Some Explicit Distributions Related to the First Exit Time from a Bounded Interval for Certain Functionals of Brownian Motion

Let (B _t ) _{t≥ 0} be standard Brownian motion starting at y and set X _t = for , with V(y) = y ^γ if y≥ 0, V(y) = −K(−y)^γ if y≤ 0, where γ and K are some given positive constants. Set . In this paper, we provide some formulas for the probability distribution of the random variable as well as for the probability (or b)}. The formulas corresponding to the particular cases x = a or b are explicitly expressed by means of hypergeometric functions.      

The Monge Problem in Banach Spaces

In this paper, we generalize the Kantorovich functional to K?the-spaces for a cost or a profit function. We examine the convergence of probabilities with respect to this functional for some K?the-spaces. We study the Monge problem: Let be a K?the-space, P and Q two Borel probabilities defined on a Polish space M and a cost function . A K?the functional is defined by (P, Q) = inf where is the law of X. If c is a profit function, we note . (P, Q) = sup Under some conditions, we show the existence of a Monge function, φ, such that , or .      

Limit Laws for Norms of IID Samples with Weibull Tails

We are concerned with the limit distribution of l _t -norms (of order t) of samples of i.i.d. positive random variables, as N→∞, t→∞. The problem was first considered by Schlather [(2001), Ann. Probab. 29, 862–881], but the case where {X _i } belong to the domain of attraction of Gumbel’s double exponential law (in the sense of extreme value theory) has largely remained open (even for an exponential distribution). In this paper, it is assumed that the log-tail distribution function is regularly varying at infinity with index . We proceed from studying the limit distribution of the sums , which is of interest in its own right. A proper growth scale of N relative to t appears to be of the form (). We show that there are two critical points, α₁ = 1 and α₂ = 2, below which the law of large numbers and the central limit theorem, respectively, break down. For α < 2, under a slightly stronger condition of normalized regular variation of h, we prove that the limit laws for S _N (t) are stable, with characteristic exponent and skewness parameter . A complete picture of the limit laws for the norms R _N (t) = S _N (t)^1/t is then derived. In particular, our results corroborate a conjecture in Schlather [(2001), Ann. Probab. 29, 862–881] regarding the “endpoints” , α→ 0.      

Uniform Comparison of Tails of (Non-Symmetric) Probability Measures and Their Symmetrized Counterparts with Applications

Let (, ) be a separable Banach space and let be a class of probability measures on , and let denote the symmetrization of . We provide two sufficient conditions (one in terms of certain quantiles and the other in terms of certain moments of relative to μ and , ) for the “uniform comparison” of the μ and measure of the complements of the closed balls of centered at zero, for every . As a corollary to these “tail comparison inequalities,” we show that three classical results (the Lévy-type Inequalities, the Kwapień-Contraction Inequality, and a part of the It?–Nisio Theorem) that are valid for the symmetric (but not for the general non-symmetric) independent -valued random vectors do indeed hold for the independent random vectors whose laws belong to any which satisfies one of the two noted conditions and which is closed under convolution. We further point out that these three results (respectively, the tail comparison inequalities) are valid for the centered log-concave, as well as, for the strictly α-stable (or the more general strictly (r, α) -semistable) α ≠ 1 random vectors (respectively, probability measures). We also present several examples which we believe form a valuable part of the paper.      

A Notion of Stopping Line for Set-Indexed Processes

In this paper, we introduce the class of -stopping lines which generalize the planar stopping lines in Merzbach [(1980), Stochastic Process. Appl. 10, 49–63] by replacing the positive quadrant of the plane by a collection of compact subsets of a fixed topological space. Our notion of stopping line also compliments and generalizes the stopping sets defined in Ivanoff and Merzbach [(1995), Stochastic Process. Appl. 57, 83–98].      

A Continuous Super-Brownian Motion in a Super-Brownian Medium

A continuous super-Brownian motion is constructed in which branching occurs only in the presence of catalysts which evolve themselves as a continuous super-Brownian motion . More precisely, the collision local time (in the sense of Barlow et al. ⁽¹⁾) of an underlying Brownian motion path W with the catalytic mass process goerns the branching (in the sense of Dynkin's additive functional approach). In the one-dimensional case, a new type of limit behavior is encountered: The total mass process converges to a limit without loss of expectation mass (persistence) and with a nonzero limiting variance, whereas starting with a Lebesgue measure , stochastic convergence to occurs.     

On The Invariant Measure of a Positive Recurrent Diffusion in $${\mathbb{R}}$$

Given a one-dimensional positive recurrent diffusion governed by the Stratonovich SDE , we show that the associated stochastic flow of diffeomorphisms focuses as fast as , where is the finite stationary measure. Moreover, if the drift is reversed and the diffeomorphism is inverted, then the path function so produced tends, independently of its starting point, to a single (random) point whose distribution is . Applications to stationary solutions of X _t , asymptotic behavior of solutions of SPDEs and random attractors are offered. This paper was written while the author was visiting Northwestern University and the opinions expressed in it are those of the author alone and do not necessarily reflect the views of Merrill Lynch, its subsidiaries or affiliates.     

A quantitative analysis of Oka’s lemma

In this paper, we will examine a strong form of Oka’s lemma which provides sufficient conditions for compact and subelliptic estimates for the -Neumann operator on Lipschitz domains. On smooth domains, the condition for subellipticity is equivalent to D’Angelo finite type and the condition for compactness is equivalent to Catlin’s condition (P). As an application, we will prove regularity for the -Neumann operator in the Sobolev space W ^s , , on C ² domains.     

Finite elements approximation of second order linear elliptic equations in divergence form with right-hand side in L 1

In this paper we consider, in dimension d≥ 2, the standard finite elements approximation of the second order linear elliptic equation in divergence form with coefficients in L ^∞(Ω) which generalizes Laplace’s equation. We assume that the family of triangulations is regular and that it satisfies an hypothesis close to the classical hypothesis which implies the discrete maximum principle. When the right-hand side belongs to L ¹(Ω), we prove that the unique solution of the discrete problem converges in (for every q with ) to the unique renormalized solution of the problem. We obtain a weaker result when the right-hand side is a bounded Radon measure. In the case where the dimension is d = 2 or d = 3 and where the coefficients are smooth, we give an error estimate in when the right-hand side belongs to L ^r (Ω) for some r > 1.     

Unstable extremal surfaces of the “Shiffman functional” spanning rectifiable boundary curves

In this paper we derive a sufficient condition for the existence of extremal surfaces of a parametric functional with a dominant area term, which do not furnish global minima of within the class of H ^1,2-surfaces spanning an arbitrary closed rectifiable Jordan curve that merely has to satisfy a chord-arc condition. The proof is based on the “mountain pass result” of (Jakob in Calc Var 21:401–427, 2004) which yields an unstable -extremal surface bounded by an arbitrary simple closed polygon and Heinz’ ”approximation method” in (Arch Rat Mech Anal 38:257–267, 1970). Hence, we give a precise proof of a partial result of the mountain pass theorem claimed by Shiffman in (Ann Math 45:543–576, 1944) who only outlined a very sketchy and partially incorrect proof.     

A note on curvature of α-connections of a statistical manifold

The family of α-connections ∇^(α) on a statistical manifold equipped with a pair of conjugate connections and is given as . Here, we develop an expression of curvature R ^(α) for ∇^(α) in relation to those for . Immediately evident from it is that ∇^(α) is equiaffine for any when are dually flat, as previously observed in Takeuchi and Amari (IEEE Transactions on Information Theory 51:1011–1023, 2005). Other related formulae are also developed. The work was conducted when the author was on sabbatical leave as a visiting research scientist at the Mathematical Neuroscience Unit, RIKEN Brain Science Institute, Wako-shi, Saitama 351-0198, Japan.     

Poincaré inequality and Palais–Smale condition for the <Emphasis Type="Italic">p</Emphasis>-Laplacian

An improved Poincaré inequality and validity of the Palais-Smale condition are investigated for the energy functional on , 1 < p < ∞, where Ω is a bounded domain in , is a spectral (control) parameter, and is a given function, in Ω. Analysis is focused on the case λ = λ₁, where −λ₁ is the first eigenvalue of the Dirichlet p-Laplacian Δ _p on , λ₁ > 0, and on the “quadratization” of within an arbitrarily small cone in around the axis spanned by , where stands for the first eigenfunction of Δ _p associated with −λ₁.     

On a singular perturbation problem related to optimal lifting in BV-space

We prove a Γ-convergence result for the family of functionals defined on H ¹(Ω) by for a given and a parameter . We show that in either of the two cases, p = 2 or , any limit of the minimizers is an optimal lifting.     

Skorohod representation on a given probability space

Let $(\Omega,\mathcal{A},P)Let be a probability space, S a metric space, μ a probability measure on the Borel σ-field of S, and an arbitrary map, n = 1,2,.... If μ is tight and X _n converges in distribution to μ (in Hoffmann–J?rgensen’s sense), then X∼μ for some S-valued random variable X on . If, in addition, the X _n are measurable and tight, there are S-valued random variables and X, defined on , such that , X∼μ, and a.s. for some subsequence (n _k ). Further, a.s. (without need of taking subsequences) if μ{x} = 0 for all x, or if P(X _n = x) = 0 for some n and all x. When P is perfect, the tightness assumption can be weakened into separability up to extending P to for some H⊂Ω with P ^*(H) = 1. As a consequence, in applying Skorohod representation theorem with separable probability measures, the Skorohod space can be taken , for some H⊂ (0,1) with outer Lebesgue measure 1, where is the Borel σ-field on (0,1) and m _H the only extension of Lebesgue measure such that m _H (H) = 1. In order to prove the previous results, it is also shown that, if X _n converges in distribution to a separable limit, then X _{n k} converges stably for some subsequence (n _k ).      

On minimum delta set values in block monoids over cyclic groups

The difference in length between two distinct factorizations of an element in a Dedekind domain or in the corresponding block monoid is an object of study in the theory of non-unique factorizations. It provides an alternate way, distinct from what the elasticity provides, of measuring the degree of non-uniqueness of factorizations. In this paper, we discuss the difference in consecutive lengths of irreducible factorizations in block monoids of the form where . We will show that the greatest integer r, denoted by , which divides every difference in lengths of factorizations in can be immediately determined by considering the continued fraction of . We then consider the set including necessary and sufficient conditions (which depend on p) for a value to be an element of . 2000 Mathematics Subject Classification Primary—20M14, 11A55, 20D60, 11A51 Parts of this work are contained in the first author’s Doctoral Dissertation written at the University of North Carolina at Chapel Hill under the direction of the third author.     

Maximal <Emphasis Type="Italic">L</Emphasis><Superscript><Emphasis Type="Italic">p</Emphasis></Superscript>-regularity for the Laplacian on Lipschitz domains

We consider the Laplacian with Dirichlet or Neumann boundary conditions on bounded Lipschitz domains Ω, both with the following two domains of definition: , or , where B is the boundary operator. We prove that, under certain restrictions on the range of p, these operators generate positive analytic contraction semigroups on L ^p (Ω) which implies maximal regularity for the corresponding Cauchy problems. In particular, if Ω is bounded and convex and , the Laplacian with domain D ₂(Δ) has the maximal regularity property, as in the case of smooth domains. In the last part, we construct an example that proves that, in general, the Dirichlet–Laplacian with domain D ₁(Δ) is not even a closed operator. The main results of this paper are taken from the author’s Ph.D. thesis, written at the TU Darmstadt under the supervision of Prof. M. Hieber. The author wishes to thank Prof. Hieber for his guidance, encouragement and support in the last few years. Many thanks also go to Prof. C. E. Kenig for his hospitality and many ruitful discussions on the subject during a 1-year stay at the University of Chicago.     

A Slow Transient Diffusion in a Drifted Stable Potential

We consider a diffusion process X in a random potential of the form , where is a positive drift and is a strictly stable process of index with positive jumps. Then the diffusion is transient and converges in law towards an exponential distribution. This behaviour contrasts with the case where is a drifted Brownian motion and provides an example of a transient diffusion in a random potential which is as “slow” as in the recurrent setting.      

A New Approach to Poisson Approximation of Simple Point Processes Using Compensators

Consider a simple point process N on the line, and let be its compensator. We use a result of Kallenberg (1990, Probab. Theory Relat. Fields 86, 167–202) to give a new approach to estimate the total variation distance between the distributions of N and that of a Poisson process when has small jump sizes.     

Pointwise estimates for relative fundamental solutions of heat equations in $${\mathbb{R} \times \mathbb{C}}$$

Let be a subharmonic, nonharmonic polynomial and a parameter. Define , a closed, densely defined operator on . If and , we solve the heat equations , u(0,z) = f(z) and , . We write the solutions via heat semigroups and show that the solutions can be written as integrals against distributional kernels. We prove that the kernels are C ^∞ off of the diagonal {(s, z, w) : s = 0 and z = w} and find pointwise bounds for the kernels and their derivatives.      

Extrapolation results for <Emphasis Type="Italic">q</Emphasis> < 1

Given a sublinear operator T such that is bounded, it can be shown that is bounded, with constant C/(1−q), for every 0 < q < 1. In this paper, we study the converse result, not only for sequence spaces, but for general measure spaces proving that, if T : L ^q (μ) → X is bounded, with constant C/(1−q), for every and X is Banach, then T : L log (1/L)(μ) → X is bounded. Moreover, this result is optimal. We also show that things are quite different if the Banach condition on X is dropped. This work has been partially supported by MTM2004-02299 and by 2005SGR00556.