A Markov copula model with regime switching and its application

Regime switching, which is described by a Markov chain, is introduced in a Markov copula model. We prove that the marginals (X,H ⁱ ), i = 1, 2, 3 of the Markov copula model (X,H) are still Markov processes and have martingale property. In this proposed model, a pricing formula of credit default swap (CDS) with bilateral counterparty risk is derived.     

Thom-Sebastiani properties of Kohn-Rossi cohomology of compact connected strongly pseudoconvex CR manifolds

Let X_1 and X_2 be two compact connected strongly pseudoconvex embeddable Cauchy-Riemann(CR) manifolds of dimensions 2m-1 and 2n-1 in C~(m+1)and C~(n+1), respectively. We introduce the ThomSebastiani sum X = X_1 ⊕X_2which is a new compact connected strongly pseudoconvex embeddable CR manifold of dimension 2m+2n+1 in C~(m+n+2). Thus the set of all codimension 3 strongly pseudoconvex compact connected CR manifolds in Cn+1for all n 2 forms a semigroup. X is said to be an irreducible element in this semigroup if X cannot be written in the form X_1 ⊕ X_2. It is a natural question to determine when X is an irreducible CR manifold. We use Kohn-Rossi cohomology groups to give a necessary condition of the above question. Explicitly,we show that if X = X_1 ⊕ X_2, then the Kohn-Rossi cohomology of the X is the product of those Kohn-Rossi cohomology coming from X_1 and X_2 provided that X_2 admits a transversal holomorphic S~1-action.     

Parametric AE-solution sets to the parametric linear systems with multiple right-hand sides and parametric matrix equation A(p)X = B(p)

In this paper, the parametric matrix equation A(p)X = B(p) whose elements are linear functions of uncertain parameters varying within intervals are considered. In this matrix equation A(p) and B(p) are known m-by-m and m-by-n matrices respectively, and X is the m-by-n unknown matrix. We discuss the so-called AE-solution sets for such systems and give some analytical characterizations for the AE-solution sets and a sufficient condition under which these solution sets are bounded. We then propose a modification of Krawczyk operator for parametric systems which causes reduction of the computational complexity of obtaining an outer estimation for the parametric united solution set, considerably. Then we give a generalization of the Bauer-Skeel and the Hansen-Bliek-Rohn bounds for enclosing the parametric united solution set which also enables us to reduce the computational complexity, significantly. Also some numerical approaches based on Gaussian elimination and Gauss-Seidel methods to find outer estimations for the parametric united solution set are given. Finally, some numerical experiments are given to illustrate the performance of the proposed methods.     

On a question by Corson about point-finite coverings

We answer in the affirmative the following question raised by H. H. Corson in 1961: “Is it possible to cover every Banach space X by bounded convex sets with non-empty interior in such a way that no point of X belongs to infinitely many of them?”Actually, we show the way to produce in every Banach space X a bounded convex tiling of order 2, i.e., a covering of X by bounded convex closed sets with non-empty interior (tiles) such that the interiors are pairwise disjoint and no point of X belongs to more than two tiles.     

No decreasing sequence of cardinals

In set theory without the Axiom of Choice (AC), we investigate the set-theoretic strength of the principle NDS which states that there is no function f on the set ω of natural numbers such that for everyn ∈ ω, f (n + 1) ? f (n), where for sets x and y, x ? y means that there is a one-to-one map g : x → y, but no one-to-one map h : y → x. It is a long standing open problem whether NDS implies AC. In this paper, among other results, we show that NDS is a strong axiom by establishing that AC^LO (AC restricted to linearly ordered sets of non-empty sets, and also equivalent to AC in ZF, the Zermelo–Fraenkel set theory minus AC) ? NDS in ZFA set theory (ZF with the Axiom of Extensionality weakened in order to allow the existence of atoms). The latter result provides a strongly negative answer to the question of whether “every Dedekind-finite set is finite” implies NDS addressed in G. H. Moore “Zermelo’s Axiom of Choice. Its Origins, Development, and Influence” and in P. Howard–J. E. Rubin “Consequences of the Axiom of Choice”. We also prove that AC^WO (AC restricted to well-ordered sets of non-empty sets) ? NDS in ZF (hence, “every Dedekind-finite set is finite” ? NDS in ZF, either) and that “for all infinite cardinals m, m + m = m” ? NDS in ZFA.     

Viability property of jump diffusion processes on manifolds

In this note, we give a necessary and sufficient condition for viability property of diffusion processes with jumps on closed submanifolds of R ^m . Our result is the system is viable in a closed submanifold K iff the coefficients are tangent to K along K if the equation is in the sense of stratonovich integral and the solution jumps from K to K.     

On Linear Preservers of Two-Sided Gut-Majorization On <Emphasis Type="Bold">M</Emphasis><Subscript><Emphasis Type="Italic">n</Emphasis>,<Emphasis Type="Italic">m</Emphasis></Subscript>

For X, Y ∈ M_n,m it is said that X is gut-majorized by Y, and we write X ?_gutY, if there exists an n-by-n upper triangular g-row stochastic matrix R such that X = RY. Define the relation ~_gut as follows. X ~_gutY if X is gut-majorized by Y and Y is gut-majorized by X. The (strong) linear preservers of ?_gut on ?ⁿ and strong linear preservers of this relation on M_n,m have been characterized before. This paper characterizes all (strong) linear preservers and strong linear preservers of ~_gut on ?ⁿ and M_n,m.     

Heat Kernels for Isotropic-Like Markov Generators on Ultrametric Spaces: a Survey

Let (X, d) be a locally compact separable ultrametric space. Let D be the set of all locally constant functions having compact support. Given a measure m and a symmetric function J(x, y) we consider the linear operator L^Jf(x) = ∫(f(x) ? f(y)) J(x, y)dm(y) defined on the set D. When J(x, y) is isotropic and satisfies certain conditions, the operator (?L^J, D) acts in L²(X,m), is essentially self-adjoint and extends as a self-adjoint Markov generator, its Markov semigroup admits a continuous heat kernel p^J (t, x, y). When J(x, y) is not isotropic but uniformly in x, y is comparable to isotropic function J(x, y) as above the operator (?L^J, D) extends in L²(X,m) as a self-adjointMarkov generator, its Markov semigroup admits a continuous heat kernel p^J(t, x, y), and the function p^J(t, x, y) is uniformly comparable in t, x, y to the function p^J(t, x, y), the heat kernel related to the operator (?L^J,D).     

Phragmén-Lindelöf Theorems and p-harmonic Measures for Sets Near Low-dimensional Hyperplanes

We prove estimates of a p-harmonic measure, p∈(n?m,∞], for sets in Rⁿ which are close to an m-dimensional hyperplane Λ?Rⁿ, m∈[0,n?1]. Using these estimates, we derive results of Phragmén-Lindelöf type in unbounded domains Ω?Rⁿ?Λ for p-subharmonic functions. Moreover, we give local and global growth estimates for p-harmonic functions, vanishing on sets in Rⁿ, which are close to an m-dimensional hyperplane.     

Interpolation of vector measures

Let (Ω, Σ) be a measurable space and m ₀: Σ → X ₀ and m ₁: Σ → X ₁ be positive vector measures with values in the Banach Köthe function spaces X ₀ and X ₁. If 0 < α < 1, we define a new vector measure [m ₀, m ₁] _α with values in the Calderón lattice interpolation space X ₀ ^1?ga X ₁ ^α and we analyze the space of integrable functions with respect to measure [m ₀, m ₁] _α in order to prove suitable extensions of the classical Stein-Weiss formulas that hold for the complex interpolation of L ^p -spaces. Since each p-convex order continuous Köthe function space with weak order unit can be represented as a space of p-integrable functions with respect to a vector measure, we provide in this way a technique to obtain representations of the corresponding complex interpolation spaces. As applications, we provide a Riesz-Thorin theorem for spaces of p-integrable functions with respect to vector measures and a formula for representing the interpolation of the injective tensor product of such spaces.     

Schrödinger operators with δ′-interactions and the Krein-Stieltjes string

We investigate one dimensional symmetric Schrödinger operator H _{X, β} with δ′-interactions of strength β = “β _n ” _{n = 1} ^∞ ? ? on a discrete set X = “x _n ” _{n = 1} ^∞ ? [0, b), b ≤ +∞ (x _n ↑ b). We consider H _{X, β} as an extension of the minimal operator H _min:= ?d ²/dx ²?W ₀ ^2.2 (?\X) and study its spectral properties in the frame-work of the extension theory by using the technique of boundary triplets and the corresponding Weyl functions. The construction of a boundary triplet for H _min ^* is given in the case d _*:= inf_{n ∈ ?}\x _n ? x _{n ? 1}\ = 0. We show that spectral properties like self-adjointness, lower semiboundedness, nonnegativity, and discreteness of the spectrum of the operator H _{X, β} correlate with the corresponding properties of a certain Jacobi matrix. In the case β _n > 0, n ∈ ?, these matrices form a subclass of Jacobi matrices generated by the Krein-Stieltjes strings. The connection discovered enables us to obtain simple conditions for the operator H _{X, β} to be self-adjoint, lower semibounded and discrete. These conditions depend significantly not only on β but also on X. Moreover, as distinct from the case d _* > 0, the spectral properties of Hamiltonians with δ- and δ′-interactions in the case d _* = 0 substantially differ.     

Comparing and Simplifying Distinct-Cluster Phylogenetic Networks

Phylogenetic networks are rooted acyclic directed graphs in which the leaves are identified with members of a set X of species. The cluster of a vertex is the set of leaves that are descendants of the vertex. A network is “distinct-cluster” if distinct vertices have distinct clusters. This paper focuses on the set DC(X) of distinct-cluster networks whose leaves are identified with the members of X. For a fixed X, a metric on DC(X) is defined. There is a “cluster-preserving” simplification process by which vertices or certain arcs may be removed without changing the clusters of any remaining vertices. Many of the resulting networks may be uniquely determined without regard to the order of the simplifying operations.     

Adjoining batch Markov arrival processes of a Markov chain

A batch Markov arrival process (BMAP) X* = (N, J) is a 2-dimensional Markov process with two components, one is the counting process N and the other one is the phase process J. It is proved that the phase process is a time-homogeneous Markov chain with a finite state-space, or for short, Markov chain. In this paper, a new and inverse problem is proposed firstly: given a Markov chain J, can we deploy a process N such that the 2-dimensional process X* = (N, J) is a BMAP? The process X* = (N, J) is said to be an adjoining BMAP for the Markov chain J. For a given Markov chain the adjoining processes exist and they are not unique. Two kinds of adjoining BMAPs have been constructed. One is the BMAPs with fixed constant batches, the other one is the BMAPs with independent and identically distributed (i.i.d) random batches. The method we used in this paper is not the usual matrix-analytic method of studying BMAP, it is a path-analytic method. We constructed directly sample paths of adjoining BMAPs. The expressions of characteristic (D _k , k = 0, 1, 2 · · ·) and transition probabilities of the adjoining BMAP are obtained by the density matrix Q of the given Markov chain J. Moreover, we obtained two frontal Theorems. We present these expressions in the first time.     

On homogenization for non-self-adjoint locally periodic elliptic operators

In this note we consider the homogenization problem for a matrix locally periodic elliptic operator on R ^d of the form A ^ε = ?divA(x, x/ε)?. The function A is assumed to be Hölder continuous with exponent s ∈ [0, 1] in the “slow” variable and bounded in the “fast” variable. We construct approximations for (A ^ε ? μ)^?1, including one with a corrector, and for (?Δ) ^s/2(A ^ε ? μ)^?1 in the operator norm on L ₂(R ^d ) ⁿ . For s ≠ 0, we also give estimates of the rates of approximation.     

A sharp eigenvalue theorem for fractional elliptic equations

The invisibility graph I(X) of a set X ? R ^d is a (possibly infinite) graph whose vertices are the points of X and two vertices are connected by an edge if and only if the straight-line segment connecting the two corresponding points is not fully contained in X. We consider the following three parameters of a set X: the clique number ω(I(X)), the chromatic number χ(I(X)) and the convexity number γ(X), which is the minimum number of convex subsets of X that cover X.We settle a conjecture of Matou?ek and Valtr claiming that for every planar set X, γ(X) can be bounded in terms of χ(I(X)). As a part of the proof we show that a disc with n one-point holes near its boundary has χ(I(X)) ≥ log log(n) but ω(I(X)) = 3.We also find sets X in R⁵ with χ(X) = 2, but γ(X) arbitrarily large.     

Determinant Bundle Over the Universal Moduli Space of Principal Bundles Over the Teichmüller Space

For a Riemann surface X and the moduli of regularly stable G-bundles M, there is a naturally occuring “adjoint” vector bundle over X × M. One can take the determinant of this vector bundle with respect to the projection map onto M. Our aim here is to study the curvature of the determinant bundle as the conformal structure on X varies over the Teichmüller space.     

Jacobi Maaß forms

In this paper, we give a new definition for the space of non-holomorphic Jacobi Maaß forms (denoted by J _k,m ^nh ) of weight k∈? and index m∈? as eigenfunctions of a degree three differential operator \(\mathcal{C}^{k,m}\). We show that the three main examples of Jacobi forms known in the literature: holomorphic, skew-holomorphic and real-analytic Eisenstein series, are contained in J _k,m ^nh . We construct new examples of cuspidal Jacobi Maaß forms F _f of weight k∈2? and index 1 from weight k?1/2 Maaß forms f with respect to Γ₀(4) and show that the map f ? F _f is Hecke equivariant. We also show that the above map is compatible with the well-known representation theory of the Jacobi group. In addition, we show that all of J _k,m ^nh can be “essentially” obtained from scalar or vector valued half integer weight Maaß forms.     

Asymptotic distribution of singular values of powers of random matrices

Let x be a complex random variable such that \( {\mathbf{E}}x = 0,\,{\mathbf{E}}{\left| x \right|^2} = 1 \), and \( {\mathbf{E}}{\left| x \right|^4} < \infty \). Let \( {x_{ij}},i,j \in \left\{ {1,2, \ldots } \right\} \), be independent copies of x. Let \( {\mathbf{X}} = \left( {{N^{ - 1/2}}{x_{ij}}} \right) \), 1≤i,j≤N, be a random matrix. Writing X ^? for the adjoint matrix of X, consider the product X ^m X ^?m with some m ∈{1,2,...}. The matrix X ^m X ^?m is Hermitian positive semidefinite. Let λ₁,λ₂,...,λ _N be eigenvalues of X ^m X ^?m (or squared singular values of the matrix X ^m ). In this paper, we find the asymptotic distribution function \( {G^{(m)}}(x) = {\lim_{N \to \infty }}{\mathbf{E}}F_N^{(m)}(x) \) of the empirical distribution function \( F_N^{(m)}(x) = {N^{ - 1}}\sum\nolimits_{k = 1}^N {\mathbb{I}\left\{ {{\lambda_k} \leqslant x} \right\}} \), where \( \mathbb{I}\left\{ A \right\} \) stands for the indicator function of an event A. With m=1, our result turns to a well-known result of Marchenko and Pastur [V. Marchenko and L. Pastur, The eigenvalue distribution in some ensembles of random matrices, Math. USSR Sb., 1:457–483, 1967].     

A note on maximum-type functions

The paper studies the differential properties of functions of the form

$g(x) = \mathop {\max }\limits_{y \in Y} f(x,y),$

where x ∈ X (X is an open convex set from ? ^m ) and y ∈ Y (Y is a compact from ? ⁿ ). Apart from the conventional smoothness conditions imposed on f(x, y), the condition of the concavity of g(x) on X is also imposed.

The differentiability of function g(x) on X is proved.The results of the study facilitate the derivation of the conditions ensuring the sufficiency of Pontryagin’s maximum principle.