Error estimates for a projection-difference method for a linear differential-operator equation

We study a projection-difference method for approximately solving the Cauchy problem u′(t) + A(t)u(t) + K(t)u(t) = h(t), u(0) = 0 for a linear differential-operator equation in a Hilbert space, where A(t) is a self-adjoint operator and K(t) is an operator subordinate to A(t). Time discretization is based on a three-level difference scheme, and space discretization is carried out by the Galerkin method. Under certain smoothness conditions on the function h(t), we obtain estimates for the convergence rate of the approximate solutions to the exact solution.     

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).     

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 →∞.     

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 ₊.     

Proof of a tournament partition conjecture and an application to 1-factors with prescribed cycle lengths

In 1982 Thomassen asked whether there exists an integer f(k,t) such that every strongly f(k,t)-connected tournament T admits a partition of its vertex set into t vertex classes V ₁,…V _t such that for all i the subtournament T[V _i] induced on T by V _i is strongly k-connected. Our main result implies an affirmative answer to this question. In particular we show that f(k, t)=O(k ⁷ t ⁴) suffices. As another application of our main result we give an affirmative answer to a question of Song as to whether, for any integer t, there exists aninteger h(t) such that every strongly h(t)-connected tournament has a 1-factor consisting of t vertex-disjoint cycles of prescribed lengths. We show that h(t)=O(t ⁵) suffices.     

A moving object and observers in ℝ<Superscript>2</Superscript> with a piecewise smooth shading set

We consider the motion of an object t in the space ?², where a bodily bounded set G with piecewise smooth boundary hinders the motion and visibility. In a neighborhood of convex parts of the boundary, there are observers, which can hide from t in a shading set s(t) ? ?² G in the case of danger from t. We find characteristic properties of a trajectory T of the object that maximizes the value min{ρ(t, s(t)): t ∈ T}.     

Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model

We consider the Euler-Maruyama discretization of stochastic volatility model dS_t = σ_tS_tdW_t, dσ_t = ωσ_tdZ_t, t ∈ [0, T], which has been widely used in financial practice, where W_t,Z_t, t ∈ [0, T], are two uncorrelated standard Brownian motions. Using asymptotic analysis techniques, the moderate deviation principles for log S_n (or log |S_n| in case S_n is negative) are obtained as n → ∞ under different discretization schemes for the asset price process S_t and the volatility process σ_t. Numerical simulations are presented to compare the convergence speeds in different schemes.     

Asymptotically almost periodic solutions of stochastic functional differential equations

In this paper, we investigate a class of stochastic functional differential equations of the form

dx(t)=(Ax(t)+F(t,x(t),x_t))dt+G(t,x(t),x_t)°dW(t).     

Extremes of Gaussian processes with smooth random expectation and smooth random variance

Let ξ(t), t ∈ [0, T],T > 0, be a Gaussian stationary process with expectation 0 and variance 1, and let η(t) and μ(t) be other sufficiently smooth random processes independent of ξ(t). In this paper, we obtain an asymptotic exact result for P(sup _t∈[0,T](η(t)ξ(t) + μ(t)) > u) as u→∞.     

On the number of edges in a uniform hypergraph with a range of permitted intersections

The paper studies the quantity p(n, k, t ₁, t ₂) equal to the maximum number of edges in a k-uniform hypergraph with the property that the size of the intersection of any two edges lies in the interval [t ₁, t ₂]. Previously known upper and lower bounds are given. New bounds for p(n, k, t ₁, t ₂) are obtained, and the relationship between these bounds and known estimates is studied. For some parameter values, the exact values of p(n, k, t ₁, t ₂) are explicitly calculated.     

On blow-up regimes in one nonlinear parabolic equation

A nonlinear heat equation with a special source on a straight line is considered. The family of exact solutions to this equation that have the form p(t) + q(t)cosx/√2, where functions p(t) and q(t) satisfy a certain dynamic system, is constructed. The system is comprehensively analyzed, and the behavior of p(t) and q(t) depending on initial data is revealed. It is found that some of the unbounded solutions from the aforementioned family are close, in a certain sense, to an analytical solution to the heat equation with power nonlinearities. The Cauchy problem for the equations considered is studied as well. It is proved that, depending on the initial solution function, solutions may develop in a blow-up regime or decay.     

On the total multiplicity of zeros of generalized polynomials related to nonoscillating trajectories

For a continuous curve L = {x: x = Z(t), t ∈ [a, b]} in R ⁿ , we study the number of zeros of the function l _h (t) = 〈h, Z(t)〉, where h ∈ R ⁿ . We introduce the notion of multiple zeros for such functions and study the possibility of estimating the total multiplicity of such zeros under the assumption that the system {z ₁(t), z ₂(t), …, z _n (t)} of coordinates of the function Z(t) is a Chebyshev system on [a, b].     

Time-Varying Fractionally Integrated Processes with Finite or Infinite Variance and Nonstationary Long Memory

Recently, Philippe et al. (C.R. Acad. Sci. Paris. Ser. I 342, 269–274, 2006; Theory Probab. Appl., 2007, to appear) introduced a new class of time-varying fractionally integrated filters A(d)x _t =∑ _j=0 ^∞ a _j (t)x _t?j , B(d)x _t =∑ _j=0 ^∞ b _j (t)x _t?j depending on arbitrary given sequence d=(d _t ,t∈?) of real numbers, such that A(d)^?1=B(?d), B(d)^?1=A(?d) and such that when d _t ≡d is a constant, A(d)=B(d)=(1?L) ^d is the usual fractional differencing operator. Philippe et al. studied partial sums limits of (nonstationary) filtered white noise processes X _t =B(d)ε _t and Y _t =A(d)ε _t in the case when (1) d is almost periodic having a mean value $\bar{d}\in (0,1/2)$ , or (2) d admits limits d _±=lim? _t→±∞ d _t ∈(0,1/2) at t=±∞. The present paper extends the above mentioned results of Philippe et al. into two directions. Firstly, we consider the class of time-varying processes with infinite variance, by assuming that ε _t ,t∈? are iid rv’s in the domain of attraction of α-stable law (1<α≤2). Secondly, we combine the classes (1) and (2) of sequences d=(d _t ,t∈?) into a single class of sequences d=(d _t ,t∈?) admitting possibly different Cesaro limits $\bar{d}_{\pm}\in(0,1-(1/\alpha))$ at ±∞. We show that partial sums of X _t and Y _t converge to some α-stable self-similar processes depending on the asymptotic parameters $\bar{d}_{\pm}$ and having asymptotically stationary or asymptotically vanishing increments.     

Existence of Semilinear Differential Equations with Nonlocal Initial Conditions

In this paper we give the existence of mild solutions for semilinear Cauchy problems u′（t） = Au（t） ＋f（t, u（t））, t ∈ I, a.e. with nonlocal initial condition u（O） = g（u） ＋uo when the map g loses compactness in Banach spaces.     

Existence of linear Pfaffian systems whose lower characteristic set has positive measure in <Emphasis Type="Italic">R</Emphasis><Superscript>3</Superscript>

We prove the existence of a completely integrable Pfaffian system ?x/?t i = A _i (t)x, x ∈ R ⁿ , t = (t ₁, t ₂, t ₃) ∈ R ₊ ³ , i = 1, 2, 3, with infinitely differentiable bounded coefficients and with lower characteristic set of positive three-dimensional Lebesgue measure.     

Torsional Rigidity for Regions with a Brownian Boundary

Let ?? ^m be the m-dimensional unit torus, m ∈ ?. The torsional rigidity of an open set Ω ? ?? ^m is the integral with respect to Lebesgue measure over all starting points x ∈ Ω of the expected lifetime in Ω of a Brownian motion starting at x. In this paper we consider Ω = ?? ^m \β[0, t], the complement of the path ß[0, t] of an independent Brownian motion up to time t. We compute the leading order asymptotic behaviour of the expectation of the torsional rigidity in the limit as t → ∞. For m = 2 the main contribution comes from the components in ??²\β0, t] whose inradius is comparable to the largest inradius, while for m = 3 most of ??³\β[0, t] contributes. A similar result holds for m ≥ 4 after the Brownian path is replaced by a shrinking Wiener sausage W _r(t)[0, t] of radius r(t) = o(t ^-1/(m-2)), provided the shrinking is slow enough to ensure that the torsional rigidity tends to zero. Asymptotic properties of the capacity of ß[0, t] in ?³ and W ₁[0, t] in ? ^m , m ≥ 4, play a central role throughout the paper. Our results contribute to a better understanding of the geometry of the complement of Brownian motion on ?? ^m , which has received a lot of attention in the literature in past years.     

Martingale characterization of Pólya processes and sequences

It is proved that a mixed Poisson process ξ_t is a Pólya process if and only if there exists a nondegenerate linear transform ξ_t → η_t = a(t)ξ_t + b(t) such that η_t is a martingale. A similar result is valid for Pólya sequences.     

Loewner matrices and operator convexity

Let f be a function from \({\mathbb{R}_{+}}\) into itself. A classic theorem of K. Löwner says that f is operator monotone if and only if all matrices of the form \({\left [\frac{f(p_i) - f(p_j)}{p_i-p_j}\right ]_{\vphantom {X_{X_1}}}}\) are positive semidefinite. We show that f is operator convex if and only if all such matrices are conditionally negative definite and that f (t) = t g(t) for some operator convex function g if and only if these matrices are conditionally positive definite. Elementary proofs are given for the most interesting special cases f (t) = t ^r , and f (t) = t log t. Several consequences are derived.     

One-dimensional Lagrangians generated by a quadratic form

In this paper we apply the classical variational calculus to the Lagrangians of particular type. Namely, we establish formulas for the 1^st integrals and propose a technique for obtaining invariant 1^st integrals. We also deduce the differential homogeneity conditions for Lagrangians with respect to multiplication of a path x(t) by a function c(t) and with respect to the change of the parameter t = t(s).