From Lévy-type processes to parabolic SPDEs. Edited by Lluís Quer-Sardanyons and Frederic Utzet (Q504912)

This monograph is part of a series of monographs presenting advanced courses in mathematics organized by the Centre de Recerca Matemàtica (CRM) Barcelona. The two lecture notes presented in this volume are extended versions of lectures the authors gave at the Second Barcelona Summer School on Stochastic Analysis. René L. Schilling's course is dedicated to Lévy and Feller processes. The presentation also includes materials reviewing the classical theory of Markov processes, operator semigroups and random measures, which makes the notes self-contained and an excellent introductory material to the theory of Lévy and Feller processes. It consists of thirteen chapters, and an appendix discussing some classical results from probability theory. In the first chapter, the author introduces the idea of Lévy processes. Chapter 2 gives the precise definition and characterization of these processes. In Chapter 3, ``building examples'' (deterministic Lévy process, Brownian motion, Poisson process, compound Poisson process and stable process) are discussed. In Chapter 4, the author discusses the (strong) Markov property of Lévy processes and certain properties of the corresponding Markov transition function (semigroup property, Markovianity, contractivity, conservativeness and (strong) Feller property). Chapter 5 gives a brief overview of the classical theory of Feller semigroups, resolvents and their infinitesimal generators. In Chapter 6, the infinitesimal generator of a Lévy process is discussed. It is shown that it is a pseudo-differential operator whose symbol is exactly the characteristic exponent of the process, from which the Lévy-Khintchine formula is concluded. Chapter 7 discusses construction of general Lévy processes, while Chapter 8 gives elementary constructions of two special cases of Lévy processes: Poisson process and Brownian motion. In Chapter 9, a random measure from the jumps of a Lévy process is constructed, which is then used to derive the celebrated Lévy-Itô decomposition of Lévy processes. In Chapter 10, the author in an elegant way extends the classical theory of Itô's stochastic integration using random orthogonal measures. Chapter 11 introduces the notion of Feller processes and, using the famous Courrège theorem, the author shows that Feller generators are pseudo-differential operators with state-space-dependent symbol. This, in particular, implies that Feller processes admit a (state-space-dependent) Lévy-Khintchine formula. Furthermore in Chapter 12, a probabilistic interpretation of the symbol is given, as well as the relation of the ``Lévy triplet'' of a symbol and semimartingale decomposition of the process is discussed. In the final Chapter 13, the author comments how certain probabilistic properties of the process can be obtained through the symbol: estimates on the distribution of exit/entrance time from/in a ball by the process, moments estimates, Hausdorff dimension of its range, and short and long-time behavior of the sample paths. At the end of the notes the reader can find a very rich bibliography. Davar Khoshnevisan's notes discuss invariance and comparison principles for parabolic SPDEs. The presentation of the notes consists of six chapters, which are very rich with illustrative examples that follow theoretical results. Also, the notes include materials that review LCA groups, Lévy processes on LCA groups and the Walsh stochastic integral, making them self-contained and a very nice introductory material to the beautiful theory of SPDEs. Chapter 1 starts with the notion and a series of examples of LCA groups. It continues by introducing (space-time) white noise on LCA groups, the concept of Walsh integral and it ends with a discussion on integral kernels and stochastic convolutions. In Chapter 2, the author reviews some facts from the theory of Lévy processes and operator semigroups on LCA groups, and he also discusses the Kolmogorov-Focker-Planck equation for these type of processes. Chapter 3 is devoted to the main topic of these notes -- SPDEs of the parabolic type. It starts with the definitions of weak and mild solutions. Then, it discusses the Dalang condition (a sufficient condition for existence of a mild solution) in the context of Lévy processes on LCA groups, and it ends with a series of examples of classical SPDEs. In Chapter 4, the author investigates the first of the two proposed problems -- an invariance principle (``fluid limit'') of a system of infinitely many interacting particles. As an application of the invariance principle, comparison-type results are discussed in Chapter 5: positivity of the fluid limit of a positive infinite interacting particle system and moment comparison result for SPDEs (the Cox-Fleischmann-Greven theorem). In the last Chapter 6, the author briefly describes the theory of linear SPDEs forced by general space-time (colored) Gaussian noise. The notes are concluded by a very rich bibliography and complete index. In conclusion, this monograph is a very nice introductory material to the both subjects. It is nice to read and it provides exhaustive treatments of the topics.