Hall–Littlewood functions and the Rogers–Ramanujan identities

We prove an identity for Hall–Littlewood symmetric functions labelled by the Lie algebra A₂. Through specialization this yields a simple proof of the A₂ Rogers–Ramanujan identities of Andrews, Schilling and the author.     

Studying Baskakov–Durrmeyer operators and quasi-interpolants via special functions

We prove that the kernels of the Baskakov–Durrmeyer and the Szász–Mirakjan–Durrmeyer operators are completely monotonic functions. We establish a Bernstein type inequality for these operators and apply the results to the quasi-interpolants recently introduced by Abel. For the Baskakov–Durrmeyer quasi-interpolants, we give a representation as linear combinations of the original Baskakov–Durrmeyer operators and prove an estimate of Jackson–Favard type and a direct theorem in terms of an appropriate K-functional.     

The practice of Delta–Gamma VaR: Implementing the quadratic portfolio model

This paper intends to critically evaluate state-of-the-art methodologies for calculating the value-at-risk (VaR) of non-linear portfolios from the point of view of computational accuracy and efficiency. We focus on the quadratic portfolio model, also known as “Delta–Gamma”, and, as a working assumption, we model risk factor returns as multi-normal random variables. We present the main approaches to Delta–Gamma VaR weighing their merits and accuracy from an implementation-oriented standpoint. One of our main conclusions is that the Delta–Gamma-Normal VaR may be less accurate than even Delta VaR. On the other hand, we show that methods that essentially take into account the non-linearity (hence gammas and third or higher moments) of the portfolio values may present significant advantages over full Monte Carlo revaluations. The role of non-diagonal terms in the Gamma matrix as well as the sensitivity to correlation is considered both for accuracy and computational effort. We also qualitatively examine the robustness of Delta–Gamma methodologies by considering a highly non-quadratic portfolio value function.     

An a Posteriori Error Estimate for a Semi-Lagrangian Scheme for Hamilton–Jacobi Equations

We present an a posteriori estimate for a first order semi-Lagrangian method for Hamilton–Jacobi equations. The result requires piecewise C ^1,1 regularity of the viscosity solution and is stated for the Bellman equation related to the infinite horizon problem, although it can be applied to more general Hamilton–Jacobi equations with convex Hamiltonians. This estimate suggests different numerical indicators that can be used to construct an adaptive algorithm for the approximation of the viscosity solution.     

A Generalized Rational Interpolation Problem and the Solution of the Welch–Berlekamp Key Equation

We show that an algorithm designed to solve the Welch–Berlekamp key equation may also be used to solve a more general problem, which can be regarded as a finite analogue of a generalized rational interpolation problem. As a consequence, we show that a single algorithm exists which can solve both Berlekamp's classical key equation (usually solved by the Berlekamp–Massey algorithm) and the Welch–Berlekamp key equation which arise in the decoding of Reed–Solomon codes.     

Marcinkiewicz–Zygmund inequalities

We study a generalization of the classical Marcinkiewicz–Zygmund inequalities. We relate this problem to the sampling sequences in the Paley–Wiener space and by using this analogy we give sharp necessary and sufficient computable conditions for a family of points to satisfy the Marcinkiewicz–Zygmund inequalities.     

Asymptotic Gauss–Jacobi quadrature error estimation for Schwarz–Christoffel integrals

Numerical conformal mapping packages based on the Schwarz–Christoffel formula have been in existence for a number of years. Various authors, for good reasons of practical efficiency, have chosen to use composite n-point Gauss–Jacobi rules for the estimation of the Schwarz–Christoffel path integrals. These implementations rely on an ad hoc, but experimentally well-founded, heuristic for selecting the spacing of the integration end-points relative to the position of the nearby integrand singularities. In the present paper we derive an explicitly computable estimate, asymptotic as n→∞, for the relevant Gauss–Jacobi quadrature error. A numerical example illustrates the potential accuracy of the estimate even at low values of n. It is apparent that the error estimate will allow the adaptive construction of composite rules in a manner that is more efficient than has been possible hitherto.     

Functional Equations and Quantum Separation of Variables for 3d Spin Models

The recently proposed invariant formulation of the auxiliary linear problem for 3d integrable models provides several new ideas for solving the spectral problem of 3d spin models, e.g., the Zamolodchikov–Bazhanov–Baxter model in its vertex formulation. This paper announces results following from the invariant formulation. We formulate the class of 3d spin models that are essentially appropriately parameterized inhomogeneous Zamolodchikov–Bazhanov–Baxter models, present an expression for the generating function of the complete set of matrices commuting with the transfer matrix of this model (integrals of motion), give the functional equations defining the eigenvalues of the integrals of motion and the transfer matrices, explicitly describe the groupoid of isospectral transformations of the initial system of integrals of motion, and finally give an explicit parameterization of a projection operator onto the separated states in the sense of the quantum separation of variables (functional Bethe ansatz).     

Conservation laws for Camassa–Holm equation, Dullin–Gottwald–Holm equation and generalized Dullin–Gottwald–Holm equation

In this paper we construct the conservation laws for the Camassa–Holm equation, the Dullin–Gottwald–Holm equation (DGH) and the generalized Dullin–Gottwald–Holm equation (generalized DGH). The variational derivative approach is used to derive the conservation laws. Only first order multipliers are considered. Two multipliers are obtained for the Camassa–Holm equation. For the DGH and generalized DGH equations the variational derivative approach yields two multipliers; thus two conserved vectors are obtained.     

Uniqueness of solutions to inverse Sturm–Liouville problems with potential using three spectra

The uniqueness of solutions to two inverse Sturm–Liouville problems using three spectra is proven, based on the uniqueness of the solution-pair to an overdetermined Goursat–Cauchy boundary value problem. We discuss the uniqueness of the potential for a Dirichlet boundary condition at an arbitrary interior node, and for a Robin boundary condition at an arbitrary interior node, whereas at the exterior nodes we have Dirichlet boundary conditions in both situations. Here we are particularly concerned with potential functions that are L²(0,a).     

An algebra containing the two-sided convolution operators

We present an intrinsically defined algebra of operators containing the right and left invariant Calderón–Zygmund operators on a stratified group. The operators in our algebra are pseudolocal and bounded on L^p (1<p<∞). This algebra provides an example of an algebra of singular integrals that falls outside of the classical Calderón–Zygmund theory.     

Calculus of variations with fractional derivatives and fractional integrals

We prove the Euler–Lagrange fractional equations and the sufficient optimality conditions for problems of the calculus of variations with functionals containing both fractional derivatives and fractional integrals in the sense of Riemann–Liouville.     

Quadratic Hermite–Padé Approximation to the Exponential Function: A Riemann–Hilbert Approach

We investigate the asymptotic behavior of the polynomials p, q, r of degrees n in type I Hermite–Padé approximation to the exponential function, defined by p(z)e^-z + q(z) + r(z) e^z = O(z³ⁿ⁺²) as z 0. These polynomials are characterized by a Riemann–Hilbert problem for a 3 × 3 matrix valued function. We use the Deift–Zhou steepest descent method for Riemann–Hilbert problems to obtain strong uniform asymptotics for the scaled polynomials p(3nz), q(3nz), and r(3nz) in every domain in the complex plane. An important role is played by a three-sheeted Riemann surface and certain measures and functions derived from it. Our work complements the recent results of Herbert Stahl.     

Evidence for a Phase Transition in Three-Dimensional Lattice Models

It was recently discovered that an eigenvector structure of commutative families of layer-to-layer matrices in three-dimensional lattice models is described by a two-dimensional spin lattice generalizing the notion of one-dimensional spin chains. We conjecture the relations between the two-dimensional spin lattice in the thermodynamic limit and the phase structure of three-dimensional lattice models. We consider two simplest cases: the homogeneous spin lattice related to the Zamolodchikov–Bazhanov–Baxter model and a chess spin lattice related to the Stroganov–Mangazeev elliptic solution of the modified tetrahedron equation. Evidence for the phase transition is obtained in the second case.     

Integrable Structure Behind the WDVV Equations

An integrable structure behind the Witten–Dijkgraaf–Verlinde–Verlinde (WDVV) equations is identified with the reduction of the Riemann–Hilbert problem for the homogeneous loop group . The reduction requires the dressing matrices to be fixed points of an order-two loop group automorphism resulting in a subhierarchy of the hierarchy containing only odd-symmetry flows. The model has Virasoro symmetry; imposing Virasoro constraints ensures the homogeneity property of the Darboux–Egoroff structure. Dressing matrices of the reduced model provide solutions of the WDVV equations.     

Geometry of Log-concave Functions and Measures

We present a view of log-concave measures, which enables one to build an isomorphic theory for high dimensional log-concave measures, analogous to the corresponding theory for convex bodies. Concepts such as duality and the Minkowski sum are described for log-concave functions. In this context, we interpret the Brunn–Minkowski and the Blaschke–Santaló inequalities and prove the two corresponding reverse inequalities. We also prove an analog of Milman’s quotient of subspace theorem, and present a functional version of the Urysohn inequality.Mathematics Subject Classiffications (2000). 52A20, 52A40, 46B07     

The global attractor of the viscous Fornberg–Whitham equation

This paper aims to present a proof of the existence of the attractor for the one-dimensional viscous Fornberg–Whitham equation. In this paper, the global existence of solution to the viscous Fornberg–Whitham equation in L² under the periodic boundary conditions is studied. By using the time estimate of the Fornberg–Whitham equation, we get the compact and bounded absorbing set and the existence of the global attractor for the viscous Fornberg–Whitham equation.     

Adaptive Wavelet Simulation of a Flow around an Impulsively Started Cylinder Using Penalisation

We present an adaptive wavelet method to integrate the velocity–vorticity formulation of the two-dimensional Navier–Stokes equations coupled with a penalisation technique to handle efficiently solid boundaries of arbitrary shape. We demonstrate the validity of this method, called coherent vortex simulation (CVS), to compute the flow around an impulsively started cylinder at high Reynolds number and compare the results with a classical vortex method.     

Limiting Connection between Discrete and Continuous Time Forward Interest Rate Curve Models

We study discrete time Heath–Jarrow–Morton (HJM) type of interest rate curve models, where the forward interest rates – in contrast to the classical HJM models – are driven by a random field. Our main aim is to investigate the relationship between the discrete time forward interest rate curve model and its continuous time counterpart. We derive a general result on the convergence of discrete time models and we give special focus on the nearly unit root spatial autoregression model.