An inverse first-passage problem for one-dimensional diffusions with random starting point

We consider an inverse first-passage time (FPT) problem for a homogeneous one-dimensional diffusion X(t), starting from a random position η. Let S(t) be an assigned boundary, such that P(η≥S(0))=1, and F an assigned distribution function. The problem consists of finding the distribution of η such that the FPT of X(t) below S(t) has distribution F. We obtain some generalizations of the results of Jackson et al., 2009, which refer to the case when X(t) is Brownian motion and S(t) is a straight line across the origin.     

Annealed deviations of random walk in random scenery

Let (Zn)_n∈N be a d-dimensional random walk in random scenery, i.e., with (Sk)_k∈N0 a random walk in Zd and (Y(z))_z∈Zd an i.i.d. scenery, independent of the walk. The walker's steps have mean zero and some finite exponential moments. We identify the speed and the rate of the logarithmic decay of for various choices of sequences n(bn) in [1,∞). Depending on n(bn) and the upper tails of the scenery, we identify different regimes for the speed of decay and different variational formulas for the rate functions. In contrast to recent work [A. Asselah, F. Castell, Large deviations for Brownian motion in a random scenery, Probab. Theory Related Fields 126 (2003) 497-527] by A. Asselah and F. Castell, we consider sceneries unbounded to infinity. It turns out that there are interesting connections to large deviation properties of self-intersections of the walk, which have been studied recently by X. Chen [X. Chen, Exponential asymptotics and law of the iterated logarithm for intersection local times of random walks, Ann. Probab. 32 (4) 2004].     

Semi-stable Markov processes in rn

A Markov process in Rⁿ{x_t} with transition function P_t is called semi-stable of order α>0 if for every a>0, P_t(x, E) = P_at(a^ax, a^aE). Let ?_t(ω)=∫^t₀|x_s(ω)|^-1/α ds, T(t) be its inverse and {y_t}={x_T(t)}.Theorem 1: {Y_t} is a multiplicative invariant process; i.e., it has transition function q_t satisfying q_t(x,E)=q_t(ax,aE) for all a > 0.Theorem 2: If {x_t} is Feller, right continuous and uniformly stochastic continuous on a neighborhood of the origin, then {y_t} is Feller.     

Exact asymptotics of supremum of a stationary Gaussian process over a random interval

Let {X(t):t∈[0,∞)} be a centered stationary Gaussian process. We study the exact asymptotics of P(sup_s∈[0,T]X(s)>u), as u→∞, where T is an independent of {X(t)} nonnegative random variable. It appears that the heaviness of T impacts the form of the asymptotics, leading to three scenarios: the case of integrable T, the case of T having regularly varying tail distribution with parameter λ∈(0,1) and the case of T having slowly varying tail distribution.     

Ordering connected graphs having small degree distances

The concept of degree distance of a connected graph G is a variation of the well-known Wiener index, in which the degrees of vertices are also involved. It is defined by D^′(G)=∑_x∈V(G)d(x)∑_y∈V(G)d(x,y), where d(x) and d(x,y) are the degree of x and the distance between x and y, respectively. In this paper it is proved that connected graphs of order n≥4 having the smallest degree distances are K_1,n−1,BS(n−3,1) and K_1,n−1+e (in this order), where BS(n−3,1) denotes the bistar consisting of vertex disjoint stars K_1,n−3 and K_1,1 with central vertices joined by an edge.     

Strong convergence theorems for fixed points of asymptotically pseudocontractive semi-groups

Let K be a nonempty closed convex and bounded subset of a real Banach space E. Let be a strongly continuous uniformly asymptotically regular and uniformly L-Lipschitzian semi-group of asymptotically pseudocontractive mappings from K into K. Then for a given u∈K there exists a sequence {y_n}∈K satisfying the equation y_n=(1−α_n)(T(t_n))ⁿy_n+α_nu for each , where α_n∈(0,1) and t_n>0 satisfy appropriate conditions. Suppose further that E is uniformly convex and has uniformly Gâteaux differentiable norm, under suitable conditions on the mappings T, the sequence {y_n} converges strongly to a fixed point of . Furthermore, an explicit sequence {x_n} generated from x₁∈K by x_n+1:=(1−λ_n)x_n+λ_n(T(t_n))ⁿx_n−λ_nθ_n(x_n−x₁) for all integers n?1, where {λ_n}, {θ_n} are positive real sequences satisfying appropriate conditions, converges strongly to a fixed point of .     

Viscosity approximation methods for nonexpansive mappings and monotone mappings

Viscosity approximation methods for nonexpansive mappings are studied. Consider the iteration process {xn}, where x₀∈C is arbitrary and xn+1=αnf(xn)+(1−αn)SPC(xn−λnAxn), f is a contraction on C, S is a nonexpansive self-mapping of a closed convex subset C of a Hilbert space H. It is shown that {xn} converges strongly to a common element of the set of fixed points of nonexpansive mapping and the set of solutions of the variational inequality for an inverse strongly-monotone mapping which solves some variational inequality.     

Strong convergence of an iterative method for nonexpansive and accretive operators

Let X be a Banach space and A an m-accretive operator with a zero. Consider the iterative method that generates the sequence {xn} by the algorithm xn+1=αnu+(1−αn)Jrnxn, where {αn} and {rn} are two sequences satisfying certain conditions, and Jr denotes the resolvent ⁻¹(I+rA) for r>0. Strong convergence of the algorithm {xn} is proved assuming X either has a weakly continuous duality map or is uniformly smooth.     

Aging for interacting diffusion processes

We study the aging phenomenon for a class of interacting diffusion processes {Xt(i),i∈Zd}. In this framework we see the effect of the lattice dimension d on aging, as well as that of the class of test functions f(Xt) considered. We further note the sensitivity of aging to specific details, when degenerate diffusions (such as super random walk, or parabolic Anderson model), are considered. We complement our study of systems on the infinite lattice, with that of their restriction to finite boxes. In the latter setting we consider different regimes in terms of box size scaling with time, as well as the effect that the choice of boundary conditions has on aging. The key tool for our analysis is the random walk representation for such diffusions.     

An intermediate Baum-Katz theorem

We extend the classical Hsu-Robbins-Erd?s theorem to the case when all moments exist, but the moment generating function does not, viz., we assume that Eexp{(log⁺|X|)^α}<∞ for some α>1. We also present multi-index versions of the same and of a related result due to Lanzinger in which the assumption is that Eexp{|X|^α}<∞ for some α∈(0,1).     

Nonlinear dissipative wave equations with space-time dependent potential

We study the long time behavior of solutions for damped wave equations with absorption. These equations are generally accepted as models of wave propagation in heterogeneous media with space-time dependent friction a(t,x)u_t and nonlinear absorption |u|^p−1u (Ikawa (2000) [17]). We consider 1<p<(n+2)/(n−2) and separable a(t,x)=λ(x)η(t) with λ(x)∼(1+|x|)^−α and η(t)∼(1+t)^−β satisfying conditions (A1) or (A2) which are given. The main results are precise decay estimates for the energy, L² and L^p+1 norms of solutions. We also observe the following behavior: if α∈[0,1), β∈(−1,1) and 0<α+β<1, there are three different regions for the decay of solutions depending on p; if α∈(−∞,0) and β∈(−1,1), there are only two different regions for the decay of the solutions depending on p.     

On a random graph evolving by degrees

We consider a random (multi)graph growth process {Gm} on a vertex set [n], which is a special case of a more general process proposed by Laci Lovász in 2002. G₀ is empty, and Gm+1 is obtained from Gm by inserting a new edge e at random. Specifically, the conditional probability that e joins two currently disjoint vertices, i and j, is proportional to (di+α)(dj+α), where di, dj are the degrees of i, j in Gm, and α>0 is a fixed parameter. The limiting case α=∞ is the Erd?s-Rényi graph process. We show that whp Gm contains a unique giant component iff c:=2m/n>cα=α/(1+α), and the size of this giant is asymptotic to , where c^∗<cα is the root of . A phase transition window is proved to be contained, essentially, in [cα−An−1/3,cα+Bn−1/4], and we conjecture that 1/4 may be replaced with 1/3. For the multigraph version, {MGm}, we show that MGm is connected whp iff m?mn:=n1+α−1. We conjecture that, for α>1, mn is the threshold for connectedness of Gm itself.     

Endpoints of set-valued contractions in metric spaces

Suppose (X,d) be a complete metric space, and suppose F:X→CB(X) be a set-valued map satisfies H(Fx,Fy)≤ψ(d(x,y)), , where ψ:[0,∞)→[0,∞) is upper semicontinuous, ψ(t)<t for each t>0 and satisfies lim inf_t→∞(t−ψ(t))>0. Then F has a unique endpoint if and only if F has the approximate endpoint property.     

Iterative approximation of fixed points of nonexpansive mappings

Let K be a nonempty closed convex subset of a real Banach space E which has a uniformly Gâteaux differentiable norm and be a nonexpansive mapping with F(T):={x∈K:Tx=x}≠∅. For a fixed δ∈(0,1), define by Sx:=(1−δ)x+δTx, ∀x∈K. Assume that {zt} converges strongly to a fixed point z of T as t→0, where zt is the unique element of K which satisfies zt=tu+(1−t)Tzt for arbitrary u∈K. Let {αn} be a real sequence in (0,1) which satisfies the following conditions: ; . For arbitrary x₀∈K, let the sequence {xn} be defined iteratively by

xn+1=αnu+(1−αn)Sxn.     

Multivariate operator-self-similar random fields

Multivariate random fields whose distributions are invariant under operator-scalings in both the time domain and the state space are studied. Such random fields are called operator-self-similar random fields and their scaling operators are characterized. Two classes of operator-self-similar stable random fields X={X(t),t∈R^d} with values in R^m are constructed by utilizing homogeneous functions and stochastic integral representations.     

A local limit theorem for random walks conditioned to stay positive

We consider a real random walk S_n=X₁+...+X_n attracted (without centering) to the normal law: this means that for a suitable norming sequence a_n we have the weak convergence S_n/a_n⇒ϕ(x)dx, ϕ(x) being the standard normal density. A local refinement of this convergence is provided by Gnedenko's and Stone's Local Limit Theorems, in the lattice and nonlattice case respectively. Now let denote the event (S₁>0,...,S_n>0) and let S_n⁺ denote the random variable S_n conditioned on : it is known that S_n⁺/a_n ↠ ϕ⁺(x) dx, where ϕ⁺(x):=x exp (−x²/2)1_(x≥0). What we establish in this paper is an equivalent of Gnedenko's and Stone's Local Limit Theorems for this weak convergence. We also consider the particular case when X₁ has an absolutely continuous law: in this case the uniform convergence of the density of S_n⁺/a_n towards ϕ⁺(x) holds under a standard additional hypothesis, in analogy to the classical case. We finally discuss an application of our main results to the asymptotic behavior of the joint renewal measure of the ladder variables process. Unlike the classical proofs of the LLT, we make no use of characteristic functions: our techniques are rather taken from the so–called Fluctuation Theory for random walks.     

Applications of utility functions defined on quasi-metric spaces

A quasi-metric space (X,d) is called sup-separable if (X,d^s) is a separable metric space, where d^s(x,y)=max{d(x,y),d(y,x)} for all x,y∈X. We characterize those preferences, defined on a sup-separable quasi-metric space, for which there is a semi-Lipschitz utility function. We deduce from our results that several interesting examples of quasi-metric spaces which appear in different fields of theoretical computer science admit semi-Lipschitz utility functions. We also apply our methods to the study of certain kinds of dynamical systems defined on quasi-metric spaces.     

Hamilton-Jacobi semi-groups in infinite dimensional spaces

Let (X,ρ) be a Polish space endowed with a probability measure μ. Assume that we can do Malliavin Calculus on (X,μ). Let be a pseudo-distance. Consider QtF(x)=infy∈X{F(y)+d²(x,y)/2t}. We shall prove that QtF satisfies the Hamilton-Jacobi inequality under suitable conditions. This result will be applied to establish transportation cost inequalities on path groups and loop groups in the spirit of Bobkov, Gentil and Ledoux.     

A duality relation for entrance and exit laws for Markov processes

Markov processes X_t on (X, F_X) and Y_t on (Y, F_Y) are said to be dual with respect to the function f(x, y) if E_xf(X_t, y) = E_yf(x, Y_t for all x ? X, y ? Y, t ? 0. It is shown that this duality reverses the role of entrance and exit laws for the processes, and that two previously published results of the authors are dual in precisely this sense. The duality relation for the function f(x, y) = 1_{x<y} is established for one-dimensional diffusions, and several new results on entrance and exit laws for diffusions, birth-death processes, and discrete time birth-death chains are obtained.