Harnack and functional inequalities for generalized Mehler semigroups

Harnack inequalities are established for a class of generalized Mehler semigroups, which in particular imply upper bound estimates for the transition density. Moreover, Poincaré and log-Sobolev inequalities are proved in terms of estimates for the square field operators. Furthermore, under a condition, well-known in the Gaussian case, we prove that generalized Mehler semigroups are strong Feller. The results are illustrated by concrete examples. In particular, we show that a generalized Mehler semigroup with an α-stable part is not hyperbounded but exponentially ergodic, and that the log-Sobolev constant obtained by our method in the special Gaussian case can be sharper than the one following from the usual curvature condition. Moreover, a Harnack inequality is established for the generalized Mehler semigroup associated with the Dirichlet heat semigroup on (0,1). We also prove that this semigroup is not hyperbounded.     

Stability properties of a flow process in graphs

We study a flow process in infinite graphs where vertices with large resources tend to attract resources from neighbors. The initial resources are random. An interesting question is whether in each finite region all motion stops after a finite time. Under certain assumptions, we prove that this is true. For some other cases, we prove a weaker stability result. We pay attention mostly to the case of Z², but several results can be easily generalized to Z^d.     

Reverse inequalities for zonoids and their application

We prove inequalities for mixed volumes of zonoids with isotropic generating measures. A special case is an inequality for zonoids that is reverse to the generalized Urysohn inequality, between mean width and another intrinsic volume; here the equality case characterizes parallelepipeds. We apply this to a question from stochastic geometry. It is known that among the stationary Poisson hyperplane processes of given positive intensity in n-dimensional Euclidean space, the ones with rotation invariant distribution are characterized by the fact that they yield, for k∈{2,…,n}, the maximal intensity of the intersection process of order k. We show that, if the kth intersection density is measured in an affine-invariant way, the processes of hyperplanes with only n fixed directions are characterized by a corresponding minimum property.     

Feynman graph representation of the perturbation series for general functional measures

A representation of the perturbation series of a general functional measure is given in terms of generalized Feynman graphs and rules. The graphical calculus is applied to certain functional measures of Lévy type. A graphical notion of Wick ordering is introduced and is compared with orthogonal decompositions of the Wiener-Itô-Segal type. It is also shown that the linked cluster theorem for Feynman graphs extends to generalized Feynman graphs. We perturbatively prove existence of the thermodynamic limit for the free energy density and the moment functions. The results are applied to the gas of charged microscopic or mesoscopic particles—neutral in average—in d=2 dimensions generating a static field φ with quadratic energy density giving rise to a pair interaction. The pressure function for this system is calculated up to fourth order. We also discuss the subtraction of logarithmically divergent self-energy terms for a gas of only one particle type by a local counterterm of first order.     

Deconvolving compactly supported densities

This paper addresses the statistical problem of density deconvolution under the condition that the density to be estimated has compact support. We introduce a new estimation procedure, which establishes faster rates of convergence for smooth densities as compared to the optimal rates for smooth densities with unbounded support. This framework also allows us to relax the usual condition of known error density with non-vanishing Fourier transform, so that a nonparametric class of densities is valid; therefore, even the shape of the noise density need not be assumed. These results can also be generalized for fast decaying densities with unbounded support. We prove optimality of the rates in the underlying experiment and study the practical performance of our estimator by numerical simulations.      

Quasi-Homeomorphisms and Measures of Finite Energy Integrals of Generalized Dirichlet Forms

We introduce the quasi-homeomorphisms of generalized Dirichlet forms and prove that any quasi-regular generalized Dirichlet form is quasi-homeomorphic to a semi-regular generalized Dirichlet form. Moreover, we apply this quasi-homeomorphism method to study the measures of finite energy integrals of generalized Dirichlet forms. We show that any 1-coexcessive function which is dominated by a function in is associated with a measure of finite energy integral. Consequently, we prove that a Borel set B is ɛ-exceptional if and only if μ (B) = 0 for any measure μ of finite energy integral. Received May 28, 1999, Revised September 8, 1999, Accepted December 10, 1999     

On a class of problems of determining the temperature and density of heat sources given initial and final temperature

We consider a class of problems modeling the process of determining the temperature and density of heat sources given initial and finite temperature. Their mathematical statements involve inverse problems for the heat equation in which, solving the equation, we have to find the unknown right-hand side depending only on the space variable. We prove the existence and uniqueness of classical solutions to the problem, solving the problem independently of whether the corresponding spectral problem (for the operator of multiple differentiation with not strongly regular boundary conditions) has a basis of generalized eigenfunctions.     

The 3-manifold recognition problem

We introduce a natural Relative Simplicial Approximation Property for maps from a 2-cell to a generalized 3-manifold and prove that, modulo the Poincaré Conjecture, 3-manifolds are precisely the generalized 3-manifolds satisfying this approximation property. The central technical result establishes that every generalized 3-manifold with this Relative Simplicial Approximation Property is the cell-like image of some generalized 3-manifold having just a 0-dimensional set of nonmanifold singularities.

     

Brownian Motion Indexed by a Time Scale

In this article, we generalize Wiener's existence result for one-dimensional Brownian motion by constructing a suitable continuous stochastic process where the index set is a time scale. We construct a countable dense subset of a time scale and use it to prove a generalized version of the Kolmogorov–?entsov theorem. As a corollary, we obtain a local Hölder-continuity result for the sample paths of generalized Brownian motion indexed by a time scale.     

Gaussian white noise with trajectories in the space S′(H)

In this paper we construct a Gaussian white noise with trajectories in the space of generalized functions over S with values in a separable Hilbert space H. We obtain a solution to the Cauchy problem for a linear differential-operator equation with additive white noise as a generalized random process with trajectories in the space of exponential distributions. We prove the existence of a solution in the case when the operator coefficient A generates a C ₀-semigroup and in the case when A generates an integrated semigroup.     

Existence of minimizers for Kohn–Sham models in quantum chemistry

This article is concerned with the mathematical analysis of the Kohn–Sham and extended Kohn–Sham models, in the local density approximation (LDA) and generalized gradient approximation (GGA) frameworks. After recalling the mathematical derivation of the Kohn–Sham and extended Kohn–Sham LDA and GGA models from the Schrödinger equation, we prove that the extended Kohn–Sham LDA model has a solution for neutral and positively charged systems. We then prove a similar result for the spin-unpolarized Kohn–Sham GGA model for two-electron systems, by means of a concentration-compactness argument.     

Weak limits of random coefficient autoregressive processes and their application in ruin theory

We prove that a large class of discrete-time insurance surplus processes converge weakly to a generalized Ornstein–Uhlenbeck process, under a suitable re-normalization and when the time-step goes to 0. Motivated by ruin theory, we use this result to obtain approximations for the moments, the ultimate ruin probability and the discounted penalty function of the discrete-time process.     

A Generalized Analytic Operator-Valued Function Space Integral and a Related Integral Equation

We introduce a generalized Wiener measure associated with a Gaussian Markov process and define a generalized analytic operator-valued function space integral as a bounded linear operator from L _p into L _p^\prime (1<p ≤ 2) by the analytic continuation of the generalized Wiener integral. We prove the existence of the integral for certain functionals which involve some Borel measures. Also we show that the generalized analytic operator-valued function space integral satisfies an integral equation related to the generalized Schr?dinger equation. The resulting theorems extend the theory of operator-valued function space integrals substantially and previous theorems about these integrals are generalized by our results.     

A Generalized Analytic Operator-Valued Function Space Integral and a Related Integral Equation

We introduce a generalized Wiener measure associated with a Gaussian Markov process and define a generalized analytic operator-valued function space integral as a bounded linear operator from L _p into L _p^\prime (1<p ≤ 2) by the analytic continuation of the generalized Wiener integral. We prove the existence of the integral for certain functionals which involve some Borel measures. Also we show that the generalized analytic operator-valued function space integral satisfies an integral equation related to the generalized Schr?dinger equation. The resulting theorems extend the theory of operator-valued function space integrals substantially and previous theorems about these integrals are generalized by our results.     

Bilateral inequalities and implicit unilateral systems of the non-variational type

We prove that ageneralized solution exists for a bilateral problem relative to second order linear elliptic operator with principal part not in divergence form. We also prove that this solution isregular, when the obstacles are sufficiently regular, and that it provides an appropriate substitute for the solution when the hypotheses of regularity are not satisfied. A probabilistic characterization of this solution is also given.     

Numerical error analysis for nonsymmetric interior penalty discontinuous Galerkin method of Cahn–Hilliard equation

In this paper, we derive a theoretical analysis of nonsymmetric interior penalty discontinuous Galerkin methods for solving the Cahn–Hilliard equation. We prove unconditional unique solvability of the discrete system and derive stability bounds with a generalized chemical energy density. Convergence of the method is obtained by optimal a priori error estimates. Our analysis is valid for both symmetric and nonsymmetric versions of the discontinuous Galerkin formulation.     

Wegner estimate for sparse and other generalized alloy type potentials

We prove a Wegner estimate for generalized alloy type models at negative energies (Theorems 8 and 13). The single site potential is assumed to be non-positive. The random potential does not need to be stationary with respect to translations from a lattice. Actually, the set of points to which the individual single site potentials are attached, needs only to satisfy a certain density condition. The distribution of the coupling constants is assumed to have a bounded density only in the energy region where we prove the Wegner estimate.     

Extremal Behavior of Diffusion Models in Finance

We investigate the extremal behavior of a diffusion X _t given by the SDE , where W is standard Brownian motion, μ is the drift term and σ is the diffusion coefficient. Under some appropriate conditions on X _t we prove that the point process of ε -upcrossings converges in distribution to a homogeneous Poisson process. As examples we study the extremal behavior of term structure models or asset price processes such as the Vasicek model, the Cox–Ingersoll–Ross model and the generalized hyperbolic diffusion. We also show how to construct a diffusion with pre-determined stationary density which captures any extremal behavior. As an example we introduce a new model, the generalized inverse Gaussian diffusion. This revised version was published online in July 2006 with corrections to the Cover Date.     

Shape Optimization for Navier–Stokes Equations with Algebraic Turbulence Model: Existence Analysis

We study a shape optimization problem for the paper machine headbox which distributes a mixture of water and wood fibers in the paper making process. The aim is to find a shape which a priori ensures the given velocity profile on the outlet part. The mathematical formulation leads to an optimal control problem in which the control variable is the shape of the domain representing the header, the state problem is represented by a generalized stationary Navier–Stokes system with nontrivial mixed boundary conditions. In this paper we prove the existence of solutions both to the generalized Navier–Stokes system and to the shape optimization problem.     

Age Process, Workload Process, Sojourn Times, and Waiting Times in a Discrete Time SM[K]/PH[K]/1/FCFS Queue

In this paper, we study a discrete time queueing system with multiple types of customers and a first-come-first-served (FCFS) service discipline. Customers arrive according to a semi-Markov arrival process and the service times of individual customers have PH-distributions. A GI/M/1 type Markov chain for a generalized age process of batches of customers is introduced. The steady state distribution of the GI/M/1 type Markov chain is found explicitly and, consequently, the steady state distributions of the age of the batch in service, the total workload in the system, waiting times, and sojourn times of different batches and different types of customers are obtained. We show that the generalized age process and a generalized total workload process have the same steady state distribution. We prove that the waiting times and sojourn times have PH-distributions and find matrix representations of those PH-distributions. When the arrival process is a Markov arrival process with marked transitions, we construct a QBD process for the age process and the total workload process. The steady state distributions of the waiting times and the sojourn times, both at the batch level and the customer level, are obtained from the steady state distribution of the QBD process. A number of numerical examples are presented to gain insight into the waiting processes of different types of customers.AMS subject classification: 60K25, 60J10This revised version was published online in June 2005 with corrected coverdate