A theorem of the Phragmén-Lindelöf type for solutions of an evolution equation of the second order with respect to time variable

We consider a solution u(x, t) of the general linear evolution equation of the second order with respect to time variable given on the ball Π(T) = {(x,t): xε R ⁿ, t ε [0, T]} and study the dependence of the behavior of this solution on the behavior of the functions at infinity. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 50, No. 5, pp. 724–731, May, 1998.     

On the validity of the Ginzburg-Landau equation

Summary The famous Ginzburg-Landau equation describes nonlinear amplitude modulations of a wave perturbation of a basic pattern when a control parameterR lies in the unstable regionO(ε ²) away from the critical valueR _c for which the system loses stability. Hereε>0 is a small parameter. G-L's equation is found for a general class of nonlinear evolution problems including several classical problems from hydrodynamics and other fields of physics and chemistry. Up to now, the rigorous derivation of G-L's equation for general situations is not yet completed. This was only demonstrated for special types of solutions (steady, time periodic) or for special problems (the Swift-Hohenberg equation). Here a mathematically rigorous proof of the validity of G-L's equation is given for a general situation of one space variable and a quadratic nonlinearity. Validity is meant in the following sense. For each given initial condition in a suitable Banach space there exists a unique bounded solution of the initial value problem for G-L's equation on a finite interval of theO(1/ε²)-long time scale intrinsic to the modulation. For such a finite time interval of the intrinsic modulation time scale on which the initial value problem for G-L's equation has a bounded solution, the initial value problem for the original evolution equation with corresponding initial conditions, has a unique solutionO(ε²) — close to the approximation induced by the solution of G-L's equation. This property guarantees that, for rather general initial conditions on the intrinsic modulation time scale, the behavior of solutions of G-L's equation is really inherited from solutions of the original problem, and the other way around: to a solution of G-L's equation corresponds a nearby exact solution with a relatively small error.     

A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling

Let (X(t)) be a risk process with reserve-dependent premium rate, delayed claims and initial capital u. Consider a class of risk processes {(X ^ε (t)): ε > 0} derived from (X(t)) via scaling in a slow Markov walk sense, and let Ψ_ε(u) be the corresponding ruin probability. In this paper we prove sample path large deviations for (X ε (t)) as ε → 0. As a consequence, we give exact asymptotics for log Ψ_ε(u) and we determine a most likely path leading to ruin. Finally, using importance sampling, we find an asymptotically efficient law for the simulation of Ψ_ε(u). AMS Subject Classifications 60F10, 91B30 This work has been partially supported by Murst Project “Metodi Stocastici in Finanza Matematica”     

On the Holmgren-John uniqueness theorem for the wave equation with piecewise analytic coefficients

In this paper a uniqueness theorem is proved for the wave equation in the domain Q^2T=Ω×(0,2T), where Ω is a piecewise analytic Riemannian manifold (Riemannian polyhedron). Initial data are assumed to be given on a part Γ₀ × (0, 2T) of the space-time boundary of the cylinder Q^2T, Γ₀. The uniqueness of a weak solution is proved “in the large,” in a domain formed by the corresponding characteristics of the wave equation. Bibliography:24 titles. Translated fromZapiski Nauchnykh Seminarov POMI, Vol. 203, 1992, pp. 113–136. Translated by T. N. Surkova.     

Uniqueness of weak solutions of time-dependent 3-D Ginzburg-Landau model for superconductivity

We prove the uniqueness of weak solutions of the time-dependent 3-D Ginzburg-Landau model for superconductivity with (Ψ ₀, A ₀) ∈ L ²(Ω) initial data under the hypothesis that (Ψ, A) ∈ C([0, T]; L ³(Ω)) using the Lorentz gauge.      

An integral strong law of large numbers for processes with independent increments

For a stochastically continuous stochastic process with independent increments overD[0,T], letN(t,ε) be the number of smaple function jumps that occur in the interval [0,t] of sizes less than −ε or greater than ε, where ε>0. LetM(t,ε)=EN(t,ε), and assumeM(t,0+)=∞ for 0<t≦T. If lim_{ε ↓0}(M(t,ε)/M(T,ε)) exists and is positive for eacht∈(0,T], then lim_{ε ↓0}(N(t,ε)/M(T,ε)) for allt∈(0,T] with probability one. The research of Howard G. Tucker was supported in part by the National Science Foundation, Grant No. MCS76-03591A01.     

On regularity att=0 for semilinear ADEs and its numerical applications

Consider the following initial value problem for the semilinearabstract differential equation (ADE):.u=Lu+f(t,u), t ε (O,T]; u(O)=u _o ε D(L), whereL: (D(L)⊂-X)→X is the infitesimal generatory of aC ^o-semigroup on the Banach spaceX. Extending a well-known result, we show that, iff: [O,T]×X→X is Lipschitz continuous and the space is reflexive, then the solution iscontinuously differentiable on [O,T], and satisfies the equation also att=0. Applications are given to the convergence analysis of implicit and semi-implicit Euler-type discretization schemes. Parabolic and hyperbolic examples are discussed. This work has been suported by the MURST Numerical Analysis funds (40%-funds), and by the “Istituto Nazionale di Alta Matematica F. Severi”. The author wishes to thank Professor R. Spigler for some useful discussions.     

Filtration Consistent Nonlinear Expectations and Evaluations of Contingent Claims

We will study the following problem.Let X_t,t∈[0,T],be an R~d-valued process defined on atime interval t∈[0,T].Let Y be a random value depending on the trajectory of X.Assume that,at each fixedtime t≤T,the information available to an agent(an individual,a firm,or even a market)is the trajectory ofX before t.Thus at time T,the random value of Y(ω) will become known to this agent.The question is:howwill this agent evaluate Y at the time t?We will introduce an evaluation operator ε_t[Y] to define the value of Y given by this agent at time t.Thisoperator ε_t[·] assigns an (X_s)0(?)s(?)T-dependent random variable Y to an (X_s)0(?)s(?)t-dependent random variableε_t[Y].We will mainly treat the situation in which the process X is a solution of a SDE (see equation (3.1)) withthe drift coefficient b and diffusion coefficient σcontaining an unknown parameter θ=θ_t.We then consider theso called super evaluation when the agent is a seller of the asset Y.We will prove that such super evaluation is afiltration consistent nonlinear expectation.In some typical situations,we will prove that a filtration consistentnonlinear evaluation dominated by this super evaluation is a g-evaluation.We also consider the correspondingnonlinear Markovian situation.     

Optimal boundary control of vibrations at one endpoint of a string when the second endpoint is free

The generalized solution u(x, t) of the wave equation u _tt (x, t) − u _xx (x, t) = 0 admitting the existence of finite energy at every time instant t is used to find among all W ₂ ¹ [0,T]-functions with a long time interval T the optimal boundary control for a string with a free endpoint that takes the vibration process from a given arbitrary state to a given final state. __________ Translated from Nelineinaya Dinamika i Upravlenie, No. 4, pp. 23–36, 2004.     

On the conditions to control curvature tensors of Ricci flow

An important problem in the study of Ricci flow is to find the weakest conditions that provide control of the norm of the full Riemannian curvature tensor. In this article, supposing (M ⁿ , g(t)) is a solution to the Ricci flow on a Riemmannian manifold on time interval [0, T), we show that L^\fracn+22{L^\frac{n+2}{2}} norm bound of scalar curvature and Weyl tensor can control the norm of the full Riemannian curvature tensor if M is closed and T < ∞. Next we prove, without condition T < ∞, that C ⁰ bound of scalar curvature and Weyl tensor can control the norm of the full Riemannian curvature tensor on complete manifolds. Finally, we show that to the Ricci flow on a complete non-compact Riemannian manifold with bounded curvature at t = 0 and with the uniformly bounded Ricci curvature tensor on M ⁿ  × [0, T), the curvature tensor stays uniformly bounded on M ⁿ  × [0, T). Hence we can extend the Ricci flow up to the time T. Some other results are also presented.     

A generalization of a result of R. Lyons about measures on [0, 1)

Letμ be a probability measure on [0, 1), invariant underS:x ↦px mod 1, and for which almost every ergodic component has positive entropy. Ifq is a real number greater than 1 for which logq/ logp is irrational, andT _n sendsx toq ⁿx mod 1, then for any ε>0 the measureμT _n ⁻¹ will — for a set ofn of positive lower density — be within ε of Lebesgue measure.     

Sharp regularity estimates for solutions of the wave equation and their traces with prescribed neumann data

In this paper the regularity properties of second-order hyperbolic equations defined over a rectangular domain Θ with boundary Γ under the action of a Neumann boundary forcing term inL ² (0,T;H ^1/4 (Γ)) are investigated. With this given boundary input, we prove by a cosine operator/functional analytical approach that not only is the solution of the wave equation and its derivatives continuous in time, with their pointwise values in a basic energy space (in the interior of Ω), but also that a trace regularity thereof can be assigned for the solution’s time derivative in an appropriate (negative) Sobolev space. This new-found information on the solution and its traces is crucial in handling a mathematical model derived for a particular fluid/structure interaction system.     

Two-phase Stefan problem with vanishing specific heat

The unique solvability of the two-phase Stefan problem with a small parameter ε ∈ [0; ε ₀] at the time derivative in the heat equations is proved. The solution is obtained on a certain time interval [0; t ₀] independent of ε. The solution of the Stefan problem is compared with the solution to the Hele–Shaw problem corresponding to the case ε = 0. The solutions of both problems are not assumed to coincide at the initial moment of time. Bibliography: 18 titles. Dedicated to Vsevolod Alekseevich Solonnikov on the occasion of his jubilee Published in Zapiski Nauchnykh Seminarov POMI, Vol. 362, 2008, pp. 337–363.     

On pointwise and analytic similarity of matrices

LetA(ε) andB(ε) be complex valued matrices analytic in ε at the origin.A(ε)≈ _p B(ε) ifA(ε) is similar toB(ε) for any |ε|<r,A(ε)≈_a B(ε) ifB(ε)=T(ε)A(ε)T ⁻¹(ε) andT(ε) is analytic and |T(ε)|≠0 for |ε|<r! In this paper we find a necessary and sufficient conditions onA(ε) andB(ε) such thatA(ε)≈ _a B(ε) provided thatA(ε)≈ _p B(ε). This problem arises in study of certain ordinary differential equations singular with respect to a parameter ε in the origin and was first stated by Wasow. Sponsored by the United States Army under Contract No. DAAG29-75-C-0024     

On the existence of automorphisms with simple Lebesgue spectrum

It is shown that ifT is a measure preserving automorphism on a probability space (Ω,B, m) which admits a random variable X₀ with mean zero such that the stochastic sequence X₀ o T_n,n ε ℤ is orthonormal and spans L₀ ²(Ω,B,m), then for any integerk ≠ 0, the random variablesX o T^nk,n ε ℤ generateB modulom.     

Approximation of singularly perturbed parabolic equations in unbounded domains subject to piecewise smooth boundary conditions in the case of solutions that grow at infinity

The initial-boundary value problem in a domain on a straight line that is unbounded in x is considered for a singularly perturbed reaction-diffusion parabolic equation. The higher order derivative in the equation is multiplied by a parameter ɛ², where ɛ ∈ (0, 1]. The right-hand side of the equation and the initial function grow unboundedly as x → ∞ at a rate of O(x ²). This causes the unbounded growth of the solution at infinity at a rate of O(Ψ(x)), where Ψ(x) = x ² + 1. The initialboundary function is piecewise smooth. When ɛ is small, a boundary and interior layers appear, respectively, in a neighborhood of the lateral part of the boundary and in a neighborhood of the characteristics of the reduced equation passing through the discontinuity points of the initial function. In the problem under examination, the error of the grid solution grows unboundedly in the maximum norm as x → ∞ even for smooth solutions when ɛ is fixed. In this paper, the proximity of solutions of the initial-boundary value problem and its grid approximations is considered in the weighted maximum norm ∥·∥ ^w with the weighting function Ψ⁻¹(x); in this norm, the solution of the initial-boundary value problem is ɛ-uniformly bounded. Using the method of special grids that condense in a neighborhood of the boundary layer or in neighborhoods of the boundary and interior layers, special finite difference schemes are constructed and studied that converge ɛ-uniformly in the weighted norm. It is shown that the convergence rate considerably depends on the type of nonsmoothness in the initial-boundary conditions. Grid approximations of the Cauchy problem with the right-hand side and the initial function growing as O(Ψ(x)) that converge ɛ-uniformly in the weighted norm are also considered.     

Construction of Solutions and L^1-error Estimates of Viscous Methods for Scalar Conservation Laws with Boundary

This paper is concerned with an initial boundary value problem for strictly convex conservation laws whose weak entropy solution is in the piecewise smooth solution class consisting of finitely many discontinuities. By the structure of the weak entropy solution of the corresponding initial value problem and the boundary entropy condition developed by Bardos-Leroux Nedelec, we give a construction method to the weak entropy solution of the initial boundary value problem. Compared with the initial value problem, the weak entropy solution of the initial boundary value problem includes the following new interaction type： an expansion wave collides with the boundary and the boundary reflects a new shock wave which is tangent to the boundary. According to the structure and some global estimates of the weak entropy solution, we derive the global L^1-error estimate for viscous methods to this initial boundary value problem by using the matching travelling wave solutions method. If the inviscid solution includes the interaction that an expansion wave collides with the boundary and the boundary reflects a new shock wave which is tangent to the boundary, or the inviscid solution includes some shock wave which is tangent to the boundary, then the error of the viscosity solution to the inviscid solution is bounded by O（ε^1/2） in L^1-norm; otherwise, as in the initial value problem, the L^1-error bound is O（ε｜ In ε｜）.     

Asymptotic expansions in limit theorems for stochastic processes. II

. For a certain class of families of stochastic processes η^ε(t), 0≤t≤T, constructed starting from sums of independent random variables, limit theorems for expectations of functionals F(η^ε[0,T]) are proved of the form

The blow-up rate for a system of heat equations with neumann boundary conditions

This paper deals with the blow-up properties of solutions to a system of heat equations u _t=Δu, v _t=Δv in B _R×(0, T) with the Neumann boundary conditions εu/εη=e ^v, εv/εη=e ^u on S _R×[0, T). The exact blow-up rates are established. It is also proved that the blow-up will occur only on the boundary. This work is supported by the National Natural Science Foundation of China     

The central connection problem at turning points of linear differential equations

A system of linear differential equations of the vectorial form εdy/dx=A (x, ε) y is considered, where ε is a positive parameter, and the matrixA (x, ε) is holomorphic in |x|⩽x ₀, 0 < ε ⩽ ε₀ , with an asymptotic expansionsA (x, ε) ∼ ∑ _r=0 ^∞ A _r (x) ε ^r , as ε→0. The eigenvalues ofA ₀(x) are supposed to coalesce atx=0 so as to make this point a simple turning point. With the help of refinements of the representations for the inner and outer asymptotic solutions, as ε→0, that were introduced in the articles [9] and [10] by the author (see the references at the end of the paper), explicit connection formulas between these solutions are calculated. As part of this derivation it is shown that only the diagonal entries of the connection matrix are asymptotically relevant.