Critical branching Brownian motion with absorption: survival probability

We consider branching Brownian motion on the real line with absorption at zero, in which particles move according to independent Brownian motions with the critical drift of \(-\sqrt{2}\) . Kesten (Stoch Process 7:9–47, 1978) showed that almost surely this process eventually dies out. Here we obtain upper and lower bounds on the probability that the process survives until some large time \(t\) . These bounds improve upon results of Kesten (Stoch Process 7:9–47, 1978), and partially confirm nonrigorous predictions of Derrida and Simon (EPL 78:60006, 2007).     

An Empirical Process Central Limit Theorem for Multidimensional Dependent Data

Let $(U_{n}(t))_{t\in\mathbb{R}^{d}}$ be the empirical process associated to an ? ^d -valued stationary process (X _i ) _i≥0. In the present paper, we introduce very general conditions for weak convergence of $(U_{n}(t))_{t\in\mathbb{R}^{d}}$ , which only involve properties of processes (f(X _i )) _i≥0 for a restricted class of functions $f\in\mathcal{G}$ . Our results significantly improve those of Dehling et al. (Stoch. Proc. Appl. 119(10):3699–3718, 2009) and Dehling and Durieu (Stoch. Proc. Appl. 121(5):1076–1096, 2011) and provide new applications. The central interest in our approach is that it does not need the indicator functions which define the empirical process $(U_{n}(t))_{t\in\mathbb{R}^{d}}$ to belong to the class  $\mathcal{G}$ . This is particularly useful when dealing with data arising from dynamical systems or functionals of Markov chains. In the proofs we make use of a new application of a chaining argument and generalize ideas first introduced in Dehling et al. (Stoch. Proc. Appl. 119(10):3699–3718, 2009) and Dehling and Durieu (Stoch. Proc. Appl. 121(5):1076–1096, 2011). Finally we will show how our general conditions apply in the case of multiple mixing processes of polynomial decrease and causal functions of independent and identically distributed processes, which could not be treated by the preceding results in Dehling et al. (Stoch. Proc. Appl. 119(10):3699–3718, 2009) and Dehling and Durieu (Stoch. Proc. Appl. 121(5):1076–1096, 2011).     

Precise large deviations for dependent regularly varying sequences

We study a precise large deviation principle for a stationary regularly varying sequence of random variables. This principle extends the classical results of Nagaev (Theory Probab Appl 14:51–64, 193–208, 1969) and Nagaev (Ann Probab 7:745–789, 1979) for iid regularly varying sequences. The proof uses an idea of Jakubowski (Stoch Proc Appl 44:291–327, 1993; 68:1–20, 1997) in the context of central limit theorems with infinite variance stable limits. We illustrate the principle for stochastic volatility models, real valued functions of a Markov chain satisfying a polynomial drift condition and solutions of linear and non-linear stochastic recurrence equations.     

Linear SPDEs Driven by Stationary Random Distributions

Using tools from the theory of stationary random distributions developed in It? (Mem. Coll. Sci., Univ. Kyoto, Ser. A: Math., 28:209?C223,?1954) and Yaglom (Theory Probab. Appl., 2:273?C320,?1957), we introduce a new class of processes which can be used as a model for the noise perturbing an SPDE. This type of noise is not necessarily Gaussian, but it includes the spatially homogeneous Gaussian noise introduced in Dalang (Electron. J. Probab. 4(6)?1999), and the fractional noise considered in Balan and Tudor (Stoch. Process. Appl., 120:2468?C2494,?2010). We derive some general conditions for the existence of a random field solution of a linear SPDE with this type of noise, under some mild conditions imposed on the Green function of the differential operator which appears in this equation. This methodology is applied to the study of the heat and wave equations (possibly replacing the Laplacian by one of its fractional powers), extending in this manner the results of Balan and Tudor (Stoch. Process. Appl., 120:2468?C2494,?2010) to the case H<1/2.     

Mutually-adjoint boundary-value problems with deviation from the characteristic for a multidimensional Gellerstedt equation

In this paper, we study mutually-adjoint boundary-value problems with a deviation from the characteristic for multidimensional Gellerstedt equation. In [3, 4], for the equation of the vibration of a string, the boundary-value problem with a deviation from the characteristic was studied, where the main attention was paid to the study of such problems for hyperbolic equations. For hyperbolic equations on the plane, this problem was studied in [5, 9].     

Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion

Dzhaparidze and Spreij (Stoch Process Appl, 54:165–174, 1994) showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This class contains both semimartingales and non-semimartingales. The motivation comes partially from the recent work by Bender et al. (Finance Stoch, 12:441–468, 2008), where it is shown that the quadratic variation of the log-returns determines the hedging strategy.     

Burgers type equations, Gelfand’s problem and Schumpeterian dynamics

Burgers?? equations have been introduced to study different models of fluids (Bateman, 1915, Burgers, 1939, Hopf, 1950, Cole, 1951, Lighthill andWhitham, 1955, etc.). The difference-differential analogues of these equations have been proposed for Schumpeterian models of economic development (Iwai, 1984, Polterovich and Henkin, 1988, Belenky, 1990, Henkin and Polterovich, 1999, Tashlitskaya and Shananin, 2000, etc.). This paper gives a short survey of the results and conjectures on Burgers type equations, motivated both by fluid mechanics and by Schumpeterian dynamics. Proofs of some new results are given. This paper is an extension and an improvement of (Henkin, 2007, 2011).     

An Invariance Principle for Fractional Brownian Sheets

We establish a central limit theorem for partial sums of stationary linear random fields with dependent innovations, and an invariance principle for anisotropic fractional Brownian sheets. Our result is a generalization of the invariance principle for fractional Brownian motions by Dedecker et al. (Bernoulli 17:88–113, 2011) to high dimensions. A key ingredient of their argument, the martingale approximation, is replaced by an \(m\) -approximation argument. An important tool of our approach is a moment inequality for stationary random fields recently established by El Machkouri et al. (Stoch. Process. Appl. 123:1–14, 2013).     

Quasi-stationary stefan problem with values on the front depending on its geometry

The problem presented below is a singular-limit problem of the extension of the Cahn-Hilliard model obtained via introducing the asymmetry of the surface tension tensor under one of the truncations (approximations) of the inner energy [2, 5–8, 10, 12, 13].     

Diffusion approximations for open Jackson networks with reneging

We consider generalized Jackson networks with reneging in which the customer patience times follow a general distribution that unifies the patience time without scaling adopted by Ward and Glynn (Queueing Syst 50:371–400, 2005) and the patience time with hazard rate scaling and unbounded support adopted by Reed and Ward (Math Oper Res 33:606–644, 2008). The diffusion approximations for both the queue length process and the abandonment-count process are established under the conventional heavy traffic limit regime. In light of the recent work by Dai and He (Math Oper Res 35:347–362, 2010), the diffusion approximations are obtained by the following four steps: first, establishing the stochastic boundedness for the queue length process and the virtual waiting time process; second, obtaining the $C$ -tightness and fluid limits for the queue length process and the abandonment-count process; then third, building an asymptotic relationship between the abandonment-count process and the queue length process in terms of the customer patience time. Finally, the fourth step is to get the diffusion approximations by invoking the continuous mapping theorem.     

Poisson and compound Poisson approximations in conventional and nonconventional setups

It was shown in Kifer (Israel J Math, 2013) that for any subshift of finite type considered with a Gibbs invariant measure the numbers of multiple recurrencies to shrinking cylindrical neighborhoods of almost all points are asymptotically Poisson distributed. Here we not only extend this result to all \(\psi \) -mixing shifts with countable alphabet but actually show that for all points the distributions of these numbers are asymptotically close either to Poisson or to compound Poisson distributions. It turns out that for all nonperiodic points a limiting distribution is always Poisson while at the same time for periodic points there may be no limiting distribution at all unless the shift invariant measure is Bernoulli in which case the limiting distribution always exists. Thus we describe, essentially completely, limiting distributions of multiple recurrence numbers in this setup. As a corollary we obtain also that the first occurence time of the multiple recurrence event is asymptotically exponentially distributed. Most of the results are new also for the widely studied single recurrencies case (see, for instance, Haydn and Vaienti Discret Contin Dyn Syst A 10:589–616, 2004; Probab Theory Relat Fields 144:517–542, 2009; Abadi and Saussol Stoch Process Appl 121:314–323, 2011; Abadi and Vergne Nonlinearity 21:2871–2885, 2008), as well.     

On the Gauss–Newton method

We provide a new semilocal convergence analysis of the Gauss–Newton method (GNM) for solving nonlinear equation in the Euclidean space. Using a combination of center-Lipschitz, Lipschitz conditions, and our new idea of recurrent functions, we provide under the same or weaker hypotheses than before (Ben-Israel, J. Math. Anal. Appl. 15:243–252, 1966; Chen and Nashed, Numer. Math. 66:235–257, 1993; Deuflhard and Heindl, SIAM J. Numer. Anal. 16:1–10, 1979; Guo, J. Comput. Math. 25:231–242, 2007; Häußler, Numer. Math. 48:119–125, 1986; Hu et al., J. Comput. Appl. Math. 219:110–122, 2008; Kantorovich and Akilov, Functional Analysis in Normed Spaces, Pergamon, Oxford, 1982), a finer convergence analysis. The results can be extended in case outer or generalized inverses are used. Numerical examples are also provided to show that our results apply, where others fail (Ben-Israel, J. Math. Anal. Appl. 15:243–252, 1966; Chen and Nashed, Numer. Math. 66:235–257, 1993; Deuflhard and Heindl, SIAM J. Numer. Anal. 16:1–10, 1979; Guo, J. Comput. Math. 25:231–242, 2007; Häußler, Numer. Math. 48:119–125, 1986; Hu et al., J. Comput. Appl. Math. 219:110–122, 2008; Kantorovich and Akilov, Functional Analysis in Normed Spaces, Pergamon, Oxford, 1982).     

The fluid limit of the multiclass processor sharing queue

Consider a single server queueing system with several classes of customers, each having its own renewal input process and its own general service times distribution. Upon completing service, customers may leave, or re-enter the queue, possibly as customers of a different class. The server is operating under the egalitarian processor sharing discipline. Building on prior work by Gromoll et al.?(Ann. Appl. Probab. 12:797?C859, 2002) and Puha et al.?(Math. Oper. Res. 31(2):316?C350, 2006), we establish the convergence of a properly normalized state process to a fluid limit characterized by a system of algebraic and integral equations. We show the existence of a unique solution to this system of equations, both for a stable and an overloaded queue. We also describe the asymptotic behavior of the trajectories of the fluid limit.     

Exponential polynomials on commutative hypergroups

Polynomials and exponential polynomials play a fundamental role in the theory of spectral analysis and spectral synthesis on commutative groups. Recently several new results have been published in this field [2–4,6]. Spectral analysis and spectral synthesis has been studied on some types of commutative hypergroups, as well. However, a satisfactory definition of exponential monomials on general commutative hypergroups has not been available so far. In [5,7,8] and [9], the authors use a special concept on polynomial and Sturm–Liouville-hypergroups. Here we give a general definition which covers the known special cases.     

Positivity and Lower Bounds for the Density of Wiener Functionals

We consider a functional on the Wiener space which is smooth and not degenerated in Malliavin sense and we give a criterion for the strict positivity of the density, that we can use to state lower bounds as well. The results are based on the representation of the density in terms of the Riesz transform introduced in Malliavin and Thalmaier (2006) and on the estimates of the Riesz transform given in Bally and Caramellino (Stoch Process Their Appl 121:1332–1355, 2011).     

A multi-dimensional SRBM: geometric views of its product form stationary distribution

We present a geometric interpretation of a product form stationary distribution for a \(d\) -dimensional semimartingale reflecting Brownian motion (SRBM) that lives in the nonnegative orthant. The \(d\) -dimensional SRBM data can be equivalently specified by \(d+1\) geometric objects: an ellipse and \(d\) rays. Using these geometric objects, we establish necessary and sufficient conditions for characterizing product form stationary distribution. The key idea in the characterization is that we decompose the \(d\) -dimensional problem to \(\frac{1}{2}d(d-1)\) two-dimensional SRBMs, each of which is determined by an ellipse and two rays. This characterization contrasts with the algebraic condition of Harrison and Williams (Ann Probab 15:115–137, 1987b). A \(d\) -station tandem queue example is presented to illustrate how the product form can be obtained using our characterization. Drawing the two-dimensional results in Avram et al. (Queueing Syst 37:259–289, 2001), Dai and Miyazawa (Queueing Syst 74:181–217, 2013), we discuss potential optimal paths for a variational problem associated with the three-station tandem queue.     

Continuity of the solution mapping to parametric generalized vector equilibrium problems

In this paper, two kinds of parametric generalized vector equilibrium problems in normed spaces are studied. The sufficient conditions for the continuity of the solution mappings to the two kinds of parametric generalized vector equilibrium problems are established under suitable conditions. The results presented in this paper extend and improve some main results in Chen and Gong (Pac J Optim 3:511–520, 2010), Chen and Li (Pac J Optim 6:141–152, 2010), Chen et al. (J Glob Optim 45:309–318, 2009), Cheng and Zhu (J Glob Optim 32:543–550, 2005), Gong (J Optim Theory Appl 139:35–46, 2008), Li and Fang (J Optim Theory Appl 147:507–515, 2010), Li et al. (Bull Aust Math Soc 81:85–95, 2010) and Peng et al. (J Optim Theory Appl 152(1):256–264, 2011).     

NIP for some pair-like theories

Generalising work of Berenstein, Dolich and Onshuus (Preprint 145 on MODNET Preprint server, 2008) and Günayd?n and Hieronymi (Preprint 146 on MODNET Preprint server, 2010), we give sufficient conditions for a theory T _P to inherit N I P from T, where T _P is an expansion of the theory T by a unary predicate P. We apply our result to theories, studied by Belegradek and Zilber (J. Lond. Math. Soc. 78:563?C579, 2008), of the real field with a subgroup of the unit circle.     

Strong NP-hardness of scheduling problems with learning or aging effect

Proofs of strong NP-hardness of single machine and two-machine flowshop scheduling problems with learning or aging effect given in Rudek (Computers & Industrial Engineering 61:20–31, 2011; Annals of Operations Research 196(1):491–516, 2012a; International Journal of Advanced Manufacturing Technology 59:299–309, 2012b; Applied Mathematics and Computations 218:6498–6510, 2012c; Applied Mathematical Modelling 37:1523–1536, 2013) contain a common mistake that make them incomplete. We reveal the mistake and provide necessary corrections for the problems in Rudek (Computers & Industrial Engineering 61:20–31, 2011; Annals of Operations Research 196(1):491–516, 2012a; Applied Mathematical Modelling 37:1523–1536, 2013). NP-hardness of problems in Rudek (International Journal of Advanced Manufacturing Technology 59:299–309, 2012b; Applied Mathematics and Computations 218:6498–6510, 2012c) remains unknown because of another mistake which we are unable to correct.     

Strong Convergence of Wong-Zakai Approximations of Reflected SDEs in a Multidimensional General Domain

In this paper, we obtain the strong convergence of Wong-Zakai approximations of reflected SDEs in a general multidimensional domain giving an affirmative answer to the question posed by Evans and Stroock (Stoch. Process. Appl. 121, 1464–1491, 2011).