Correlation structure of time-changed Pearson diffusions

The stochastic solution to diffusion equations with polynomial coefficients is called a Pearson diffusion. If the time derivative is replaced by a distributed order fractional derivative, the stochastic solution is called a distributed order fractional Pearson diffusion. This paper develops a formula for the covariance function of distributed order fractional Pearson diffusion in the steady state, in terms of generalized Mittag-Leffler functions. The correlation function decays like a power law. That formula shows that distributed order fractional Pearson diffusions exhibits long range dependence.     

Quasistationary distributions for one-dimensional diffusions with singular boundary points

In the present work we characterize the existence of quasistationary distributions for diffusions on $(0,\infty )$ allowing singular behavior at 0 and $\infty$. If absorption at 0 is certain, we show that there exists a quasistationary distribution as soon as the spectrum of the generator is strictly positive. This complements results of Cattiaux et al. (2009) and Kolb and Steinsaltz (2012) for 0 being a regular boundary point and extends results by Cattiaux et al. (2009) on singular diffusions.     

Berezin transforms on the 2×2 matrix space related to theU(2)×U(2)-action

In this paper we establish the spectral decomposition of the Berezin transforms on the space Mat(2,) of complex 2×2 matrices related to the two-sided action ofU(2)×U(2). The eigenspaces are described explicitly by means of the matrix elements of a certain representation ofGL(2,) and each eigenvalue is expressed as a finite sum involving the MeijerG-functions evaluated at 1 and the Hahn polynomials.     

Regularity in Lp Sobolev spaces of solutions to fractional heat equations

This work contributes in two areas, with sharp results, to the current investigation of regularity of solutions of heat equations with a nonlocal operator P:

(*)$Pu+{?}_{t}u=f(x,t),\text{ for }x\in \mathrm{\Omega }?{\mathbb{R}}^n,t\in I?\mathbb{R}.$

1) For strongly elliptic pseudodifferential operators (ψdo's) P on ${\mathbb{R}}^n$ of order $d\in {\mathbb{R}}_{+}$, a symbol calculus on ${\mathbb{R}}^{n+1}$ is introduced that allows showing optimal regularity results, globally over ${\mathbb{R}}^{n+1}$ and locally over $\mathrm{\Omega }\times I$:

$f\in H_{p,\mathrm{loc}}^{(s,s/d)}(\mathrm{\Omega }\times I)?u\in H_{p,\mathrm{loc}}^{(s+d,s/d+1)}(\mathrm{\Omega }\times I),$

for $s\in \mathbb{R}$, $1<p<\infty$. The $H_p^{(s,s/d)}$ are anisotropic Sobolev spaces of Bessel-potential type, and there is a similar result for Besov spaces.2) Let Ω be smooth bounded, and let P equal ${(?\mathrm{\Delta })}^a$ ($0<a<1$), or its generalizations to singular integral operators with regular kernels, generating stable Lévy processes. With the Dirichlet condition $\mathrm{supp}u?\stackrel{￣}{\mathrm{\Omega }}$, the initial condition $u{|}_{t=0}=0$, and $f\in L_p(\mathrm{\Omega }\times I)$, (*) has a unique solution $u\in L_p(I;H_p^{a(2a)}(\stackrel{￣}{\mathrm{\Omega }}))$ with ${?}_{t}u\in L_p(\mathrm{\Omega }\times I)$. Here $H_p^{a(2a)}(\stackrel{￣}{\mathrm{\Omega }})={\dot{H}}_p^{2a}(\stackrel{￣}{\mathrm{\Omega }})$ if $a<1/p$, and is contained in ${\dot{H}}_p^{2a?\epsilon }(\stackrel{￣}{\mathrm{\Omega }})$ if $a=1/p$, but contains nontrivial elements from $d^a{\stackrel{￣}{H}}_p^a(\mathrm{\Omega })$ if $a>1/p$ (where $d(x)=\mathrm{dist}(x,?\mathrm{\Omega })$). The interior regularity of u is lifted when f is more smooth.     

Zeros of Racah coefficients and the pell equation

The interface between Racah coefficients and mathematics is reviewed and several unsolved problems pointed out. The specific goal of this investigation is to determine zeros of these coefficients. The general polynomial is given whose set of zeros contains all nontrivial zeros of Racah (6j) coefficients [this polynomial is also given for the Wigner-Clebsch-Gordan (3j) coefficients]. Zeros of weight 1 3j- and 6j-coefficients are known to be related to the solutions of classic Diophantine equations. Here it is shown how solutions of the quadratic Diophantine equation known as Pell's equation are related to weight 2 zeros of 3j- and 6j-coefficients. This relation involves transformations of quadratic forms over the integers, the orbit classification of zeros of Pell's equation, and an algorithm for determining numerically the fundamental solutions of Pell's equation. The symbol manipulation program MACSYMA was used extensively to effect various factorings and transformations and to give a proof.The results of this paper were presented in an invited talk by one of us (JDL) at the NSF-CBMS Regional Conference on Special Functions, Physics and Computer Algebra, May 20–24, 1985, Arizona State University, Tempe, AZ.     

On weak uniqueness and distributional properties of a solution to an SDE with α-stable noise

For an SDE driven by a rotationally invariant $\alpha$-stable noise we prove weak uniqueness of the solution under the balance condition $\alpha +\gamma >1$, where $\gamma$ denotes the Hölder index of the drift coefficient. We prove the existence and continuity of the transition probability density of the corresponding Markov process and give a representation of this density with an explicitly given “principal part”, and a “residual part” which possesses an upper bound. Similar representation is also provided for the derivative of the transition probability density w.r.t. the time variable.     

The Operator Valued Autoregressive Filter Problem and the Suboptimal Nehari Problem in Two Variables

Necessary and sufficient conditions are given for the solvability of the operator valued two-variable autoregressive filter problem. In addition, in the two variable suboptimal Nehari problem sufficient conditions are given for when a strictly contractive little Hankel has a strictly contractive symbol.     

Exact asymptotics in eigenproblems for fractional Brownian covariance operators

Many results in the theory of Gaussian processes rely on the eigenstructure of the covariance operator. However, eigenproblems are notoriously hard to solve explicitly and closed form solutions are known only in a limited number of cases. In this paper we set up a framework for the spectral analysis of the fractional type covariance operators, corresponding to an important family of processes, which includes the fractional Brownian motion and its noise. We obtain accurate asymptotic approximations for the eigenvalues and the eigenfunctions. Our results provide a key to several problems, whose solution is long known in the standard Brownian case, but was missing in the more general fractional setting. This includes computation of the exact limits of $L^2$-small ball probabilities and asymptotic analysis of singularly perturbed integral equations, arising in mathematical physics and applied probability.     

On the ubiquitous Gelfand-Levitan-Marčenko (GLM) equation

We collect a number of derivations and interpretations of Gelfand-Levitan-Marenko (GLM) equations in various contexts. Relations to Riemann-Hilbert (RH) problems, tau functions and determinants, direct linearization techniques, etc. are discussed and some new results are included. We emphasize the role of spectral pairings of generalized eigenfunctions and exhibit various ways in which inverse scattering techniques arise. The natural extension and generalization of GLM techniques in the format of RH methods and coadjoint orbits in a Lie theoretic context is developed and the hierarchy point of view is explored in terms of spectral ideas. Thus, the roles and some limitations of the GLM and RH methods are exposed to some extent and some bridges are sketched to modern techniques in soliton mathematics involving hierarchies, tau functions, Lie theory, etc.     

Patterns and structure in systems governed by linear second-order differential equations

This article represents a survey of transmutation ideas and their interaction with typical physical problems. For linear second-order differential operatorsP andQ one deals with canonical connectionsB:PQ (transmutations) satisfyingQB=BP and the related transport of structure between the theories ofP andQ. One can study in an intrinsic manner, e.g., Parseval formulas, eigenfunction expansions, integral transform, special functions, inverse problems, integral equations, and related stochastic filtering and estimation problems, etc. There are applications in virtually any area where such operators arise.     

A probabilistic approach to spectral analysis of growth-fragmentation equations

The growth-fragmentation equation describes a system of growing and dividing particles, and arises in models of cell division, protein polymerisation and even telecommunications protocols. Several important questions about the equation concern the asymptotic behaviour of solutions at large times: at what rate do they converge to zero or infinity, and what does the asymptotic profile of the solutions look like? Does the rescaled solution converge to its asymptotic profile at an exponential speed? These questions have traditionally been studied using analytic techniques such as entropy methods or splitting of operators. In this work, we present a probabilistic approach: we use a Feynman–Kac formula to relate the solution of the growth-fragmentation equation to the semigroup of a Markov process, and characterise the rate of decay or growth in terms of this process. We then identify the Malthus exponent and the asymptotic profile in terms of a related Markov process, and give a spectral interpretation in terms of the growth-fragmentation operator and its dual.     

Spectral properties of the massless relativistic quartic oscillator

An explicit solution of the spectral problem of the non-local Schrödinger operator obtained as the sum of the square root of the Laplacian and a quartic potential in one dimension is presented. The eigenvalues are obtained as zeroes of special functions related to the fourth order Airy function, and closed formulae for the Fourier transform of the eigenfunctions are derived. These representations allow to derive further spectral properties such as estimates of spectral gaps, heat trace and the asymptotic distribution of eigenvalues, as well as a detailed analysis of the eigenfunctions. A subtle spectral effect is observed which manifests in an exponentially tight approximation of the spectrum by the zeroes of the dominating term in the Fourier representation of the eigenfunctions and its derivative.     

Threshold singularities of the spectral shift function for a half-plane magnetic Hamiltonian

We consider the Schrödinger operator with constant magnetic field defined on the half-plane with a Dirichlet boundary condition, $H_0$, and a decaying electric perturbation V. We study the Spectral Shift Function (SSF) associated to the pair $(H_0+V,H_0)$ near the Landau levels, which are thresholds in the spectrum of $H_0$. For perturbations of a fixed sign, we estimate the SSF in terms of the eigenvalue counting function for certain compact operators. If the decay of V is power-like, then using pseudodifferential analysis, we deduce that there are singularities at the thresholds and we obtain the corresponding asymptotic behavior of the SSF. Our technique gives also results for the Neumann boundary condition.     

Adaptive estimation for stochastic damping Hamiltonian systems under partial observation

The paper considers a process $Z_t=(X_t,Y_t)$ where $X_t$ is the position of a particle and $Y_t$ its velocity, driven by a hypoelliptic bi-dimensional stochastic differential equation. Under adequate conditions, the process is stationary and geometrically $\beta$-mixing. In this context, we propose an adaptive non-parametric kernel estimator of the stationary density $p$ of $Z$, based on $n$ discrete time observations with time step $\delta$. Two observation schemes are considered: in the first one, $Z$ is the observed process, in the second one, only $X$ is measured. Estimators are proposed in both settings and upper risk bounds of the mean integrated squared error (MISE) are proved and discussed in each case, the second one being more difficult than the first one. We propose a data driven bandwidth selection procedure based on the Goldenshluger and Lespki (2011) method. In both cases of complete and partial observations, we can prove a bound on the MISE asserting the adaptivity of the estimator. In practice, we take advantage of a very recent improvement of the Goldenshluger and Lespki (2011) method provided by Lacour et al. (2016), which is computationally efficient and easy to calibrate. We obtain convincing simulation results in both observation contexts.     

Some aspects of causal & neutral equations used in modelling

The problem that motivates the considerations here is the construction of mathematical models of natural phenomena that depend upon past states. The paper divides naturally into two parts: in the first, we expound the inter-connection between ordinary differential equations, delay-differential equations, neutral delay-differential equations and integral equations (with emphasis on certain linear cases). As we show, this leads to a natural hierarchy of model complexity when such equations are used in mathematical and computational modelling, and to the possibility of reformulating problems either to facilitate their numerical solution or to provide mathematical insight, or both. Volterra integral equations include as special cases the others we consider. In the second part, we develop some practical and theoretical consequences of results given in the first part. In particular, we consider various approaches to the definition of an adjoint, we establish (notably, in the context of sensitivity analysis for neutral delay-differential equations) rôles for well-defined adjoints and ‘quasi-adjoints’, and we explore relationships between sensitivity analysis, the variation of parameters formulae, the fundamental solution and adjoints.     

Well‐posedness of fractional degenerate differential equations with finite delay on vector‐valued functional spaces

We study the well‐posedness of the fractional degenerate differential equations with finite delay on Lebesgue–Bochner spaces , periodic Besov spaces and periodic Triebel–Lizorkin spaces , where A and M are closed linear operators on a Banach space X satisfying , F is a bounded linear operator from (resp. and ) into X, where is given by when and . Using known operator‐valued Fourier multiplier theorems, we give necessary or sufficient conditions for the well‐posedness of in the above three function spaces.     

复完备随机内积模上的随机酉算子群的Stone表示定理

设[a,b]是有限实区间,(S,∥·∥)是完备的随机赋范模并赋予(ε,λ)-拓扑.在本文中,我们首先引进了从[a,b]到S的抽象值函数的Riemann积分并给出值域几乎处处有界的连续函数Riemann可积的一个充分条件.然后我们研究了随机谱测度和随机测度之间的关系.最后,在上述两个准备工作的基础之上,我们建立了复完备随机内积模上随机酉算子群的Stone表示定理.