Ergodic BSDEs under weak dissipative assumptions

In this paper we study ergodic backward stochastic differential equations (EBSDEs) dropping the strong dissipativity assumption needed in Fuhrman et al. (2009) [12]. In other words we do not need to require the uniform exponential decay of the difference of two solutions of the underlying forward equation, which, on the contrary, is assumed to be non-degenerate.We show the existence of solutions by the use of coupling estimates for a non-degenerate forward stochastic differential equation with bounded measurable nonlinearity. Moreover we prove the uniqueness of “Markovian” solutions by exploiting the recurrence of the same class of forward equations.Applications are then given for the optimal ergodic control of stochastic partial differential equations and to the associated ergodic Hamilton-Jacobi-Bellman equations.     

An overshoot approach to recurrence and transience of Markov processes

We develop criteria for recurrence and transience of one-dimensional Markov processes which have jumps and oscillate between +∞ and −∞. The conditions are based on a Markov chain which only consists of jumps (overshoots) of the process into complementary parts of the state space.In particular, we show that a stable-like process with generator −(−Δ)^α(x)/2 such that α(x)=α for x<−R and α(x)=β for x>R for some R>0 and α,β∈(0,2) is transient if and only if α+β<2, otherwise it is recurrent.As a special case, this yields a new proof for the recurrence, point recurrence and transience of symmetric α-stable processes.     

Asymptotic Recurrence and Waiting Times for Stationary Processes

Let be a discrete-valued stationary ergodic process distributed according to P and let x=(..., x _–1, x ₀, x ₁,...) denote a realization from X. We investigate the asymptotic behavior of the recurrence time R _n defined as the first time that the initial n-block reappears in the past of x. We identify an associated random walk, on the same probability space as X, and we prove a strong approximation theorem between log R _n and . From this we deduce an almost sure invariance principle for log R _n. As a byproduct of our analysis we get unified proofs for several recent results that were previously established using methods from ergodic theory, the theory of Poisson approximation and the analysis of random trees. Similar results are proved for the waiting time W _n defined as the first time until the initial n-block from one realization first appears in an independent realization generated by the same (or by a different) process.     

相位翻转厄米-高斯光束的传输特性

将相位翻转高斯光束的概念推广到相位翻转高阶模光束.以相位翻转厄米-高斯光束为例,推导出相位翻转高斯光束通过近轴理想(无光阑)ABCD光学系统,以及带刀口和光阑的ABCD光学系统传输的递推方程,并用以研究相位翻转高斯光束的传输特性.特别是,得出对TEM1、TEM2和TEM3模相位翻转高斯光束,光阑效应可以忽略的条件分别是截断参量δ≥2.1,2.5和 3.0.     

Moderate deviations for martingale differences and applications to φ -mixing sequences

For a R d -valued sequence of martingale differences { m k } k S 1 , we obtain a moderate deviation principle for the sequence of partial sums { Z n ( t ) 1 ~ k =1 [ nt ] m k / b n , t ] [0,1]}, in the space of càdlàg functions equipped with the Skorohod topology, under the following conditions: a Chen-Ledoux type condition, an exponential convergence in probability of the associated quadratic variation process of the martingale, and a condition of "Lindeberg" type. For the small jumps of Z n (·), we apply the general result of Puhalskii [Puhalskii, A. (1994). "Large deviations of semimartingales via convergence of the predictable characteristics". Stoch. Stoch. Rep. , 49 , pp. 27-85]. Following the method of Ledoux [Ledoux, M. (1992). "Sur les déviations modérées des sommes de variables aléatoires vectorielles indépendantes de même loi". Ann. Inst. H. Poincaré , 28 , pp. 267-280] and Arcones [Arcones, A. (1999). "The large deviation principle for stochastic processes", Submitted for publication], we prove that the large jumps part of Z n (·) is negligible in the sense of the moderate deviations. One can regard our result as an extension to martingale differences, of the beautiful characterization of moderate deviations for i.i.d.r.v. case due to Chen [Chen, X. (1991). "The moderate deviations of independent vectors in Banach space". Chin. J. Appl. Probab. Stat. , 7 , pp. 124-32] and Ledoux [Ledoux, M. (1992). "Sur les déviations modérées des sommes de variables aléatoires vectorielles indépendantes de même loi". Ann. Inst. H. Poincaré , 28 , pp. 267-280]. Using the Gordin [Gordin, M.I. (1969). "The central limit theorem for stationary processes". Soviet Math. Dokl. , 10 , pp. 1174-1176] decomposition, the martingale result is applied to prove the moderate deviation principle for a wide class of stationary { -mixing sequences of random variables.     

The cone of positive harmonic functions for scale-invariant diffusions

Consider a scale invariant diffusion whose state space is a closed cone in R ^d , minus the vertex. Then the process is either recurrent, transient to ∞ or transient to the vertex of the cone. In the latter case, the diffusion has finite lifetime (a.s.) and converges to the vertex at the lifetime. The Martin boundary consists of two points, and the corresponding minimal harmonic functions are of the form 1 and |x| ^α ψ(x/|x|).     

Stability in Debye series calculation for light scattering by absorbing particles and bubbles

The Debye-series decomposition is of importance for understanding of light scattering features and for the validity of the geometrical optics approximation to light scattering. The numerical stability and accuracy for calculating light scattering with Debye series is studied and an improved algorithm is proposed in this work. The ratios of the Riccati-Bessel functions and the logarithmic derivatives of the Riccati-Bessel functions are employed and calculated with proper recurrences. Exemplifying results are provided to show the improvement of the algorithm.     

Analytical solutions of weakly coupled map lattices using recurrence relations

By using asymptotic methods recurrence relations are found that rule weakly CML evolution, with both global and diffusive coupling. The solutions obtained from these relations are very general because they do not hold restrictions about boundary conditions, initial conditions and number of oscilators in the CML. Furthermore, oscillators are ruled by an arbitraty C² function.