Complexity of Ehrenfeucht models

We look at examples of Ehrenfeucht theories possessing constructive models and countable models of different complexities, and estimate complexity of the Ehrenfeucht theories having constructive models. Supported by the Council for Grants (under RF President) and State Aid of Fundamental Science Schools, project NSh-2112.2003.1. __________ Translated from Algebra i Logika, Vol. 45, No. 5, pp. 507–519, September–October, 2006.     

Syntactic approach to constructions of generic models

A syntactic approach is described to constructing generic models which generalizes the known semantic one. A sufficient condition of a generic model being homogeneous is specified. It is shown that, within the syntactic approach, any countable homogeneous model is generic. Criteria and a sufficient condition are given for the generic models created in syntactic constructions to be saturated. Supported by RFBR grant No. 05-01-00411, and by the Council for Grants (under RF President) and State Aid of Fundamental Science Schools via project NSh-4787.2006.1. __________ Translated from Algebra i Logika, Vol. 46, No. 2, pp. 244–268, March–April, 2007.     

Σ-Definability of countable structures over real numbers, complex numbers, and quaternions

We study Σ-definability of countable models over hereditarily finite {ie193-01} superstructures over the field ℝ of reals, the field ℂ of complex numbers, and over the skew field ℍ of quaternions. In particular, it is shown that each at most countable structure of a finite signature, which is Σ-definable over {ie193-02} with at most countable equivalence classes and without parameters, has a computable isomorphic copy. Moreover, if we lift the requirement on the cardinalities of the classes in a definition then such a model can have an arbitrary hyperarithmetical complexity, but it will be hyperarithmetical in any case. Also it is proved that any countable structure Σ-definable over {ie193-03}, possibly with parameters, has a computable isomorphic copy and that being Σ-definable over {ie193-04} is equivalent to being Σ-definable over {ie193-05}. Supported by RFBR-DFG, grant No. 06-01-04002 DFGa. __________ Translated from Algebra i Logika, Vol. 47, No. 3, pp. 335–363, May–June, 2008.     

Finite Bolyai–Lobachevskii planes

Finite analogs of the classical Beltrami–Klein model of the Bolyai–Lobachevskii plane arising from ovals, unitals and maximal (k,n)-arcs are of interest in finite geometry. Three new results are obtained which give characterizations of such models equipped with many symmetries.     

Extremal Behavior of Diffusion Models in Finance

We investigate the extremal behavior of a diffusion X _t given by the SDE , where W is standard Brownian motion, μ is the drift term and σ is the diffusion coefficient. Under some appropriate conditions on X _t we prove that the point process of ε -upcrossings converges in distribution to a homogeneous Poisson process. As examples we study the extremal behavior of term structure models or asset price processes such as the Vasicek model, the Cox–Ingersoll–Ross model and the generalized hyperbolic diffusion. We also show how to construct a diffusion with pre-determined stationary density which captures any extremal behavior. As an example we introduce a new model, the generalized inverse Gaussian diffusion. This revised version was published online in July 2006 with corrections to the Cover Date.     

Singular point perturbation of an odd operator in ℤ2-Graded space

In the paper we study supersymmetric models for point interaction perturbations of operators of Dirac type and their spectral properties. Such models are considered in the class of odd self-adjoint operators in ℤ₂-graded Pontryagin space. We present in detail the previously considered realization method of strongly singular perturbation by means of their embedding into the theory of self-adjoint extensions. We describe odd self-adjoint extensions of odd symmetric operators with deficiency indices (1,1) in ℤ₂-graded Pontryagin space and squares of such extensions using Krein’s formula for the resolvent. The results obtained are refined in application to singular perturbations of odd self-adjoint differential operators. Translated fromMatematicheskie Zametki, Vol. 66, No. 6, pp. 924–940, December, 1999.     

A bivariate exponential distribution arising in random geometry

Summary In this paper a new bivariate exponential distribution, arising naturally in the theory of Poisson line processes, is studied. The distribution has some interesting and useful properties which renders it suitable for use in statistical modelling work. It is presented in the spirit of adding to the repertoire of bivariate exponential forms. It joins other models, such as those of Downton (1970,J. R. Statist. Soc., B,32, 408–417), Marshall and Olkin (1967,J. Appl. Prob.,4, 291–302) and Nagao and Kadoya (1971,Bulletin of the Disaster Prevention Research Institute,20, 3, 183–215), which have their origins in the theory of stochastic processes.     

Smoothing algorithms for state–space models

Two-filter smoothing is a principled approach for performing optimal smoothing in non-linear non-Gaussian state–space models where the smoothing distributions are computed through the combination of ‘forward’ and ‘backward’ time filters. The ‘forward’ filter is the standard Bayesian filter but the ‘backward’ filter, generally referred to as the backward information filter, is not a probability measure on the space of the hidden Markov process. In cases where the backward information filter can be computed in closed form, this technical point is not important. However, for general state–space models where there is no closed form expression, this prohibits the use of flexible numerical techniques such as Sequential Monte Carlo (SMC) to approximate the two-filter smoothing formula. We propose here a generalised two-filter smoothing formula which only requires approximating probability distributions and applies to any state–space model, removing the need to make restrictive assumptions used in previous approaches to this problem. SMC algorithms are developed to implement this generalised recursion and we illustrate their performance on various problems.     

Volume-preserving Fields and Reeb Fields on 3-manifolds

Volume-preserving field X on a 3-manifold is the one that satisfies LxΩ = 0 for some volume Ω. The Reeb vector field of a contact form is of volume-preserving, but not conversely. On the basis of Geiges-Gonzalo＇s parallelization results, we obtain a volume-preserving sphere, which is a triple of everywhere linearly independent vector fields such that all their linear combinations with constant coefficients are volume-preserving fields. From many aspects, we discuss the distinction between volume-preserving fields and Reeb-like fields. We establish a duality between volume-preserving fields and h-closed 2-forms to understand such distinction. We also give two kinds of non-Reeb-like but volume-preserving vector fields to display such distinction.     

Fertile HC models with three states on a cayley tree

We consider fertile hard-core (HC) models with three states on a homogeneous Cayley tree. It is known that four types of such models exist. For these models, we describe the translation-invariant and periodic HC Gibbs measures. We also construct a uncountable set of nonperiodic Gibbs measures. __________ Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 156, No. 3, pp. 412–424, September, 2008.     

Optimal labeling of point features in rectangular labeling models

 We investigate the NP–hard label number maximization problem (LNM): Given a set of rectangular labels Λ, each of which belongs to a point feature in the plane, the task is to find a labeling for a largest subset Λ _P of Λ. A labeling is a placement such that none of the labels overlap and each λΛ _P is placed according to a labeling model: In the discrete models, the label must be placed so that the labeled point coincides with an element of a predefined subset of corners of the rectangular label, in the continuous or slider models, the point must lie on a subset of boundaries of the label. Obviously, the slider models allow a continuous movement of a label around its point feature, leading to a significantly higher number of labels that can be placed. We present exact algorithms for this problem that are based on a pair of so-called constraint graphs that code horizontal and vertical positioning relations. The key idea is to link the two graphs by a set of additional constraints, thus characterizing all feasible solutions of LNM. This enables us to formulate a zero-one integer linear program whose solution leads to an optimal labeling. We can express LNM in both the discrete and the slider labeling models. To our knowledge, we present the first algorithm that computes provably optimal solutions in the slider models. We find it remarkable that our approach is independent of the labeling model and results in a discrete algorithm even if the problem is of continuous nature as in the slider models. Extensive experimental results on both real-world instances and point sets created by a widely used benchmark generator show that the new approach - although being an exponential time algorithm - is applicable in practice. Received: November 20, 2000 / Accepted: April 9, 2002 Published online: September 5, 2002 RID="★" ID="★" This work is partially supported by the German Bundesministerium für Bildung, Wissenschaft, Forschung und Technologie (No. 03-MU7MP1-4). Key words. map labeling – point feature map labeling – constraint graphs – combinatorial optimization – integer programming     

Stochastic flows associated to coalescent processes

 We study a class of stochastic flows connected to the coalescent processes that have been studied recently by M?hle, Pitman, Sagitov and Schweinsberg in connection with asymptotic models for the genealogy of populations with a large fixed size. We define a bridge to be a right-continuous process (B(r),r[0,1]) with nondecreasing paths and exchangeable increments, such that B(0)=0 and B(1)=1. We show that flows of bridges are in one-to-one correspondence with the so-called exchangeable coalescents. This yields an infinite-dimensional version of the classical Kingman representation for exchangeable partitions of ℕ. We then propose a Poissonian construction of a general class of flows of bridges and identify the associated coalescents. We also discuss an important auxiliary measure-valued process, which is closely related to the genealogical structure coded by the coalescent and can be viewed as a generalized Fleming-Viot process. Received: 26 November 2002 / Revised version: 10 February 2003 / Published online: 15 April 2003 Mathematics Subject Classification (2000): 60G09, 60J25, 92D30 Key words or phrases: Flow – Coalescence – Exchangeability – Bridge     

Option Pricing on Multiple Assets

Since 1973, the Black–Scholes formula has been used in financial markets to price financial derivatives such as options. In the classical Black–Scholes model for the market, the following type of mix is assumed or postulated: in the simplest case, it consists of an essentially riskless bond and a single risky asset. Hence, certainty mixed with uncertainty: safe vs risky! Here we consider more complex products where each component in a portfolio entails several variables with constraints. This leads to elegant models based on multivariable stochastic integration, and describing several securities simultaneously [Etheridge, A Course in Financial Calculus, Cambridge University Press, UK (2002), Jiang, Mathematical Modeling and Methods of Option Pricing, Higher Education, Beijing, China (2003)] and [Broadie, Detemple, Math. Financ. 7:241–286 (1997)]. We derive a general asymptotic solution in a short time interval using the heat kernel expansion on a Riemannian metric. We then use our formula to predict the better price of options on multiple underlying assets. We then apply our method to the case known as the two-color rainbow option, i.e., the special case of the model with two underlying assets. This asymptotic solution is important, as it explains hidden effects in a class of financial models.This paper is dedicated to the memory of the first named author, Professor Thomas P. Branson (1953–2006).     

Some properties of autostable models

Established are (1) a nonuniform criterion for the stability of models in terms of enumeration reducibility of constructivizations; (2) a criterion for the autostability of certain particular classes of models close to algebraic number fields; (3) a uniform autostability of each 1-constructive model that is autostable. Supported by RFFR grant No. 096-01-01525 and by ISF grant NQ 6000. Translated fromAlgebra i Logika, Vol. 35, No. 6, pp. 685–698, November–December, 1996.     

Negative modal schemes

We deal with the question of whether solutions of modal propositional negative schemes are definable on Kripke models. It is shown that there exists a formula by which a solution of such a scheme is defined in every Kripke model with the ascending chain condition, in which the solution exists. We present an algorithm for constructing such a defining formula. Supported by RFFR grant No. 96-01-01552. Translated fromAlgebra i Logika, Vol. 37, No. 3, pp. 329–337, May–June, 1998.     

Infinitely Many Securities and the Fundamental Theorem of Asset Pricing

Several authors have pointed out the possible absence of martingale measures for static arbitrage free markets with an infinite number of available securities. Accordingly, the literature constructs martingale measures by generalizing the concept of arbitrage (free lunch, free lunch with bounded risk, etc.) or introducing the theory of large financial markets. This paper does not modify the definition of arbitrage and addresses the caveat by drawing on projective systems of probability measures. Thus we analyze those situations for which one can provide a projective system of σ–additive measures whose projective limit may be interpreted as a risk-neutral probability of an arbitrage free market. Hence the Fundamental Theorem of Asset Pricing is extended so that it can apply for models with infinitely many assets. Partially funded by the Spanish Ministry of Science and Education (ref: BEC2003 – 09067 –C04 – 03) and Comunidad Autonoma de Madrid (ref: s – 0505/tic/000230).     

Interacting Fisher–Wright diffusions in a catalytic medium

We study the longtime behaviour of interacting systems in a randomly fluctuating (space–time) medium and focus on models from population genetics. There are two prototypes of spatial models in population genetics: spatial branching processes and interacting Fisher–Wright diffusions. Quite a bit is known on spatial branching processes where the local branching rate is proportional to a random environment (catalytic medium). Here we introduce a model of interacting Fisher–Wright diffusions where the local resampling rate (or genetic drift) is proportional to a catalytic medium. For a particular choice of the medium, we investigate the longtime behaviour in the case of nearest neighbour migration on the d-dimensional lattice. While in classical homogeneous systems the longtime behaviour exhibits a dichotomy along the transience/recurrence properties of the migration, now a more complicated behaviour arises. It turns out that resampling models in catalytic media show phenomena that are new even compared with branching in catalytic medium. Received: 15 November 1999 / Revised version: 16 June 2000 / Published online: 6 April 2001     

New Identities for Hall-Littlewood Polynomials and Applications

Starting from Macdonald's summation formula of Hall-Littlewood polynomials over bounded partitions and its even partition analogue, Stembridge (Trans. Amer. Math. Soc., 319(2), (1990) 469–498) derived sixteen multiple q-identities of Rogers–Ramanujan type. Inspired by our recent results on Schur functions (Adv. Appl. Math., 27, (2001) 493–509) and based on computer experiments we obtain two further such summation formulae of Hall-Littlewood polynomials over bounded partitions and derive six new multiple q-identities of Rogers–Ramanujan type. 2000 Mathematics Subject Classification: Primary–05A19; Secondary–05A17, 05A30