Time reversal for infinite-dimensional diffusions

Summary In this paper we analize the reversibility of the diffusion property for the solution of certain infinite-dimensional systems of stochastic differential equations. Necessary and sufficient conditions ensuring this reversibility are given. The proofs use the techniques of the stochastic calculus of variations.This work was partly done when the first author was visiting the Centre de Recerca Matemàtica at Barcelona     

The obstacle problem for nonlinear elliptic equations with variable growth and <Emphasis Type="Italic">L</Emphasis><Superscript>1</Superscript>-data

The aim of this paper is twofold: to prove, for L ¹-data, the existence and uniqueness of an entropy solution to the obstacle problem for nonlinear elliptic equations with variable growth, and to show some convergence and stability properties of the corresponding coincidence set. The latter follow from extending the Lewy-Stampacchia inequalities to the general framework of L ¹. Current address: Manel Sanchón, Universitat de Barcelona, Departament de Matemàtica Aplicada i Anàlisi, Gran Via 585, 08007 Barcelona, Spain; e-mail: msanchon@maia.ub.es Authors’ addresses: J. F. Rodrigues, CMUC, Department of Mathematics, University of Coimbra, and FCUL/Universidade de Lisboa, Av. Prof. Gama Pinto 2, 1649-003 Lisboa, Portugal; M. Sanchón and J. M. Urbano, CMUC, Department of Mathematics, University of Coimbra, 3001-454 Coimbra, Portugal     

On the Convexity of Precedence Sequencing Games

In this paper we study a class of cooperative sequencing games that arise from one-machine sequencing situations in which chain precedence relations are imposed on the jobs. We show that these sequencing games are convex if the initial order of the jobs is a concatenation of chains. F. Klijn's research is supported by a Ramón y Cajal contract of the Spanish Ministerio de Ciencia y Tecnología. The main part of F. Klijn's work was supported by a Marie Curie Fellowship of the European Community programme “Improving Human Research Potential and the Socio-economic Knowledge Base” under contract number HPMF-CT-2001-01232, carried out at the Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona. His work is also partially supported by Research Grant BEC2002-02130 from the Spanish Ministerio de Ciencia y Tecnología and by the Barcelona Economics Program of CREA     

Aris Daniilidis

Discussion

Aris Daniilidis Universitat Autònoma de Barcelona, Spain     

Stochastic cohomology of Chen–Souriau and line bundle over the Brownian bridge

We define a stochastic cohomology theory related to a stochastic diffeology for the Hoelder loop space. We show that the stochastic de Rham cohomology groups are equal to the deterministic de Rham cohomology groups of the Hoelder loop space. As an application, we show that a stochastic line bundle over the Brownian bridge (with fiber almost surely defined) is isomorphic to a true line bundle over the Hoelder loop space. Received: 9 November 1998 / Revised version: 14 July 2000 / Published online: 26 April 2001     

Mesures stochastiques à valeurs dans des espaces L 0

Résumé Dans de précédents articles, les auteurs ont étudié l'intégrale stochastique en tant qu'intégrale relativement à un type particulier de mesures vectorielles, appelées mesures stochastiques.L'originalité de cet article est de considérer des mesures stochastiques pouvant prendre leurs valeurs dans L ₀, et engendrées par des processus admettant un ensemble d'indices trés général (non nécessairement ordonné).Dans cette situation générale, un théoréme de représentation de Rie\ est obtenu pour les mesures stochastiques.

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Summary In previous papers, the authors have studied stochastic integrals as integrals with respect to a particular type of vector measures called stochastic measures.The special feature of this paper is that the here considered stochastic measures may take their values in L ₀, and that the generating process admits a quite general (not necessarily ordered) set of indexes.In this general setting, a Rie\-representation theorem for stochastic measures is obtained.

     

Separative cancellation for projective modules over exchange rings

A separative ring is one whose finitely generated projective modules satisfy the propertyA⊕A⋟A⊕B⋟B⊕B⇒A⋟B. This condition is shown to provide a key to a number of outstanding cancellation problems for finitely generated projective modules over exchange rings. It is shown that the class of separative exchange rings is very broad, and, notably, closed under extensions of ideals by factor rings. That is, if an exchange ringR has an idealI withI andR/I both separative, thenR is separative. The research of the first and fourth authors was partially supported by a grant from the DGICYT (Spain) and by the Comissionat per Universitats i Recerca de la Generalitat de Catalunya. That of the second author was partially supported by a grant from the NSF (USA). The final version of this paper was prepared while he was visiting the Centre de Recerca Matemàtica, Institut d'Estudis Catalans in Barcelona, and he thanks the CRM for its hospitality.     

An algorithm for computing the stable coalition structures in tree-graph communication games

We construct an algorithm which provides in finite steps the stable coalition structure(s) of tree-graph communication games and an allocation of the core: the restricted marginal contribution allocation. This paper has been presented at the St. Petersburg Institute for Economics and Mathematics (Russian Academy of Sciences), University of Santiago de Compostela (International Workshop on Game Theory), Universidad Autónoma de Barcelona, and Universidad de Sevilla. This research has been supported partially by: DGICYT PB94-1372 and UPV 035.321-HB146/96     

Strict polynomial functors and coherent functors

We build an explicit link between coherent functors in the sense of Auslander [Coherent functors. Proc. Conf. Categorical Algebra (La Jolla, Calif., 1965). Springer, Berlin, pp. 189–231, 1966] and strict polynomial functors in the sense of Friedlander and Suslin (Invent. Math. 127(2), 209–270, 1997). Applications to functor cohomology are discussed. V. Franjou is partially supported by the LMJL—Laboratoire de Mathématiques Jean Leray, CNRS: Université de Nantes, école Centrale de Nantes, and acknowledges the hospitality and support of CRM Barcelona where the final corrections on this paper were implemented.     

Contrôle de processus alternants et applications

Résumé L'objet de cet article est d'appliquer des méthodes de la théorie générale des processus et de théorie du potentiel à la résolution de problèmes de contrôle de processus alternants, et en particulier à des problèmes de contrôle impulsionnel. Cet article reprend et étend les résultats préalablement obtenus par l'auteur dans ce domaine.

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Summary The purpose of this paper is to apply the general theory of stochastic processes and potential theory to solve various control problems of alternating processes, and in particular problems of impulse control. This paper extends results previously obtained by the author in stochastic control.

     

Discretization of Stationary Solutions of Stochastic Systems Driven by Fractional Brownian Motion

In this article we study the behavior of dissipative systems with additive fractional noise of any Hurst parameter. Under a one-sided dissipative Lipschitz condition on the drift the continuous stochastic system is shown to have a unique stationary solution, which pathwise attracts all other solutions. The same holds for the discretized stochastic system, if the drift-implicit Euler method is used for the discretization. Moreover, the unique stationary solution of the drift-implicit Euler scheme converges to the unique stationary solution of the original system as the stepsize of the discretization decreases. Partially supported by the DAAD, Ministerio de Educación y Ciencia (Spain) and FEDER (European Community) under grants MTM2005-01412 and HA2005-0082, by Junta de Andalucía under the Proyecto de Excelencia P07-FQM-02468, and the DFG-project “Pathwise numerics and dynamics of stochastic evolution equations”.     

Application of Malliavin calculus to a class of stochastic differential equations

Summary In this article we deal with stochastic differential equations driven by an infinite dimensional Brownian motion. Under some non-degeneracy conditions, the existence and smoothness of the density for the law of the solution is proved.The work of Nguyen Minh Duc was done during a stay at the University of Barcelona (Spain)The work of D. Nualart and M. Sanz has been supported by the Grant of the C.Y.C.I.T. number PB86-0238     

Stability of a class of transformations of distribution-valued processes and stochastic evolution equations

Stability of a class of linear transformations of distribution-valued stochastic processes is studied. Two types of applications to convergence of solutions of stochastic evolution equations are given. One of them, for the case of continuous limits, simplifies the tightness problem considerably due to a recent result of Aldous.Centro de Investigación y de Estudios Avanzados.     

Analysis and comparisons of some solution concepts for stochastic programming problems

The aim of this study is to analyse the resolution of Stochastic Programming Problems in which the objective function depends on parameters which are continuous random variables with a known distribution probability. In the literature on these questions different solution concepts have been defined for problems of these characteristics. These concepts are obtained by applying a transformation criterion to the stochastic objective which contains a statistical feature of the objective, implying that for the same stochastic problem there are different optimal solutions available which, in principle, are not comparable. Our study analyses and establishes some relations between these solution concepts. The work of these authors was supported byMinisterio de Ciencia y Tecnología andConsejería de Educación y Ciencia, Junta de Andalucía.     

Proper forcing and rectangular ramsey theorems

I prove forcing preservation theorems for products of definable partial orders preserving cofinality of the meager or null ideal. Rectangular Ramsey theorems for the related ideals follow from the proofs. Partially supported by grant GA ČR 201-03-0933, NSF grants DMS 0071437 and DMS 0300201, and a visiting appointment at CRM, Universitat Autònoma de Barcelona.     

一类具有扩散的奇异型随机控制的非对称平稳模型

该文讨论了一类奇异型随机控制的平稳模型,其费用结构中的函数不限于偶函数,其状态过程为扩散型且具有“非对称的”(关于原点)漂移及扩散系数.因此,奇异型随机控制中的平稳问题被实质性地推广到更一般的形式。该文求得了与此类问题有关的一个变分方程组的解,并且证明了最佳控制的存在性.     

On a notion of partially conditionally identically distributed sequences

A notion of conditionally identically distributed (c.i.d.) sequences has been studied as a form of stochastic dependence weaker than exchangeability, but equivalent to it in the presence of stationarity. We extend such notion to families of sequences. Paralleling the extension from exchangeability to partial exchangeability in the sense of de Finetti, we propose a notion of partially c.i.d. dependence, which is shown to be equivalent to partial exchangeability for stationary processes. Partially c.i.d. families of sequences preserve attractive limit properties of partial exchangeability, and are asymptotically partially exchangeable. Moreover, we provide strong laws of large numbers and two central limit theorems. Our focus is on the asymptotic agreement of predictions and empirical means, which lies at the foundations of Bayesian statistics. Natural examples of partially c.i.d. constructions are interacting randomly reinforced processes satisfying certain conditions on the reinforcement.     

Sur le théoreme d'atiyah-singer

Résumé On donne une version simplifiée de la démonstration probabiliste du théoreme de l'indice pour l'opérateur de Dirac, donnée par J.M. Bismut. Au lieu d'utiliser la construction du mouvement brownien au moyen du fibré des reperes, on utilise la construction de Schwartz en plongeant la variété ambiante dans un espace vectoriel de dimension plus grande. On évite aussi l'utilisation de la décomposition de l'espace de Wiener en deux utilisée par J.M. Bismut, le calcul des variations stochastiques étant notre outil principal. De ce fait, on perd la relation avec la cohomologie de l'espace des lacets.

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Summary We give a simplified version of Bismut's probabilistic proof of the index theorem for the Dirac operator. By using Schwartz's construction of a Brownian motion over a manifold, we expect to give a simpler approach to the computations of stochastic geometry. Our main tool is the calculus of stochastic variations, rather than the splitting of the Wiener space into two pieces. For that reason, we loose the relation with the cohomology of the loop space.