Chasing balls through martingale fields (Q1872318): Difference between revisions
From MaRDI portal
Latest revision as of 15:53, 5 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Chasing balls through martingale fields |
scientific article |
Statements
Chasing balls through martingale fields (English)
0 references
6 May 2003
0 references
The solution of the equation \(\varphi_t(x) = x + \int_0^t M(ds,\varphi_s(x)) \in {\mathbb R}^d\) driven by a field of continuous martingales \(M(t,x)\) constitutes a flow of homeomorphisms in the initial point \(x \in {\mathbb R}^d\). The asymptotic behavior of the image \(\varphi_t(X)\) of compact connected subsets \(X \subset {\mathbb R}^d\) with more than one point, and of the path \(\varphi_t(x)\) of individual points \(x\), is studied for the dimension \(d\) larger than 1. Under some basic continuity and uniform ellipticity conditions it is shown that with probability one the diameter of the image \(\varphi_t(X)\) either grows linearly with \(t\) or shrinks to \(0\) when the time \(t\) tends to infinity. The existence of ballistic points \(x\), i.e.\ points such that \(\|\varphi_t(x) \|\) grows linearly with \(t\), travelling in every direction is proved via the stronger concept of ball chasing. Let \(\psi\) be a Lipschitz continuous process adapted to the filtration generated by \(M(t,x)\) and with Lipschitz constant bounded by the speed of growths of \(\varphi_t(X)\). Then the existence of an exceptional point \(x \in X\) such that the set of time points \(t\) such that \(\|\varphi_t(x) - \psi(t) \|\leq \varepsilon(t)\) is unbounded, has asymptotically positive density or contains every \(t \geq T\) for some \(T\) is proved. Here the function \(\varepsilon(t)\) is constant or proportional to the logarithm of \(t\). The proofs rely on a retraction principle formulated in the paper. The paper extends previous results of the authors together with \textit{M. Cranston} [Electron. Commun. Probab. 91-101 (1999; Zbl 0938.60048) and Ann. Probab. 28, No. 4, 1852-1869 (2000)].
0 references
stochastic flows
0 references
martingale field
0 references
dichotomy
0 references
ballistic points
0 references
exceptional points
0 references
supermartingale inequalities
0 references
submartingale inequalities
0 references
retraction principle
0 references