Passage times of random walks and Lévy processes across power law boundaries

We establish an integral test involving only the distribution of the increments of a random walk S which determines whether limsup _n→∞(S_n/n^κ) is almost surely zero, finite or infinite when 1/2<κ<1 and a typical step in the random walk has zero mean. This completes the results of Kesten and Maller [9] concerning finiteness of one-sided passage times over power law boundaries, so that we now have quite explicit criteria for all values of κ≥0. The results, and those of [9], are also extended to Lévy processes.This work is partially supported by ARC Grant DP0210572.     

The hitting distributions of a half real line for two-dimensional random walks

For every two-dimensional random walk on the square lattice Z ² having zero mean and finite variance we obtain fine asymptotic estimates of the probability that the walk hits the negative real line for the first time at a site (s,0), when it is started at a site far from both (0,s) and the origin.     

An analog of Wald’s identity for random walks with infinite mean

We deduce an analog of the classical Wald’s identity ES _τ = EτEξ in the case of the infinite mean of summands. We find the conditions on τ under which Emin(S _τ , x) ～ EτE min(ξ, x) as x→∞.     

On the existence of ordered couplings of random sets — with applications

Letψ andϕ be two given random closed sets in a locally compact second countable topological spaceS. (They need not be based on the same probability space.) The main result gives necessary and sufficient conditions on the distributions ofψ andϕ, for the existence of two random closed sets and , based on the same probability space and such that their distributions coincide with those ofψ andϕ, resp., and a.s. This coupling result tells us in particular when a probability distribution onS is selectionable w.r.t. (the distribution of) a random closed set. An existence result for realizable thinnings of a simple point process is obtained by specializing it to supports of random measures. The coupling result is extended to random variables in a countably based continuous poset. As examples we mention various kinds of random capacities — in particular random measures — and random compact (saturated) sets. Moreover, the extended result tells us when a probability distribution onS is selectionable w.r.t. the distribution of a random compact (saturated) set.     

Front tracking for a model of immiscible gas flow with large data

In this paper we study front tracking for a model of one dimensional, immiscible flow of several isentropic gases, each governed by a gamma-law. The model consists of the p-system with variable gamma representing the different gases. The main result is the convergence of a front tracking algorithm to a weak solution, thereby giving existence as well. This convergence holds for general initial data with a total variation satisfying a specific bound. The result is illustrated by numerical examples.     

Uniqueness for weak flow of H—systems with dirichlet boundary conditons

It is proved that the weak flow of H—system with a Dirichlet boundary condition is unique and regular up to the time of energy concentration. Moreover, if the global weak solution satisfies certain energy inequality, then it is unique for all the time and is regular with the exception of finitely many points     

Generating uniform random vectors over a simplex with implications to the volume of a certain polytope and to multivariate extremes

A uniform random vector over a simplex is generated. An explicit expression for the first moment of its largest spacing is derived. The result is used in a proposed diagnostic tool which examines the validity of random number generators. It is then shown that the first moment of the largest uniform spacing is related to the dependence measure of random vectors following any extreme value distribution. The main result is proved by a geometric proof as well as by a probabilistic one.     

Global optimization of truss topology with discrete bar areas—Part II: Implementation and numerical results

A classical problem within the field of structural optimization is to find the stiffest truss design subject to a given external static load and a bound on the total volume. The design variables describe the cross sectional areas of the bars. This class of problems is well-studied for continuous bar areas. We consider here the difficult situation that the truss must be built from pre-produced bars with given areas. This paper together with Part I proposes an algorithmic framework for the calculation of a global optimizer of the underlying non-convex mixed integer design problem. In this paper we use the theory developed in Part I to design a convergent nonlinear branch-and-bound method tailored to solve large-scale instances of the original discrete problem. The problem formulation and the needed theoretical results from Part I are repeated such that this paper is self-contained. We focus on the implementation details but also establish finite convergence of the branch-and-bound method. The algorithm is based on solving a sequence of continuous non-convex relaxations which can be formulated as quadratic programs according to the theory in Part I. The quadratic programs to be treated within the branch-and-bound search all have the same feasible set and differ from each other only in the objective function. This is one reason for making the resulting branch-and-bound method very efficient. The paper closes with several large-scale numerical examples. These examples are, to the knowledge of the authors, by far the largest discrete topology design problems solved by means of global optimization.     

Homogenization of the diffusion equation with nonlinear flux condition on the interior boundary of a perforated domain — the influence of the scaling on the nonlinearity in the effective sink-source term

In this paper, we study the asymptotic behavior of solutions u _ε of the initial boundary value problem for parabolic equations in domains W_e ì \mathbbRⁿ {\Omega_\varepsilon } \subset {\mathbb{R}^n} , n ≥ 3, perforated periodically by balls with radius of critical size ε ^α , α = n/(n − 2), and distributed with period ε. On the boundary of the balls a nonlinear third boundary condition is imposed. The weak convergence of the solutions u _ε to the solution of an effective equation is given. Furthermore, an improved approximation for the gradient of the microscopic solutions is constructed, and a corrector result with respect to the energy norm is proved.