A Property of <Emphasis Type="Italic">g</Emphasis>-Expectation

This paper proves that, under the hypothesis g(t, 0, 0) ≡ 0 and some natural assumptions, the generator g of a backward stochastic differential equation can be uniquely determined by the corresponding g-expectations with all terminal conditions. The main result of this paper also confirms and extends Peng Shige‘s conjecture.     

Lévy过程驱动的BSDE的反比较定理与Jensen不等式

本文研究了由一维Lévy过程驱动的倒向随机微分方程(BSDE)的反比较定理.利用一般g-期望下BSDE的反比较定理的证明方法,推导出了一般f-期望下BSDE的反比较定理,并给出了一般f-期望下Jensen不等式成立的充分必要条件.     

A tauberian theorem for distributional point values

We give a tauberian theorem for boundary values of analytic functions. We prove that if is the distributional limit of the analytic function F defined in a region of the form (a, b) × (0, R), if F (x ₀ + iy)→ γ as y → 0⁺, and if f is distributionally bounded at x = x ₀, then f (x ₀) = γ distributionally. As a consequence of our tauberian theorem, we obtain a new proof of a tauberian theorem of Hardy and Littlewood. Received: 10 December 2007     

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.     

Utility maximization under g*-expectation

In this article, we introduce a nonlinear expectation, called g*-expectation, based on g-expectation and consider the optimal utility under g*-expectation in the market with a risk-free bond and d risky stocks in finite trading interval [0, T]. We construct a stochastic family by taking advantage of the comparison theorem of backward stochastic differential equations and the g*-martingale. We generalize the results of Hu et al. (Annals of Applied Probability 28(2):1691–1712, 2005), and obtain the explicit forms of the optimal trading strategies both for exp?-utility and the power utility, when g(t, z) = β_t|z|² + γ_tz.     

A FUNCTIONAL CENTRAL LIMIT THEOREMFOR NEGATIVELY ASSOCIATED SEQUENCE

Let(x1,j≥1)be a sequence of negatively associated random variables with ex1=o,ex^21＜∞.in this paper a functional central limit theorem for negatively associated random variables under some conditions withbout stationarity is proved which is the same as the results for positively associated random variables.     

Singularly perturbed elliptic boundary value problems

Summary The paper treats elliptic operators of the form L(ɛ∂₁, ..., ɛ∂_n), where L is a polynomial in a variables of order 2m₁, and ɛ is a small parameter. Solutionsu _ɛ of Lu=0 in a half space satisfyng conditions B_j(ɛ∂₁, ɛ∂₂, ..., ɛ∂_n)u=ɛγ_jϕ_j(x)(j=1, ..., m₁) on the boundary are constructed and estimated using H?lder norms, Poisson kernels, and an elaborate potential theory. Properties of the interior limit u₀=u _ɛ(κ) are studied. The paper is preparatory to a detailed investigation of Schauder estimates for such problems with variables coefficients. Supported in part by N. S. F. Grant GP-11660. Entrata in Redazione il 9 gennaio 1971.     

An ergodic theorem on Banach lattices

E is a Banach lattice that is weakly sequentially complete and has a weak unitu. TLf _n=ϕ means that the infimum of |f _n−ϕ| andu converges strongly to zero.T is a positive contraction operator onE andA _n=(1/n)(I+T+...+T ⁿ⁻¹). Without an additional assumption onE, the “truncated limit” TLA _nf need not exist forf inE. This limit exists for eachf ifE satisfies the following additional assumption (C): For everyf inE ₊ and for every numberα>0, there is a numberβ=β(f, α) such that ifg is inE ₊, ‖g‖≦1, 0≦f′≦f and ‖f′‖>α then ‖f′+g‖≧‖g‖+β. Research of this author is partially supported by NSERC Grant A3974. Research of this author is partially supported by NSF Grant 8301619.     

Deriving hydrodynamic equations for lattice systems

We study the dynamics of lattice systems in ℤ^d, d ≥ 1. We assume that the initial data are random functions. We introduce the family of initial measures {μ₀^ɛ, ɛ > 0}. The measures μ₀^ɛ are assumed to be locally homogeneous or “slowly changing” under spatial shifts of the order o(ɛ⁻¹ ) and inhomogeneous under shifts of the order ɛ⁻¹ . Moreover, correlations of the measures μ₀^ɛ decrease uniformly in ɛ at large distances. For all τ ∈ ℝ \ 0, r ∈ ℝ^d, and κ > 0, we consider distributions of a random solution at the instants t = τ/ɛ^κ at points close to [r/ɛ] ∈ ℤ^d. Our main goal is to study the asymptotic behavior of these distributions as ɛ → 0 and to derive the limit hydrodynamic equations of the Euler and Navier-Stokes type.     

An example concerning the nonlinear pointwise ergodic theorem

It is shown that the pointwise ergodic theorem for Markov operators inL ₁, having a finite invariant measure, fails to extend to the case of nonlinear operators. Recall thatT is called nonexpansive inL _p if ‖Tf – Tg ‖ _p ≦‖f – g‖ _p holds for allf andg.     

Weak Cartan-type second main theorem for holomorphic curves

In this paper, a weak Cartan-type second theorem for holomorphic curve f ： C→P^n（C） intersecting hypersurfaces Dj, 1≤j≤q, in P^n（C） in general position with degree dj is given as follows： For every ε〉0, there exists a positive integer M such that ｜｜（q - （n ＋ 1） ε）Tf（r）≤∑j^q=1 1/dj Nf^M（r,Dj）＋o（Tf（r））, where ＂｜｜＂ means the estimate holds for all large r outside a set of finite Lebesgue measure.     

Eigenvalue distributions from impacts on a ring

We consider the collision dynamics produced by three beads with masses (m ₁, m ₂, m ₃) sliding without friction on a ring, where the masses are scaled so that m ₁ = 1/ɛ, m ₂ = 1, m ₃ = 1 − ɛ, for 0 ⩽ ɛ ⩾ 1. The singular limits ɛ = 0 and ɛ = 1 correspond to two equal mass beads colliding on the ring with a wall, and without a wall respectively. In both these cases, all solutions are periodic and the eigenvalue distributions (around the unit circle) associated with the products of collision matrices are discrete. We then numerically examine the regime which parametrically connects these two states, i.e. 0 < ɛ < 1, and show that the eigenvalue distribution is generically uniform around the unit circle, which implies that the dynamics are no longer periodic. By a sequence of careful numerical experiments, we characterize how the uniform spectrum collapses from continuous to discrete in the two singular limits ɛ → 0 and ɛ → 1 for an ensemble of initial velocities sampled uniformly on a fixed energy surface. For the limit ɛ → 0, the distribution forms Gaussian peaks around the discrete limiting values ± 1, ± i, with variances that scale in power law form as σ ² ∼ αɛ ^β. By contrast, the convergence in the limit ɛ → 1 to the discrete values ±1 is shown to follow a logarithmic power-law σ ² ∼ log(ɛ ^β).     

A Converse Comparison Theorem for <Emphasis Type="Italic">g</Emphasis>-Expectations

With the help of a limit property of solutions of backward stochastic differential equations(BSDEs),this paper establishes a converse comparison theorem for deterministic generators g of BSDEs under the assumption g(t, y, 0) ≡0.     

Whitney theorem of interpolatory type for k-monotone functions

One of the main results of this paper is the following Whitney theorem of interpolatory type for k-monotone functions (i.e., functions f such that divided differences f[x ₀,…, x _k ] are nonnegative for all choices of (k + 1) distinct points x ₀,…, x _k .     

Graphs of actions on R-trees

LetG be a finitely generated group acting on anR-treeT. First assume that the action is free, and minimal (there is no proper invariant subtree), or more generally that it satisfies a certain finiteness condition. Then it may be described as agraph of transitive actions: the action may be recovered from a finite graph, together with additional data; in particular, every vertexv carries an action (G _v, T_v) whose orbits are dense. For the action (G, T), it follows for instance that the closure of any orbit is a discrete union of closed subtrees: it cannot meet a segment in a Cantor set. Now let ℓ be the length function for an arbitrary action ofG. For ɛ>0 small enough, the subgroupG(ɛ)⊂G generated by elementsg withg is independent of ɛ, andG/G(ɛ) is free. Several interpretations are given for the rank ofG/G(ɛ).     

Central limit theorem for integrated square error of kernel estimators of spherical density

LetX ₁,…,X _n be iid observations of a random variableX with probability density functionf(x) on the q-dimensional unit sphere Ω_q in R^q+1,q ⩾ 1. Let be a kernel estimator off(x). In this paper we establish a central limit theorem for integrated square error off _n under some mild conditions.     

The relation of Banach-Alaoglu theorem and Banach-Bourbaki-Kakutani-Šmulian theorem in complete random normed modules to stratification structure

Let (Ω,A,μ) be a probability space, K the scalar field R of real numbers or C of complex numbers,and (S,X) a random normed space over K with base (ω,A,μ). Denote the support of (S,X) by E, namely E is the essential supremum of the set {A ∈ A: there exists an element p in S such that X _p (ω) > 0 for almost all ω in A}. In this paper, Banach-Alaoglu theorem in a random normed space is first established as follows: The random closed unit ball S ^*(1) = {f ∈ S ^*: X ^* _f ⩽ 1} of the random conjugate space (S ^*,X ^*) of (S,X) is compact under the random weak star topology on (S ^*,X ^*) iff E∩A=: {E∩A | A ∈ A} is essentially purely μ-atomic (namely, there exists a disjoint family {A _n : n ∈ N} of at most countably many μ-atoms from E ∩ A such that E = ∪ _n=1^∞ A _n and for each element F in E ∩ A, there is an H in the σ-algebra generated by {A _n : n ∈ N} satisfying μ(FΔH) = 0), whose proof forces us to provide a key topological skill, and thus is much more involved than the corresponding classical case. Further, Banach-Bourbaki-Kakutani-Šmulian (briefly, BBKS) theorem in a complete random normed module is established as follows: If (S,X) is a complete random normed module, then the random closed unit ball S(1) = {p ∈ S: X _p ⩽ 1} of (S,X) is compact under the random weak topology on (S,X) iff both (S,X) is random reflexive and E ∩ A is essentially purely μ-atomic. Our recent work shows that the famous classical James theorem still holds for an arbitrary complete random normed module, namely a complete random normed module is random reflexive iff the random norm of an arbitrary almost surely bounded random linear functional on it is attainable on its random closed unit ball, but this paper shows that the classical Banach-Alaoglu theorem and BBKS theorem do not hold universally for complete random normed modules unless they possess extremely simple stratification structure, namely their supports are essentially purely μ-atomic. Combining the James theorem and BBKS theorem in complete random normed modules leads directly to an interesting phenomenum: there exist many famous classical propositions that are mutually equivalent in the case of Banach spaces, some of which remain to be mutually equivalent in the context of arbitrary complete random normed modules, whereas the other of which are no longer equivalent to another in the context of arbitrary complete random normed modules unless the random normed modules in question possess extremely simple stratification structure. Such a phenomenum is, for the first time, discovered in the course of the development of random metric theory.     

Complete rank theorem of advanced calculus and singularities of bounded linear operators

Let E and F be Banach spaces, f: U ⊂ E → F be a map of C ^r (r ⩾ 1), x ₀ ∈ U, and ft (x ₀) denote the FréLechet differential of f at x ₀. Suppose that f′(x ₀) is double split, Rank(f′(x ₀)) = ∞, dimN(f′(_{x 0})) > 0 and codimR(f′(x ₀)) s> 0. The rank theorem in advanced calculus asks to answer what properties of f ensure that f(x) is conjugate to f′(x ₀) near x ₀. We have proved that the conclusion of the theorem is equivalent to one kind of singularities for bounded linear operators, i.e., x ₀ is a locally fine point for f′(x) or generalized regular point of f(x); so, a complete rank theorem in advanced calculus is established, i.e., a sufficient and necessary condition such that the conclusion of the theorem to be held is given.      

T 1 theorem for Besov spaces on nonhomogeneous spaces

Suppose μ is a Radon measure on ℝ ^d , which may be non doubling. The only condition assumed on μ is a growth condition, namely, there is a constant C₀>0 such that for all x∈supp(μ) and r>0, μ(B(x, r))⪯C₀rⁿ, where 0<n⪯d. We prove T1 theorem for non doubling measures with weak kernel conditions. Our approach yields new results for kernels satisfying weakened regularity conditions, while recovering previously known Tolsa’s results. We also prove T1 theorem for Besov spaces on nonhomogeneous spaces with weak kernel conditions given in [7].