Probabilities of high extremes for a Gaussian stationary process in a random environment

Let ξ(t) be a zero-mean stationary Gaussian process with the covariance function r(t) of Pickands type, i.e., r(t) = 1 ? |t| ^α + o(|t| ^α ), t → 0, 0 < α ≤ 2, and η(t), ζ(t) be periodic random processes. The exact asymptotic behavior of the probabilities P(max _t∈[0,T] η(t)ξ(t) > u), P(max _t∈[0,T] (ξ(t) + η(t)) > u) and P(max _t∈[0,T] (η(t)ξ(t) + ζ(t)) > u) is obtained for u → ∞ for any T > 0 and independent ξ(t), η(t), ζ(t).     

Oscillatory hyper Hilbert transforms along general curves

We consider the oscillatory hyper Hilbert transform H _γ,α,β f(x) = ∫ ₀ ^∞ f(x - Γ(t))e^it-β t^-(1+α)dt; where Γ(t) = (t, γ(t)) in ?² is a general curve. When γ is convex, we give a simple condition on γ such that H _γ,α,β is bounded on L ² when β > 3α, β > 0: As a corollary, under this condition, we obtain the L ^p -boundedness of H _γ,α,β when 2β/(2β - 3α) < p < 2β/(3α). When Γ is a general nonconvex curve, we give some more complicated conditions on γ such that H _γ,α,β is bounded on L ²: As an application, we construct a class of strictly convex curves along which H _γ,α,β is bounded on L ² only if β > 2α > 0.     

Limit theorems for supremum of Gaussian processes over a random interval

Let {X(t), t ≥ 0} be a centered stationary Gaussian process with correlation r(t)such that 1-r(t) is asymptotic to a regularly varying function. With T being a nonnegative random variable and independent of X(t), the exact asymptotics of P(sup_(t∈[0,T])X(t) x) is considered, as x →∞.     

Optimal Embeddings of Bessel-Potential-Type Spaces into Generalized Hölder Spaces Involving <Emphasis Type="Italic">k</Emphasis>-Modulus of Smoothness

We establish necessary and sufficient conditions for embeddings of Bessel potential spaces H ^σ X(IR ⁿ ) with order of smoothness σ?∈?(0, n), modelled upon rearrangement invariant Banach function spaces X(IR ⁿ ), into generalized Hölder spaces (involving k-modulus of smoothness). We apply our results to the case when X(IR ⁿ ) is the Lorentz-Karamata space \(L_{p,q;b}({{\rm I\kern-.17em R}}^n)\). In particular, we are able to characterize optimal embeddings of Bessel potential spaces \(H^{\sigma}L_{p,q;b}({{\rm I\kern-.17em R}}^n)\) into generalized Hölder spaces. Applications cover both superlimiting and limiting cases. We also show that our results yield new and sharp embeddings of Sobolev-Orlicz spaces W ^k?+?1 L ^n/k(logL) ^α (IR ⁿ ) and W ^k L ^n/k(logL) ^α (IR ⁿ ) into generalized Hölder spaces.     

A tracing of the fractional temperature field

This paper is devoted to a study of L~q-tracing of the fractional temperature field u(t, x)—the weak solution of the fractional heat equation(?_t +(-?_x)~α)u(t, x) = g(t, x) in L~p(R_+~(1+n)) subject to the initial temperature u(0, x) = f(x) in L~p(R~n).     

Spaces of lower semicontinuous set-valued maps I

We introduce a lower semicontinuous analog, L ^?(X), of the well-studied space of upper semicontinuous set-valued maps with nonempty compact interval images. Because the elements of L ^?(X) contain continuous selections, the space C(X) of real-valued continuous functions on X can be used to establish properties of L ^?(X), such as the two interrelated main theorems. The first of these theorems, the Extension Theorem, is proved in this Part I. The Extension Theorem says that for binormal spaces X and Y, every bimonotone homeomorphism between C(X) and C(Y) can be extended to an ordered homeomorphism between L ^?(X) and L ^?(Y). The second main theorem, the Factorization Theorem, is proved in Part II. The Factorization Theorem says that for binormal spaces X and Y, every ordered homeomorphism between L ^?(X) and L ^?(Y) can be characterized by a unique factorization.     

On the Joint Distribution of First-passage Time and First-passage Area of Drifted Brownian Motion

For drifted Brownian motion X(t) = x-µ t + B _t (µ > 0) starting from x > 0, we study the joint distribution of the first-passage time below zero ,t(x), and the first-passage area ,A(x), swept out by X till the time t(x). In particular, we establish differential equations with boundary conditions for the joint moments E[t(x) ^m A(x) ⁿ ], and we present an algorithm to find recursively them, for any m and n. Finally, the expected value of the time average of X till the time t(x) is obtained.     

Analysis of a new finite difference/local discontinuous Galerkin method for the fractional Cattaneo equation

In this paper, we first present a new finite difference scheme to approximate the time fractional derivatives, which is defined in the sense of Caputo, and give a semidiscrete scheme in time with the truncation error O((Δt)^3?α ), where Δt is the time step size. Then a fully discrete scheme based on the semidiscrete scheme for the fractional Cattaneo equation in which the space direction is approximated by a local discontinuous Galerkin method is presented and analyzed. We prove that the method is unconditionally stable and convergent with order O(h ^k+1 + (Δt)^3?α ), where k is the degree of piecewise polynomial. Numerical examples are also given to confirm the theoretical analysis.     

Finite element method for space-time fractional diffusion equation

In this paper, we consider two types of space-time fractional diffusion equations(STFDE) on a finite domain. The equation can be obtained from the standard diffusion equation by replacing the second order space derivative by a Riemann-Liouville fractional derivative of order β (1 < β ≤ 2), and the first order time derivative by a Caputo fractional derivative of order γ (0 < γ ≤ 1). For the 0 < γ < 1 case, we present two schemes to approximate the time derivative and finite element methods for the space derivative, the optimal convergence rate can be reached O(τ^2?γ + h²) and O(τ² + h²), respectively, in which τ is the time step size and h is the space step size. And for the case γ = 1, we use the Crank-Nicolson scheme to approximate the time derivative and obtain the optimal convergence rate O(τ² + h²) as well. Some numerical examples are given and the numerical results are in good agreement with the theoretical analysis.     

Jacobi method for symmetric 4 × 4 matrices converges for every cyclic pivot strategy

The paper studies the global convergence of the Jacobi method for symmetric matrices of size 4. We prove global convergence for all 720 cyclic pivot strategies. Precisely, we show that inequality S(A ^[t+3]) ≤ γ S(A ^[t]), t ≥ 1, holds with the constant γ < 1 that depends neither on the matrix A nor on the pivot strategy. Here, A ^[t] stands for the matrix obtained from A after t full cycles of the Jacobi method and S(A) is the off-diagonal norm of A. We show why three consecutive cycles have to be considered. The result has a direct application on the J-Jacobi method.     

Uniform Homeomorphisms of Unit Spheres and Property H of Lebesgue–Bochner Function Spaces

Assume that the unit spheres of Banach spaces X and Y are uniformly homeomorphic.Then we prove that all unit spheres of the Lebesgue–Bochner function spaces L_p(μ, X) and L_q(μ, Y)are mutually uniformly homeomorphic where 1 ≤ p, q ∞. As its application, we show that if a Banach space X has Property H introduced by Kasparov and Yu, then the space L_p(μ, X), 1 ≤ p ∞,also has Property H.     

On Excess-time Correlated Cumulative Processes

In this paper a class of correlated cumulative processes, B _s (t) = ∑^N(t)_i=1 H _s (X _i )X _i , is studied with excess level increments X _i ?s, where {N(t), t ?0} is the counting process generated by the renewal sequence T _n , T _n and X _n are correlated for given n, H _s (t) is the Heaviside function and s?0 is a given constant. Several useful results, for the distributions of B _s (t), and that of the number of excess (non-excess) increments on (0, t) and the corresponding means, are derived. First passage time problems are also discussed and various asymptotic properties of the processes are obtained. Transform results, by applying a flexible form for the joint distribution of correlated pairs (T _n , X _n ) are derived and inverted. The case of non-excess level increments, X _i < s, is also considered. Finally, applications to known stochastic shock and pro-rata warranty models are given.     

Slow entropy for some smooth flows on surfaces

We study slow entropy in some classes of smooth mixing flows on surfaces. The flows we study can be represented as special flows over irrational rotations and under roof functions which are C² everywhere except one point (singularity). If the singularity is logarithmic asymmetric (Arnol’d flows), we show that in the scale a_n(t) = n(log n)^t slow entropy equals 1 (the speed of orbit growth is n log n) for a.e. irrational α. If the singularity is of power type (x^?γ, γ ∈ (0, 1)) (Kochergin flows), we show that in the scale a_n(t) = n^t slow entropy equals 1 + γ for a.e. α.We show moreover that for local rank one flows, slow entropy equals 0 in the n(log n)^t scale and is at most 1 for scale n^t. As a consequence we get that a.e. Arnol’d and a.e Kochergin flow is never of local rank one.     

Detailed error analysis for a fractional Adams method with graded meshes

We consider a fractional Adams method for solving the nonlinear fractional differential equation \(\,^{C}_{0}D^{\alpha }_{t} y(t) = f(t, y(t)), \, \alpha >0\), equipped with the initial conditions \(y^{(k)} (0) = y_{0}^{(k)}, k=0, 1, \dots , \lceil \alpha \rceil -1\). Here, α may be an arbitrary positive number and ?α? denotes the smallest integer no less than α and the differential operator is the Caputo derivative. Under the assumption \(\,^{C}_{0}D^{\alpha }_{t} y \in C^{2}[0, T]\), Diethelm et al. (Numer. Algor. 36, 31–52, 2004) introduced a fractional Adams method with the uniform meshes t _n = T(n/N),n = 0,1,2,…,N and proved that this method has the optimal convergence order uniformly in t _n , that is O(N ^?2) if α > 1 and O(N ^?1?α ) if α ≤ 1. They also showed that if \(\,^{C}_{0}D^{\alpha }_{t} y(t) \notin C^{2}[0, T]\), the optimal convergence order of this method cannot be obtained with the uniform meshes. However, it is well-known that for y ∈ C ^m [0,T] for some \(m \in \mathbb {N}\) and 0 < α < m, the Caputo fractional derivative \(\,^{C}_{0}D^{\alpha }_{t} y(t) \) takes the form “\(\,^{C}_{0}D^{\alpha }_{t} y(t) = c t^{\lceil \alpha \rceil -\alpha } + \text {smoother terms}\)” (Diethelm et al. Numer. Algor. 36, 31–52, 2004), which implies that \(\,^{C}_{0}D^{\alpha }_{t} y \) behaves as t ^?α??α which is not in C ²[0,T]. By using the graded meshes t _n = T(n/N) ^r ,n = 0,1,2,…,N with some suitable r > 1, we show that the optimal convergence order of this method can be recovered uniformly in t _n even if \(\,^{C}_{0}D^{\alpha }_{t} y\) behaves as t ^σ ,0 < σ < 1. Numerical examples are given to show that the numerical results are consistent with the theoretical results.     

Parisian ruin over a finite-time horizon

For a risk process R_u(t) = u + ct- X(t), t≥0, where u≥0 is the initial capital, c 0 is the premium rate and X(t), t≥0 is an aggregate claim process, we investigate the probability of the Parisian ruin P_S(u, T_u) = P{inf (t∈[0,S]_(s∈[t,t+T_u])) sup R_u(s) 0}, S, T_u 0.For X being a general Gaussian process we derive approximations of P_S(u, T_u) as u →∞. As a by-product, we obtain the tail asymptotic behaviour of the infimum of a standard Brownian motion with drift over a finite-time interval.     

Maximal regularity of second order delay equations in Banach spaces

Using known Ca-multiplier result, we give necessary and sufficient conditions for the second order delay equations：
u″（t）=Au（t）＋Fut＋Gu′＋f（t）,t∈R
to have maximal regularity in HSlder continuous function spaces C^α （R, X）, where X is a Banach space, A is a closed operator in X, F, G ∈L（C（[-r, 0], X）, X） are delay operators for some fixed r 〉 0.     

Lacunary series and sharp estimates in weighted spaces of holomorphic functions

The well-known Paley inequalities for lacunary series are applied in investigation of weighted spaces H(p, α) and H(p, log(α)) of functions holomorphic in the unit disc of the complex plane. These are spaces which are similar to the Bloch and Hardy spaces and naturally arise as the images of some fractional operators.     

Hilbert boundary value problem in the weighted spaces <Emphasis Type="Italic">L</Emphasis><Superscript>1</Superscript>(<Emphasis Type="Italic">ρ</Emphasis>)

The paper studies a Hilbert boundary value problem in L ¹(ρ), where ρ(t) = |1–t|^α and α is a real number. For α > ?1, it is proved that the homogeneous problem has n + κ linearly independent solutions when n + κ ≥ 0, where a(t) is the coefficient of the problem, besides, κ ind a(t) and n = [α] + 1 if α is not an integer, and n = α if α is an integer. Conditions under which the problem is solvable are found for the case when α > ?1 and n+κ < 0. For α ≤ ?1 the number of linearly independent solutions of the homogeneous problem depends on the behavior of the function a(t) at the point t = 1.     

Connecting orbits of Lagrangian systems in a nonstationary force field

We study connecting orbits of a natural Lagrangian system defined on a complete Riemannian manifold subjected to the action of a nonstationary force field with potential U(q, t) = f(t)V(q). It is assumed that the factor f(t) tends to ∞ as t→±∞ and vanishes at a unique point t ₀ ∈ ?. Let X ₊, X _? denote the sets of isolated critical points of V (x) at which U(x, t) as a function of x distinguishes its maximum for any fixed t > t ₀ and t < t ₀, respectively. Under nondegeneracy conditions on points of X _± we prove the existence of infinitely many doubly asymptotic trajectories connecting X _? and X ₊.     

Removability of isolated singularities for anisotropic elliptic equations with gradient absorption

We study the well-posedness of the third-order degenerate differential equation \(\left( {{P_3}} \right):\alpha {\left( {Mu} \right)^{\prime \prime \prime }}\left( t \right) + {\left( {Mu} \right)^{\prime \prime }}\left( t \right) = \beta Au\left( t \right) + f\left( t \right)\), (t ∈ [0, 2p]) with periodic boundary conditions \(Mu\left( 0 \right) = Mu\left( {2\pi } \right),\;Mu'\left( 0 \right) = Mu'\left( {2\pi } \right),\;Mu''\left( 0 \right) = Mu''\left( {2\pi } \right)\), in periodic Lebesgue–Bochner spaces L^p(T,X), periodic Besov spaces B_p,q^s(T,X) and periodic Triebel–Lizorkin spaces F_p,q^s(T,X), where A, B and M are closed linear operators on a Banach space X satisfying D(A) \( \cap \)D(B) ? D(M) and α, β, γ ∈ R. Using known operator-valued Fourier multiplier theorems, we completely characterize the well-posedness of (P₃) in the above three function spaces.