On minimax filtration of vector processes

We study the problem of optimal linear estimation of the transformation of a stationary random process (t) with values in a Hilbert space by observations of the process (t) + (t) fort0. We obtain relations for computing the error and the spectral characteristic of the optimal linear estimate of the transformationA for given spectral densities of the processes (t) and (t). The minimax spectral characteristics and the least favorable spectral densities are obtained for various classes of densities.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 45, No. 3, pp. 389–397, March, 1993.     

Minimax filtration of linear transformations of stationary sequences

We will consider the problem of determining a linear, mean-square optimal estimate of the transformation of a stationary random sequence (k) with density f() from observations of the sequence (k) + n(k) withk0, where (k) is a stationary sequence not correlated with (k) with density g(). The least favorable spectral densities and minimax (robust) spectral characteristics of an optimal estimate A for different classes of densities are found.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 43, No. 1, pp. 92–99, January, 1991.     

On the rate of convergence of an unstable solution of a stochastic differential equation

We study the rate of convergence of the process(tT)/T to the processw(t)/ asT , where(t) is a solution of the stochastic differential equationd(t)=a((t))dt+((t))dw(t) Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 46, No. 10, pp. 1424–1427, October, 1994.     

Deterministic approximations of probability inequalities

A simple general framework for derivingexplicit deterministic approximations of probability inequalities of the formP(a) is presented. These approximations are based on limited parametric information about the involved random variables (such as their mean, variance, range or upper bound values). First the case of a single random variable is analysed, followed by the cases of independent and dependent summands . As examples of possible applications, a stochastic extension of the knapsack problem and the stochastic linear programming problem with separate chance-constraints are investigated: we provide approximate deterministic surrogates for these problems.

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Zusammenfassung Es wird ein Rahmen zur Ableitung expliziter deterministischer Approximation für Wahrscheinlichkeitsungleichungen der FormP(a) angegeben. Diese Approximationen basieren auf begrenzter parametrischer Information über die beteiligten Zufallsvariablen (wie ihr Erwartungswert, Varianz, Wertebereich oder obere Schranken). Zuerst wird der Fail einer Zufallsvariablen analysiert, sodann werden Summen von unabhängigen Summanden betrachtet. Als Beispiele für mögliche Anwendungen wird eine stochastische Erweiterung des Rucksack-problems untersucht sowie stochastische lineare Programme mit separablen Wahrscheinlichkeitsrestriktionen. Für diese Probleme werden näherungsweise deterministische Ersatzprobleme angegeben.

     

Parabolic Differential Equations in Ordered Banach Spaces of Bounded Functions

Let A be a set, and let E be the Banach space of bounded functions : A R, equipped with its natural order. With a rectangle R = (a,b) × (0,T] let F(x,t,) : R × E E be a bounded, continuous function satisfying a local Hölder condition and being quasimonotone increasing with respect to . Then there exists a solution u: [a,b] × [0,T] E of the problem ut(x,t) – uxx(x,t) = F(x,t,u(x,t)) ((x,t) R), u(x,t) = 0 ((x,t) R R).     

On the Continuity of Pathwise Solutions to Langevin Equations in Infinite Dimensions

We fix a rich probability space (,F,P). Let (H,) be a separable Hilbert space and let be the canonical cylindrical Gaussian measure on H. Given any abstract Wiener space (H,B,) over H, and for every Hilbert–Schmidt operator T: HBH which is (|{}|,)-continuous, where |{}| stands for the (Gross-measurable) norm on B, we construct an Ornstein–Uhlenbeck process : (,F,P)×[0,1](B,|{}|) as a pathwise solution of the following infinite-dimensional Langevin equation d _t =db _t +T( _t )dt with the initial data ₀=0, where b is a B-valued Brownian motion based on the abstract Wiener space (H,B,). The richness of the probability space (,F,P) then implies the following consequences: the probability space is independent of the abstract Wiener space (H,B,) (in the sense that (,F,P) does not depend on the choice of the Gross-measurable norm |{}|) and the space C _B consisting of all continuous B-valued functions on [0,1] is identical with the set of all paths of . Finally, we present a way to obtain pathwise continuous solutions :d _t =

Equations de convolution et formes quadratiques

Résumé On étudie, sans hypothèse de convexité, les équations f=g, f=g et f=g.

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Summary We study, without any convexity hypothesis, equations f=g, f=g and f=g where and respectively denote infimal convolution and deconvolution. We give an explicit formulation of these results in the quadratic hilbertian frame, and we interpret them in terms of parallel addition and subtraction of non necessarily semi-definite positive operators.

     

A characterization of Gaussian measures on locally compact Abelian groups

Let and be independent random variables having equal variance. In order that + and – be independent, it is necessary and sufficient that and have normal distributions. This result of Bernshtein [1] is carried over in [7] to the case when and take values in a locally compact Abelian group. In the present note, a characterization of Gaussian measures on locally compact Abelian groups is given in which in place of + and –, functions of and are considered which satisfy the associativity equation.Translated from Matematicheskie Zametki, Vol. 22, No. 5, pp. 759–762, November, 1977.     

Balayages on Excessive Measures,their Representation and the Quasi-Lindelöf Property

If Exc is the set of all excessive measures associated with a submarkovian resolvent on a Lusin measurable space and B is a balayage on Exc then we show that for any mExc there exists a basic set A (determined up to a m-polar set) such that B=(B^A)* for any Exc, m. The m-quasi-Lindelöf property (for the fine topology) holds iff for any B there exists the smallest basic set A as above. We characterize the case when any B is representable i.e. there exists a basic set such that B=(B^A)* on Exc.     

Necessary convergence conditions for series ΣαnSn in the case of identically distributed independent random quantities

Necessary (in some cases also sufficient) conditions are obtained for convergence of the series a _n S _n whereS _n = ₁ ⁿ _k k are independent random quantities. The cases in which k are symmetrical or identically distributed quantities are investigated in more detail.Translated from Matematicheskie Zametki, Vol. 20, No. 4, pp. 529–536, October, 1976.     

A variant of an infinite-dimensional local limit theorem

Let _n be a sequence of independent, identically distributed random elements in a separable Banach space X, for which the CLTholds: the normalized sums (₁+...+_n)/n^1/2 converge weakly to the Gaussian random element . It is proved that, under certain conditions on the distribution of ₁ and on the measurable mappingf: X R¹, the distribution of the random variable converges in variation to the distribution of the variablef().Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova Akademii Nauk SSSR, Vol. 177, pp. 46–50, 1989.     

On a class of 3-dimensional contact metric manifolds

Let M³ be a 3-dimensional contact metric manifold with contact structure (, , , g), such that and =R(.,)) commute. Such a manifold is called 3--manifold. We prove that every 3--manifold with -parallel Weyl tensor is either flat or a Sasakian manifold with constant curvature 1.     

Smooth Measures and Regular Strongly Supermedian Kernels Generating Sub-Markovian Resolvents

In the context of a transient Borel right Markov process with a fixed excessive measure , we characterize the regular strongly supermedian kernels, producing smooth measures by the Revuz correspondence. In the case of the measures charging no -semipolar sets, this is the analytical counterpart of a probabilistic result of Revuz, Fukushima, and Getoor and Fitzsimmons, concerning the positive continuous additive functionals. We also consider the case of the measures charging no set that is both -polar and -negligible (U being the potential part of ), answering to a problem of Revuz.     

Sequential estimation of the parameters of diffusion processes

For the parameter of a diffusion process(t), satisfying the stochastic differential equation d(t)=f (t,)dt+dw(l), we propose an effective sequential estimation plan with an unbiased and normally distributed estimate. The proposed sequential plan is discussed in detail for the example of a process (t) having a linear stochastic differential.Translated from Matematicheskie Zametki, Vol. 12, No. 5, pp. 627–638, November, 1972.In conclusion the author wishes to express his deep gratitude to A. N. Shiryaev for formulating the problem and for useful observations     

A Functional Interpretation of Cycloid Processes: Application to the Study of Asymptotic Behaviour

We show that the classic Chapman–Kolmogorov equations of certain Markovian transition semigroups on finite state spaces have a formal analogy, of a homologic nature, in terms of cycloids ₁, ..., _B, and positive numbers w₁, ..., w_B. The collection _k ,w _k completely determines a Markov process {_n}, called a cycloid process, admitting an invariant probability distribution, and decomposes its distribution Prob(_n = , _{n + 1} = ) into a linear expression. The latter is further used in the study of the asymptotic behaviour of the cycloid process.     

Mathematical expectations of functions of sums of a random number of independent terms

Conditions are found which must be imposed on a function g(x) in order that M g(₁+₂+ + _v < if M g(_i) < and M g(v) < ,, ₁, ₂, , _n, ... being non-negative and independent, being integral, and {_i} being identically distributed. The result is applied to the theory of branching processes.Translated from Matematicheskie Zametki, Vol. 3, No. 4, pp. 387–394, April, 1968.     

Multilevel large deviations and interacting diffusions

Summary Let ( ^N ) be a sequence of random variables with values in a topological space which satisfy the large deviation principle. For eachM and eachN, let ^{M, N} denote the empirical measure associated withM independent copies of ^N . As a main result, we show that ( ^{M, N} ) also satisfies the large deviation principle asM,N. We derive several representations of the associated rate function. These results are then applied to empirical measure processes ^{M, N} (t) =M ^–1 _i=1 ^N _i ^N (t) 0tT, where ( ₁ ^N ,..., _M ^N (t)) is a system of weakly interacting diffusions with noise intensity 1/N. This is a continuation of our previous work on the McKean-Vlasov limit and related hierarchical models ([4], [5]).Research partially supported by a Natural Science and Engineering Research Council of Canada operating grant     

Non-Uniformly Elliptic Equations with Natural Growth in the Gradient

We prove the existence of bounded solutions for a class of nonlinear elliptic problems of type–div(a(x,u,Du))=H(x,u,Du)+f, uW ^1,p ₀()L (),where a(x,,)b(||)|| ^p , b is a continuous monotone decreasing function and |H(x,,)| k()|| ^p , k is a continuous monotone increasing function.     

The Gaussian Isoperimetric Inequality and Transportation

Any probability measure on ^d which satisfies the Gaussian or exponential isoperimetric inequality fulfils a transportation inequality for a suitable cost function. Suppose that W (x) dx satisfies the Gaussian isoperimetric inequality: then a probability density function f with respect to W (x) dx has finite entropy, provided that t . This strengthens the quadratic logarithmic Sobolev inequality of Gross (Amr. J. Math 97 (1975) 1061). Let (dx) = e ^–(x) dx be a probability measure on ^d, where is uniformly convex. Talagrand's technique extends to monotone rearrangements in several dimensions (Talagrand, Geometric Funct. Anal. 6 (1996) 587), yielding a direct proof that satisfies a quadratic transportation inequality. The class of probability measures that satisfy a quadratic transportation inequality is stable under multiplication by logarithmically bounded Lipschitz densities.     

Rates of Decay and h-Processes for One Dimensional Diffusions Conditioned on Non-Absorption

Let (X _t ) be a one dimensional diffusion corresponding to the operator , starting from x>0 and T ₀ be the hitting time of 0. Consider the family of positive solutions of the equation with (0, ), where . We show that the distribution of the h-process induced by any such is , for a suitable sequence of stopping times (S _M : M0) related to which converges to with M. We also give analytical conditions for , where is the smallest point of increase of the spectral measure associated to .