Abelian theorems for stochastic volatility models with application to the estimation of jump activity

In this paper, we prove a kind of Abelian theorem for a class of stochastic volatility models (X,V)$(X,V)$ where both the state process X$X$ and the volatility process V$V$ may have jumps. Our results relate the asymptotic behavior of the characteristic function of _XΔ$X_{\Delta }$ for some Δ>0$\Delta >0$ in a stationary regime to the Blumenthal–Getoor indexes of the Lévy processes driving the jumps in X$X$ and V$V$. The results obtained are used to construct consistent estimators for the above Blumenthal–Getoor indexes based on low-frequency observations of the state process X$X$. We derive convergence rates for the corresponding estimator and show that these rates cannot be improved in general.     

The stabilized set of p's in Krivine's theorem can be disconnected

For any closed subset F   of [1,∞]$[1,\infty ]$ which is either finite or consists of the elements of an increasing sequence and its limit, a reflexive Banach space X with a 1-unconditional basis is constructed so that in each block subspace Y of X  , _?p${?}_p$ is finitely block represented in Y   if and only if p∈F$p\in F$. In particular, this solves the question as to whether the stabilized Krivine set for a Banach space had to be connected. We also prove that for every infinite dimensional subspace Y of X there is a dense subset G of F such that the spreading models admitted by Y   are exactly the _?p${?}_p$ for p∈G$p\in G$.     

Characterizations of hypersurfaces of a Danielewski type

Let k$k$ be a field of characteristic zero and R$R$ a factorial affine k$k$-domain. Let B$B$ be an affineR$R$-domain. In terms of locally nilpotent derivations, we give criteria for B$B$ to be R$R$-isomorphic to the residue ring of a polynomial ring R[_X1,_X2,Y]$R[X_1,X_2,Y]$ over R$R$ by the ideal (_X1X2−φ(Y))$(X_1{X}_2-\phi \left(Y\right))$ for φ(Y)∈R[Y]?R$\phi \left(Y\right)\in R\left[Y\right]?R$.     

Regularity for the fractional Gelfand problem up to dimension 7

We study the problem (−Δ)^su=λe^u${(-\mathrm{\Delta })}^{s}u=\lambda e^u$ in a bounded domain Ω⊂Rⁿ$\Omega \subset {\mathbb{R}}^n$, where λ   is a positive parameter. More precisely, we study the regularity of the extremal solution to this problem. Our main result yields the boundedness of the extremal solution in dimensions n≤7$n\le 7$ for all s∈(0,1)$s\in (0,1)$ whenever Ω   is, for every i=1,...,n$i=1,...,n$, convex in the _xi$x_i$-direction and symmetric with respect to {_xi=0}$\{x_i=0\}$. The same holds if n=8$n=8$ and s?0.28206...$s?0.28206...$, or if n=9$n=9$ and s?0.63237...$s?0.63237...$. These results are new even in the unit ball Ω=_B1$\Omega =B_1$.     

Coalescence in the recent past in rapidly growing populations

In a rapidly growing population one expects that two individuals chosen at random from the n$n$th generation are unlikely to be closely related if n$n$ is large. In this paper it is shown that for a broad class of rapidly growing populations this is not the case. For a Galton–Watson branching process with an offspring distribution {_pj}$\left\{p_j\right\}$ such that _p0=0$p_0=0$ and ψ(x)=_{∑jpjI{j≥x}}$\psi \left(x\right)={\sum }_j{p}_j{I}_{\{j\ge x\}}$ is asymptotic to x^−αL(x)$x^{-\alpha }L\left(x\right)$ as x→∞$x\to \infty$ where L(⋅)$L(\cdot )$ is slowly varying at ∞$\infty$ and 0<α<1$0<\alpha <1$ (and hence the mean m=∑j_pj=∞$m=\sum j{p}_j=\infty$) it is shown that if _Xn$X_n$ is the generation number of the coalescence of the lines of descent backwards in time of two randomly chosen individuals from the n$n$th generation then n−_Xn$n-X_n$ converges in distribution to a proper distribution supported by N={1,2,3,…}$\mathbb{N}=\{1,2,3,\dots \}$. That is, in such a rapidly growing population coalescence occurs in the recent past rather than the remote past. We do show that if the offspring mean m$m$ satisfies 1<m≡∑j_pj<∞$1<m\equiv \sum j{p}_j<\infty$ and _p0=0$p_0=0$ then coalescence time _Xn$X_n$ does converge to a proper distribution as n→∞$n\to \infty$, i.e., coalescence does take place in the remote past.     

Quasi-Banach spaces of almost universal disposition

We show that for each p∈(0,1]$p\in (0,1]$ there exists a separable p  -Banach space _Gp${\mathbb{G}}_p$ of almost universal disposition, that is, having the following extension property: for each ε>0$\epsilon >0$ and each isometric embedding g:X→Y$g:X\to Y$, where Y is a finite-dimensional p-Banach space and X   is a subspace of _Gp${\mathbb{G}}_p$, there is an ε  -isometry f:Y→_Gp$f:Y\to {\mathbb{G}}_p$ such that x=f(g(x))$x=f(g(x))$ for all x∈X$x\in X$.     

Weakly compact operators and strict topologies

Let X   be a completely regular Hausdorff space and _Cb(X)$C_b(X)$ be the Banach space of all real-valued bounded continuous functions on X, endowed with the uniform norm. It is shown that every weakly compact operator T   from _Cb(X)$C_b(X)$ to a quasicomplete locally convex Hausdorff space E   can be uniquely decomposed as T=_T1+_T2+_T3+_T4$T=T_1+T_2+T_3+T_4$, where _Tk:_Cb(X)→E$T_k:C_b(X)\to E$(k=1,2,3,4)$(k=1,2,3,4)$ are weakly compact operators, and _T1$T_1$ is tight, _T2$T_2$ is purely τ  -additive, _T3$T_3$ is purely σ  -additive and _T4$T_4$ is purely finitely additive. Moreover, we derive a generalized Yosida–Hewitt decomposition for E-valued strongly bounded regular Baire measures.     

A unified proof of Brooks’ theorem and Catlin’s theorem

Brooks’ theorem is a fundamental result in the theory of graph coloring. Catlin proved the following strengthening of Brooks’ theorem: Let d$d$ be an integer at least 3, and let G$G$ be a graph with maximum degree d$d$. If G$G$ does not contain _Kd+1$K_{d+1}$ as a subgraph, then G$G$ has a d$d$-coloring in which one color class has size α(G)$\alpha \left(G\right)$. Here α(G)$\alpha \left(G\right)$ denotes the independence number of G$G$. We give a unified proof of Brooks’ theorem and Catlin’s theorem.     

Selections and their absolutely continuous invariant measures

Let I=[0,1]$I=[0,1]$ and let P be a partition of I   into a finite number of intervals. Let _τ1${\tau }_1$, _τ2${\tau }_2$; I→I$I\to I$ be two piecewise expanding maps on P  . Let G⊂I×I$G\subset I\times I$ be the region between the boundaries of the graphs of _τ1${\tau }_1$ and _τ2${\tau }_2$. Any map τ:I→I$\tau :I\to I$ that takes values in G is called a selection of the multivalued map defined by G  . There are many results devoted to the study of the existence of selections with specified topological properties. However, there are no results concerning the existence of selection with measure-theoretic properties. In this paper we prove the existence of selections which have absolutely continuous invariant measures (acim). By our assumptions we know that _τ1${\tau }_1$ and _τ2${\tau }_2$ possess acims preserving the distribution functions F⁽¹⁾$F^{(1)}$ and F⁽²⁾$F^{(2)}$. The main result shows that for any convex combination F   of F⁽¹⁾$F^{(1)}$ and F⁽²⁾$F^{(2)}$ we can find a map η   with values between the graphs of _τ1${\tau }_1$ and _τ2${\tau }_2$ (that is, a selection) such that F is the η-invariant distribution function. Examples are presented. We also study the relationship of the dynamics of our multivalued maps to random maps.     

Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient

We consider a multidimensional diffusion X$X$ with drift coefficient b(α,_Xt)$b(\alpha ,X_t)$ and diffusion coefficient ?σ(β,_Xt)$?\sigma (\beta ,X_t)$. The diffusion sample path is discretely observed at times _tk=kΔ$t_k=k\Delta$ for k=1…n$k=1\dots n$ on a fixed interval [0,T]$[0,T]$. We study minimum contrast estimators derived from the Gaussian process approximating X$X$ for small ?$?$. We obtain consistent and asymptotically normal estimators of α$\alpha$ for fixed Δ$\Delta$ and ?→0$?\to 0$ and of (α,β)$(\alpha ,\beta )$ for Δ→0$\Delta \to 0$ and ?→0$?\to 0$ without any condition linking ?$?$ and Δ$\Delta$. We compare the estimators obtained with various methods and for various magnitudes of Δ$\Delta$ and ?$?$ based on simulation studies. Finally, we investigate the interest of using such methods in an epidemiological framework.     

Productivity of paracompactness in the class of GO-spaces

The main result of the paper says that if X is a paracompact GO-space, meaning a subspace of a linearly ordered space and M a paracompact space satisfying the first axiom of countability such that X   can be embedded in M^_ω1$M^{{\omega }_1}$ then the product X×Y$X\times Y$ is paracompact for every paracompact space Y   if and only if the first player of the G(DC,X)$G(DC,X)$ game, introduced by Telgarsky has a winning strategy. In particular we obtain that if X   is paracompact GO-space of weight not greater than _ω1${\omega }_1$ then the product X×Y$X\times Y$ is paracompact for every paracompact space Y   if and only if the first player of the G(DC,X)$G(DC,X)$ game has a winning strategy.     

Disjoint paths in tournaments

Given k   pairs of vertices (_si,_ti)$(s_i,t_i)$(1≤i≤k)$(1\le i\le k)$ of a digraph G, how can we test whether there exist k   vertex-disjoint directed paths from _si$s_i$ to _ti$t_i$ for 1≤i≤k$1\le i\le k$? This is NP-complete in general digraphs, even for k=2$k=2$ [2], but for k=2$k=2$ there is a polynomial-time algorithm when G is a tournament (or more generally, a semicomplete digraph), due to Bang-Jensen and Thomassen [1]. Here we prove that for all fixed k there is a polynomial-time algorithm to solve the problem when G is semicomplete.     

Mosco convergence of the sets of fixed points for one-parameter nonexpansive semigroups

We consider the Mosco convergence of the sets of fixed points for one-parameter strongly continuous semigroups of nonexpansive mappings. One of our main results is the following: Let C$C$ be a closed convex subset of a Hilbert space E$E$. Let {T(t):t≥0}$\{T\left(t\right):t\ge 0\}$ be a strongly continuous semigroup of nonexpansive mappings on C$C$. The set of all fixed points of T(t)$T\left(t\right)$ is denoted by F(T(t))$F\left(T\left(t\right)\right)$ for each t≥0$t\ge 0$. Let τ$\tau$ be a nonnegative real number and let {_tn}$\left\{t_n\right\}$ be a sequence in R$\mathbb{R}$ satisfying τ+_tn≥0$\tau +t_n\ge 0$ and _tn≠0$t_n\ne 0$ for n∈N$n\in \mathbb{N}$, and _limntn=0${lim}_n{t}_n=0$. Then {F(T(τ+_tn))}$\left\{F\left(T(\tau +t_n)\right)\right\}$ converges to _?t≥0F(T(t))${?}_{t\ge 0}F\left(T\left(t\right)\right)$ in the sense of Mosco.     

On the sum of a narrow and a compact operators

Our main technical tool is a principally new property of compact narrow operators which works for a domain space without an absolutely continuous norm. It is proved that for every Köthe F-space X and for every locally convex F-space Y   the sum _T1+_T2$T_1+T_2$ of a narrow operator _T1:X→Y$T_1:X\to Y$ and a compact narrow operator _T2:X→Y$T_2:X\to Y$ is a narrow operator. This gives a positive answers to questions asked by M. Popov and B. Randrianantoanina [6, Problems 5.6 and 11.63].     

On Ocneanu's theory of double triangle algebras for subfactors and classification of irreducible connections on the Dynkin diagrams

We give an exposition of Ocneanu's theory of double triangle algebras for subfactors and its application to the classification of irreducible bi-unitary connections on the Dynkin diagrams _An$A_n$, _Dn$D_n$, _E6$E_6$, _E7$E_7$ and _E8$E_8$. More precisely, we give a detailed proof of the complete classification of irreducible K–L$K–L$ bi-unitary connections up to gauge choice, where K and L   represent the two horizontal graphs which are among the A–D–E$A–D–E$ Dynkin diagrams. The result also provides a simple proof of the flatness of _D2n$D_{2n}$, _E6$E_6$ and _E8$E_8$ connections as well as an easy computation of the flat part of _E7$E_7$ as an application.