基于Hadamard算子的二维离散量子行走的概率测度估计

二维离散时间量子行走是直线上的量子行走的推广.通过演化算子的作用,行走者能够按照一定规律进行移动.在本文中,我们将Hadamard算子作为控制行走者方向的硬币算子,通过与控制行走者位置的条件转移算子结合,构成完整的演化算子.通过傅里叶变换,将行走者所处的时域空间转换成频域空间后,用傅里叶积分的平稳相位法得到了行走者在t步后处于位置(x,y)的振幅以及此时的概率估计.     

多维连续时间量子随机游动的It公式

基于文献[5-6]和[18]的思想,该文提出了关于高维连续时间量子随机游动(简记为CQRW)的It公式.作为应用,随后建立了一个关于高维CQRW的Tanaka公式.     

从离散速度模型到矩方法

为了求解动理学方程,我们通过研究一维情形下的离散速度模型,发现通过对离散速度点使用自适应技术可以直接得到Grad矩方程组.作为一个统一的认识,矩方程组可以看作是对离散速度点自适应的离散速度模型,而离散速度模型可以看作是取特别形式的"矩"的矩方程组.这使得我们可以在一致的框架下来理解离散速度模型和矩方法,而不是将它们对立起来.为了建立这样的一致框架,最近在[2]中发展的正则化理论是根本性的.     

随机游走和离散的倒向随机微分方程

本文研究了随机游走和离散的倒向随机微分方程。把随机游走到布朗运动的收敛推广到L^2情形；而且根据倒向随机微分方程的理论框架研究了离散的倒向随机微分方程，得到了离散的倒向随机微分方程解的存在唯一性和比较定理，这实际上给出了倒向随机微分方程的一种离散方法，为理论和实际研究提供了方便。     

半无限规划基于离散化方法和局部约化的两个算法框架（英文）

本文研究了求解半无限规划的两个算法框架.利用离散化方法和局部约化方法,提出了两个求解半无限规划的算法框架.在温和的条件下,证明了基于离散化方法的算法框架具有弱全局收敛性.数值试验表明所提出的算法框架是有效的.     

带机制转换和随机现金流的多期均值-方差资产负债管理问题的均衡策略

文章在马尔可夫机制转换的市场及多期均值-方差框架下研究一个带随机现金流的资产负债管理问题的均衡投资策略.随机的风险资产收益率、外生负债增长率、风险厌恶系数和现金流均依赖于有限多个服从离散时间马尔可夫链的金融市场状态.在博弈论框架下,利用逆向归纳法,文章导出问题的均衡策略、均衡值函数以及均衡有效前沿的解析表达式.此外,文章讨论了几种退化情形下的均衡结果.最后,文章通过数值例子分别分析了机制转换、随机现金流、负债以及投资期限对均衡有效前沿的影响.     

求解带刚性源项标量双曲型守恒律方程的保有界WCNS格式

带刚性源项的双曲守恒律方程是很多物理问题,特别是化学反应流的数学模型.本文考虑带刚性源项的标量双曲型守恒律方程,通过时空分离的方式,发展了一类保有界的WCNS格式.对于空间离散,我们将参数化的通量限制器推广到WCNS框架,使得方程对流项离散后满足极值原理.对于时间离散,我们将半离散的WCNS改写成指数形式,采用三阶修正指数型Runge-Kutta格式来控制方程的刚性,保持数值解的界.可以证明,本文格式对带刚性源项的一维标量守恒律方程具有保有界性和弱渐近保持性.数值试验验证了方法的有效性.     

离散线性投资组合模型的分枝定界算法

本文提出了一类新的带整数交易手数和凹型交易费用的均值绝对偏差模型(MAD)和极大极小投资组合模型(Minmax),并给出了离散模型的分枝定界算法.我们分别用随机产生的数据和Nasdaq股票市场的真实数据进行了数值实验,数值分析表明在一定的收益水平下均值绝对偏差离散模型风险控制上优于极大极小投资组合离散模型,而计算效率上极大极小投资组合离散模型优于期望绝对偏差离散模型.     

一种抽象的稳定化方法及在非线性不可压缩弹性问题上的应用

针对非线性不可压缩弹性力学问题,本文提出了一种抽象的稳定化方法并将其应用于非线性不可压缩弹性问题上.在该框架中,我们证明了只要连续的混合问题是稳定的,则可以修正任何满足离散inf-sup条件的混合有限元方法使其是稳定的且最优收敛的.我们将这种抽象的稳定化理论框架应用于非线性不可压缩弹性力学问题,给出了稳定性和收敛性理论结论,并通过数值实验验证了该结论.     

广义Besov类Bp, θΩ在一致和随机框架下的Gel'fand逼近

该文研究了广义Besov类B_p,θ^Ω在一致和随机框架下由Gel'fand方法的逼近问题. 利用Maiorov的离散化方法和pseudo-s-scale的性质, 给出了这一逼近问题在某些情况下的渐近阶.     

Quantum random walks and their convergence to Evans-Hudson flows

Using coordinate-free basic operators on toy Fock spaces, quantum random walks are defined following the ideas of Attal and Pautrat. Extending the result for one dimensional noise, strong convergence of quantum random walks associated with bounded structure maps to Evans-Hudson flow is proved under suitable assumptions. Starting from the bounded generator of a given uniformly continuous quantum dynamical semigroup on a von Neumann algebra, we have constructed quantum random walks which converges strongly and the strong limit gives an Evans-Hudson dilation for the semigroup.     

Asymptotically one-dimensional diffusions on the Sierpinski gasket and theabc-gaskets

Summary Diffusion processes on the Sierpinski gasket and theabc-gaskets are constructed as limits of random walks. In terms of the associated renormalization group, the present method uses the inverse trajectories which converge to unstable fixed points corresponding to the random walks on one-dimensional chains. In particular, non-degenerate fixed points are unnecessary for the construction. A limit theorem related to the discrete-time multi-type non-stationary branching processes is applied.     

Random walk duality and the valuation of discrete lookback options

Use is made of the duality property of random walks to develop a numerical method for the valuation of discrete-time lookback options. This method leads to a recursive numerical integration procedure which is fast, accurate and easy to implement.     

Matrix‐valued Szegő polynomials and quantum random walks

We consider quantum random walks (QRW) on the integers, a subject that has been considered in the last few years in the framework of quantum computation. We show how the theory of CMV matrices gives a natural tool to study these processes and to give results that are analogous to those that Karlin and McGregor developed to study (classical) birth‐and‐death processes using orthogonal polynomials on the real line. In perfect analogy with the classical case, the study of QRWs on the set of nonnegative integers can be handled using scalar‐valued (Laurent) polynomials and a scalar‐valued measure on the circle. In the case of classical or quantum random walks on the integers, one needs to allow for matrix‐valued versions of these notions. We show how our tools yield results in the well‐known case of the Hadamard walk, but we go beyond this translation‐invariant model to analyze examples that are hard to analyze using other methods. More precisely, we consider QRWs on the set of nonnegative integers. The analysis of these cases leads to phenomena that are absent in the case of QRWs on the integers even if one restricts oneself to a constant coin. This is illustrated here by studying recurrence properties of the walk, but the same method can be used for other purposes. The presentation here aims at being self‐contained, but we refrain from trying to give an introduction to quantum random walks, a subject well surveyed in the literature we quote. For two excellent reviews, see [1, 9]. See also the recent notes [20]. © 2009 Wiley Periodicals, Inc.     

Entangled Markov chains

Motivated by the problem of finding a satisfactory quantum generalization of the classical random walks, we construct a new class of quantum Markov chains which are at the same time purely generated and uniquely determined by a corresponding classical Markov chain. We argue that this construction yields as a corollary, a solution to the problem of constructing quantum analogues of classical random walks which are “entangled” in a sense specified in the paper.The formula giving the joint correlations of these quantum chains is obtained from the corresponding classical formula by replacing the usual matrix multiplication by Schur multiplication.The connection between Schur multiplication and entanglement is clarified by showing that these quantum chains are the limits of vector states whose amplitudes, in a given basis (e.g. the computational basis of quantum information), are complex square roots of the joint probabilities of the corresponding classical chains. In particular, when restricted to the projectors on this basis, the quantum chain reduces to the classical one. In this sense we speak of entangled lifting, to the quantum case, of a classical Markov chain. Since random walks are particular Markov chains, our general construction also gives a solution to the problem that motivated our study.In view of possible applications to quantum statistical mechanics too, we prove that the ergodic type of an entangled Markov chain with finite state space (thus excluding random walks) is completely determined by the corresponding ergodic type of the underlying classical chain. Mathematics Subject Classification (2000) Primary 46L53, 60J99; Secondary 46L60, 60G50, 62B10     

Approximation of quantum Lévy processes by quantum random walks

Every quantum Lévy process with a bounded stochastic generator is shown to arise as a strong limit of a family of suitably scaled quantum random walks.     

Edge oriented reinforced random walks and RWREMarches aléatoires renforcées sur les arêtes orientées et marches aléatoires en milieu aléatoire

The aim of this text is to present, in a general framework, a precise and explicit correspondance between a class of edge oriented reinforced random walks and random walks in random environment. To cite this article: N. Enriquez, C. Sabot, C. R. Acad. Sci. Paris, Ser. I 335 (2002) 941–946.     

Autocorrelation Scaling and Fourier Transform of Non-Autonomous Systems

. Upper bounds for the (strong) Fourier transform,of a rather general sequence of unitary operators, are related to the uniform !-Hölder continuity of its autocorrelation measure. It is a natural generalization of the "Dynamical Bombieri-Taylor Conjecture". Immediate applications include driven quantum systems, classical and quantum harmonic oscillators, and non-autonomous twisted generalized random walks in Hilbert spaces.     

Eigenvalues of Quantum Walks of Grover and Fourier Types

A necessary and sufficient conditions for a certain class of periodic unitary transition operators to have eigenvalues are given. Applying this, it is shown that Grover walks in any dimension has both of \(\pm \, 1\) as eigenvalues and it has no other eigenvalues. It is also shown that the lazy Grover walks in any dimension has 1 as an eigenvalue, and it has no other eigenvalues. As a result, a localization phenomenon occurs for these quantum walks. A general conditions for the existence of eigenvalues can be applied also to certain quantum walks of Fourier type. It is shown that the two-dimensional Fourier walk does not have eigenvalues and hence it is not localized at any point. Some other topics, such as Grover walks on the triangular lattice, products and deformations of Grover walks, are also discussed.

     

Multi-scale Analysis and Random Walks Boundaries

Using martingales and random walks boundaries, we build approximation units in the framework of a multi-scale analysis close to the theory of wavelets.