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Simon Wittmann

Publications and source records attributed to Simon Wittmann.

6 recordsLinked to original sources

The Ornstein$-$Uhlenbeck process on $\mathscr P_2$ with a volatility operator

We analyze a diffusion ${(μ_t)}_{t\geq 0}$ on the $2$-Wasserstein space $\mathscr P_2$ over $\mathbb R^d$ for which \begin{equation*} |μ_t|_2^2-|μ_0|_2^2-2ct+2\int_0 ^t|μ_s|_2^2\,d s,\qquad t\geq 0, \end{equation*} is a martingale, where the constant $c\in(0,\infty)$ equals the trace of a volatility operator on a Hilbert space and $|μ_t|_2:=(\int_{\mathbb R^d}x^T xμ_t(d x ))^{1/2}$. The invariant measure of ${(μ_t)}_{t\geq 0}$ is a Gaussian on $\mathscr P_2$, as introduced by P. Ren and F.-Y. Wang. Moreover, the Dirichlet form and its generator are given explicitly on a dense subspace of $L^2$.

math.PR

Stochastic intrinsic gradient flows on the Wasserstein space

We construct stochastic gradient flows on the $2$-Wasserstein space $\mathcal P_2$ over $\mathbb R^d$ for energy functionals of the type $W_F(ρd x)=\int_{\mathbb R^d}F(x,ρ(x))d x$. The functions $F$ and $\partial_2 F$ are assumed to be locally Lipschitz on $\mathbb R^d\times (0,\infty)$. This includes the relevant examples of $W_F$ as the entropy functional or more generally the Lyapunov function of generalized porous media equations. First we define a class of Gaussian-based measures $Λ$ on $\mathcal P_2$ together with a corresponding class of symmetric Markov processes ${(R_t)}_{t\geq 0}$. Next, using Dirichlet form techniques we perform stochastic quantization for the perturbations of these objects which result from multiplying such a measure $Λ$ by a density proportional to $e^{-W_F}$. Finally we show that the intrinsic gradient $DW_F(μ)$ is defined for $Λ$-a.e. $μ$ and that the Gaussian-based reference measure $Λ$ can be chosen in such way that the distorted process ${(μ_t)}_{t\geq 0}$ is a martingale solution for the equation $dμ_t=-DW_F(μ_t) d t+d R_t$, $t\geq 0$.

math.PR

Diffusion Processes on $p$-Wasserstein Space over Banach Space

To study diffusion processes on the p-Wasserstein space $\mathscr P_p$ for $p\in [1,\infty)$ over a separable, reflexive Banach space $X$, we present a criterion on the quasi-regularity of Dirichlet forms in $L^2(\mathscr P_p,Λ)$ for a reference probability $Λ$ on $\mathscr P_p$. It is formulated in terms of an upper bound condition with the uniform norm of the intrinsic derivative. We find a versatile class of quasi-regular local Dirichlet forms on $\mathscr P_p$ by using images of Dirichlet forms on the tangent space $L^p(X\to X,μ_0)$ at a reference point $μ_0\in\mathscr P_p$. The Ornstein--Uhlenbeck type Dirichlet form and process on $\mathscr P_2$ are an important example in this class. We derive an $L^2$-estimate for the corresponding heat kernel and an integration by parts formula for the invariant measure.

math.PR

Markov Processes and Stochastic Extrinsic Derivative Flows on the Space of Absolutely Continuous Measures

Let $E$ be the class of finite (resp. probability) measures absolutely continuous with respect to a $σ$-finite Radon measure on a Polish space. We present a criterion on the quasi-regularity of Dirichlet forms on $E$ in terms of upper bound conditions given by the uniform $(L^1+L^\infty)$-norm of the extrinsic derivative. As applications, we construct a class of general type Markov processes on $E$ via quasi-regular Dirichlet forms containing the diffusion, jump and killing terms. Moreover, stochastic extrinsic derivative flows on $E$ are studied by using quasi-regular Dirichlet forms, which in particular provide martingale solutions to SDEs on these two spaces, with drifts given by the extrinsic derivative of entropy functionals.

math.PR

Mosco convergence of gradient forms with non-convex potentials II

This article provides a scaling limit for a family of skew interacting Brownian motions in the context of mesoscopic interface models. Let $d\in\mathbb N$, $y_1,\dots,y_M\in\mathbb R$ and $f\in C_b(\mathbb R)$ be fixed. For each $N\in\mathbb N$ we consider a $k_N$-dimensional, skew reflecting distorted Brownian motion $(X^{N,i}_t)_{i=1,\dots,k_N}$, $t\geq 0$, and investigate the scaling limits for $N\to\infty$. The drift includes skew reflections at height levels $\tilde y_j:=N^{1-\frac{d}{2}}y_j$ with intensities $β_j/N^d$ for $j=1,\dots,M$. The corresponding SDE is given by \begin{equation} d X^{N,i}_t=-\big(A_N X^{N}_t\big)_id t-\frac{1}{2}N^{-\tfrac{d}{2}-1}\,f\big(N^{\frac{d}{2}-1}X^{N,i}_t\big)d t \\+\sum_{j=1}^M\tfrac{1-e^{-β_j/N^d}}{1+e^{-β_j/N^d}}d l_t^{N,i, \tilde y_j} +d B_t^{N,i}, \end{equation} where ${(B_t^{N,i})}_{t\geq 0}$, $i=1,\dots, k_N$, are independent Brownian motions and $ l_t^{N,i, \tilde y_j}$ denotes the local time of ${(X^{N,i}_t)}_{t\geq 0}$ at $\tilde y_j$. We prove the weak convergence of the equilibrium laws of \begin{equation*} u_t^N=Λ_N\circ X^{N}_{N^2t},\quad t\geq 0, \end{equation*} for $N\to\infty$, choosing suitable injective, linear maps $Λ_N:\mathbb R^{k_N}\to \{h\,|\,h:D\to\mathbb R\}$. The scaling limit is a distorted Ornstein-Uhlenbeck process whose state space is the Hilbert space $H=L^2(D, dz)$. We characterize a class of height maps, such that the scaling limit of the dynamic is not influenced by the particular choice of ${(Λ_N)}_{N\in\mathbb N}$ within that class.

math.PR

Mosco convergence of gradient forms with non-convex interaction potential

This article provides a new approach to address Mosco convergence of gradient-type Dirichlet forms, $\mathcal E^N$ on $L^2(E,μ_N)$ for $N\in\mathbb N$, in the framework of converging Hilbert spaces by K.~Kuwae and T.~Shioya. The basic assumption is weak measure convergence of the family ${(μ_N)}_{N}$ on the state space $E$ - either a separable Hilbert space or a locally convex topological vector space. Apart from that, the conditions on ${(μ_N)}_{N}$ try to impose as little restrictions as possible. The problem has fully been solved if the family ${(μ_N)}_{N}$ contain only log-concave measures, due to L.~Ambrosio, G.~Savaré and L.~Zambotti, 2009. However for a large class of convergence problems the assumption of log-concavity fails. The article suggests a way to overcome this hindrance, as it presents a new approach. Combining the theory of Dirichlet forms with methods from numerical analysis we find abstract criteria for Mosco convergence of standard gradient forms with varying reference measures. These include cases in which the measures are not log-concave. To demonstrate the accessibility of our abstract theory we discuss a first application, generalizing an approximation result by S.~K.~Bounebache and L.~Zambotti, 2014.

math.PR