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Register a new userContinuity in $kappa$ in $SLE_kappa$ theory using a constructive method and Rough Path Theory
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Questions regarding the continuity in $kappa$ of the $SLE_{kappa}$ traces and maps appear very naturally in the study of SLE. In order to study the first question, we consider a natural coupling of SLE traces: for different values of $kappa$ we use the same Brownian motion. It is very natural to assume that with probability one, $SLE_kappa$ depends continuously on $kappa$. It is rather easy to show that $SLE$ is continuous in the Caratheodory sense, but showing that $SLE$ traces are continuous in the uniform sense is much harder. In this note we show that for a given sequence $kappa_jtokappa in (0, 8/3)$, for almost every Brownian motion $SLE_kappa$ traces converge locally uniformly. This result was also recently obtained by Friz, Tran and Yuan using different methods. In our analysis, we provide a constructive way to study the $SLE_{kappa}$ traces for varying parameter $kappa in (0, 8/3)$. The argument is based on a new dynamical view on the approximation of SLE curves by curves driven by a piecewise square root approximation of the Brownian motion. The second question can be answered naturally in the framework of Rough Path Theory. Using this theory, we prove that the solutions of the backward Loewner Differential Equation driven by $sqrt{kappa}B_t$ when started away from the origin are continuous in the $p$-variation topology in the parameter $kappa$, for all $kappa in mathbb{R}_+$
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Based on a rough path foundation, we develop a model-free approach to stochastic portfolio theory (SPT). Our approach allows to handle significantly more general portfolios compared to previous model-free approaches based on Follmer integration. Without the assumption of any underlying probabilistic model, we prove pathwise Master formulae analogous to those of classical SPT, describing the growth of wealth processes associated to functionally generated portfolios relative to the market portfolio. We show that the appropriately scaled asymptotic growth rate of a far reaching generalization of Covers universal portfolio based on controlled paths coincides with that of the best retrospectively chosen portfolio within this class. We provide several novel results concerning rough integration, and highlight the advantages of the rough path approach by considering (non-functionally generated) log-optimal portfolios in an ergodic It^o diffusion setting.
We show that every $mathbb{R}^d$-valued Sobolev path with regularity $alpha$ and integrability $p$ can be lifted to a Sobolev rough path provided $alpha < 1/p<1/3$. The novelty of our approach is its use of ideas underlying Hairers reconstruction theorem generalized to a framework allowing for Sobolev models and Sobolev modelled distributions. Moreover, we show that the corresponding lifting map is locally Lipschitz continuous with respect to the inhomogeneous Sobolev metric.
The Drury-Arveson space $H^2_d$, also known as symmetric Fock space or the $d$-shift space, is a Hilbert function space that has a natural $d$-tuple of operators acting on it, which gives it the structure of a Hilbert module. This survey aims to introduce the Drury-Arveson space, to give a panoramic view of the main operator theoretic and function theoretic aspects of this space, and to describe the universal role that it plays in multivariable operator theory and in Pick interpolation theory.
Using rough path theory, we provide a pathwise foundation for stochastic It^o integration, which covers most commonly applied trading strategies and mathematical models of financial markets, including those under Knightian uncertainty. To this end, we introduce the so-called Property (RIE) for c`adl`ag paths, which is shown to imply the existence of a c`adl`ag rough path and of quadratic variation in the sense of Follmer. We prove that the corresponding rough integrals exist as limits of left-point Riemann sums along a suitable sequence of partitions. This allows one to treat integrands of non-gradient type, and gives access to the powerful stability estimates of rough path theory. Additionally, we verify that (path-dependent) functionally generated trading strategies and Covers universal portfolio are admissible integrands, and that Property (RIE) is satisfied by both (Young) semimartingales and typical price paths.
In this paper we give a new and constructive approach to stationary scattering theory for pairs of self-adjoint operators $H_0$ and $H_1$ on a Hilbert space $mathcal H$ which satisfy the following conditions: (i) for any open bounded subset $Delta$ of $mathbb R,$ the operators $F E_Delta^{H_0}$ and $F E_Delta^{H_1}$ are Hilbert-Schmidt and (ii) $V = H_1- H_0$ is bounded and admits decomposition $V = F^*JF,$ where $F$ is a bounded operator with trivial kernel from $mathcal H$ to another Hilbert space $mathcal K$ and $J$ is a bounded self-adjoint operator on $mathcal K.$ An example of a pair of operators which satisfy these conditions is the Schrodinger operator $H_0 = -Delta + V_0$ acting on $L^2(mathbb R^ u),$ where $V_0$ is a potential of class $K_ u$ (see B.,Simon, {it Schrodinger semigroups,} Bull. AMS 7, 1982, 447--526) and $H_1 = H_0 + V_1,$ where $V_1 in L^infty(mathbb R^ u) cap L^1(mathbb R^ u).$ Among results of this paper is a new proof of existence and completeness of wave operators $W_pm(H_1,H_0)$ and a new constructive proof of stationary formula for the scattering matrix. This approach to scattering theory is based on explicit diagonalization of a self-adjoint operator $H$ on a sheaf of Hilbert spaces $EuScript S(H,F)$ associated with the pair $(H,F)$ and with subsequent construction and study of properties of wave matrices $w_pm(lambda; H_1,H_0)$ acting between fibers $mathfrak h_lambda(H_0,F)$ and $mathfrak h_lambda(H_1,F)$ of sheaves $EuScript S(H_0,F)$ and $EuScript S(H_1,F)$ respectively. The wave operators $W_pm(H_1,H_0)$ are then defined as direct integrals of wave matrices and are proved to coincide with classical time-dependent definition of wave operators.
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