Mathematics – Probability
Scientific paper
2011-06-20
Mathematics
Probability
58 pages, Lectures of INRIA Summer School in Antibes, June 2011
Scientific paper
It is strange but fruitful to think about the functions as random processes. Any function can be viewed as a martingale (in many different ways) with discrete time. But it can be useful to have continuous time too. Processes can emulate functions, expectation of profit functional on the solution of stochastic differential equation can emulate the functional on usual familiar functions. The advantage is that now we have "all" admissible functions "enumerated" as solutions of one stochastic differential equation, and choosing the best function optimizing a given functional becomes a problem of choosing the right control process. But such problem has been long since solved in the part of mathematics called Stochastic Optimal Control. So-called Bellman equation reduces an infinite dimensional problem of choosing the best control to a finite dimensional (but non-linear as a rule) PDE called Bellman equation. Its solution, called Bellman function of a given optimization problem, gives us a lot of information about optimum and optimizers. This method gave some interesting results in the classical Harmonic Analysis, having on the surface nothing to do with probability. Sometimes the results obtained by this method did not find "classical" proofs so far. It is especially well-suited to estimates of singular integrals, probably because of the underlying probabilistic structure of classical singular integrals.
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