Density and tail estimates via Malliavin calculus, and applications

通过 Malliavin 演算进行密度和尾部估计以及应用

• 批准号: 0907321
• 负责人: Frederi Viens
• 金额: $ 23.07万
• 依托单位: Purdue University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2009
• 资助国家: 美国
• 起止时间: 2009-07-01 至 2013-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0907321&HistoricalAwards=false
• 关键词: Density; tail; estimates; via; Malliavin

This award is funded under the American Recovery and Reinvestment Act of 2009 (Public Law 111-5).The PI's three-year research program will investigate fundamental aspects of random variables which can be understood within the framework of Wiener spaces. Specifically, in the context of the Wiener process W (standard Brownian motion), if a random variable X can be written as a function of the path of W which is differentiable in the sense of Malliavin, meaning that its Frechet derivative DX in the direction of any appropriate perturbation exists, then it is possible to form a function g, equal to an averaged inner product of DX and of an exponentially correlated copy of DX, and use this function g to write estimates for the tails and even the density of X. An indication of this methodology is recorded in an article by the PI and Ivan Nourdin. The PI plan to apply the methodology to find sharp upper and lower bounds on densities of random variables of interest to probabilists, including the maxima of Gaussian fields, and also to tackle related problems such as small ball probabilities for fractional Brownian motion. A connection between Malliavin derivatives and Stein's method, which was discovered by Nourdin and Peccati, will also be investigated, and may help in analyzing random variables whose behavior is closer to non Gaussian distributions, including Gamma distributions, within the so-called Pearson class.The broader scientific significance of the proposed research begins with applications to the effect of chaotic environments on the stabilization or destabilization of physical or chemical systems, including polymers in random media. There should be a range of spatial correlation lengths in the medium which imply a continuum of behaviors, exhibiting richer phenomena than what theoretical physicists have predicted. Taking the modeling further, the PI plans to analyze the practical consequences of the project in those areas where long memory is an empirical fact, including financial econometrics, internet traffic, and climate prediction. Ph.D. students will take part in the fundamental aspects of the research. Some theoretical quantitative issues, such as small ball constants, fluctuation exponents, and long-memory parameter estimation, will be complemented with numerical simulations conducted by MS and undergraduate students. Involving students in fundamental research with real-world applications will broadly disseminate scientific understanding.The PI will encourage students from underrepresented groups to join this research program.

该奖项是根据2009年美国复苏和再投资法案（公法111-5）资助的。PI的三年研究计划将调查可以在维纳空间框架内理解的随机变量的基本方面。具体地，在Wiener过程W的上下文中，（标准布朗运动），如果随机变量X可以被写为W的路径的函数，其在Malliavin意义上是可微的，这意味着其在任何适当扰动方向上的Frechet导数DX存在，则可以形成函数g，其等于DX和DX的指数相关副本的平均内积，用这个函数g来估计X的尾部甚至密度。PI和Ivan Nourdin的一篇文章中记录了这种方法的说明。PI计划应用该方法来寻找概率学家感兴趣的随机变量密度的精确上界和下界，包括高斯场的最大值，并解决相关问题，如分数布朗运动的小球概率。 Malliavin导数和Stein方法之间的联系，由Nourdin和Peccati发现，也将被研究，并可能有助于分析行为更接近非高斯分布的随机变量，包括Gamma分布，在如此-所提出的研究的更广泛的科学意义始于混沌环境对稳定或不稳定的影响的应用。物理或化学系统，包括随机介质中的聚合物。在介质中应该有一个空间相关长度的范围，这意味着一个连续的行为，表现出比理论物理学家预测的更丰富的现象。进一步进行建模，PI计划分析该项目在长期记忆是经验事实的领域的实际后果，包括金融计量经济学，互联网流量和气候预测。博士学生将参与研究的基本方面。一些理论上的定量问题，如小球常数，波动指数和长记忆参数估计，将补充MS和本科生进行的数值模拟。让学生参与基础研究并将其应用于现实世界，将广泛传播科学知识。PI将鼓励来自代表性不足群体的学生加入这一研究计划。