Universality in complex Wishart ensembles for general covariance matrices with 2 distinct eigenvalues

We considered N×N Wishart ensembles in the class W_C(Σ_N,M) (complex Wishart matrices with M degrees of freedom and covariance matrix Σ_N) such that N₀ eigenvalues of Σ_N are 1 and N₁=N−N₀ of them are a. We studied the limit as M, N, N₀ and N₁ all go to infinity such that , and 0<c,β<1. In this case, the limiting eigenvalue density can either be supported on 1 or 2 disjoint intervals in R₊, and a phase transition occurs when the support changes from 1 interval to 2 intervals. By using the Riemann-Hilbert analysis, we have shown that when the phase transition occurs, the eigenvalue distribution is described by the Pearcey kernel near the critical point where the support splits.     

Isoperimetric inequalities in potential theory

Given a non-empty bounded domainG in ⁿ ,n2, letr ₀(G) denote the radius of the ballG ₀ having center 0 and the same volume asG. The exterior deficiencyd _e (G) is defined byd _e (G)=r _e (G)/r ₀(G)–1 wherer _e (G) denotes the circumradius ofG. Similarlyd _i (G)=1–r _i (G)/r ₀(G) wherer _i (G) is the inradius ofG. Various isoperimetric inequalities for the capacity and the first eigenvalue ofG are shown. The main results are of the form CapG(1+cf(d _e (G)))CapG ₀ and ₁(G)(1+cf(d _i (G)))₁(G ₀),f(t)=t ³ ifn=2,f(t)=t ³/(ln 1/t) ifn=3,f(t)=t ^(n+3)/2 ifn4 (for convex G and small deficiencies ifn3).     

The limiting spectral distribution of the product of the Wigner matrix and a nonnegative definite matrix

Let W_n be n×n Hermitian whose entries on and above the diagonal are independent complex random variables satisfying the Lindeberg type condition. Let T_n be n×n nonnegative definitive and be independent of W_n. Assume that almost surely, as n→∞, the empirical distribution of the eigenvalues of T_n converges weakly to a non-random probability distribution.Let . Then with the aid of the Stieltjes transforms, we show that almost surely, as n→∞, the empirical distribution of the eigenvalues of A_n also converges weakly to a non-random probability distribution, a system of two equations determining the Stieltjes transform of the limiting distribution. Important analytic properties of this limiting spectral distribution are then derived by means of those equations. It is shown that the limiting spectral distribution is continuously differentiable everywhere on the real line except only at the origin and that a necessary and sufficient condition is available for determining its support. At the end, the density function of the limiting spectral distribution is calculated for two important cases of T_n, when T_n is a sample covariance matrix and when T_n is the inverse of a sample covariance matrix.     

Capacities, surface area, and radial sums

A dual capacitary Brunn-Minkowski inequality is established for the (n−1)-capacity of radial sums of star bodies in Rn. This inequality is a counterpart to the capacitary Brunn-Minkowski inequality for the p-capacity of Minkowski sums of convex bodies in Rn, 1?p<n, proved by Borell, Colesanti, and Salani. When n?3, the dual capacitary Brunn-Minkowski inequality follows from an inequality of Bandle and Marcus, but here a new proof is given that provides an equality condition. Note that when n=3, the (n−1)-capacity is the classical electrostatic capacity. A proof is also given of both the inequality and a (different) equality condition when n=2. The latter case requires completely different techniques and an understanding of the behavior of surface area (perimeter) under the operation of radial sum. These results can be viewed as showing that in a sense (n−1)-capacity has the same status as volume in that it plays the role of its own dual set function in the Brunn-Minkowski and dual Brunn-Minkowski theories.     

The fractional stochastic heat equation on the circle: Time regularity and potential theory

We consider a system of d$d$ linear stochastic heat equations driven by an additive infinite-dimensional fractional Brownian noise on the unit circle S¹$S^1$. We obtain sharp results on the Hölder continuity in time of the paths of the solution u=_{{u(t,x)}t∈R+,x∈S1}$u={\left\{u(t,x)\right\}}_{t\in {\mathbb{R}}_{+},x\in S^1}$. We then establish upper and lower bounds on hitting probabilities of u$u$, in terms of the Hausdorff measure and Newtonian capacity respectively.     

Statistical theory of shape under elliptical models and singular value decompositions

The size-and-shape and shape distributions based on non-central and non-isotropic elliptical distributions are derived in this paper by using the singular value decomposition (SVD). The general densities require the computation of new integrals involving zonal polynomials. The invariance of the central shape distribution is also proved. Finally, some particular densities are applied in a classical data of Biology, and the inference based on exact distributions is performed after choosing the best model by using a modified BIC^∗ criterion.     

Renewal theory with a trend

We prove some analogs of results from renewal theory for random walks in the case when there is a drift, more precisely when the mean of the kth summand equals k^γμ, k≥1, for some μ>0 and 0<γ≤1.     

Strong convergence of the empirical distribution of eigenvalues of sample covariance matrices with a perturbation matrix

Let , where is a random symmetric matrix, a random symmetric matrix, and with being independent real random variables. Suppose that , and are independent. It is proved that the empirical spectral distribution of the eigenvalues of random symmetric matrices converges almost surely to a non-random distribution.     

White noise driven SPDEs with reflection: Existence,uniqueness and large deviation principles

In the first part of this paper, we prove the uniqueness of the solutions of SPDEs with reflection, which was left open in the paper [C. Donati-Martin, E. Pardoux, White noise driven SPDEs with reflection, Probab. Theory Related Fields 95 (1993) 1–24]. We also obtain the existence of the solution for more general coefficients depending on the past with a much shorter proof. In the second part of the paper, we establish a large deviation principle for SPDEs with reflection. The weak convergence approach is proven to be very efficient on this occasion.     

Nonminimal sets,their projections and integral representations of stable processes

New criteria are provided for determining whether an integral representation of a stable process is minimal. These criteria are based on various nonminimal sets and their projections, and have several advantages over and shed light on already available criteria. In particular, they naturally lead from a nonminimal representation to the one which is minimal. Several known examples are considered to illustrate the main results. The general approach is also adapted to show that the so-called mixed moving averages have a minimal integral representation of the mixed moving average type.     

A general correlation inequality and the Almost Sure Local Limit Theorem for random sequences in the domain of attraction of a stable law

In the present paper we obtain a new correlation inequality and use it for the purpose of extending the theory of the Almost Sure Local Limit Theorem to the case of lattice random sequences in the domain of attraction of a stable law. In particular, we prove ASLLT in the case of the normal domain of attraction of α$\alpha$-stable law, α∈(1,2)$\alpha \in (1,2)$.     

Intrinsic volumes of the maximal polytope process in higher dimensional STIT tessellations

Stationary and isotropic iteration stable random tessellations are considered, which are constructed by a random process of iterative cell division. The collection of maximal polytopes at a fixed time t within a convex window W⊂R^d is regarded and formulas for mean values, variances and a characterization of certain covariance measures are proved. The focus is on the case d≥3, which is different from the planar one, treated separately in Schreiber and Thäle (2010) [12]. Moreover, a limit theorem for suitably rescaled intrinsic volumes is established, leading — in sharp contrast to the situation in the plane — to a non-Gaussian limit.     

On the Kolmogorov inequalities for quadratic forms of dependent uniformly bounded random variables

Some Kolmogorov probability inequalities for quadratic forms and weighted quadratic forms of negative superadditive dependent (NSD) uniformly bounded random variables are provided. Using these inequalities, some complete convergence of randomized quadratic forms under some suitable conditions are evaluated. Moreover, various examples are presented in which the given conditions of our results are satisfied.     

Time regularity of solutions to linear equations with Lévy noise in infinite dimensions

The existence of strong and weak càdlàg versions of a solution to a linear equation in a Hilbert space H$H$, driven by a Lévy process taking values in a Hilbert space U?H$U?H$ is established. The so-called cylindrical càdlàg property is investigated as well. A special emphasis is put on infinite systems of linear equations driven by independent Lévy processes.     

Large deviations for Wigner's law and Voiculescu's non-commutative entropy

Summary. We study the spectral measure of Gaussian Wigner's matrices and prove that it satisfies a large deviation principle. We show that the good rate function which governs this principle achieves its minimum value at Wigner's semicircular law, which entails the convergence of the spectral measure to the semicircular law. As a conclusion, we give some further examples of random matrices with spectral measure satisfying a large deviation principle and argue about Voiculescu's non commutative entropy. Received: 3 April 1995 / In revised form: 14 December 1996     

The dual Brunn-Minkowski theory for bounded Borel sets: Dual affine quermassintegrals and inequalities

This paper develops a significant extension of E. Lutwak's dual Brunn-Minkowski theory, originally applicable only to star-shaped sets, to the class of bounded Borel sets. The focus is on expressions and inequalities involving chord-power integrals, random simplex integrals, and dual affine quermassintegrals. New inequalities obtained include those of isoperimetric and Brunn-Minkowski type. A new generalization of the well-known Busemann intersection inequality is also proved. Particular attention is given to precise equality conditions, which require results stating that a bounded Borel set, almost all of whose sections of a fixed dimension are essentially convex, is itself essentially convex.     

Long strange segments,ruin probabilities and the effect of memory on moving average processes

We obtain the rate of growth of long strange segments and the rate of decay of infinite horizon ruin probabilities for a class of infinite moving average processes with exponentially light tails. The rates are computed explicitly. We show that the rates are very similar to those of an i.i.d. process as long as the moving average coefficients decay fast enough. If they do not, then the rates are significantly different. This demonstrates the change in the length of memory in a moving average process associated with certain changes in the rate of decay of the coefficients.     

A strong uniform approximation of fractional Brownian motion by means of transport processes

We construct a sequence of processes that converges strongly to fractional Brownian motion uniformly on bounded intervals for any Hurst parameter H$H$, and we derive a rate of convergence, which becomes better when H$H$ approaches 1/2$1/2$. The construction is based on the Mandelbrot–van Ness stochastic integral representation of fractional Brownian motion and on a strong transport process approximation of Brownian motion. The objective of this method is to facilitate simulation.