A first passage time problem for spectrally positive Lévy processes and its application to a dynamic priority queue

We study a first passage time problem for a class of spectrally positive Lévy processes. By considering the special case where the Lévy process is a compound Poisson process with negative drift, we obtain the Laplace–Stieltjes transform of the steady-state waiting time distribution of low-priority customers in a two-class M/GI/1$M/GI/1$ queue operating under a dynamic non-preemptive priority discipline. This allows us to observe how the waiting time of customers is affected as the policy parameter varies.     

A perishable inventory system with service facility and finite source

In this article, we consider a continuous review (s,S)$(s\text{,}S)$ perishable inventory system with a service facility, wherein the demand of a customer is satisfied only after performing some service on the item which is assumed to be of random duration. We also assume that the demands are generated by a finite homogeneous population. The service time, the lead time are assumed to have Phase type distribution. The life time of the item is assumed to have exponential distributions. The joint distribution of the number of customers in the system and the inventory level is obtained in the steady state case. The Laplace–Stieltjes transform of the waiting time of the tagged customer is derived. Various system performance measures are derived and the total expected cost rate is computed under a suitable cost structure. The results are illustrated numerically.     

Spectral analysis for transition front solutions in multidimensional Cahn–Hilliard systems

We consider the spectrum associated with the linear operator obtained when a Cahn–Hilliard system on Rⁿ${\mathbb{R}}^n$ is linearized about a planar transition front solution. In the case of single Cahn–Hilliard equations on Rⁿ${\mathbb{R}}^n$, it's known that under general physical conditions the leading eigenvalue moves into the negative real half plane at a rate |ξ|³${|\xi |}^3$, where ξ is the Fourier transform variable corresponding with components transverse to the wave. Moreover, it has recently been verified that for single equations this spectral behavior implies nonlinear stability. In the current analysis, we establish that the same cubic rate law holds for a broad range of multidimensional Cahn–Hilliard systems. The analysis of nonlinear stability will be carried out separately.     

A new method for computing Moore–Penrose inverse matrices

The Moore–Penrose inverse of an arbitrary matrix (including singular and rectangular) has many applications in statistics, prediction theory, control system analysis, curve fitting and numerical analysis. In this paper, an algorithm based on the conjugate Gram–Schmidt process and the Moore–Penrose inverse of partitioned matrices is proposed for computing the pseudoinverse of an m×n$m\times n$ real matrix A$A$ with m≥n$m\ge n$ and rank r≤n$r\le n$. Numerical experiments show that the resulting pseudoinverse matrix is reasonably accurate and its computation time is significantly less than that of pseudoinverses obtained by the other methods for large sparse matrices.     

Finite time ruin probabilities for tempered stable insurance risk processes

We study the probability of ruin before time t$t$ for the family of tempered stable Lévy insurance risk processes, which includes the spectrally positive inverse Gaussian processes. Numerical approximations of the ruin time distribution are derived via the Laplace transform of the asymptotic ruin time distribution, for which we have an explicit expression. These are benchmarked against simulations based on importance sampling using stable processes. Theoretical consequences of the asymptotic formulae indicate that some care is needed in the choice of parameters to avoid exponential growth (in time) of the ruin probabilities in these models. This, in particular, applies to the inverse Gaussian process when the safety loading is less than one.     

A reflection principle for correlated defaults

The correct valuation of the so-called “correlation products” in the credit risk market such as n$n$-th-to-default swaps or CDOs requires a better understanding of higher dimensional barrier default phenomena. We introduce a reflection principle suited for the pricing of credit derivatives on two securities, paving the way for the development of new methods in the field. For that purpose, we introduce new processes, the distributions of which involve generalized Bessel functions. As an application, we derive a closed formula for second-to-default digital swaps, under the standard Black–Cox hypothesis on the conditions triggering default.     

Representation theory of the Yokonuma–Hecke algebra

We develop an inductive approach to the representation theory of the Yokonuma–Hecke algebra _Yd,n(q)${\mathrm{Y}}_{d,n}(q)$, based on the study of the spectrum of its Jucys–Murphy elements which are defined here. We give explicit formulas for the irreducible representations of _Yd,n(q)${\mathrm{Y}}_{d,n}(q)$ in terms of standard d  -tableaux; we then use them to obtain a semisimplicity criterion. Finally, we prove the existence of a canonical symmetrising form on _Yd,n(q)${\mathrm{Y}}_{d,n}(q)$ and calculate the Schur elements with respect to that form.     

On the accuracy of the approximation of the complex exponent by the first terms of its Taylor expansion with applications

A modification of the Taylor expansion for the complex exponential function e^ix$e^{ix}$, x∈R$x\in \mathbf{R}$, is proposed yielding precise moment-type estimates of the accuracy of the approximation of a Fourier transform by the first terms of its Taylor expansion. Moreover, a precise upper bound for the third moment of a probability distribution in terms of the absolute third moment is established. Based on these results, new precise bounds for Fourier–Stieltjes transforms of probability distribution functions and for their derivatives are obtained that are uniform in classes of distributions with prescribed first three moments.     

Polynomiality of monotone Hurwitz numbers in higher genera

Hurwitz numbers count branched covers of the Riemann sphere with specified ramification, or equivalently, transitive permutation factorizations in the symmetric group with specified cycle types. Monotone Hurwitz numbers count a restricted subset of these branched covers, related to the expansion of complete symmetric functions in the Jucys–Murphy elements, and have arisen in recent work on the asymptotic expansion of the Harish-Chandra–Itzykson–Zuber integral. In previous work we gave an explicit formula for monotone Hurwitz numbers in genus zero. In this paper we consider monotone Hurwitz numbers in higher genera, and prove a number of results that are reminiscent of those for classical Hurwitz numbers. These include an explicit formula for monotone Hurwitz numbers in genus one, and an explicit form for the generating function in arbitrary positive genus. From the form of the generating function we are able to prove that monotone Hurwitz numbers exhibit a polynomiality that is reminiscent of that for the classical Hurwitz numbers, i.e.  , up to a specified combinatorial factor, the monotone Hurwitz number in genus g$g$ with ramification specified by a given partition is a polynomial indexed by g$g$ in the parts of the partition.     

Uniqueness of Rankin–Selberg products

In the present paper, we show the equality of the γ  -factors defined by Jacquet, Piatetski-Shapiro and Shalika with those obtained via the Langlands–Shahidi method. Our results are new in the case of positive characteristic, where we establish a refined version of the local–global principle for _GLn${\mathrm{GL}}_n$ which has independent interest. In characteristic zero, the results are due to Shahidi. The comparison of γ-factors is made via a uniqueness result for Rankin–Selberg γ-factors.     

Chaotic dynamics of the heat semigroup on Riemannian symmetric spaces

We show that the heat semigroup generated by certain perturbations of the Laplace–Beltrami operator on the Riemannian symmetric spaces of noncompact type is chaotic   on their L^p$L^p$-spaces when 2<p<∞$2<p<\infty$. Both the range of p and the range of chaos-inducing perturbation are sharp. This extends a result of Ji and Weber [17] where it was shown that under identical conditions the heat operator is subspace-chaotic on these spaces.     

The holonomic rank of the Fisher–Bingham system of differential equations

The Fisher–Bingham system is a system of linear partial differential equations satisfied by the Fisher–Bingham integral for the n  -dimensional sphere Sⁿ$S^n$. The system is given in [4, Theorem 2] and it is shown that it is a holonomic system [1]. We show that the holonomic rank of the system is equal to 2n+2$2n+2$.