On the Crank-Nicolson scheme once again

Let (t_j)_{j ? \mathbbN}{\left(\tau_j\right)_{j\in\mathbb{N}}} be a sequence of strictly positive real numbers, and let A be the generator of a bounded analytic semigroup in a Banach space X. Put A_n=?_j=1ⁿ(I+\frac12 t_jA) (I-\frac12 t_jA)^-1{A_n=\prod_{j=1}^n\left(I+\frac{1}{2} \tau_jA\right) \left(I-\frac{1}{2} \tau_jA\right)^{-1}}, and let x ? X{x\in X}. Define the sequence (x_n)_{n ? \mathbbN} ì X{\left(x_n\right)_{n\in\mathbb{N}}\subset X} by the Crank–Nicolson scheme: x _n  = A _n x. In this paper, it is proved that the Crank–Nicolson scheme is stable in the sense that sup_{n ? \mathbbN}||A_nx|| < ￥{\sup_{n\in\mathbb{N}}\left\Vert A_nx\right\Vert<\infty}. Some convergence results are also given.     

Operator-valued H ∞-calculus in Inter- and Extrapolation Spaces

We generalize a Hilbert space result by Auscher, McIntosh and Nahmod to arbitrary Banach spaces X and to not densely defined injective sectorial operators A. A convenient tool proves to be a certain universal extrapolation space associated with A. We characterize the real interpolation space ( X,D( A^a ) ?R( A^a ) )_q,p{\left( {X,\mathcal{D}{\left( {A^{\alpha } } \right)} \cap \mathcal{R}{\left( {A^{\alpha } } \right)}} \right)}_{{\theta ,p}} as

Well-Posedness of Fractional Differential Equations on Vector-Valued Function Spaces

We study the well-posedness of the fractional differential equations with infinite delay (P ₂): D^a u(t)=Au(t)+ò^t_-￥a(t-s)Au(s)ds + f(t), (0 ￡ t ￡ 2p){D^\alpha u(t)=Au(t)+\int^{t}_{-\infty}a(t-s)Au(s)ds + f(t), (0\leq t \leq2\pi)}, where A is a closed operator in a Banach space ${X, \alpha > 0, a\in {L}^1(\mathbb{R}_+)}${X, \alpha > 0, a\in {L}^1(\mathbb{R}_+)} and f is an X-valued function. Under suitable assumptions on the parameter α and the Laplace transform of a, we completely characterize the well-posedness of (P ₂) on Lebesgue-Bochner spaces L^p(\mathbbT, X){L^p(\mathbb{T}, X)} and periodic Besov spaces B _p,q^s(\mathbbT, X){{B} _{p,q}^s(\mathbb{T}, X)} .     

Viability for nonlinear multi-valued reaction–diffusion systems

In this paper we consider a nonlinear evolution reaction–diffusion system governed by multi-valued perturbations of m-dissipative operators, generators of nonlinear semigroups of contractions. Let X and Y be real Banach spaces, ${\mathcal{K}}In this paper we consider a nonlinear evolution reaction–diffusion system governed by multi-valued perturbations of m-dissipative operators, generators of nonlinear semigroups of contractions. Let X and Y be real Banach spaces, K{\mathcal{K}} be a nonempty and locally closed subset in \mathbbR ×X×Y, A:D(A) í X\rightsquigarrow X, B:D(B) í Y\rightsquigarrow Y{\mathbb{R} \times X\times Y,\, A:D(A)\subseteq X\rightsquigarrow X, B:D(B)\subseteq Y\rightsquigarrow Y} two m-dissipative operators, F:K ? X{F:\mathcal{K} \rightarrow X} a continuous function and G:K \rightsquigarrow Y{G:\mathcal{K} \rightsquigarrow Y} a nonempty, convex and closed valued, strongly-weakly upper semi-continuous (u.s.c.) multi-function. We prove a necessary and a sufficient condition in order that for each (t,x,h) ? K{(\tau,\xi,\eta)\in \mathcal{K}}, the next system

{ lc u￠(t) ? Au(t)+F(t,u(t),v(t))    t 3 tv￠(t) ? Bv(t)+G(t,u(t),v(t))    t 3 tu(t)=x,    v(t)=h, \left\{ \begin{array}{lc} u'(t)\in Au(t)+F(t,u(t),v(t))\quad t\geq\tau \\ v'(t)\in Bv(t)+G(t,u(t),v(t))\quad t\geq\tau \\ u(\tau)=\xi,\quad v(\tau)=\eta, \end{array} \right.      5. Lebesgue property for convex risk measures on Orlicz spaces      J. Orihuela  M. Ruiz Galán 《Mathematics and Financial Economics》2012,6(1):15-35 We present a robust representation theorem for monetary convex risk measures r: X ? \mathbbR{\rho : \mathcal{X} \rightarrow \mathbb{R}} such that limnr(Xn) = r(X) whenever (Xn) almost surely converges to X,\lim_n\rho(X_n) = \rho(X)\,{\rm whenever}\,(X_n)\,{\rm almost\,surely\,converges\,to}\,X,      6. Linear Maps Preserving Operators of Local Spectral Radius Zero      Constantin Costara 《Integral Equations and Operator Theory》2012,73(1):7-16 Let X be a complex Banach space and let B(X){\mathcal{B}(X)} be the space of all bounded linear operators on X. For x ? X{x \in X} and T ? B(X){T \in \mathcal{B}(X)}, let rT(x) = limsupn ? ￥ || Tnx|| 1/n{r_{T}(x) =\limsup_{n \rightarrow \infty} \| T^{n}x\| ^{1/n}} denote the local spectral radius of T at x. We prove that if j: B(X) ? B(X){\varphi : \mathcal{B}(X) \rightarrow \mathcal{B}(X)} is linear and surjective such that for every x ? X{x \in X} we have r T (x) = 0 if and only if rj(T)(x) = 0{r_{\varphi(T)}(x) = 0}, there exists then a nonzero complex number c such that j(T) = cT{\varphi(T) = cT} for all T ? B(X){T \in \mathcal{B}(X) }. We also prove that if Y is a complex Banach space and j:B(X) ? B(Y){\varphi :\mathcal{B}(X) \rightarrow \mathcal{B}(Y)} is linear and invertible for which there exists B ? B(Y, X){B \in \mathcal{B}(Y, X)} such that for y ? Y{y \in Y} we have r T (By) = 0 if and only if rj( T) (y)=0{ r_{\varphi ( T) }(y)=0}, then B is invertible and there exists a nonzero complex number c such that j(T) = cB-1TB{\varphi(T) =cB^{-1}TB} for all T ? B(X){T \in \mathcal{B}(X)}.      7. The Hermite Property of a Causal Wiener Algebra Used in Control Theory      Amol Sasane 《Complex Analysis and Operator Theory》2010,4(1):97-107 Let \mathbbC+ : = {s ? \mathbbC    |     Re(s) 3 0}{{\mathbb{C}}}_{+} := \{s \in {{\mathbb{C}}}\quad | \quad {\rm Re}(s) \geq 0\} and let A\mathcal{A} denote the Banach algebra A = { s( ? \mathbbC+ ) ? [^(f)]a (s) + ?k = 0￥ fk e - stk | lfa ? L1 (0,￥),(fk )k 3 0 ? l1, 0 = t0 < t1 < t2 < ? }{{{\mathcal{A}}}} = \left\{ s( \in {{{\mathbb{C}}}}_ + ) \mapsto \hat{f}_a (s) + \sum\limits_{k = 0}^\infty {f_k e^{ - st_k }}\bigg | \bigg.{\begin{array}{l}{f_a \in L^1 (0,\infty ),(f_k )_{k \geq 0} \in \ell^{1}, } \cr {{0 = t_0 < t_1 < t_2 < \ldots}} \end{array}} \right\}      8. Existence and uniqueness of positive solutions to nonlinear fractional differential equation with integral boundary conditions      Sihua Liang  Yueqiang Song 《Lithuanian Mathematical Journal》2012,52(1):62-76 In this paper, we consider the following nonlinear fractional three-point boundary-value problem: *20c D0 + a u(t) + f( t,u(t) ) = 0,    0 < t < 1, u(0) = u￠(0) = 0,    u￠(1) = ò0h u(s)\textds, \begin{array}{*{20}{c}} {D_{0 + }^\alpha u(t) + f\left( {t,u(t)} \right) = 0,\,\,\,\,0 < t < 1,} \\ {u(0) = u'(0) = 0,\,\,\,\,u'(1) = \int\limits_0^\eta {u(s){\text{d}}s,} } \\ \end{array}      9. On one class of extreme extensions of a measure      M. T. Tarashchanskii 《Ukrainian Mathematical Journal》2011,62(9):1476-1486 We consider a relationship between two sets of extensions of a finite finitely additive measure μ defined on an algebra \mathfrakB \mathfrak{B} of sets to a broader algebra \mathfrakA \mathfrak{A} . These sets are the set ex S μ of all extreme extensions of the measure μ and the set H μ of all extensions defined as l(A) = [^(m)]( h(A) ),   A ? \mathfrakA \lambda (A) = \hat{\mu }\left( {h(A)} \right),\,\,\,A \in \mathfrak{A} , where [^(m)] \hat{\mu } is a quotient measure on the algebra \mathfrakB / m {{\mathfrak{B}} \left/ {\mu } \right.} of the classes of μ-equivalence and h:\mathfrakA ? \mathfrakB / m h:\mathfrak{A} \to {{\mathfrak{B}} \left/ {\mu } \right.} is a homomorphism extending the canonical homomorphism \mathfrakB \mathfrak{B} to \mathfrakB / m {{\mathfrak{B}} \left/ {\mu } \right.} . We study the properties of extensions from H μ and present necessary and sufficient conditions for the existence of these extensions, as well as the conditions under which the sets ex S μ and H μ coincide.      10. Blow up of subcritical quantities at the first singular time of the mean curvature flow      Nam Q. Le 《Geometriae Dedicata》2011,151(1):361-371 Consider a family of smooth immersions F(·,t) : Mn? \mathbbRn+1{F(\cdot,t)\,:\,{M^n\to \mathbb{R}^{n+1}}} of closed hypersurfaces in \mathbbRn+1{\mathbb{R}^{n+1}} moving by the mean curvature flow \frac?F(p,t)?t = -H(p,t)·n(p,t){\frac{\partial F(p,t)}{\partial t} = -H(p,t)\cdot \nu(p,t)}, for t ? [0,T){t\in [0,T)}. We show that at the first singular time of the mean curvature flow, certain subcritical quantities concerning the second fundamental form, for example ò0tòMs\frac|A|n + 2 log (2 + |A|) dmds,{\int_{0}^{t}\int_{M_{s}}\frac{{\vert{\it A}\vert}^{n + 2}}{ log (2 + {\vert{\it A}\vert})}} d\mu ds, blow up. Our result is a log improvement of recent results of Le-Sesum, Xu-Ye-Zhao where the scaling invariant quantities were considered.      11. A New Recursion in the Theory of Macdonald Polynomials      A. M. Garsia  J. Haglund 《Annals of Combinatorics》2012,16(1):77-106 The bigraded Frobenius characteristic of the Garsia-Haiman module M μ is known [7, 10] to be given by the modified Macdonald polynomial [(H)\tilde]m[X; q, t]{\tilde{H}_{\mu}[X; q, t]}. It follows from this that, for m\vdash n{\mu \vdash n} the symmetric polynomial ?p1 [(H)\tilde]m[X; q, t]{{\partial_{p1}} \tilde{H}_{\mu}[X; q, t]} is the bigraded Frobenius characteristic of the restriction of M μ from S n to S n-1. The theory of Macdonald polynomials gives explicit formulas for the coefficients c μ v occurring in the expansion ?p1 [(H)\tilde]m[X; q, t] = ?v ? mcmv [(H)\tilde]v[X; q, t]{{\partial_{p1}} \tilde{H}_{\mu}[X; q, t] = \sum_{v \to \mu}c_{\mu v} \tilde{H}_{v}[X; q, t]}. In particular, it follows from this formula that the bigraded Hilbert series F μ (q, t) of M μ may be calculated from the recursion Fm (q, t) = ?v ? mcmv Fv (q, t){F_\mu (q, t) = \sum_{v \to \mu}c_{\mu v} F_v (q, t)}. One of the frustrating problems of the theory of Macdonald polynomials has been to derive from this recursion that Fm(q, t) ? N[q, t]{F\mu (q, t) \in \mathbf{N}[q, t]}. This difficulty arises from the fact that the c μ v have rather intricate expressions as rational functions in q, t. We give here a new recursion, from which a new combinatorial formula for F μ (q, t) can be derived when μ is a two-column partition. The proof suggests a method for deriving an analogous formula in the general case. The method was successfully carried out for the hook case by Yoo in [15].      12. Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing      Martin Becker 《Computational Management Science》2010,7(1):1-17 We introduce a method for generating (Wx,T(m,s),mx,T(m,s),Mx,T(m,s))(W_{x,T}^{(\mu,\sigma)},m_{x,T}^{(\mu,\sigma)},M_{x,T}^{(\mu,\sigma)}) , where Wx,T(m,s)W_{x,T}^{(\mu,\sigma)} denotes the final value of a Brownian motion starting in x with drift μ and volatility σ at some final time T, mx,T(m,s) = inf0 ￡ t ￡ TWx,t(m,s)m_{x,T}^{(\mu,\sigma)} = {\rm inf}_{0\leq t \leq T}W_{x,t}^{(\mu,\sigma)} and Mx,T(m,s) = sup0 ￡ t ￡ T Wx,t(m,s)M_{x,T}^{(\mu,\sigma)} = {\rm sup}_{0\leq t \leq T} W_{x,t}^{(\mu,\sigma)} . By using the trivariate distribution of (Wx,T(m,s),mx,T(m,s),Mx,T(m,s))(W_{x,T}^{(\mu,\sigma)},m_{x,T}^{(\mu,\sigma)},M_{x,T}^{(\mu,\sigma)}) , we obtain a fast method which is unaffected by the well-known random walk approximation errors. The method is extended to jump-diffusion models. As sample applications we include Monte Carlo pricing methods for European double barrier knock-out calls with continuous reset conditions under both models. The proposed methods feature simple importance sampling techniques for variance reduction.      13. New Besov-type spaces and Triebel–Lizorkin-type spaces including Q spaces      Dachun Yang  Wen Yuan 《Mathematische Zeitschrift》2010,265(2):451-480 Let ${s,\,\tau\in\mathbb{R}}Let s, t ? \mathbbR{s,\,\tau\in\mathbb{R}} and q ? (0,￥]{q\in(0,\infty]} . We introduce Besov-type spaces [(B)\dot]s, tp, q(\mathbbRn){{{{\dot B}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}}} for p ? (0, ￥]{p\in(0,\,\infty]} and Triebel–Lizorkin-type spaces [(F)\dot]s, tp, q(\mathbbRn) for p ? (0, ￥){{{{\dot F}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}}\,{\rm for}\, p\in(0,\,\infty)} , which unify and generalize the Besov spaces, Triebel–Lizorkin spaces and Q spaces. We then establish the j{\varphi} -transform characterization of these new spaces in the sense of Frazier and Jawerth. Using the j{\varphi} -transform characterization of [(B)\dot]s, tp, q(\mathbbRn) and [(F)\dot]s, tp, q(\mathbbRn){{{{\dot B}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}\, {\rm and}\, {{\dot F}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}}} , we obtain their embedding and lifting properties; moreover, for appropriate τ, we also establish the smooth atomic and molecular decomposition characterizations of [(B)\dot]s, tp, q(\mathbbRn) and [(F)\dot]s, tp, q(\mathbbRn){{{{\dot B}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}\,{\rm and}\, {{\dot F}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}}} . For s ? \mathbbR{s\in\mathbb{R}} , p ? (1, ￥), q ? [1, ￥){p\in(1,\,\infty), q\in[1,\,\infty)} and t ? [0, \frac1(max{p, q})￠]{\tau\in[0,\,\frac{1}{(\max\{p,\,q\})'}]} , via the Hausdorff capacity, we introduce certain Hardy–Hausdorff spaces B[(H)\dot]s, tp, q(\mathbbRn){{{{B\dot{H}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}}}} and prove that the dual space of B[(H)\dot]s, tp, q(\mathbbRn){{{{B\dot{H}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}}}} is just [(B)\dot]-s, tp￠, q￠(\mathbbRn){\dot{B}^{-s,\,\tau}_{p',\,q'}(\mathbb{R}^{n})} , where t′ denotes the conjugate index of t ? (1,￥){t\in (1,\infty)} .      14. Regularity of weak solutions to the Navier–Stokes equations in exterior domains      Reinhard Farwig  Christian Komo 《NoDEA : Nonlinear Differential Equations and Applications》2010,17(3):303-321 Let u be a weak solution of the Navier–Stokes equations in an exterior domain ${\Omega \subset \mathbb{R}^3}Let u be a weak solution of the Navier–Stokes equations in an exterior domain W ì \mathbbR3{\Omega \subset \mathbb{R}^3} and a time interval [0, T[ , 0 < T ≤ ∞, with initial value u 0, external force f = div F, and satisfying the strong energy inequality. It is well known that global regularity for u is an unsolved problem unless we state additional conditions on the data u 0 and f or on the solution u itself such as Serrin’s condition || u ||Ls(0,T; Lq(W)) < ￥{\| u \|_{L^s(0,T; L^q(\Omega))} < \infty} with 2 < s < ￥, \frac2s + \frac3q = 1{2 < s < \infty, \frac{2}{s} + \frac{3}{q} =1}. In this paper, we generalize results on local in time regularity for bounded domains, see Farwig et al. (Indiana Univ Math J 56:2111–2131, 2007; J Math Fluid Mech 11:1–14, 2008; Banach Center Publ 81:175–184, 2008), to exterior domains. If e.g. u fulfills Serrin’s condition in a left-side neighborhood of t or if the norm || u ||Ls￠(t-d,t; Lq(W)){\| u \|_{L^{s'}(t-\delta,t; L^q(\Omega))}} converges to 0 sufficiently fast as δ → 0 + , where ${\frac{2}{s'} + \frac{3}{q} > 1}${\frac{2}{s'} + \frac{3}{q} > 1}, then u is regular at t. The same conclusion holds when the kinetic energy \frac12|| u(t) ||22{\frac{1}{2}\| u(t) \|_2^2} is locally H?lder continuous with exponent ${\alpha > \frac{1}{2}}${\alpha > \frac{1}{2}}.      15. Interpolating Thin-Shell and Sharp Large-Deviation Estimates for Lsotropic Log-Concave Measures      Olivier Gu��don  Emanuel Milman 《Geometric And Functional Analysis》2011,21(5):1043-1068 Given an isotropic random vector X with log-concave density in Euclidean space \mathbbRn{\mathbb{R}^n} , we study the concentration properties of |X| on all scales, both above and below its expectation. We show in particular that l \mathbbP( | |X| - ?n | 3 t?n ) ￡ C  exp ( -cn1/2 min(t3, t) )   "t 3 0, \begin{array}{l} \mathbb{P}\left ( \left | |X| - \sqrt{n} \right | \geq t\sqrt{n} \right ) \leq C \, {\rm exp} \left ( -cn^{1/2} {\rm min}(t^{3}, t) \right) \; \forall t \geq 0, \end{array}      16. On the Lyapunov Exponent of a Multidimensional Stochastic Flow      Michele Baldini 《Journal of Theoretical Probability》2007,20(2):327-337 Let X t be a reversible and positive recurrent diffusion in ℝd described by Xt=x+s b(t)+ò0tm(Xs)ds,X_{t}=x+\sigma\,b(t)+\int_{0}^{t}m(X_{s})\mathrm {d}s,      17. Weak Error for Stable Driven Stochastic Differential Equations: Expansion of the Densities      Valentin Konakov  Stéphane Menozzi 《Journal of Theoretical Probability》2011,24(2):454-478 Consider a multidimensional stochastic differential equation of the form Xt=x+ò0tb(Xs-) ds+ò0tf(Xs-) dZsX_{t}=x+\int_{0}^{t}b(X_{s-})\,ds+\int_{0}^{t}f(X_{s-})\,dZ_{s}, where (Z s ) s≥0 is a symmetric stable process. Under suitable assumptions on the coefficients, the unique strong solution of the above equation admits a density with respect to Lebesgue measure, and so does its Euler scheme. Using a parametrix approach, we derive an error expansion with respect to the time step for the difference of these densities.      18. Maximum Hitting of a Set by Compressed Intersecting Families      Peter Borg 《Graphs and Combinatorics》2011,27(6):785-797 For a family A{\mathcal{A}} and a set Z, denote {A ? A \colon A ?Z 1 ?}{\{A \in \mathcal{A} \colon A \cap Z \neq \emptyset\}} by A(Z){\mathcal{A}(Z)}. For positive integers n and r, let Sn,r{\mathcal{S}_{n,r}} be the trivial compressed intersecting family {A ? (c[n]r ) \colon 1 ? A}{\{A \in \big(\begin{subarray}{c}[n]\\r \end{subarray}\big) \colon 1 \in A\}}, where [n] : = {1, ?, n}{[n] := \{1, \ldots, n\}} and (c[n]r ) : = {A ì [n] \colon |A| = r}{\big(\begin{subarray}{c}[n]\\r \end{subarray}\big) := \{A \subset [n] \colon |A| = r\}}. The following problem is considered: For r ≤ n/2, which sets Z í [n]{Z \subseteq [n]} have the property that |A(Z)| ￡ |Sn,r(Z)|{|\mathcal{A}(Z)| \leq |\mathcal{S}_{n,r}(Z)|} for any compressed intersecting family A ì (c[n]r ){\mathcal{A}\subset \big(\begin{subarray}{c}[n]\\r \end{subarray}\big)}? (The answer for the case 1 ? Z{1 \in Z} is given by the Erdős–Ko–Rado Theorem.) We give a complete answer for the case |Z| ≥ r and a partial answer for the much harder case |Z| < r. This paper is motivated by the observation that certain interesting results in extremal set theory can be proved by answering the question above for particular sets Z. Using our result for the special case when Z is the r-segment {2, ?, r+1}{\{2, \ldots, r+1\}}, we obtain new short proofs of two well-known Hilton–Milner theorems. At the other extreme end, by establishing that |A(Z)| ￡ |Sn,r(Z)|{|\mathcal{A}(Z)| \leq |\mathcal{S}_{n,r}(Z)|} when Z is a final segment, we provide a new short proof of a Holroyd–Talbot extension of the Erdős-Ko-Rado Theorem.      19. Asymptotically autonomous parabolic evolution equations      Roland Schnaubelt 《Journal of Evolution Equations》2001,1(1):19-37 We study the long-term behaviour of the parabolic evolution equation $\[u'(t)=A(t)u(t)+f(t), t>s,\quad u(s)=x. \]$\[u'(t)=A(t)u(t)+f(t), t>s,\quad u(s)=x. \] If A(t) A(t) converges to a sectorial operator A with s(A)?i \Bbb R = ? \sigma(A)\cap i \Bbb R =\emptyset as t?￥ t\to\infty , then the evolution family solving the homogeneous problem has exponential dichotomy. If also f(t)? f￥ f(t)\to f_\infty , then the solution u converges to the 'stationary solution at infinity', i.e., limt?￥u(t) = -A\sp-1f￥=:u￥,        limt?￥u￠(t)=0,        limt?￥A(t)u(t)=Au￥. \lim_{t\to\infty}u(t)= -A\sp{-1}f_\infty=:u_\infty, \qquad \lim_{t\to\infty}u'(t)=0, \qquad \lim_{t\to\infty}A(t)u(t)=Au_\infty. .      20. Uniform estimates for order statistics and Orlicz functions      Yehoram Gordon  Alexander E. Litvak  Carsten Schütt  Elisabeth Werner 《Positivity》2012,16(1):1-28 We establish uniform estimates for order statistics: Given a sequence of independent identically distributed random variables ξ 1, … , ξ n and a vector of scalars x = (x 1, … , x n ), and 1 ≤ k ≤ n, we provide estimates for \mathbb E   k-min1 ￡ i ￡ n |xixi|{\mathbb E \, \, k-{\rm min}_{1\leq i\leq n} |x_{i}\xi _{i}|} and \mathbb E k-max1 ￡ i ￡ n|xixi|{\mathbb E\,k-{\rm max}_{1\leq i\leq n}|x_{i}\xi_{i}|} in terms of the values k and the Orlicz norm ||yx||M{\|y_x\|_M} of the vector y x  = (1/x 1, … , 1/x n ). Here M(t) is the appropriate Orlicz function associated with the distribution function of the random variable |ξ 1|, G(t) = \mathbb P ({ |x1| ￡ t}){G(t) =\mathbb P \left(\left\{ |\xi_1| \leq t\right\}\right)}. For example, if ξ 1 is the standard N(0, 1) Gaussian random variable, then G(t) = ?{\tfrac2p}ò0t e-\fracs22ds {G(t)= \sqrt{\tfrac{2}{\pi}}\int_{0}^t e^{-\frac{s^{2}}{2}}ds }  and M(s)=?{\tfrac2p}ò0se-\frac12t2dt{M(s)=\sqrt{\tfrac{2}{\pi}}\int_{0}^{s}e^{-\frac{1}{2t^{2}}}dt}. We would like to emphasize that our estimates do not depend on the length n of the sequence.      设为首页 | 免责声明 | 关于勤云 | 加入收藏 Copyright©北京勤云科技发展有限公司  京ICP备09084417号

Lebesgue property for convex risk measures on Orlicz spaces

We present a robust representation theorem for monetary convex risk measures r: X ? \mathbbR{\rho : \mathcal{X} \rightarrow \mathbb{R}} such that

Linear Maps Preserving Operators of Local Spectral Radius Zero

Let X be a complex Banach space and let B(X){\mathcal{B}(X)} be the space of all bounded linear operators on X. For x ? X{x \in X} and T ? B(X){T \in \mathcal{B}(X)}, let r_T(x) = limsup_{n ? ￥} || Tⁿx|| ^1/n{r_{T}(x) =\limsup_{n \rightarrow \infty} \| T^{n}x\| ^{1/n}} denote the local spectral radius of T at x. We prove that if j: B(X) ? B(X){\varphi : \mathcal{B}(X) \rightarrow \mathcal{B}(X)} is linear and surjective such that for every x ? X{x \in X} we have r _T (x) = 0 if and only if r_j(T)(x) = 0{r_{\varphi(T)}(x) = 0}, there exists then a nonzero complex number c such that j(T) = cT{\varphi(T) = cT} for all T ? B(X){T \in \mathcal{B}(X) }. We also prove that if Y is a complex Banach space and j:B(X) ? B(Y){\varphi :\mathcal{B}(X) \rightarrow \mathcal{B}(Y)} is linear and invertible for which there exists B ? B(Y, X){B \in \mathcal{B}(Y, X)} such that for y ? Y{y \in Y} we have r _T (By) = 0 if and only if r_{j( T)} (y)=0{ r_{\varphi ( T) }(y)=0}, then B is invertible and there exists a nonzero complex number c such that j(T) = cB^-1TB{\varphi(T) =cB^{-1}TB} for all T ? B(X){T \in \mathcal{B}(X)}.     

The Hermite Property of a Causal Wiener Algebra Used in Control Theory

Let \mathbbC₊ : = {s ? \mathbbC    |     Re(s) 3 0}{{\mathbb{C}}}_{+} := \{s \in {{\mathbb{C}}}\quad | \quad {\rm Re}(s) \geq 0\} and let A\mathcal{A} denote the Banach algebra

Existence and uniqueness of positive solutions to nonlinear fractional differential equation with integral boundary conditions

In this paper, we consider the following nonlinear fractional three-point boundary-value problem:

On one class of extreme extensions of a measure

We consider a relationship between two sets of extensions of a finite finitely additive measure μ defined on an algebra \mathfrakB \mathfrak{B} of sets to a broader algebra \mathfrakA \mathfrak{A} . These sets are the set ex S _μ of all extreme extensions of the measure μ and the set H _μ of all extensions defined as l(A) = [^(m)]( h(A) ),   A ? \mathfrakA \lambda (A) = \hat{\mu }\left( {h(A)} \right),\,\,\,A \in \mathfrak{A} , where [^(m)] \hat{\mu } is a quotient measure on the algebra \mathfrakB

Blow up of subcritical quantities at the first singular time of the mean curvature flow

Consider a family of smooth immersions F(·,t) : Mⁿ? \mathbbRⁿ⁺¹{F(\cdot,t)\,:\,{M^n\to \mathbb{R}^{n+1}}} of closed hypersurfaces in \mathbbRⁿ⁺¹{\mathbb{R}^{n+1}} moving by the mean curvature flow \frac?F(p,t)?t = -H(p,t)·n(p,t){\frac{\partial F(p,t)}{\partial t} = -H(p,t)\cdot \nu(p,t)}, for t ? [0,T){t\in [0,T)}. We show that at the first singular time of the mean curvature flow, certain subcritical quantities concerning the second fundamental form, for example ò₀^tò_Ms\frac|A|^{n + 2} log (2 + |A|) dmds,{\int_{0}^{t}\int_{M_{s}}\frac{{\vert{\it A}\vert}^{n + 2}}{ log (2 + {\vert{\it A}\vert})}} d\mu ds, blow up. Our result is a log improvement of recent results of Le-Sesum, Xu-Ye-Zhao where the scaling invariant quantities were considered.     

A New Recursion in the Theory of Macdonald Polynomials

The bigraded Frobenius characteristic of the Garsia-Haiman module M _μ is known [7, 10] to be given by the modified Macdonald polynomial [(H)\tilde]_m[X; q, t]{\tilde{H}_{\mu}[X; q, t]}. It follows from this that, for m\vdash n{\mu \vdash n} the symmetric polynomial ?_p1 [(H)\tilde]_m[X; q, t]{{\partial_{p1}} \tilde{H}_{\mu}[X; q, t]} is the bigraded Frobenius characteristic of the restriction of M _μ from S _n to S _n-1. The theory of Macdonald polynomials gives explicit formulas for the coefficients c _{μ v} occurring in the expansion ?_p1 [(H)\tilde]_m[X; q, t] = ?_{v ? m}c_mv [(H)\tilde]_v[X; q, t]{{\partial_{p1}} \tilde{H}_{\mu}[X; q, t] = \sum_{v \to \mu}c_{\mu v} \tilde{H}_{v}[X; q, t]}. In particular, it follows from this formula that the bigraded Hilbert series F μ (q, t) of M _μ may be calculated from the recursion F_m (q, t) = ?_{v ? m}c_mv F_v (q, t){F_\mu (q, t) = \sum_{v \to \mu}c_{\mu v} F_v (q, t)}. One of the frustrating problems of the theory of Macdonald polynomials has been to derive from this recursion that Fm(q, t) ? N[q, t]{F\mu (q, t) \in \mathbf{N}[q, t]}. This difficulty arises from the fact that the c _{μ v} have rather intricate expressions as rational functions in q, t. We give here a new recursion, from which a new combinatorial formula for F _μ (q, t) can be derived when μ is a two-column partition. The proof suggests a method for deriving an analogous formula in the general case. The method was successfully carried out for the hook case by Yoo in [15].     

Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing

We introduce a method for generating (W_x,T^(m,s),m_x,T^(m,s),M_x,T^(m,s))(W_{x,T}^{(\mu,\sigma)},m_{x,T}^{(\mu,\sigma)},M_{x,T}^{(\mu,\sigma)}) , where W_x,T^(m,s)W_{x,T}^{(\mu,\sigma)} denotes the final value of a Brownian motion starting in x with drift μ and volatility σ at some final time T, m_x,T^(m,s) = inf_{0 ￡ t ￡ T}W_x,t^(m,s)m_{x,T}^{(\mu,\sigma)} = {\rm inf}_{0\leq t \leq T}W_{x,t}^{(\mu,\sigma)} and M_x,T^(m,s) = sup_{0 ￡ t ￡ T} W_x,t^(m,s)M_{x,T}^{(\mu,\sigma)} = {\rm sup}_{0\leq t \leq T} W_{x,t}^{(\mu,\sigma)} . By using the trivariate distribution of (W_x,T^(m,s),m_x,T^(m,s),M_x,T^(m,s))(W_{x,T}^{(\mu,\sigma)},m_{x,T}^{(\mu,\sigma)},M_{x,T}^{(\mu,\sigma)}) , we obtain a fast method which is unaffected by the well-known random walk approximation errors. The method is extended to jump-diffusion models. As sample applications we include Monte Carlo pricing methods for European double barrier knock-out calls with continuous reset conditions under both models. The proposed methods feature simple importance sampling techniques for variance reduction.     

New Besov-type spaces and Triebel–Lizorkin-type spaces including Q spaces

Let ${s,\,\tau\in\mathbb{R}}Let s, t ? \mathbbR{s,\,\tau\in\mathbb{R}} and q ? (0,￥]{q\in(0,\infty]} . We introduce Besov-type spaces [(B)\dot]^s, t_p, q(\mathbbRⁿ){{{{\dot B}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}}} for p ? (0, ￥]{p\in(0,\,\infty]} and Triebel–Lizorkin-type spaces [(F)\dot]^s, t_p, q(\mathbbRⁿ) for p ? (0, ￥){{{{\dot F}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}}\,{\rm for}\, p\in(0,\,\infty)} , which unify and generalize the Besov spaces, Triebel–Lizorkin spaces and Q spaces. We then establish the j{\varphi} -transform characterization of these new spaces in the sense of Frazier and Jawerth. Using the j{\varphi} -transform characterization of [(B)\dot]^s, t_p, q(\mathbbRⁿ) and [(F)\dot]^s, t_p, q(\mathbbRⁿ){{{{\dot B}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}\, {\rm and}\, {{\dot F}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}}} , we obtain their embedding and lifting properties; moreover, for appropriate τ, we also establish the smooth atomic and molecular decomposition characterizations of [(B)\dot]^s, t_p, q(\mathbbRⁿ) and [(F)\dot]^s, t_p, q(\mathbbRⁿ){{{{\dot B}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}\,{\rm and}\, {{\dot F}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}}} . For s ? \mathbbR{s\in\mathbb{R}} , p ? (1, ￥), q ? [1, ￥){p\in(1,\,\infty), q\in[1,\,\infty)} and t ? [0, \frac1(max{p, q})￠]{\tau\in[0,\,\frac{1}{(\max\{p,\,q\})'}]} , via the Hausdorff capacity, we introduce certain Hardy–Hausdorff spaces B[(H)\dot]^s, t_p, q(\mathbbRⁿ){{{{B\dot{H}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}}}} and prove that the dual space of B[(H)\dot]^s, t_p, q(\mathbbRⁿ){{{{B\dot{H}^{s,\,\tau}_{p,\,q}(\mathbb{R}^{n})}}}} is just [(B)\dot]^-s, t_p￠, q￠(\mathbbRⁿ){\dot{B}^{-s,\,\tau}_{p',\,q'}(\mathbb{R}^{n})} , where t′ denotes the conjugate index of t ? (1,￥){t\in (1,\infty)} .     

Regularity of weak solutions to the Navier–Stokes equations in exterior domains

Let u be a weak solution of the Navier–Stokes equations in an exterior domain ${\Omega \subset \mathbb{R}^3}Let u be a weak solution of the Navier–Stokes equations in an exterior domain W ì \mathbbR³{\Omega \subset \mathbb{R}^3} and a time interval [0, T[ , 0 < T ≤ ∞, with initial value u ₀, external force f = div F, and satisfying the strong energy inequality. It is well known that global regularity for u is an unsolved problem unless we state additional conditions on the data u ₀ and f or on the solution u itself such as Serrin’s condition || u ||_{L^s(0,T; L^q(W))} < ￥{\| u \|_{L^s(0,T; L^q(\Omega))} < \infty} with 2 < s < ￥, \frac2s + \frac3q = 1{2 < s < \infty, \frac{2}{s} + \frac{3}{q} =1}. In this paper, we generalize results on local in time regularity for bounded domains, see Farwig et al. (Indiana Univ Math J 56:2111–2131, 2007; J Math Fluid Mech 11:1–14, 2008; Banach Center Publ 81:175–184, 2008), to exterior domains. If e.g. u fulfills Serrin’s condition in a left-side neighborhood of t or if the norm || u ||_{L^s￠(t-d,t; L^q(W))}{\| u \|_{L^{s'}(t-\delta,t; L^q(\Omega))}} converges to 0 sufficiently fast as δ → 0 + , where ${\frac{2}{s'} + \frac{3}{q} > 1}${\frac{2}{s'} + \frac{3}{q} > 1}, then u is regular at t. The same conclusion holds when the kinetic energy \frac12|| u(t) ||₂²{\frac{1}{2}\| u(t) \|_2^2} is locally H?lder continuous with exponent ${\alpha > \frac{1}{2}}${\alpha > \frac{1}{2}}.     

Interpolating Thin-Shell and Sharp Large-Deviation Estimates for Lsotropic Log-Concave Measures

Given an isotropic random vector X with log-concave density in Euclidean space \mathbbRⁿ{\mathbb{R}^n} , we study the concentration properties of |X| on all scales, both above and below its expectation. We show in particular that

On the Lyapunov Exponent of a Multidimensional Stochastic Flow

Let X _t be a reversible and positive recurrent diffusion in ℝ^d described by

Weak Error for Stable Driven Stochastic Differential Equations: Expansion of the Densities

Consider a multidimensional stochastic differential equation of the form X_t=x+ò₀^tb(X_s-) ds+ò₀^tf(X_s-) dZ_sX_{t}=x+\int_{0}^{t}b(X_{s-})\,ds+\int_{0}^{t}f(X_{s-})\,dZ_{s}, where (Z _s ) _s≥0 is a symmetric stable process. Under suitable assumptions on the coefficients, the unique strong solution of the above equation admits a density with respect to Lebesgue measure, and so does its Euler scheme. Using a parametrix approach, we derive an error expansion with respect to the time step for the difference of these densities.     

Maximum Hitting of a Set by Compressed Intersecting Families

For a family A{\mathcal{A}} and a set Z, denote {A ? A \colon A ?Z 1 ?}{\{A \in \mathcal{A} \colon A \cap Z \neq \emptyset\}} by A(Z){\mathcal{A}(Z)}. For positive integers n and r, let S_n,r{\mathcal{S}_{n,r}} be the trivial compressed intersecting family {A ? (c[n]r ) \colon 1 ? A}{\{A \in \big(\begin{subarray}{c}[n]\\r \end{subarray}\big) \colon 1 \in A\}}, where [n] : = {1, ?, n}{[n] := \{1, \ldots, n\}} and (c[n]r ) : = {A ì [n] \colon |A| = r}{\big(\begin{subarray}{c}[n]\\r \end{subarray}\big) := \{A \subset [n] \colon |A| = r\}}. The following problem is considered: For r ≤ n/2, which sets Z í [n]{Z \subseteq [n]} have the property that |A(Z)| ￡ |S_n,r(Z)|{|\mathcal{A}(Z)| \leq |\mathcal{S}_{n,r}(Z)|} for any compressed intersecting family A ì (c[n]r ){\mathcal{A}\subset \big(\begin{subarray}{c}[n]\\r \end{subarray}\big)}? (The answer for the case 1 ? Z{1 \in Z} is given by the Erdős–Ko–Rado Theorem.) We give a complete answer for the case |Z| ≥ r and a partial answer for the much harder case |Z| < r. This paper is motivated by the observation that certain interesting results in extremal set theory can be proved by answering the question above for particular sets Z. Using our result for the special case when Z is the r-segment {2, ?, r+1}{\{2, \ldots, r+1\}}, we obtain new short proofs of two well-known Hilton–Milner theorems. At the other extreme end, by establishing that |A(Z)| ￡ |S_n,r(Z)|{|\mathcal{A}(Z)| \leq |\mathcal{S}_{n,r}(Z)|} when Z is a final segment, we provide a new short proof of a Holroyd–Talbot extension of the Erdős-Ko-Rado Theorem.     

Asymptotically autonomous parabolic evolution equations

We study the long-term behaviour of the parabolic evolution equation $\[u'(t)=A(t)u(t)+f(t), t>s,\quad u(s)=x. \]$\[u'(t)=A(t)u(t)+f(t), t>s,\quad u(s)=x. \] If A(t) A(t) converges to a sectorial operator A with s(A)?i \Bbb R = ? \sigma(A)\cap i \Bbb R =\emptyset as t?￥ t\to\infty , then the evolution family solving the homogeneous problem has exponential dichotomy. If also f(t)? f_￥ f(t)\to f_\infty , then the solution u converges to the 'stationary solution at infinity', i.e., lim_t?￥u(t) = -A\sp-1f_￥=:u_￥,        lim_t?￥u￠(t)=0,        lim_t?￥A(t)u(t)=Au_￥. \lim_{t\to\infty}u(t)= -A\sp{-1}f_\infty=:u_\infty, \qquad \lim_{t\to\infty}u'(t)=0, \qquad \lim_{t\to\infty}A(t)u(t)=Au_\infty. .     

Uniform estimates for order statistics and Orlicz functions

We establish uniform estimates for order statistics: Given a sequence of independent identically distributed random variables ξ ₁, … , ξ _n and a vector of scalars x = (x ₁, … , x _n ), and 1 ≤ k ≤ n, we provide estimates for \mathbb E   k-min_{1 ￡ i ￡ n} |x_ix_i|{\mathbb E \, \, k-{\rm min}_{1\leq i\leq n} |x_{i}\xi _{i}|} and \mathbb E k-max_{1 ￡ i ￡ n}|x_ix_i|{\mathbb E\,k-{\rm max}_{1\leq i\leq n}|x_{i}\xi_{i}|} in terms of the values k and the Orlicz norm ||y_x||_M{\|y_x\|_M} of the vector y _x  = (1/x ₁, … , 1/x _n ). Here M(t) is the appropriate Orlicz function associated with the distribution function of the random variable |ξ ₁|, G(t) = \mathbb P ({ |x₁| ￡ t}){G(t) =\mathbb P \left(\left\{ |\xi_1| \leq t\right\}\right)}. For example, if ξ ₁ is the standard N(0, 1) Gaussian random variable, then G(t) = ?{\tfrac2p}ò₀^t e^-\fracs22ds {G(t)= \sqrt{\tfrac{2}{\pi}}\int_{0}^t e^{-\frac{s^{2}}{2}}ds }  and M(s)=?{\tfrac2p}ò₀^se^-\frac12t2dt{M(s)=\sqrt{\tfrac{2}{\pi}}\int_{0}^{s}e^{-\frac{1}{2t^{2}}}dt}. We would like to emphasize that our estimates do not depend on the length n of the sequence.