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The paper discusses and surveys some aspects of the potential theory of subordinate Brownian motion under the assumption that the Laplace exponent of the corresponding subordinator is comparable to a regularly varying function at infinity. This extends some results previously obtained under stronger conditions., Comment: 49 pages

This is the first part of a possible monograph on the duality of Markov processes. It contains a proof of Fitzsimmons' existence theorem of a moderate Markov dual process relative to an excessive measure, m, together with the necessary preliminary material. Then this is applied to prove the correspondence between optional copredictable homogenous random measures and sigma finite measures not charging m-exceptional sets again following Fitzsimmons. The second part which may never be written would deal with duality proper including results from, but not limited to, my joint paper with P. J. Fitzsimmons"Potential Theory of Moderate Markov Dual Processes" which appeared in Potential Anal.(2009) 31:275-310. Complete proofs of all results not appearing in standard books are given with the one exception of Dellacherie's result characterizing semipolar sets., Comment: 78 pages

The Martin compactification is investigated for a d-dimensional random walk which is killed when at least one of it's coordinates becomes zero or negative. The limits of the Martin kernel are represented in terms of the harmonic functions of the associated induced Markov chains. It is shown that any sequence of points x_n with lim_n |x_n| = \infty and lim_n x_n/|x_n|= q is fundamental in the Martin compactification if up to the multiplication by constants, the induced Markov chain corresponding to the direction q has a unique positive harmonic function. The full Martin compactification is obtained for Cartesian products of one-dimensional random walks. The methods involve a ratio limit theorem and a large deviation principle for sample paths of scaled processes leading to the logarithmic asymptotics of the Green function.

In this short article, we shall study one-dimensional local Dirichlet spaces. One result, which has its independent interest, is to prove that irreducibility implies the uniqueness of symmetrizing measure for right Markov processes. The other result is to give a representation for any 1-dim local, irreducible and regular Dirichlet space and a necessary and sufficient condition for a Dirichlet space to be regular subspace of another Dirichlet space., Comment: 13 papes

For $d\geq 1$ and $\alpha \in (0, 2)$, consider the family of pseudo differential operators $\{\Delta+ b \Delta^{\alpha/2}; b\in [0, 1]\}$ on $\R^d$ that evolves continuously from $\Delta$ to $\Delta + \Delta^{\alpha/2}$. In this paper, we establish a uniform boundary Harnack principle (BHP) with explicit boundary decay rate for nonnegative functions which are harmonic with respect to $\Delta +b \Delta^{\alpha/2}$ (or equivalently, the sum of a Brownian motion and an independent symmetric $\alpha$-stable process with constant multiple $b^{1/\alpha}$) in $C^{1, 1}$ open sets. Here a "uniform" BHP means that the comparing constant in the BHP is independent of $b\in [0, 1]$. Along the way, a uniform Carleson type estimate is established for nonnegative functions which are harmonic with respect to $\Delta + b \Delta^{\alpha/2}$ in Lipschitz open sets. Our method employs a combination of probabilistic and analytic techniques., Comment: 36 pages, no figure

We prove an uniform boundary Harnack inequality for nonnegative functions harmonic with respect to $\alpha$-stable process on the Sierpi{\'n}ski triangle, where $\alpha \in (0, 1)$. Our result requires no regularity assumptions on the domain of harmonicity.

We study the regularity of a diffusion on a simplex with singular drift and reflecting boundary condition which describes a finite system of particles on an interval with Coulomb interaction and reflection between nearest neighbors. As our main result we establish the Feller property for the process in both cases of repulsion and attraction. In particular the system can be started from any initial state, including multiple point configurations. Moreover we show that the process is a Euclidean semi-martingale if and only if the interaction is repulsive. Hence, contrary to classical results about reflecting Brownian motion in smooth domains, in the attractive regime a construction via a system of Skorokhod SDEs is impossible. Finally, we establish exponential heat kernel gradient estimates in the repulsive regime. The main proof for the attractive case is based on potential theory in Sobolev spaceswith Muckenhoupt weights.

In this paper, we shall prove that the irreducibility in the sense of fine topology implies the uniqueness of invariant probability measures. It is also proven that this irreducibility is strictly weaker than the strong Feller property plus irreducibility in the sense of original topology, which is the usual uniqueness condition., Comment: 5 pages

These notes constitute the introduction to potential theory I exposed at the XIIth brazilian school of probability inside Elisabetta Scoppola's Introduction to Metastability., Comment: Lecture notes, 49 pages, 2 figures

We consider reversible random walks in random environment obtained from symmetric long--range jump rates on a random point process. We prove almost sure transience and recurrence results under suitable assumptions on the point process and the jump rate function. For recurrent models we obtain almost sure estimates on effective resistances in finite boxes. For transient models we construct explicit fluxes with finite energy on the associated electrical network., Comment: 34 pages

In this paper we explore two constructions of the same family of metric measure spaces. The first construction was introduced by Laakso in 2000 where he used it as an example that Poincar\'e inequalities can hold on spaces of arbitrary Hausdorff dimension. This was proved using minimal generalized upper gradients. Following Cheeger's work these upper gradients can be used to define a Sobolev space. We show that this leads to a Dirichlet form. The second construction was introduced by Barlow and Evans in 2004 as a way of producing exotic spaces along with Markov processes from simpler spaces and processes. We show that for the correct base process in the Barlow Evans construction that this Markov process corresponds to the Dirichlet form derived from the minimal generalized upper gradients., Comment: v3: 25 pages, heavily revised background theory in early sections. v2: 30 pages; added 2 sections, complete revision of proofs. v1: 23 pages; revised acknowledgements

We describe the set of bounded harmonic functions for the Heckman--Opdam Laplacian, when the multiplicity function is larger than 1/2. We prove that this set is a vector space of dimension the cardinality of the Weyl group. We give some consequences in terms of the associated hypergeometric functions., Comment: [V2]: terminology "radial function" changed in "W-invariant function". One reference added

Conditions are given, sufficient for the distribution of an Ornstein-Uhlenbeck process with L\'evy noise to be absolutely continuous or to possess a smooth density. For the processes with non-degenerate drift coefficient, these conditions are a necessary ones. A multidimensional analogue for the non-degeneracy condition on the drift coefficient is introduced., Comment: Submitted to Probability Theory and Mathematical Statistics

In this paper necessary and sufficient conditions are presented for heat kernel upper bounds for random walks on weighted graphs. Several equivalent conditions are given in the form of isoperimetric inequalities., Comment: graphics are not included

We consider a system of $d$ linear stochastic heat equations driven by an additive infinite-dimensional fractional Brownian noise on the unit circle $S^1$. We obtain sharp results on the H\"older continuity in time of the paths of the solution $u=\{u(t, x)\}_{t \in \mathbb{R}_+, x \in S^1}$. We then establish upper and lower bounds on hitting probabilities of $u$, in terms of respectively Hausdorff measure and Newtonian capacity.

The purpose of this paper is to find optimal estimates for the Green function of a half-space of {\it the relativistic $\alpha$-stable process} with parameter $m$ on $\Rd$ space. This process has an infinitesimal generator of the form $mI-(m^{2/\alpha}I-\Delta)^{\alpha/2},$ where $0<\alpha<2$, $m>0$, and reduces to the isotropic $\alpha$-stable process for $m=0$. Its potential theory for open bounded sets has been well developed throughout the recent years however almost nothing was known about the behaviour of the process on unbounded sets. The present paper is intended to fill this gap and we provide two-sided sharp estimates for the Green function for a half-space. As a byproduct we obtain some improvements of the estimates known for bounded sets specially for balls. The advantage of these estimates is a clarification of the relationship between the diameter of the ball and the parameter $m$ of the process. The main result states that the Green function is comparable with the Green function for the Brownian motion if the points are away from the boundary of a half-space and their distance is greater than one. On the other hand for the remaining points the Green function is somehow related the Green function for the isotropic $\alpha$-stable process. For example, for $d\ge3$, it is comparable with the Green function for the isotropic $\alpha$-stable process, provided that the points are close enough., Comment: 33 pages

We study infinite tree and ultrametric matrices, and their action on the boundary of the tree. For each tree matrix we show the existence of a symmetric random walk associated to it and we study its Green potential. We provide a representation theorem for harmonic functions that includes simple expressions for any increasing harmonic function and the Martin kernel. In the boundary, we construct the Markov kernel whose Green function is the extension of the matrix and we simulate it by using a cascade of killing independent exponential random variables and conditionally independent uniform variables. For ultrametric matrices we supply probabilistic conditions to study its potential properties when immersed in its minimal tree matrix extension., Comment: 4 figures

We consider sequences of additive functionals of difference approximations for uniformly non-degenerate multidimensional diffusions. The conditions are given, sufficient for such a sequence to converge weakly to a W-functional of the limiting process. The class of the W-functionals, that can be obtained as the limiting ones, is completely described in the terms of the associated W-measures, and coincides with the class of the functionals that are regular w.r.t. the phase variable., Comment: 17 pages; submitted to TViMC (Theor. Probability and Math. Statist.)

We obtain a global estimate of the transition density $p^n(0,x)$ associated to a nearest neighbor random walk, called here "simple", on affine buildings of type $\widetilde{A}_r$. Then we deduce a global estimate of the Green function. This is the analogue of a result on Riemannian symmetric spaces of the noncompact type.

It is proved that the weak large deviation principle of the scaled processes $Z^\eps(t) = \eps Z(t/\eps)$ implies the weak large deviation principle for the scaled Green's measures of the Markov process $Z(t)$., Comment: 13 pages

In this paper characterizations of graphs satisfying heat kernel estimates for a wide class of space-time scaling functions are given. The equivalence of the two-sided heat kernel estimate and the parabolic Harnack inequality is also shown via the equivalence of the upper (lower) heat kernel estimate to the parabolic mean value (and super mean value) inequality.

For any \alpha in (0, 2), a truncated symmetric \alpha-stable process is a symmetric Levy process with no diffusion part and with a Levy density given by c|x|^{-d-\alpha} 1_{|x|< 1} for some constant c. In previous paper we have studied the potential theory of truncated symmetric stable processes. Among other things, we proved that the boundary Harnack principle is valid for the positive harmonic functions of a truncated symmetric stable process in any bounded convex domain and showed that the Martin boundary of any bounded convex domain with respect to this process is the same as the Euclidean boundary. However, for truncated symmetric stable processes, the boundary Harnack principle is not valid in non-convex domains. In this paper, we show that, for a large class of not necessarily convex bounded open sets called bounded roughly connected \kappa-fat open sets (including bounded non-convex \kappa-fat domains), the Martin boundary with respect to any truncated symmetric stable process is still the same as the Euclidean boundary. We also show that, for truncated symmetric stable processes a relative Fatou type theorem is true in bounded roughly connected \kappa-fat open sets., Comment: 33 pages. Final version. To appear in Journal of Theoretical Probability (JOTP)

Stochastic Loewner Evolutions (SLE) with a multiple sqrt(kappa)B of Brownian motion B as driving process are random planar curves (if kappa<=4) or growing compact sets generated by a curve (if kappa>4). We consider here more general Levy processes as driving processes and obtain evolutions expected to look like random trees or compact sets generated by trees, respectively. We show that when the driving force is of the form sqrt(kappa)B+theta^(1/alpha)S for a symmetric alpha-stable Levy process S, the cluster has zero or positive Lebesgue measure according to whether kappa<=4 or kappa>4. We also give mathematical evidence that a further phase transition at alpha=1 is attributable to the recurrence/transience dychotomy of the driving Levy process. We introduce a new class of evolutions that we call alpha-SLE. They have alpha-self-similarity properties for alpha-stable Levy driving processes. We show the phase transition at a critical coefficient theta=theta_0(alpha) analogous to the kappa=4 phase transition., Comment: 34 pages

Recently we extended the concept of intrinsic ultracontractivity to non-symmetric semigroups and proved that for a large class of non-symmetric diffusions Z with measure-valued drift and potential, the semigroup of Z^D (the process obtained by killing Z upon exiting D) in a bounded domain is intrinsic ultracontractive under very mild assumptions. In this paper, we study the intrinsic ultracontractivity for non-symmetric discontinuous Levy processes. We prove that, for a large class of non-symmetric discontinuous Levy processes X such that the Lebesgue measure is absolutely continuous with respect to the Levy measure of X, the semigroup of X^D in any bounded open set D is intrinsic ultracontractive. In particular, for the non-symmetric stable process X, the semigroup of X^D is intrinsic ultracontractive for any bounded set D. Using the intrinsic ultracontractivity, we show that the parabolic boundary Harnack principle is true for those processes. Moreover, we get that the supremum of the expected conditional lifetimes in a bounded open set is finite. We also have results of the same nature when the Levy measure is compactly supported., Comment: 24 pages

In this paper, we study properties of the dual process and Schrodinger-type operators of a non-symmetric diffusion with measure-valued drift. Let mu=(mu^1,..., mu^d) be such that each mu^i is a signed measure on R^d belonging to the Kato class K_{d, 1}. We show that a killed diffusion process with measure-valued drift in any bounded domain has a dual process with respect to a certain reference measure. For an arbitrary bounded domain, we show that a scale invariant Harnack inequality is true for the dual process. We also show that, if the domain is bounded C^{1,1}, the boundary Harnack principle for the dual process is true and the (minimal) Martin boundary for the dual process can be identified with the Euclidean boundary. It is also shown that the harmonic measure for the dual process is locally comparable to that of the h-conditioned Brownian motion with h being the ground state. Under the gaugeability assumption, if the domain is bounded Lipschitz, the (minimal) Martin boundary for the Schrodinger operator obtained from the diffusion with measure-value drift can be identified with the Euclidean boundary., Comment: 32 page

In this paper, we establish sharp two-sided estimates for the Green functions of non-symmetric diffusions with measure-valued drifts in bounded Lipschitz domains. As consequences of these estimates, we get a 3G type theorem and a conditional gauge theorem for these diffusions in bounded Lipschitz domains. We also establish two-sided estimates for the heat kernels of Schrodinger-type operators with measure-valued potential in bounded C^{1,1}-domains and a scale invariant boundary Harnack principle for the positive harmonic functions with respect to Schrodinger-type operators in bounded Lipschitz domains.

For any 0 < alpha <2, a truncated symmetric alpha-stable process is a symmetric Levy process in R^d with a Levy density given by c|x|^{-d-alpha} 1_{|x|< 1} for some constant c. In this paper we study the potential theory of truncated symmetric stable processes in detail. We prove a Harnack inequality for nonnegative harmonic nonnegative functions these processes. We also establish a boundary Harnack principle for nonnegative functions which are harmonic with respect to these processes in bounded convex domains. We give an example of a non-convex domain for which the boundary Harnack principle fails., Comment: 35 page, to appear in Mathematische Zeitschrift

Let G(x,y) and G_D(x,y) be the Green functions of rotationally invariant symmetric \alpha-stable process in R^d and in an open set D respectively, where 0<\alpha < 2. The inequality G_D(x,y)G_D(y,z)/G_D(x,z) \le c(G(x,y)+G(y,z)) is a very useful tool in studying (local) Schrodinger operators. When the above inequality is true with a constant c=c(D)>0, then we say that the 3G theorem holds in D. In this paper, we establish a generalized version of 3G theorem when D is a bounded \kappa-fat open set, which includes a bounded John domain. The 3G we consider is of the form G_D(x,y)G_D(z,w)/G_D(x,w), where y may be different from z. When y=z, we recover the usual 3G. The 3G form G_D(x,y)G_D(z,w)/G_D(x,w) appears in non-local Schrodinger operator theory. Using our generalized 3G theorem, we give a concrete class of functions belonging to the non-local Kato class, introduced by Chen and Song, on \kappa-fat open sets. As an application, we discuss relativistic \alpha-stable processes (relativistic Hamiltonian when \alpha=1) in \kappa-fat open sets. We identify the Martin boundary and the minimal Martin boundary with the Euclidean boundary for relativistic \alpha-stable processes in \kappa-fat open sets. Furthermore, we show that relative Fatou type theorem is true for relativistic stable processes in \kappa-fat open sets. The main results of this paper hold for a large class of symmetric Markov processes, as are illustrated in the last section of this paper. We also discuss the generalized 3G theorem for a large class of symmetric stable Levy processes., Comment: 32 pages

We study the sample path regularity of the solution of a stochastic wave equation in spatial dimension $d=3$. The driving noise is white in time and with a spatially homogeneous covariance defined as a product of a Riesz kernel and a smooth function. We prove that at any fixed time, a.s. the sample paths in the spatial variable belong to certain fractional Sobolev spaces. In addition, for any fixed $x\in\IR^3$, the sample paths in time are H\"older continuous functions. Hence, we obtain joint H\"older continuity in the time and space variables. Our results rely on a detailed analysis of properties of the stochastic integral used in the rigourous formulation of the spde, as introduced by Dalang and Mueller (2003). Sharp results on one and two dimensional space and time increments of generalized Riesz potentials are a crucial ingredient in the analysis of the problem. For spatial covariances given by Riesz kernels, we show that the H\"older exponents that we obtain are optimal., Comment: 75 pages

We prove that for any semi-Dirichlet form $(\epsilon, D(\epsilon))$ on a measurable Lusin space $E$ there exists a Lusin topology with the given $\sigma$-algebra as the Borel $\sigma$-algebra so that $(\epsilon, D(\epsilon))$ becomes quasi-regular. However one has to enlarge $E$ by a zero set. More generally a corresponding result for arbitrary $L^p$-resolvents is proven., Comment: 14 pages, to appear in Potential Analysis

We provide an integral formula for the Poisson kernel of half-spaces for Brownian motion in real hyperbolic space $\H^n$. This enables us to find asymptotic properties of the kernel. Our starting point is the formula for its Fourier transform. When $n=3$, 4 or 6 we give an explicit formula for the Poisson kernel itself. In the general case we give various asymptotics and show convergence to the Poisson kernel of $\H^n$.

We prove the Boundary Harnack Principle related to fractional powers of Laplacian for some natural regions in the two-dimensional Sierpinski carpet. This is a natual application of a probabilistic method based on the Ikeda-Watanabe formula

In this paper, it is shown that Bermudan option pricing based on either the r\'eduite (in a one-dimensional setting: piecewise harmonic interpolation) or cubature -- is sensible from an economic vantage point: Any sequence of thus-computed prices for Bermudan options with increasing sets of exercise times is increasing. Furthermore, under certain regularity assumptions on the payoff function and provided the exercise times are equidistant of exercise mesh size $h$, it has a supremum which coincides with the least fixed point of the approximate pricing algorithm -- this algorithm being perceived as a map that assigns to any real-valued function $f$ (on the basket of underlyings) the approximate value of the European option of maturity $h$ and payoff function $f$., Comment: 16 pages; major revision, similar results for cubature-based pricing included

We study random walks on supercritical percolation clusters on wedges in $\Z^3$, and show that the infinite percolation cluster is (a.s.) transient whenever the wedge is transient. This solves a question raised by O. Haggstrom and E. Mossel. We also show that for convex gauge functions satisfying a mild regularity condition, the existence of a finite energy flow on $Z^2$ is equivalent to the (a.s.) existence of a finite energy flow on the supercritical percolation cluster. This solves a question of C. Hoffman., Comment: 17 pages

In [O'Connell and Yor (2002)] a path-transformation G was introduced with the property that, for X belonging to a certain class of random walks on the integer lattice, the transformed walk G(X) has the same law as that of the original walk conditioned never to exit a type-A Weyl chamber. In this paper, we show that G is closely related to the Robinson-Schensted algorithm, and use this connection to give a new proof of the above representation theorem. The new proof is valid for a larger class of random walks and yields additional information about the joint law of X and G(X). The corresponding results for the Brownian model are recovered by Donsker's theorem. These are connected with Hermitian Brownian motion and the Gaussian Unitary Ensemble of random matrix theory. The connection we make between the path-transformation G and the RS algorithm also provides a new formula and interpretation for the latter. This can be used to study properties of the RS algorithm and, moreover, extends easily to a continuous setting.

We study a general transition operator, generated by a random walk on a graph $X$; in particular we give necessary and sufficient condition on the matrix coefficient (1-step transition probablilities) to be a bounded operator from $l^\infty(X)$ into itself. Moreover we characterize compact operators and we relate this property to the behaviour of the associated random walk. We give a necessary and sufficient condition for the pre-adjoint of the discrete Laplace operator to be an injective map., Comment: 9 pages

Call a percolation process on edges of a graph change intolerant if the status of each edge is almost surely determined by the status of the other edges. We give necessary and sufficient conditions for change intolerance of the wired spanning forest when the underlying graph is a spherically symmetric tree., Comment: Small mathematical correction made in revision

Suppose that $G_j$ is a sequence of finite connected planar graphs, and in each $G_j$ a special vertex, called the root, is chosen randomly-uniformly. We introduce the notion of a distributional limit $G$ of such graphs. Assume that the vertex degrees of the vertices in $G_j$ are bounded, and the bound does not depend on $j$. Then after passing to a subsequence, the limit exists, and is a random rooted graph $G$. We prove that with probability one $G$ is recurrent. The proof involves the Circle Packing Theorem. The motivation for this work comes from the theory of random spherical triangulations., Comment: Name of paper changed from "Unbiased Finite Planar Graphs are Asymptotically Recurrent". A discussion of intrinsic mass transport was added