Probability no longer a stepchild

S. R. S. Varadhan was awarded the Abel Prize for the year 2007. I met him on 14 and 15 May—one week before the prize ceremony in Oslo—in his office at the Courant Institute to interview him for the Mathematical Intelligencer. My qualifications to interview him were that he and I are Ph.D.’s from the same institute, my Varadhan number is 2, and his was the first research talk that I attended as a graduate student. My major disqualification was that I know little of probability, and I felt like someone destitute of geometry daring to enter Plato’s Academy. Though we had planned to talk for two or three hours, our conversation was spread over nearly eight hours. What follows is the record of this with very minor editing. To help the reader I have added a few “box items” that explain some of the mathematical ideas alluded to in the conversation.     

German history experienced: My studies, my teachers

Conclusion  I wanted to describe my meetings with personalities who have influenced my Me and show how different from today our world half a century ago actually was. I also wanted with gratitude to bring to life the memory of people who were not only important scientists but also—Menschen. This article is based on a talk given at the University of Stuttgart, October 22, 1998. The author and the Editor thank George Seligman for his advice in preparing the present version. Much of the material appeared also in “Menschen, mein Studium, meine Lehrer” inMitteilungen der DMV 4 (1999), 43-52.     

Viscosity Solutions of an Infinite-Dimensional Black—Scholes—Barenblatt Equation

We study an infinite-dimensional Black—Scholes—Barenblatt equation which is a Hamilton—Jacobi—Bellman equation that is related to option pricing in the Musiela model of interest rate dynamics. We prove the existence and uniqueness of viscosity solutions of the Black—Scholes—Barenblatt equation and discuss their stochastic optimal control interpretation. We also show that in some cases the solution can be locally uniformly approximated by solutions of suitable finite-dimensional Hamilton—Jacobi—Bellman equations.     

Comparison and robustification of Bayes and Black-Litterman models

For determining an optimal portfolio allocation, parameters representing the underlying market—characterized by expected asset returns and the covariance matrix—are needed. Traditionally, these point estimates for the parameters are obtained from historical data samples, but as experts often have strong opinions about (some of) these values, approaches to combine sample information and experts’ views are sought for. The focus of this paper is on the two most popular of these frameworks—the Black-Litterman model and the Bayes approach. We will prove that—from the point of traditional portfolio optimization—the Black-Litterman is just a special case of the Bayes approach. In contrast to this, we will show that the extensions of both models to the robust portfolio framework yield two rather different robustified optimization problems.     

Approximation of impulse controls

The application of impulse controls—delta-function and its higher derivatives—essentially improves our ability to control various systems. However, the delta-function and its derivatives are “idealizations.” Controls applied to model and control real systems are finite (although possibly quite large in magnitude). In this article we consider bounded approximations of impulse controls—so-called fast controls—and examine methods of their construction.     

Unitary integrals and related matrix models

We briefly review the basic properties of unitary matrix integrals, using three matrix models to analyze their properties: the ordinary unitary, the Brezin—Gross—Witten, and the Harish—Chandra—Itzykson—Zuber models. We especially emphasize the nontrivial aspects of the theory, from the De Witt’Hooft anomaly in unitary integrals to the problem of calculating correlators with the Itzykson-Zuber measure. We emphasize the method of character expansions as a technical tool. Unitary integrals are still insufficiently investigated, and many new results should be expected as this field attracts increased attention.     

Stochastic 2-D Navier—Stokes Equation

   Abstract. In this paper we prove the existence and uniqueness of strong solutions for the stochastic Navier—Stokes equation in bounded and unbounded domains. These solutions are stochastic analogs of the classical Lions—Prodi solutions to the deterministic Navier—Stokes equation. Local monotonicity of the nonlinearity is exploited to obtain the solutions in a given probability space and this significantly improves the earlier techniques for obtaining strong solutions, which depended on pathwise solutions to the Navier—Stokes martingale problem where the probability space is also obtained as a part of the solution.     

Extended finite operator calculus—an example of algebraization of analysis

“A Calculus of Sequences” started in 1936 by Ward constitutes the general scheme for extensions of classical operator calculus of Rota—Mullin considered by many afterwards and after Ward. Because of the notation we shall call the Ward's calculus of sequences in its afterwards elaborated form—a ψ-calculus. The ψ-calculus in parts appears to be almost automatic, natural extension of classical operator calculus of Rota—Mullin or equivalently—of umbral calculus of Roman and Rota. At the same time this calculus is an example of the algebraization of the analysis—here restricted to the algebra of polynomials. Many of the results of ψ-calculus may be extended to Markowsky Q-umbral calculus where Q stands for a generalized difference operator, i.e. the one lowering the degree of any polynomial by one. This is a review article based on the recent first author contributions [1]. As the survey article it is supplemented by the short indicatory glossaries of notation and terms used by Ward [2], Viskov [7, 8], Markowsky [12], Roman [28–32] on one side and the Rota-oriented notation on the other side [9–11, 1, 3, 4, 35] (see also [33]).     

Self-adhesion of amorphous polymers and their miscible blends

The amorphous film surfaces of polystyrene (PS), poly(2,6-dimethyl 1,4-phenylene oxide) (PPO), and their miscible blends are brought into overlap contact below the glass transition temperature T _g for 10 min and 24 h in order to obtain PS—PS, PPO—PPO, and blend—blend self-adhesive joints. It is shown that after the contact of the blend surfaces, i.e., when the molecules of both PS and PPO are present at the interface, it is possible to attain higher values of shear strength as compared with those at PS—PS and PPO—PPO interfaces. This points to the contribution of a specific interaction between the segments of PS and PPO to the strength development at the interface. Submitted to the 11th International Conference on Mechanics of Composite Materials (Riga, June 11–15, 2000). Translated from Mekhanika Kompozitnykh Materialov, Vol. 36, No. 1, pp. 127–135, 2000.     

A-monotone nonlinear relaxed cocoercive variational inclusions

Based on the notion of A — monotonicity, a new class of nonlinear variational inclusion problems is presented. Since A — monotonicity generalizes H — monotonicity (and in turn, generalizes maximal monotonicity), results thus obtained, are general in nature.      

The spectra of lamplighter groups and Cayley machines

We calculate the spectra and spectral measures associated to random walks on restricted wreath products G wr , with G a finite group, by calculating the Kesten—von Neumann—Serre spectral measures for the random walks on Schreier graphs of certain groups generated by automata. This generalises the work of Grigorchuk and Żuk on the lamplighter group. In the process we characterise when the usual spectral measure for a group generated by an automaton coincides with the Kesten—von Neumann—Serre spectral measure.     

A geometric approach for Hermite subdivision

We present a non-stationary, non-uniform scheme for two-point Hermite subdivision. The novelty of this approach relies on a geometric interpretation of the subdivision steps—related to generalized Bernstein bases—which permits to overcome the usually unavoidable analytical difficulties. The main advantages consist in extra smoothness conditions, which in turn produce highly regular limit curves, and in an elegant structure of the subdivision—described by three de Casteljau type matrices. As a by-product, the scheme is inherently shape preserving.     

Covariant and dynamical reduction for principal bundle field theories

Reduction for field theories with symmetry can be done either covariantly—that is, on spacetime—or dynamically—that is, after spacetime is split into space and time. The purpose of this article is to show that these two reduction procedures are, in an appropriate sense, equivalent for a class of field theories whose fields take values in a principal bundle. One can think of this class of field theories as including examples such as a “sea of rigid bodies” with and appropriate interbody coupling potential.     

A note on slant submanifolds of nearly trans-Sasakian manifolds

The geometry of slant submanifolds of a nearly trans-Sasakian manifold is studied when the tensor field Q is parallel. It is proved that Q is not parallel on the submanifold unless it is anti-invariant and thus the result of [CABRERIZO, J. L.—CARRIAZO, A.—FERNANDEZ, L. M.—FERNANDEZ, M.: Slant submanifolds in Sasakian manifolds, Glasg. Math. J. 42 (2000), 125–138] and [GUPTA, R. S.—KHURSHEED HAIDER, S. M.—SHARFUDIN, A.: Slant submanifolds of a trans-Sasakian manifold, Bull. Math. Soc. Sci. Math. Roumanie (N.S.) 47 (2004), 45–57] are generalized.     

Learning to prove: using structured templates for multi-step calculations as an introduction to local deduction

It is generally accepted that proof is central to mathematics. There is less agreement about how proof should be introduced at school level. We propose an approach—based on the systematic exploitation of structured calculation—which builds the notion of objective mathematical proof into the curriculum for all pupils from the earliest years. To underline the urgent need for such a change we analyse the current situation in England—including explicit evidence of the extent to which current instruction fails even the best students.     

OR/MS decision support models for the specialty crops industry: a literature review

Specialty crops (fruits, vegetables, grapes and wine, ornamentals—nursery and floriculture—tree nuts, berries, and dried fruits) comprise a substantial—and growing—portion of agribusiness. Still, the industry is facing a number of severe problems that must be resolved to sustain it and promote its continued growth. This paper is intended to provide growers and distribution managers insights into the variety of decision support possible and benchmarks for improvements they can help to achieve and to provide academic researchers with insights into industry operations and a vision of research needs.     

The planar algebra associated to a Kac algebra

We obtain (two equivalent) presentations — in terms of generators and relations — of the planar algebra associated with the subfactor corresponding to (an outer action on a factor by) a finite-dimensional Kac algebra. One of the relations shows that the antipode of the Kac algebra agrees with the ‘rotation on 2-boxes’.     

Extremal hypergraph problems and convex hulls

Theprofile of a hypergraph onn vertices is (f ₀, f₁, ...,f _n) wheref _i denotes the number ofi-element edges. The extreme points of the set of profiles is determined for certain hypergraph classes. The results contain many old theorems of extremal set theory as particular cases (Sperner. Erdős—Ko—Rado, Daykin—Frankl—Green—Hilton).