Order conditions for linearly implicit fractional step Runge Kutta methods

^{In this paper, we study the consistency of a variant of fractionalstep Runge–Kutta methods. These methods are designed tointegrate efficiently semi-linear multidimensional parabolicproblems by means of linearly implicit time integration processes.Such time discretization procedures are also related to a splittingof the space differential operator (or the spatial discretizationof it) as a sum of ‘simpler’ linear differentialoperators and a nonlinear term.}     

非齐次可列马尔可夫过程的轨道性质

§1 状态分类 定义1.1 设I是非负整数集,P={P_(ij)(s,t)|i,j∈I,α≤s≤t≤b}是转移函数矩阵。称P对i在t右标准,若limp_(ii)(t,t+h)=1;称P对i在t左标准,若limP_(ii)(t-h,t)=1.若P对i在t同时为右标准的和左标准的,则称P对i在t标准。若P对i在每个t标准,则称P对i标准。P对i右标准或左标准与此类似。若P对每个i标准,则称P标准。P右标准或左标准与此类似(参看[5]、[6])。     

Convergence faible vers une classe de processus Gaussiens en norme de Besov anisotropique

We prove an approximation result of Donsker's type in anisotropic Besov spaces for a class of two parameter Gaussian processes. The particular case of the fractional Brownian sheet was considered in [X. Bardina, C. Florit, Approximation in law to the d-parameter fractional Brownian sheet based on the functional invariance principle, Preprint, 2003] for the Banach space of continuous functions.     

Competing output-sensitive frame algorithms

Two output-sensitive procedures for identifying the extreme points (the “frame”) of the convex hull of a finite point set have appeared in the literature: one by Dulá and Helgason (1996) [10] and the other by Ottmann et al. (2001) [27]. The two procedures are in dual spaces and differ enough to motivate the question as to how they compare in a fair competition. We derive an improved dualized version of the procedure in Ottmann et al. (2001) [27] and compare it to the one in Dulá and Helgason (1996) [10] using a well-structured, large-scale, problem suite.     

A maximal inequality for stochastic convolution integrals on hilbert spaces and space-time regularity of linear stochastic partial differential equations

We consider optimal control problems for one-dimensional diffusion processes [ILM0001] where the control processes υ_t are increasing, positive, and adapted. Several types of expected cost structures associated with each policy υ(.) are adopted, e.g. discounted cost, long term average cost and time average cost. Our work is related to [2,6,12,14,16 and 21], where diffusions are allowed to evolve in the whole space, and to [13] and [20], where diffusions evolve only in bounded regions. We shall present some analytic results about value functions, mainly their characterizations, by simple dynamic programming arguments. Several simple examples are explicitly solved to illustrate the singular behaviour of our problems.     

Characterization of Classical and Quantum Poisson Systems by Thinnings and Splittings

There exist several well–known characterizations of Poisson and mixed Poisson point processes (Cox processes) by thinning and splitting procedures. So a point process is necessarily a Cox process if for arbitrary small thinning parameter it can be obtained by a thinning of some other point process [30]. Poisson processes are characterized by the independence of the two random subconfigurations obtained by an independent splitting of the configuration into two parts [11]. For quantum mechanical particle systems beam splittings which are well–known in quantum optics provide analogous procedures. It is shown that coherent states respectively mixtures of them can be characterized in the same way as Poisson processes and Cox processes. Moreover, for the position distributions of these states which are “classical” point processes just the above mentioned characterizations are obtained. As example of mixed coherent states we consider Gaussian states which arise as equilibrium states of ideal Bose gases.     

Context tree selection: A unifying view

Context tree models have been introduced by Rissanen in [25] as a parsimonious generalization of Markov models. Since then, they have been widely used in applied probability and statistics. The present paper investigates non-asymptotic properties of two popular procedures of context tree estimation: Rissanen’s algorithm Context and penalized maximum likelihood. First showing how they are related, we prove finite horizon bounds for the probability of over- and under-estimation. Concerning over-estimation, no boundedness or loss-of-memory conditions are required: the proof relies on new deviation inequalities for empirical probabilities of independent interest. The under-estimation properties rely on classical hypotheses for processes of infinite memory. These results improve on and generalize the bounds obtained in Duarte et al. (2006) [12], Galves et al. (2008) [18], Galves and Leonardi (2008) [17], Leonardi (2010) [22], refining asymptotic results of Bühlmann and Wyner (1999) [4] and Csiszár and Talata (2006) [9].     

Supercritical Spatially Homogeneous Branching in Admits no Equilibria

At the beginning of investigations in spatially homogeneous branching processes in Euclidean space (Liemant [1]) it seemed to be obvious that the existence of equilibria implies criticality of branching. This prejudice was disproved by the example [2] of a subcritical homogeneous branching equilibrium in dimension one. We prove that supercritical homogeneous branching processes in Euclidean space and, more general, in a broad class of topological groups have no (non – void, homogeneous) equilibria.     

An invariance principle for non-symmetric Markov processes and reflecting diffusions in random domains

Summary We study an invariance principle for additive functionals of nonsymmetric Markov processes with singular mean forward velocities. We generalize results of Kipnis and Varadhan [KV] and De Masi et al. [De] in two directions: Markov processes are non-symmetric, and mean forward velocities are distributions. We study continuous time Markov processes. We use our result to homogenize non-symmetric reflecting diffusions in random domains.     

跳过程随机可比的充要条件

本文研究跳过程的随机可比性·基于文献［２］和［３］,证明两个跳过程随机可比的充要条件是其ｑ对可比·同时,改进了［６］中唯一性问题的结果     

Prolate spheroidal wave functions,Sonine spaces,and the Riemann zeta function

In this paper we study underlying spaces associated with A. Connes? trace formula (see Connes (1999) [3], Li (2010) [14]). In particular the explicit formula in the theory of prime numbers is expressed as the trace of an operator acting on a Hilbert space, which is a direct sum of a Sonine space, the space of prolate spheroidal wave functions, and a variant of the space of prolate spheroidal wave functions. A formula is obtained for the orthogonal projection of the Hilbert space onto the Sonine space. A base is given for the variant space of the space of prolate spheroidal wave functions.     

A normalized algorithm for the solution of sparse symmetric seven-diagonal linear systems of semi-bandwidths M and P

In a recent paper [3] normalized factorization procedures for the solution of self-adjoint elliptic partial differential equations in three space dimensions are introduced. In this procedure the coefficient matrix derived from the finite difference discretization of p.d.e.'s is factorized exactly to yield a normalized direct method of solution. The numerical implementation of the algorithm is presented in this paper and FORTRAN subroutines for the efficient solution of the resulting large sparse symmetric seven-diagonal systems are given.     

Über assoziierte lineare und lokalkonvexe Topologien

Certain properties E of linear topological or locally convex spaces induce a functor in the corresponding category, which assigns to every space (X,F) an associated topologyF ^E. The well-known notions of the coarsest barrelled topology stronger than a given locally convex topology or of the strongest locally convex topology weaker than a given linear topology are examples of this concept. In the first two parts of this paper we consider the problem, whether the above functors commute with other processes, such as forming products, linear and locally convex direct sums, inductive limits and completions. With help of two technical lemmas we prove in the third part, that every separated locally convex space is a quotient of a complete locally convex space, in which every bounded set has a finite dimensional linear span. This sharpens results of Y. Kōmura [12], M. Valdivia [18] and W.J. Wilbur [20].     

Weighted Strichartz estimates for the wave equation in even space dimensions

We prove the weighted Strichartz estimates for the wave equation in even space dimensions with radial symmetry in space. Although the odd space dimensional cases have been treated in our previous paper [5], the lack of the Huygens principle prevents us from a similar treatment in even space dimensions. The proof is based on the two explicit representations of solutions due to Rammaha [11] and Takamura [14] and to Kubo-Kubota [6]. As in the odd space dimensional cases [5], we are also able to construct self-similar solutions to semilinear wave equations on the basis of the weighted Strichartz estimates.Mathematics Subject Classification (2000): 35L05, 35B45, 35L70COE fellowDedicated to Professor Mitsuru Ikawa on the occasion of his sixtieth birthday     

Über die Bewertung von Kreditderivaten unter unvollständiger Information

This article illustrates the most important results of the diploma thesis Wendler [8]. First, a dynamic information market model based on Frey et al. [2] is introduced. It is able to simulate price processes of portfolio products with dependent underlyings. In the second part, this model is applied to the valuation of synthetic collateralized debt obligations. Therefor, well known procedures are taken up from literature and new algorithms are developed.     

Monotonic time-discretized schemes in quantum control

Most of the numerical simulations in quantum (bilinear) control have used monotonically convergent algorithms of Krotov (introduced by Tannor et al. [15]), of Zhu & Rabitz [16] or their unified formulation in [17]. However, the properties of the discrete version of these procedures have not been yet tackled with. We present in this paper a stable time and space discretization which preserves the monotonic properties of the monotonic algorithms. Numerical results show that the newly derived algorithms are stable and enable various experimentations.     

Equivalent descriptions of perturbed Markov processes

Perturbation models as described in detail by Syski [9] are investigated from the point of view of transformations of time or of state. We consider whether the perturbed Markov process is equivalent to a state or time transformation of a process similar to the unperturbed one. Ways of ensuring such equivalences are discussed and a brief look at perturbations for continuous parameter, continuous state space processes is also taken.     

Global attractivity results for nonlinear functional integral equations via a Krasnoselskii type fixed point theorem

In this paper, two results concerning the global attractivity and global asymptotic attractivity of the solutions for a nonlinear functional integral equation are proved via a variant of the Krasnoselskii fixed point theorem due to Dhage [B.C. Dhage, A fixed point theorem in Banach algebras with applications to functional integral equations, Kyungpook Math. J. 44 (2004) 145–155]. The investigations are placed in the Banach space of real functions defined, continuous and bounded on an unbounded interval. A couple of examples are indicated for demonstrating the natural realizations of the abstract results presented in the paper. Our results generalize the attractivity results of Banas and Rzepka [J. Banas, B. Rzepka, An application of measures of noncompactness in the study of asymptotic stability, Appl. Math. Lett. 16 (2003) 1–6] and Banas and Dhage [J. Banas, B.C. Dhage, Global asymptotic stability of solutions of a functional integral equations, Nonlinear Anal. (2007), doi:10.1016/j.na.2007.07.038], under weaker conditions with a different method.     

A finite difference approach for the initial-boundary value problem of the fractional Klein-Kramers equation in phase space

Considering the features of the fractional Klein-Kramers equation (FKKE) in phase space, only the unilateral boundary condition in position direction is needed, which is different from the bilateral boundary conditions in [Cartling B., Kinetics of activated processes from nonstationary solutions of the Fokker-Planck equation for a bistable potential, J. Chem. Phys., 1987, 87(5), 2638–2648] and [Deng W., Li C., Finite difference methods and their physical constrains for the fractional Klein-Kramers equation, Numer. Methods Partial Differential Equations, 2011, 27(6), 1561–1583]. In the paper, a finite difference scheme is constructed, where temporal fractional derivatives are approximated using L1 discretization. The advantages of the scheme are: for every temporal level it can be dealt with from one side to the other one in position direction, and for any fixed position only a tri-diagonal system of linear algebraic equations needs to be solved. The computational amount reduces compared with the ADI scheme in [Cartling B., Kinetics of activated processes from nonstationary solutions of the Fokker-Planck equation for a bistable potential, J. Chem. Phys., 1987, 87(5), 2638–2648] and the five-point scheme in [Deng W., Li C., Finite difference methods and their physical constrains for the fractional Klein-Kramers equation, Numer. Methods Partial Differential Equations, 2011, 27(6), 1561–1583]. The stability and convergence are proved and two examples are included to show the accuracy and effectiveness of the method.     

Limit theorems for random processes with random time substitution

In this paper we prove a theorem on sufficient conditions for the convergence in the Skorokhod space D[0, 1] of a sequence of random processes with random time substitution. We obtain almost sure versions of this theorem.