markov processes in these models appear to be realistic under several aspects, for example, it makes the intertimes between spikes a r.v. with infinite expectation, which is a desiderable property. Hence, after the theoretical part, we provide a LIF model based on semi-Markov processes.

Nonlinear elliptic equations with measure valued absorption potentials

We study the semilinear elliptic equation −∆u + g(u)σ = µ with Dirichlet boundary condition in a smooth bounded domain where σ is a nonnegative Radon measure, µ a Radon measure and g is an absorbing nonlinearity. We show that the problem is well posed if we assume that σ belongs to some Morrey class. Under this condition we give a general existence result for any bounded measure provided g satisfies a subcritical integral assumption. We study also the supercritical case when g(r) = |r| ^{q−1} r, with q > 1 and µ satisfies an absolute continuity condition expressed in terms of some capacities involving σ. 2010 Mathematics Subject Classification. 35 J 61; 31 B 15; 28 C 05 .

A Sufficient Condition for Absolute Continuity of Conjugations between Interval Exchange Maps

A class of topological equivalent generalized interval exchange maps of genus one and of the same bounded combinatorics is considered in the paper. A sufficient condition for absolute continuity of the conjugation between two maps from this class is provided

Renormalized solutions of semilinear elliptic equations with general measure data

In the paper we first propose a definition of renormalized solution of semilinear elliptic equation involving operator corresponding to a general (possibly nonlocal) symmetric regular Dirichlet form satisfying the so-called absolute continuity condition and general (possibly nonsmooth) measure data. Then we analyze the relationship between our definition and other concepts of solutions considered in the literature (probabilistic solutions, solution defined via the resolvent kernel of the underlying Dirichlet form, Stampacchia’s definition by duality). We show that under mild integrability assumption on the data all these concepts coincide.

On one condition of absolutely continuous spectrum for self-adjoint operators and its applications

In this work the method of analyzing of the absolutely continuous spectrum for self-adjoint operators is considered. For the analysis it is used an approximation of a self-adjoint operator \(A\) by a sequence of operators \(A_n\) with absolutely continuous spectrum on a given interval \([a,b]\) which converges to \(A\) in a strong sense on a dense set. The notion of equi-absolute continuity is also used. It was found a sufficient condition of absolute continuity of the operator \(A\) spectrum on the finite interval \([a,b]\) and the condition for that the corresponding spectral density belongs to the class \(L_p[a,b]\) (\(p\ge 1\)). The application of this method to Jacobi matrices is considered. As one of the results we obtain the following assertion: Under some mild assumptions, suppose that there exist a constant \(C\gt 0\) and a positive function \(g(x)\in L_p[a,b]\) (\(p\ge 1\)) such that for all \(n\) sufficiently large and almost all \(x\in[a,b]\) the estimate \(\frac{1}{g(x)}\le b_n(P_{n+1}^2(x)+P_{n}^2(x))\le C\) holds, where \(P_n(x)\) are 1st type polynomials associated with Jacobi matrix (in the sense of Akhiezer) and \(b_n\) is a second diagonal sequence of Jacobi matrix. Then the spectrum of Jacobi matrix operator is purely absolutely continuous on \([a,b]\) and for the corresponding spectral density \(f(x)\) we have \(f(x)\in L_p[a,b]\).

Absolute continuity of semimartingales

We derive equivalent conditions for the (local) absolute continuity of two laws of semimartingales on random sets. Our result generalizes previous results for classical semimartingales by replacing a strong uniqueness assumption by a weaker uniqueness assumption. The main tool is a generalized Girsanov’s theorem, which relates laws of two possibly explosive semimartingales to a candidate density process. Its proof is based on an extension theorem for consistent families of probability measures. Moreover, we show that in a one-dimensional Ito-diffusion setting our result reproduces the known deterministic characterizations for (local) absolute continuity. Finally, we give a Khasminskii-type test for the absolute continuity of multidimensional Ito-diffusions and derive linear growth conditions for the martingale property of stochastic exponentials.

An enlargement of filtration formula with applications to multiple non-ordered default times

In this work, for a reference filtration $\mathbb {F}$ , we develop a method for computing the semimartingale decomposition of $\mathbb {F}$ -martingales in a specific type of enlargement of $\mathbb {F}$ . As an application, we study the progressive enlargement of $\mathbb {F}$ with a sequence of non-ordered default times and show how to deduce results concerning the first-to-default, $k$ th-to-default, k-out-of-n-to-default or all-to-default events. In particular, using this method, we compute explicitly the semimartingale decomposition of $\mathbb {F}$ -martingales under the absolute continuity condition of Jacod.

Well-posedness of the stochastic neural field equation with discontinuous firing rate

We study the existence and uniqueness of mild solutions to the deterministic and the stochastic neural field equation with Heaviside firing rate. Since standard well-posedness results do not apply in case of a discontinuous firing rate, we present a monotone Picard iteration scheme to show the existence of a maximal mild solution. Further, we illustrate that general uniqueness does not hold, and therefore investigate uniqueness under suitable additional properties of the solutions. Here a novel criterion, the so-called absolute continuity condition is introduced. Moreover, we observe regularisation by noise: with a suitable choice of spatially correlated additive noise uniqueness is restored without imposing any additional structural assumptions.

General analytic characterization of gaugeability for Feynman-Kac functionals

We give a general analytic characterization of the gaugeability for generalized Feynman-Kac functionals involving continous additive functionals locally of zero energy generalizing the earlier work on the analytic characterization of the gaugeability of Feynman-Kac functional for absorbing Brownian motion on a bounded domain given by Aizenman-Simon (Commun Pure Appl Math 35(2), 209–273, 1982). The result also extends the previous known results on the analytic characterization of the gaugeability for generalized Feynman-Kac functionals in the framework of symmetric Markov processes satisfying irreducibility condition and absolute continuity condition.

On the stochastic regularity of distorted Brownian motions

We systematically develop general tools to apply Fukushima's absolute continuity condition. These tools comprise methods to obtain a Hunt process on a locally compact separable metric state space whose transition function has a density w.r.t. the reference measure and methods to estimate drift potentials comfortably. We then apply our results to distorted Brownian motions and construct weak solutions to singular stochastic differential equations, i.e. equations with possibly unbounded and discontinuous drift and reflection terms which may be the sum of countably many local times. The solutions can start from any point of the explicitly specified state space. We consider different kind of weights, like Muckenhoupt $A_2$ weights and weights with moderate growth at singularities as well as different kind of (multiple) boundary conditions. Our approach leads in particular to the construction and explicit identification of countably skew reflected and normally reflected Brownian motions with singular drift in bounded and unbounded multi-dimensional domains

Semilinear fractional elliptic equations involving measures

We study the existence of weak solutions to (E) (−Δ)αu+g(u)=ν in a bounded regular domain Ω in RN(N≥2) which vanish in RN∖Ω, where (−Δ)α denotes the fractional Laplacian with α∈(0,1), ν is a Radon measure and g is a nondecreasing function satisfying some extra hypotheses. When g satisfies a subcritical integrability condition, we prove the existence and uniqueness of weak solution for problem (E) for any measure. In the case where ν is a Dirac measure, we characterize the asymptotic behavior of the solution. When g(r)=|r|k−1r with k supercritical, we show that a condition of absolute continuity of the measure with respect to some Bessel capacity is a necessary and sufficient condition in order (E) to be solved.

Some remarks on [formula omitted]-adic Riesz products

We study the precise conditions for mutual absolute continuity and mutual singularity of two p-adic Riesz products, defined respectively by two coefficients sequences ak,bk. Our conditions are different from that appear in (Fan and Zhang, 2009) [6]. This paper can be viewed as a generalization of (Fan and Zhang, 2009) [6] in this topic. We also calculate the Hausdorff dimension of Riesz products.

Absolute Continuity Conditions for Multivariate Infinitely Divisible Distributions and Their Applications

Two sufficient conditions for absolute continuity with respect to the Lebesgue measure of multivariate infinitely divisible distributions are given. These conditions are applied for proofs of absolute continuity of infinitely divisible distributions whose Lévy measures have generalized polar decomposition with absolutely continuous radial part (GPDACR), defined in section 4 of the paper. Moreover, one of the conditions is applied to a proof of necessary and sufficient condition for the absolute continuity of transition probabilities of OU-type processes driven by Lévy processes.