An explicit linear solution for the quadratic dynamic programming problem

For a given vectorx ₀, the sequence {x _t} which optimizes the sum of discounted rewardsr(x _t, x_t+1), wherer is a quadratic function, is shown to be generated by a linear decision rulex _t+1=Sx _t +R. Moreover, the coefficientsR,S are given by explicit formulas in terms of the coefficients of the reward functionr. A unique steady-state is shown to exist (except for a degenerate case), and its stability is discussed.     

Cauchy problem for a nonlinear parabolic system via operator-valued multiplicative functionals of Markov random processes

For second-order, nonlinear, parabolic systems with an infinite number of independent variables, we prove the correct solvability of the Cauchy problem on a small time interval. We construct a Markov random process with the aid of which we express the solution of the problem.Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta Im. V. A. Steklova Akad. Nauk SSSR, Vol. 96, pp. 23–29, 1980.     

Some zero-one laws for additive functionals of Markov processes

Summary Let (X _t,P ^x ) be anm-symmetric Markov process with a strictly positive transition density. Consider the additive functionalA _t : = ₀ ^t f (X _s ) wheref:E[0, ] is a universally measurable function on the state spaceE. Among others, we prove thatP ^x (A _t <)=1, for somexE and somet>0, already impliesP ^x (A _t <)=1, for quasi everyxE and allt>0. The latter is also equivalent toP ^x (A _t <)>0, for quasi everyxE and allt>0, and to the analytic condition , for a sequence of finely open Borel setsF _n such thatEF _n is polar. In the special cases of Brownian motion and Bessel process, these results were obtained earlier by H.J. Engelbert, W. Schmidt, X.-X. Xue and the authors.     

Estimation error for occupation time functionals of stationary Markov processes

The approximation of integral functionals with respect to a stationary Markov process by a Riemann sum estimator is studied. Stationarity and the functional calculus of the infinitesimal generator of the process are used to explicitly calculate the estimation error and to prove a general finite sample error bound. The presented approach admits general integrands and gives a unifying explanation for different rates obtained in the literature. Several examples demonstrate how the general bound can be related to well-known function spaces.     

Functional law of iterated logarithm for additive functionals of reversible Markov processes

1.IntroductionandMainResultsAssumethat(Xt),.T(T~NorAl)isaPolishspaceE-valuedMarkovprocess,definedon(fi,F,(R),(ot),(P-c)..E),withitssemigroupoftransitionkernels(Pt).Here(ot)isthesemigroupofshiftsonfisuchthatX.(otw)~X. t(w),Vs,tET;(R)isthenaturalfiltration.Throughoutthispaperweassumethat(Pt)issymmetricandergodicwithrespectto(w.r.t.forshort)aprobabilitymeasurepon(E,e)(eistheBorela--fieldofE),i.e.,.Symmetry:(Ptf,g)~(f,Pig):~isfptgdp,acET,if,gCL'(P);.ErgodicitytFOranyfEL'(P),ifPtf~f…     

The central limit theorem for additive functionals of Markov and semi-Markov processes

One presents the results obtained recently by the collaborators of the Institute of Mathematics, Academy of Sciences of the Ukrainian SSR, regarding limit theorems for additive functionals of Markov and semi-Markov processes. One makes use of the theory of inversion of singularly perturbed semigroups of operators in the phase extension scheme and of the methods of asymptotic analysis of singularly perturbed Markov renewal equations.Translated from Veroyatnostnye Raspredeleniya i Matematicheskaya Statistika, pp. 229–246, 1986.     

The law of iterated logarithm for additive functionals and martingale additive functionals of Harris recurrent Markov processes

We use Nummelin splitting in continuous time in order to prove laws of iterated logarithm for additive functionals of a Harris recurrent Markov process, with deterministic or random renormalization.     

An explicit solution of the linear filtering problem for certain classes of nonrational spectral densities

We present an explicit solution of the problem of optimal linear filtering: the recovery of the useful signal(s) at the instantt+, (>0,<0, or=0) from known values of the received signal(s)=(s)+(s) in the past, i.e., at the instantt–s, s0. In doing so we assume the random processes(s) and /gr(s) are stationary and jointly stationary, while the stationary process of noise (s) with zero mean is assumed to be mutually correlated and jointly stationary with the process(s) under the assumption that there exists a common spectral densityf() for these processes.Translated fromTeoriya Sluchaínykh Protsessov, Vol. 14, pp. 83–91, 1986.     

An explicit solution for an instantaneous two-phase Stefan problem with nonlinear thermal coefficients

We consider a nonlinear heat conduction problem for a semi-infinitematerial x > 0, with phase-change temperature T₁, an initialtemperature T₂ (> T₁) and a heat flux of the type q (t) =q₀/t imposed on the fixed face x = 0. We assume that the volumetricheat capacity and the thermal conductivity are particular nonlinearfunctions of the temperature in both solid and liquid phases. We determine necessary and/or sufficient conditions on the parametersof the problem in order to obtain the existence of an explicitsolution for an instantaneous nonlinear twophase Stefan problem(solidification process).     

An explicit counterexample for the Lp-maximal regularity problem

In this short Note we give a self-contained example of a consistent family of holomorphic semigroups $(T_p{(t))}_{t?0}$ such that $(T_p{(t))}_{t?0}$ does not have maximal regularity for $p>2$. This answers negatively the open question whether maximal regularity extrapolates from $L^2$ to the $L^p$-scale.     

To the problem of canonical factorization for Markov additive processes

We extend the well-known results on canonical factorization for Markov additive processes with a finite Markov chain to the case where this chain is countable. We also formulate some corollaries of these results.Published in Ukrainskii Matematicheskii Zhurnal, Vol. 47, No. 7, pp. 869–875, July, 1995.     

An explicit finite difference solution to the convection-dispersion equation

An explicit finite difference equation has been development for the solution of the convection-dispersion equation. This equation has been over the entire range of 2D/vΔx between zero and one, region where no completely satisfactory method has been previously available. No oscillations or numerical dispersion were observed in any of the solutions.     

An explicit solution to Post's Problem over the reals

In the BSS model of real number computations we prove a concrete and explicit semi-decidable language to be undecidable yet not reducible from (and thus strictly easier than) the real Halting Language. This solution to Post's Problem over the reals significantly differs from its classical, discrete variant where advanced diagonalization techniques are only known to yield the existence   of such intermediate Turing degrees. Then we strengthen the above result and show as well the existence of an uncountable number of incomparable semi-decidable Turing degrees below the real Halting Problem in the BSS model. Again, our proof will give concrete such problems representing these different degrees. Finally we show the corresponding result for the linear BSS model, that is over (R,+,-,<)$(\mathbb{R},+,-,<)$ rather than (R,+,-,×,÷,<)$(\mathbb{R},+,-,\times ,÷,<)$.