Saddlepoint Approximations to the Probability of Ruin in Finite Time for the Compound Poisson Risk Process Perturbed by Diffusion

A large deviations type approximation to the probability of ruin within a finite time for the compound Poisson risk process perturbed by diffusion is derived. This approximation is based on the saddlepoint method and generalizes the approximation for the non-perturbed risk process by Barndorff-Nielsen and Schmidli (Scand Actuar J 1995(2):169–186, 1995). An importance sampling approximation to this probability of ruin is also provided. Numerical illustrations assess the accuracy of the saddlepoint approximation using importance sampling as a benchmark. The relative deviations between saddlepoint approximation and importance sampling are very small, even for extremely small probabilities of ruin. The saddlepoint approximation is however substantially faster to compute.     

A polyconvex strain-energy split for a high-order phase-field approach to fracture

This contribution focuses on a novel phase-field model for a high-order phase-field approach to brittle fracture in the range finite deformation. In particular, two different challenges are tackled in this study: First, we want to establish a polyconvex free energy density to ensure the existence of a minimizer for the coupled problem, second, we have to deal with a fourth-order Cahn-Hilliard type equation for the approximation of the phase-field. Phase-field methods employ a variational framework for brittle fracture and have proven to predict complex fracture patterns in two and three dimensional examples. Basis of the model are the conjugate stresses of the three strain measures deformation gradient (line map), its cofactor (area map) and its determinant (volume map). The introduction of the tensor cross product simplifies the presentation of the first Piola-Kirchhoff stress tensor and its derivatives in elegant manner. The proposed Cahn-Hilliard type equation requires global -continuity. Therefore, we apply an isogeometric framework using NURBS basis functions. Moreover, a general hierarchical refinement scheme based on subdivision projection is used here for one, two and three dimensional simulations. This technique allows to enhance the approximation space using finer splines on each level but preserves the partition of unity as well as the continuity properties of the original discretization. We finally demonstrate the accuracy and the robustness with a series of benchmark problems. (© 2016 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

The Number of Singular Vector Tuples and Uniqueness of Best Rank-One Approximation of Tensors

In this paper we discuss the notion of singular vector tuples of a complex-valued \(d\) -mode tensor of dimension \(m_1\times \cdots \times m_d\) . We show that a generic tensor has a finite number of singular vector tuples, viewed as points in the corresponding Segre product. We give the formula for the number of singular vector tuples. We show similar results for tensors with partial symmetry. We give analogous results for the homogeneous pencil eigenvalue problem for cubic tensors, i.e., \(m_1=\cdots =m_d\) . We show the uniqueness of best approximations for almost all real tensors in the following cases: rank-one approximation; rank-one approximation for partially symmetric tensors (this approximation is also partially symmetric); rank- \((r_1,\ldots ,r_d)\) approximation for \(d\) -mode tensors.     

Saddlepoint approximations to the distribution of the total distance of the multivariate isotropic and von Mises–Fisher random walks

This article considers the random walk over R^p, with p ≥ 2, where the directions taken by the individual steps follow either the isotropic or the vonMises–Fisher distributions. Saddlepoint approximations to the density and to upper tail probabilities of the total distance covered by the random walk, i.e., of the length of the resultant, are derived. The saddlepoint approximations are onedimensional and simple to compute, even though the initial problem is p-dimensional. Numerical illustrations of the high accuracy of the proposed approximations are provided.     

Two-scale sparse finite element approximations

To reduce computational cost,we study some two-scale finite element approximations on sparse grids for elliptic partial differential equations of second order in a general setting.Over any tensor product domain ?R~d with d = 2,3,we construct the two-scale finite element approximations for both boundary value and eigenvalue problems by using a Boolean sum of some existing finite element approximations on a coarse grid and some univariate fine grids and hence they are cheaper approximations.As applications,we obtain some new efficient finite element discretizations for the two classes of problem:The new two-scale finite element approximation on a sparse grid not only has the less degrees of freedom but also achieves a good accuracy of approximation.     

Mixed finite element approximation of the vector potential

Summary We consider a mixed finite element approximation of the three dimensional vector potential, which plays an important rôle in the simulation of perfect fluids and in the calculation of rotational corrections to transonic potential flows. The central point of our approach is a saddlepoint formulation of the essential boundary conditions. In particular, this avoids the wellknown Babuka paradox when approximating smooth domains by polyhedrons. Using piecewise linear/piecewise constant elements for the vector potential/the boundary terms, we obtain optimal error estimates under minimal regularity assumptions for the solution of the continuous problem.     

Saddlepoint approximation for moments of random variables

In this paper, we introduce a saddlepoint approximation method for higher-order moments like E(S − a)₊ ^m , a>0, where the random variable S in these expectations could be a single random variable as well as the average or sum of some i.i.d random variables, and a > 0 is a constant. Numerical results are given to show the accuracy of this approximation method.     

The use of splines and singular functions in an integral equation method for conformal mapping

Summary We consider the integral equation method of Symm for the conformal mapping of simply-connected domains. For the numerical solution, we examine the use of spline functions of various degrees for the approximation of the source density . In particular, we consider ways for overcoming the difficulties associated with corner singularities. For this we modify the spline approximation and in the neighborhood of each corner, where a boundary singularity occurs, we approximate by a function which reflects the main singular behaviour of the source density. The singular functions are then blended with the splines, which approximate on the remainder of the boundary, so that the global approximating function has continuity of appropriate order at the transition points between the two types of approximation. We show, by means of numerical examples, that such approximations overcome the difficulties associated with corner singularities and lead to numerical results of high accuracy.     

Refining Cosmetatos' Approximation for the Mean Waiting Time in the M/D/s Queue

This paper deals with refining Cosmetatos's approximation for the mean waiting time in an M/D/s queue. Although his approximation performs quite well in heavy traffic, it overestimates the true value when the number of servers is large or the traffic is light. We first focus on a normalized quantity that is a ratio of the mean waiting times for the M/D/s and M/M/s queues. Using some asymptotic properties of the quantity, we modify Cosmetatos's approximation to obtain better accuracy both for large s and in light traffic. To see the quality of our approximation, we compare it with the exact value and some previous approximations. Extensive numerical tests indicate that the relative percentage error is less than 1% for almost all cases with s ≤ 20 and at most 5% for other cases.     

Convergence to equilibria and blowup behavior of global strong solutions to the Stokes approximation equations for two-dimensional compressible flows with large data

This paper concerns the large time behavior of strong and classical solutions to the two-dimensional Stokes approximation equations for the compressible flows. We consider the unique global strong solution or classical solution to the two-dimensional Stokes approximation equations for the compressible flows with large external potential force, together with a Navier-slip boundary condition, for arbitrarily large initial data. Under the conditions that the corresponding steady state exists uniquely with the steady state density away from vacuum, we prove that the density is bounded from above independently of time, consequently, it converges to the steady state density in L^p and the velocity u converges to the steady state velocity in W^1,p for any 1p<∞ as time goes to infinity; furthermore, we show that if the initial density contains vacuum at least at one point, then the derivatives of the density must blow up as time goes to infinity.     

A numerical comparison of the normal and some saddlepoint approximations to a distribution-free test for stochastic ordering in the competing risks model

Calculating the exact critical value of the test statistic is important in nonparametric statistics. However, to evaluate the exact critical value is difficult when the sample sizes are moderate to large. Under these circumstances, to consider more accurate approximation for the distribution function of a test statistic is extremely important. A distribution-free test for stochastic ordering in the competing risks model has been proposed by Bagai et al. (1989). Herein, we performed a saddlepoint approximation in the upper tails for the Bagai statistic under finite sample sizes. We then compared the saddlepoint approximations with the Bagai approximation and investigate the accuracy of the approximations. Additionally, the orders of errors of the saddlepoint approximations were derived.     

<Emphasis Type="Italic">l</Emphasis><Superscript><Emphasis Type="Italic">k</Emphasis>,<Emphasis Type="Italic">s</Emphasis></Superscript>-Singular values and spectral radius of partially symmetric rectangular tensors

The real rectangular tensors arise from the strong ellipticity condition problem in solid mechanics and the entanglement problem in quantum physics. In this paper, we first study properties of l ^k,s -singular values of real rectangular tensors. Then, a necessary and sufficient condition for the positive definiteness of partially symmetric rectangular tensors is given. Furthermore, we show that the weak Perron-Frobenius theorem for nonnegative partially symmetric rectangular tensor keeps valid under some new conditions and we prove a maximum property for the largest l ^k,s -singular values of nonnegative partially symmetric rectangular tensor. Finally, we prove that the largest l ^k,s -singular value of nonnegative weakly irreducible partially symmetric rectangular tensor is still geometrically simple.     

A characterization of the Ejiri torus in <Emphasis Type="Italic">S</Emphasis><Superscript>5</Superscript>

We conjecture that a Willmore torus having Willmore functional between 2π ² and 2π ² \(\sqrt 3 \) is either conformally equivalent to the Clifford torus, or conformally equivalent to the Ejiri torus. Ejiri’s torus in S ⁵ is the first example of Willmore surface which is not conformally equivalent to any minimal surface in any real space form. Li and Vrancken classified all Willmore surfaces of tensor product in S ⁿ by reducing them into elastic curves in S ³, and the Ejiri torus appeared as a special example. In this paper, we first prove that among all Willmore tori of tensor product, the Willmore functional of the Ejiri torus in S ⁵ attains the minimum 2π ² \(\sqrt 3 \), which indicates our conjecture holds true for Willmore surfaces of tensor product. Then we show that all Willmore tori of tensor product are unstable when the co-dimension is big enough. We also show that the Ejiri torus is unstable even in S ⁵. Moreover, similar to Li and Vrancken, we classify all constrained Willmore surfaces of tensor product by reducing them with elastic curves in S ³. All constrained Willmore tori obtained this way are also shown to be unstable when the co-dimension is big enough.     

On p-approximation properties for p-operator spaces

This paper has a two-fold purpose. Let 1<p<∞. We first introduce the p-operator space injective tensor product and study various properties related to this tensor product, including the p-operator space approximation property, for p-operator spaces on Lp-spaces. We then apply these properties to the study of the pseudofunction algebra PFp(G), the pseudomeasure algebra PMp(G), and the Figà-Talamanca-Herz algebra Ap(G) of a locally compact group G. We show that if G is a discrete group, then most of approximation properties for the reduced group C^∗-algebra , the group von Neumann algebra VN(G), and the Fourier algebra A(G) (related to amenability, weak amenability, and approximation property of G) have the natural p-analogues for PFp(G), PMp(G), and Ap(G), respectively. The p-completely bounded multiplier algebra McbAp(G) plays an important role in this work.     

Small Ball Probabilities of Fractional Brownian Sheets via Fractional Integration Operators

We investigate the small ball problem for d-dimensional fractional Brownian sheets by functional analytic methods. For this reason we show that integration operators of Riemann–Liouville and Weyl type are very close in the sense of their approximation properties, i.e., the Kolmogorov and entropy numbers of their difference tend to zero exponentially. This allows us to carry over properties of the Weyl operator to the Riemann–Liouville one, leading to sharp small ball estimates for some fractional Brownian sheets. In particular, we extend Talagrand's estimate for the 2-dimensional Brownian sheet to the fractional case. When passing from dimension 1 to dimension d2, we use a quite general estimate for the Kolmogorov numbers of the tensor products of linear operators.     

The (Non)Tensor Structure of BV-Spaces

We prove that the tensor product of the spaces $BV_{{X}_{1}},\ldots,BV_{{X}_{s}}$ is not dense in the space $BV_{{X}_{1}},\times\ldots\times {X}_{s}$ , equipped with the usual BV-norm. After that we give an approximation result for functions of BV_X by tensor product functions, similar to a well-known approximation theorem for functions of BV_X by smooth functions. Finally we show that BV_X is not, what we will call a symmetrized tensor product of the spaces $BV_{{X}_{k}}(k=1, \ldots, s)$ , if we carry out the given construction with any reasonable crossnorm.     

Cross approximation in tensor electron density computations

We propose new tensor approximation algorithms for certain discrete functions related with Hartree–Fock/Kohn–Sham equations. Given a canonical tensor representation for the electron density function (for example, produced by quantum chemistry packages such as MOLPRO), we obtain its Tucker approximation with much fewer parameters than the input data and the Tucker approximation for the cubic root of this function, which is part of the Kohn–Sham exchange operator. The key idea is in the fast and accurate prefiltering of possibly large‐scale factors of the canonical tensor input. The new algorithms are based on the incomplete cross approximation method applied to matrices and tensors of order 3 and outperform other tools for the same purpose. First, we show that the cross approximation method is robust and much faster than the singular value decomposition‐based approach. As a consequence, it becomes possible to increase the resolution of grid and the complexity of molecules that can be handled by the Hartree–Fock chemical models. Second, we propose a new fast approximation method for f^1/3(x, y, z), based on the factor prefiltering method for f(x, y, z) and certain mimic approximation hypothesis. Third, we conclude that the Tucker format has advantages in the storage and computation time compared with the ubiquitous canonical format. Copyright © 2009 John Wiley & Sons, Ltd.     

Geometry of spaces of compact operators

We introduce the notion of compactly locally reflexive Banach spaces and show that a Banach space X is compactly locally reflexive if and only if for all reflexive Banach spaces Y. We show that X ^* has the approximation property if and only if X has the approximation property and is compactly locally reflexive. The weak metric approximation property was recently introduced by Lima and Oja. We study two natural weak compact versions of this property. If X is compactly locally reflexive then these two properties coincide. We also show how these properties are related to the compact approximation property and the compact approximation property with conjugate operators for dual spaces.     

Critical behavior of the <Emphasis Type="Italic">O</Emphasis>(<Emphasis Type="Italic">n</Emphasis>) <Emphasis Type="Italic">ϕ</Emphasis><Superscript>4</Superscript> model with an antisymmetric tensor order parameter: Three-loop approximation

We consider the critical behavior of the O(n)-symmetric model of the ? ⁴ type with an antisymmetric tensor order parameter. According to a previous study of the one-loop approximation in the quantum field theory renormalization group, there is an IR-attractive fixed point in the model, and IR scaling with universal indices hence applies. Using a more specific analysis based on three-loop calculations of the renormalization-group functions and Borel conformal summation, we show that the IR behavior is in fact governed by another fixed point of the renormalization-group equations and the model therefore belongs to a different universality class than the one suggested by the simplest one-loop approximation. Nevertheless, the validity of the obtained results remains a subject for discussion.     

A Family of Spline Quasi-Interpolants on the Sphere

In this paper, we construct a local quasi-interpolant Q for fitting a function f defined on the sphere S. We first map the surface S onto a rectangular domain and next, by using the tensor product of polynomial splines and 2-periodic trigonometric splines, we give the expression of Qf. The use of trigonometric splines is necessary to enforce some boundary conditions which are useful to ensure the C ² continuity of the associated surface. Finally, we prove that Q realizes an accuracy of optimal order.