Stochastic calculus for fractional Brownian motion with Hurst exponent H>1/4H>1/4: A rough path method by analytic extension

The $d$-dimensional fractional Brownian motion (FBM for short) $B_t=((B_t^{(1)},...,B_t^{(d)}),t\in\mathbb{R})$ with Hurst exponent $\alpha$, $\alpha\in(0,1)$, is a $d$-dimensional centered, self-similar Gaussian process with covariance ${\mathbb{E}}[B_s^{(i)}B _t^{(j)}]={1/2}\delta_{i,j}(|s|^{2\alpha}+|t|^{2\alpha}-|t-s|^{2 \alpha}).$ The long-standing problem of defining a stochastic integration with respect to FBM (and the related problem of solving stochastic differential equations driven by FBM) has been addressed successfully by several different methods, although in each case with a restriction on the range of either $d$ or $\alpha$. The case $\alpha={1/2}$ corresponds to the usual stochastic integration with respect to Brownian motion, while most computations become singular when $\alpha$ gets under various threshhold values, due to the growing irregularity of the trajectories as $\alpha\to0$. We provide here a new method valid for any $d$ and for $\alpha>{1/4}$ by constructing an approximation $\Gamma(\varepsilon)_t$, $\varepsilon\to0$, of FBM which allows to define iterated integrals, and then applying the geometric rough path theory. The approximation relies on the definition of an analytic process $\Gamma_z$ on the cut plane $z\in\mathbb{C}\setminus\mathbb{R}$ of which FBM appears to be a boundary value, and allows to understand very precisely the well-known (see \citeCQ02) but as yet a little mysterious divergence of L\'evy's area for $\alpha\to{1/4}$.Comment: Published in at http://dx.doi.org/10.1214/08-AOP413 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

Global existence for strong solutions of viscous Burgers equation. (1) The bounded case

We prove that the viscous Burgers equation has a globally defined smooth solution in all dimensions provided the initial condition and the forcing term are smooth and bounded together with their derivatives. Such solutions may have infinite energy. The proof does not rely on energy estimates, but on a combination of the maximum principle and quantitative Schauder estimates. We obtain precise bounds on the sup norm of the solution and its derivatives, making it plain that there is no exponential increase in time. In particular, these bounds are time-independent if the forcing term is zero. To get a classical solution, it suffices to assume that the initial condition and the forcing term have bounded derivatives up to order two.Comment: 22 page

Exact dynamics of a one dimensional Bose gas in a periodic time-dependent harmonic trap

We study the unitary dynamics of a one-dimensional gas of hard-core bosons trapped into a harmonic potential which varies periodically in time with frequency $\omega(t)$. Such periodic systems can be classified into orbits of different monodromies corresponding to two different physical situations, namely the case in which the bosonic cloud remains stable during the time-evolution and the case where it turns out to be unstable. In the present work we derive in the large particle number limit exact results for the stroboscopic evolution of the energy and particle densities in both physical situations.Comment: 24 pages, 6 figure