Multi-self-similar Markov processes on ℝ<Subscript>+</Subscript><Superscript><Emphasis Type="Italic">n</Emphasis></Superscript> and their Lamperti representations

 A classical result, due to Lamperti, establishes a one-to-one correspondence between a class of strictly positive Markov processes that are self-similar, and the class of one-dimensional Lévy processes. This correspondence is obtained by suitably time-changing the exponential of the Lévy process. In this paper we generalise Lamperti's result to processes in n dimensions. For the representation we obtain, it is essential that the same time-change be applied to all coordinates of the processes involved. Also for the statement of the main result we need the proper concept of self-similarity in higher dimensions, referred to as multi-self-similarity in the paper. The special case where the Lévy process ξ is standard Brownian motion in n dimensions is studied in detail. There are also specific comments on the case where ξ is an n-dimensional compound Poisson process with drift. Finally, we present some results concerning moment sequences, obtained by studying the multi-self-similar processes that correspond to n-dimensional subordinators. Received: 22 August 2002 / Revised version: 10 February 2003 Published online: 15 April 2003 RID="*" ID="*" MaPhySto – Centre for Mathematical Physics and Stochastics, funded by a grant from the Danish National Research Foundation Mathematics Subject Classification (2000): 60G18, 60G51, 60J25, 60J60, 60J75 Key words or phrases: Lévy process – Self-similarity – Time-change – Exponential functional – Brownian motion – Bessel process – Piecewise deterministic Markov process – Moment sequence     

Transience and recurrence of quantum Markov semigroups

 This article introduces a concept of transience and recurrence for a Quantum Markov Semigroup and explores its main properties via the associated potential. We show that an irreducible semigroup is either recurrent or transient and characterize transient semigroups by means of the existence of non trivial superharmonic operators. Received: 27 January 2003 / Revised version: 19 February 2003 / Published online: 12 May 2003 This research has been partially supported by the ``Cátedra Presidencial en Análisis Cualitativo de Sistemas Dinámicos Cuánticos', DIPUC, FONDECYT project 1030552, MIUR program ``Probabilità Quantistica e Applicazioni', 2003-2004 and MECESUP PUC 0103. Mathematics Subject Classification (2000): 60J45, 81S25, 60J99, 37A50, 47A40 Key words or phrases: Quantum Markov semigroups – Potential theory – Markov processes     

Localization transition of <Emphasis Type="Italic">d</Emphasis>-friendly walkers

 Friendly walkers is a stochastic model obtained from independent one-dimensional simple random walks {S ^k _j } _j≥0 , k=1,2,…,d by introducing ``non-crossing condition': and ``reward for collisions' characterized by parameters . Here, the reward for collisions is described as follows. If, at a given time n, a site in ℤ is occupied by exactly m≥2 walkers, then the site increases the probabilistic weight for the walkers by multiplicative factor exp (β _m )≥1. We study the localization transition of this model in terms of the positivity of the free energy and describe the location and the shape of the critical surface in the (d−1)-dimensional space for the parameters . Received: 13 June 2002 / Revised version: 24 August 2002 Published online: 28 March 2003 Mathematics Subject Classification (2000): 82B41, 82B26, 82D60, 60G50 Key words or phrases: Random walks – Random surfaces – Lattice animals – Phase transitions – Polymers – Random walks     

Weak convergence to fractional Brownian motion in Brownian scenery

 Kesten and Spitzer have shown that certain random walks in random sceneries converge to stable processes in random sceneries. In this paper, we consider certain random walks in sceneries defined using stationary Gaussian sequence, and show their convergence towards a certain self-similar process that we call fractional Brownian motion in Brownian scenery. Received: 17 April 2002 / Revised version: 11 October 2002 / Published online: 15 April 2003 Research supported by NSFC (10131040). Mathematics Subject Classification (2002): 60J55, 60J15, 60J65 Key words or phrases: Weak convergence – Random walk in random scenery – Local time – Fractional Brownian motion in Brownian scenery     

On contraction properties of Markov kernels

 We study Lipschitz contraction properties of general Markov kernels seen as operators on spaces of probability measures equipped with entropy-like ``distances'. Universal quantitative bounds on the associated ergodic constants are deduced from Dobrushin's ergodic coefficient. Strong contraction properties in Orlicz spaces for relative densities are proved under more restrictive mixing assumptions. We also describe contraction bounds in the entropy sense around arbitrary probability measures by introducing a suitable Dirichlet form and the corresponding modified logarithmic Sobolev constants. The interest in these bounds is illustrated on the example of inhomogeneous Gaussian chains. In particular, the existence of an invariant measure is not required in general. Received: 31 October 2000 / Revised version: 21 February 2003 / Published online: 12 May 2003 L. Miclo also thanks the hospitality and support of the Instituto de Matemática Pura e Aplicada, Rio de Janeiro, Brasil, where part of this work was done. Mathematics Subject Classification (2000): 60J05, 60J22, 37A30, 37A25, 39A11, 39A12, 46E39, 28A33, 47D07 Key words or phrases: Lipschitz contraction – Generalized relative entropy – Markov kernel – Dobrushin's ergodic coefficient – Orlicz norm – Dirichlet form – Spectral gap – Modified logarithmic Sobolev inequality – Inhomogeneous Gaussian chains – Loose of memory property     

Reconstructing a random scenery observed with random errors along a random walk path

 We show that an i.i.d. uniformly colored scenery on ℤ observed along a random walk path with bounded jumps can still be reconstructed if there are some errors in the observations. We assume the random walk is recurrent and can reach every point with positive probability. At time k, the random walker observes the color at her present location with probability 1−δ and an error Y _k with probability δ. The errors Y _k , k≥0, are assumed to be stationary and ergodic and independent of scenery and random walk. If the number of colors is strictly larger than the number of possible jumps for the random walk and δ is sufficiently small, then almost all sceneries can be almost surely reconstructed up to translations and reflections. Received: 3 February 2002 / Revised version: 15 January 2003 Published online: 28 March 2003 Mathematics Subject Classification (2000): 60K37, 60G50 Key words or phrases:Scenery reconstruction – Random walk – Coin tossing problems     

On the infinite divisibility of squared Gaussian processes

 We show that fractional Brownian motions with index in (0,1] satisfy a remarkable property: their squares are infinitely divisible. We also prove that a large class of Gaussian processes are sharing this property. This property then allows the construction of two-parameters families of processes having the additivity property of the squared Bessel processes. Received: 1 April 2002 / Revised version: 7 September 2002 / Published online: 19 December 2002 Mathematics Subject Classification (2000): 60E07, 60G15, 60J25, 60J55 Key words or phrases: Gaussian processes – Infinite divisibility – Markov processes     

Lower bounds for densities of uniformly elliptic random variables on Wiener space

 In this article, we generalize the lower bound estimates for uniformly elliptic diffusion processes obtained by Kusuoka and Stroock. We define the concept of uniform elliptic random variable on Wiener space and show that with this definition one can prove a lower bound estimate of Gaussian type for its density. We apply our results to the case of the stochastic heat equation under the hypothesis of unifom ellipticity of the diffusion coefficient. Received: 6 November 2001 / Revised version: 27 February 2003 / Published online: 12 May 2003 Key words or phrases: Malliavin Calculus – Density estimates – Aronson estimates     

Quenched asymptotics of the ground state energy of random Schrödinger operators with scaled Gibbsian potentials

 This article describes the almost sure infinite volume asymptotics of the ground state energy of random Schr?dinger operators with scaled Gibbsian potentials. The random potential is obtained by distributing soft obstacles according to an infinite volume grand canonical tempered Gibbs measure with a superstable pair interaction. There is no restriction on the strength of the pair interaction: it may be taken, e.g., at a critical point. The potential is scaled with the box size in a critical way, i.e. the scale is determined by the typical size of large deviations in the Gibbsian cloud. The almost sure infinite volume asymptotics of the ground state energy is described in terms of two equivalent deterministic variational principles involving only thermodynamic quantities. The qualitative behaviour of the ground state energy asymptotics is analysed: Depending on the dimension and on the H?lder exponents of the free energy density, it is identified which cases lead to a phase transition of the asymptotic behaviour of the ground state energy. Received: 24 June 2002 / Revised version: 17 February 2003 Published online: 12 May 2003 Mathematics Subject Classification (2000): Primary 82B44; Secondary 60K35 Key words or phrases: Gibbs measure – H?lder exponents – Random Schr?dinger operator – Ground state – Large deviations     

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     

Variational conditions with smooth constraints: structure and analysis

 This is an expository paper about the analysis of variational conditions over sets defined in finite-dimensional spaces by fairly smooth functions satisfying a constraint qualification. The primary focus is on results that can provide quantitative and computable sensitivity information for particular instances of the problems under study, and our objective is to give a personal view of the state of current knowledge in this area and of gaps in that knowledge that require future work. The writing style is informal, in keeping with the objective of focusing the reader's attention on the basic concepts and the relationships between them, rather than on details of the particular results themselves. Received: December 1, 2002 / Accepted: April 25, 2003 Published online: May 28, 2003 Key words. variational condition – variational inequality – complementarity – sensitivity – stability – nondegeneracy Mathematics Subject Classification (2000): Primary: 90C31. Secondary: 47J20, 49J40, 49J53, 90C33     

Crisp and fuzzy <Emphasis Type="Italic">k</Emphasis>-means clustering algorithms for multivariate functional data

Functional data analysis, as proposed by Ramsay (Psychometrika 47:379–396, 1982), has recently attracted many researchers. The most popular approach taken in recent studies of functional data has been the extension of statistical methods for the analysis of usual data to that of functional data (e.g., Ramsay and Silverman in Functional data Analysis Springer, Berlin Heidelberg New York, 1997, Applied functional data analysis: methods and case studies. Springer, Berlin Heidelberg New York, 2002; Mizuta in Proceedings of the tenth Japan and Korea Joint Conference of Statistics, pp 77–82, 2000; Shimokawa et al. in Japan J Appl Stat 29:27–39, 2000). In addition, several methods for clustering functional data have been proposed (Abraham et al. in Scand J Stat 30:581–595, 2003; Gareth and Catherine in J Am Stat Assoc 98:397–408, 2003; Tarpey and kinateder in J Classif 20:93–114, 2003; Rossi et al. in Proceedings of European Symposium on Artificial Neural Networks pp 305–312, 2004). Furthermore, Tokushige et al. (J Jpn Soc Comput Stat 15:319–326, 2002) defined several dissimilarities between functions for the case of functional data. In this paper, we extend existing crisp and fuzzy k-means clustering algorithms to the analysis of multivariate functional data. In particular, we consider the dissimilarity between functions as a function. Furthermore, cluster centers and memberships, which are defined as functions, are determined at the minimum of a certain target function by using a calculus-of-variations approach.     

Multifractal products of cylindrical pulses

 New multiplicative and statistically self-similar measures μ are defined on ℝ as limits of measure-valued martingales. Those martingales are constructed by multiplying random functions attached to the points of a statistically self-similar Poisson point process defined in a strip of the plane. Several fundamental problems are solved, including the non-degeneracy and the multifractal analysis of μ. On a bounded interval, the positive and negative moments of diverge under broad conditions. First received: 14 September 1999 / Resubmited: 27 June 2001 / Revised version: 30 May 2002 / Published online: 30 September 2002 Mathematics Subject Classification (2002): 28A80, 60G18, 60G44, 60G55, 60G57 Key words or phrases: Random measures – Multifractal analysis – Continuous time martingales – Statistically self-similar Poisson point processes     

Four-manifolds with π<Subscript>1</Subscript>–free second homotopy

 We study the homotopy type of closed connected orientable topological 4–manifolds M with Λ–free second homotopy group, where Λ is the integral group ring of π₁(M). This is related with problem N.4.53 of [23], and extends some results proved for the class of closed 4–manifolds with free fundamental group [10][11]. Other applications on special classes of closed topological manifolds complete the paper. Received: 27 November 2001 / Revised version: 28 October 2002 Published online: 19 May 2003 Work performed under the auspices of the GNSAGA of the CNR of Italy and partially supported by Ministero per la Ricerca Scientifica e Tecnologica of Italy within the project Proprietà Geometriche delle Varietà Reali e Complesse, and by a research grant of the University of Modena and Reggio Emilia. Mathematics Subject Classification (2000): Primary: 57 N 65, 57 R 67; Secondary: 57 Q 10, 57 R 80     

An <Emphasis Type="Italic">s</Emphasis>-Hamiltonian Line Graph Problem

For an integer k > 0, a graph G is k-triangular if every edge of G lies in at least k distinct 3-cycles of G. In (J Graph Theory 11:399–407 (1987)), Broersma and Veldman proposed an open problem: for a given positive integer k, determine the value s for which the statement “Let G be a k-triangular graph. Then L(G), the line graph of G, is s-hamiltonian if and only L(G) is (s + 2)-connected” is valid. Broersma and Veldman proved in 1987 that the statement above holds for 0 ≤ s ≤ k and asked, specifically, if the statement holds when s = 2k. In this paper, we prove that the statement above holds for 0 ≤ s ≤ max{2k, 6k − 16}.     

Une procédure de Calderón-Zygmund pour le problème de la racine <Emphasis Type="Italic">k</Emphasis>-ième

Soit f une fonction définie sur un ouvert de ℝ ^d , à valeurs positives ou nulles, de classe C ^k , où k est un entier ≥2. Un résultat de Colombini–Jannelli–Spagnolo assure que ∇(f ^{1/ k} ) appartient à L ¹ _loc. Nous démontrons ici que ∇(f ^{1/ k} )∈L _w ^{k / k −2}, ce qui fournit une amélioration optimale du résultat ci-dessus et une généralisation d’un théorème classique de Glaeser sur la racine carrée. La méthode de preuve requiert l’usage d’une décomposition de Calderón–Zygmund de la fonction f qui nous permet de nous ramener à des formes normales de manipulation simple. Nous montrons également que la régularité C ^k est essentiellement nécessaire au résultat. Nous donnons quelques applications à des problèmes d’équations aux dérivées partielles faiblement hyperboliques. L’adaptabilité des méthodes de décomposition de Calderón-Zygmund, utilisées en analyse harmonique et pseudo-différentielle, trouve dans ces résultats une nouvelle illustration.

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Received: December 13, 2001?Published online: April 14, 2003     

The Fine Spectra of the Difference Operator △ Over the Sequence Space bvp, （1 ≤ p 〈 ∞）^＊

The sequence space bvp consisting of all sequences （xk） such that （xk -xk-1） belongs to the space gp has recently been introduced by Basar and Altay [Ukrainian Math. J., 55（1）, 136-147（2003）]; where 1 ≤ p ≤ ∞. In the present paper, some results concerning with the continuous dual and f-dual, and the AD-property of the sequence space bvp have been given and the norm of the difference operator A acting on the sequence space bvp has been found. The fine spectrum with respect to the Goldberg＇s classification of the difference operator △ over the sequence space bvp has been determined, where 1≤p〈∞.     

The <Emphasis Type="Italic">M</Emphasis>/<Emphasis Type="Italic">G</Emphasis>/∞ system revisited: finiteness,summability, long range dependence,and reverse engineering

We explore M/G/∞ systems ‘fed’ by Poissonian inflows with infinite arrival rates. Three processes – corresponding to the system's state, workload, and queue-size – are studied and analyzed. Closed form formulae characterizing the system's stationary structure and correlation structure are derived. And, the issues of queue finiteness, workload summability, and Long Range Dependence are investigated. We then turn to devise a ‘reverse engineering’ scheme for the design of the system's correlation structure. Namely: how to construct an M/G/∞ system with a pre-desired ‘target’ workload/queue auto-covariance function. The ‘reverse engineering’ scheme is applied to various examples, including ones with infinite queues and non-summable workloads. AMS Subject Classifications Primary: 60K25; Secondary: 60G55, 60G10     

Adaptive estimation of the intensity of inhomogeneous Poisson processes via concentration inequalities

 In this paper, we establish oracle inequalities for penalized projection estimators of the intensity of an inhomogeneous Poisson process. We study consequently the adaptive properties of penalized projection estimators. At first we provide lower bounds for the minimax risk over various sets of smoothness for the intensity and then we prove that our estimators achieve these lower bounds up to some constants. The crucial tools to obtain the oracle inequalities are new concentration inequalities for suprema of integral functionals of Poisson processes which are analogous to Talagrand's inequalities for empirical processes. Received: 24 April 2001 / Revised version: 9 October 2002 / Published online: 15 April 2003 Mathematics Subject Classification (2000): 60E15, 62G05, 62G07 Key words or phrases: Inhomogeneous Poisson process – Concentration inequalities – Model selection – Penalized projection estimator – Adaptive estimation     

Green function estimate for censored stable processes

 Sharp two-sided estimates for Green functions of censored α-stable process Y in a bounded C ^1,1 open set D are obtained, where α  (1, 2). It is shown that the Martin boundary and minimal Martin boundary of Y can all be identified with the Euclidean boundary of D. Sharp two-sided estimates for the Martin kernel of Y are also derived. Received: 27 January 2002 / Revised version: 10 June 2002 / Published online: 24 October 2002 This research is supported in part by NSF Grant DMS-0071486. Mathematics Subject Classification (2002): Primary: 60J45, 31C35; Secondary: 60G52, 31C15 Keywords or phrases: Censored stable process – Green function – Capacity – Martin boundary – Martin kernel – Harmonic function