Remarks on the stochastic integral

In Karandikar-Rao [11], the quadratic variation [M, M] of a (local) martingale was obtained directly using only Doob’s maximal inequality and it was remarked that the stochastic integral can be defined using [M, M], avoiding using the predictable quadratic variation 〈M, M〉 (of a locally square integrable martingale) as is usually done. This is accomplished here- starting with the result proved in [11], we construct ∫ f dX where X is a semimartingale and f is predictable and prove dominated convergence theorem (DCT) for the stochastic integral. Indeed, we characterize the class of integrands f for this integral as the class L(X) of predictable processes f such that |f| serves as the dominating function in the DCT for the stochastic integral. This observation seems to be new.We then discuss the vector stochastic integral ∫ 〈f, dY〉 where f is ? ^d valued predictable process, Y is ? ^d valued semimartingale. This was defined by Jacod [6] starting from vector valued simple functions. Memin [13] proved that for (local) martingales M¹, … M ^d : If N ⁿ are martingales such that N _t ⁿ → N _t for every t and if ?f ⁿ such that N _t ⁿ = ∫ 〈f ⁿ , dM〉, then ?f such that N = ∫ 〈f, dM〉.Taking a cue from our characterization of L(X), we define the vector integral in terms of the scalar integral and then give a direct proof of the result due to Memin stated above.This completeness result is an important step in the proof of the Jacod-Yor [4] result on martingale representation property and uniqueness of equivalent martingale measure. This result is also known as the second fundamental theorem of asset pricing.     

Approximation of a system of singularly perturbed reaction-diffusion parabolic equations in a rectangle

The Dirichlet problem for a system of singularly perturbed reaction-diffusion parabolic equations in a rectangle is considered. The higher order derivatives of the equations are multiplied by a perturbation parameter ?², where ? takes arbitrary values in the interval (0, 1]. When ? vanishes, the system of parabolic equations degenerates into a system of ordinary differential equations with respect to t. When ? tends to zero, a parabolic boundary layer with a characteristic width ? appears in a neighborhood of the boundary. Using the condensing grid technique and the classical finite difference approximations of the boundary value problem, a special difference scheme is constructed that converges ?-uniformly at a rate of O(N ^?2ln² N + N ₀ ^?1 , where \(N = \mathop {\min }\limits_s N_s \), N ^s + 1 and N ₀ + 1 are the numbers of mesh points on the axes x _s and t, respectively.     

Equiconvergence of expansions in multiple Fourier series and in fourier integrals with “lacunary sequences of partial sums”

We investigate the equiconvergence on T^N = [?π, π)^N of expansions in multiple trigonometric Fourier series and in the Fourier integrals of functions f ∈ L_p(T^N) and g ∈ L_p(R^N), p > 1, N ≥ 3, g(x) = f(x) on T^N, in the case where the “partial sums” of these expansions, i.e., S_n(x; f) and J_α(x; g), respectively, have “numbers” n ∈ Z^N and α ∈ R^N (n_j = [α_j], j = 1,..., N, [t] is the integral part of t ∈ R¹) containing N ? 1 components which are elements of “lacunary sequences.”     

An integral geometry lemma and its applications: The nonlocality of the Pavlov equation and a tomographic problem with opaque parabolic objects

Written in the evolutionary form, the multidimensional integrable dispersionless equations, exactly like the soliton equations in 2+1 dimensions, become nonlocal. In particular, the Pavlov equation is brought to the form v_t = v_xv_y - ?_x^-1?_y[v_y + v_x²], where the formal integral ?_x^?1 becomes the asymmetric integral \( - \int_x^\infty {dx'} \). We show that this result could be guessed using an apparently new integral geometry lemma. It states that the integral of a sufficiently general smooth function f(X, Y) over a parabola in the plane (X, Y) can be expressed in terms of the integrals of f(X, Y) over straight lines not intersecting the parabola. We expect that this result can have applications in two-dimensional linear tomography problems with an opaque parabolic obstacle.     

The Exact Value of Normal Structure Coefficients and WCS coefficients in a Class of Orlicz Function Spaces

Let φ be an N-function. Then the normal structure coefficients N and the weakly convergent sequence coefficients WCS of the Orlicz function spaces L ^φ[0, 1] generated by φ and equipped with the Luxemburg and Orlicz norms have the following exact values. (i) If F _φ(t) = t _?(t)/φ(t) is decreasing and 1 < C _φ < 2 (where \(C_\Phi = \lim _{t \to + \infty } t\varphi (t)/\Phi (t)\)), then N(L ^(φ)[0, 1]) = N(L ^φ[0, 1]) = WCS(L ^(φ)[0, 1]) = WCS(L ^φ[0, 1]) = 2^1?1/Cφ. (ii) If F _φ(t) is increasing and C _φ > 2, then N(L ^(φ)[0, 1]) = N(L ^φ[0, 1]) = WCS(L ^(φ)[0, 1]) = WCS(L ^φ[0, 1]) = 2^1/Cφ.     

Solving Equations of Free Vibration for a Cylindrical Shell Rotating on Rollers by the Fourier Method

The small free vibrations of an infinite circular cylindrical shell rotating about its axis at a constant angular velocity are considered. The shell is supported on n absolutely rigid cylindrical rollers equispaced on its circle. The roller-supported shell is a model of an ore benefication centrifugal concentrator with a floating bed. The set of linear differential equations of vibrations is sought in the form of a truncated Fourier series containing N terms along the circumferential coordinate. A system of 2N–n linear homogeneous algebraic equations with 2N–n unknowns is derived for the approximate estimation of vibration frequencies and mode shapes. The frequencies ω _k , k = 1, 2, …, 2N–n, are positive roots of the (2N–n)th-order algebraic equation D(ω²) = 0, where D is the determinant of this set. It is shown that the system of 2N–n equations is equivalent to several independent systems with a smaller number of unknowns. As a consequence, the (2N–n)th-order determinant D can be written as a product of lower-order determinants. In particular, the frequencies at N = n are the roots of algebraic equations of an order is lower than 2 and can be found in an explicit form. Some frequency estimation algorithms have been developed for the case of N > n. When N increases, the number of found frequencies also grows, and the frequencies determined at N = n are refined. However, in most cases, the vibration frequencies can not be found for N > n in an explicit form.     

Approximation of Gaussian Random Fields: General Results and Optimal Wavelet Representation of the Lévy Fractional Motion

We investigate the approximation rate for certain centered Gaussian fields by a general approach. Upper estimates are proved in the context of so–called Hölder operators and lower estimates follow from the eigenvalue behavior of some related self–adjoint integral operator in a suitable L ₂(μ)–space. In particular, we determine the approximation rate for the Lévy fractional Brownian motion X _H with Hurst parameter H∈(0,1), indexed by a self–similar set T?? ^N of Hausdorff dimension D. This rate turns out to be of order n ^?H/D (log?n)^1/2. In the case T=[0,1] ^N we present a concrete wavelet representation of X _H leading to an approximation of X _H with the optimal rate n ^?H/N (log?n)^1/2.     

Approximation of systems of singularly perturbed elliptic reaction-diffusion equations with two parameters

In a rectangle, the Dirichlet problem for a system of two singularly perturbed elliptic reaction-diffusion equations is considered. The higher order derivatives of the ith equation are multiplied by the perturbation parameter ? _i ² (i = 1, 2). The parameters ?_i take arbitrary values in the half-open interval (0, 1]. When the vector parameter ? = (?₁, ?₂) vanishes, the system of elliptic equations degenerates into a system of algebraic equations. When the components ?₁ and (or) ?₂ tend to zero, a double boundary layer with the characteristic width ?₁ and ?₂ appears in the vicinity of the boundary. Using the grid refinement technique and the classical finite difference approximations of the boundary value problem, special difference schemes that converge ?-uniformly at the rate of O(N ^?2ln² N) are constructed, where N = min N _s, N _s + 1 is the number of mesh points on the axis x _s.     

Solvability of vector integro-differential equations of convolution type on the semiaxis

The paper deals with vector integro-differential equation of convolution type that have the form

$ - \frac{{d^2 f_i }}{{dx^2 }} + a_i f_i (x) = g_i (x) + \sum\limits_{j = 1}^N {\int\limits_0^\infty {K_{ij} (x - t)f_j (t)dt, } i = 1,2, \ldots ,N,} $

where \(\vec f\) = (f ₁, f ₂, ..., f _N ) ^T is the unknown vector-function, a _i are nonnegative numbers, \(\vec g\) = (g ₁, g ₂, ..., g _N ) ^T ? L ₁ ^×N (0,+∞) ≡ L ₁ (0,+∞) × ... × L (0,+∞) is the independent term of the equation with nonnegative components and 0 ≤ K _ij ? L ₁ (?∞,+∞), i, j = 1, 2, …,N are the kernel-functions. These equations have significant applications in the wave non-local interaction theory. Using some special factorization methods, solvability of the system is proved in different functional spaces.

     

Stability of nonlocal difference schemes in a subspace

We consider a family of two-layer difference schemes for the heat equation with nonlocal boundary conditions containing the parameter γ. In some interval γ ∈ (1, γ ₊), the spectrum of the main difference operator contains a unique eigenvalue λ ₀ in the left complex half-plane, while the remaining eigenvalues λ ₁, λ ₂, …, λ _N?1 lie in the right half-plane. The corresponding grid space H _N is represented as the direct sum H _N = H ₀⊕H _N?1 of a one-dimensional subspace and the subspace H _N?1 that is the linear span of eigenvectors µ⁽¹⁾, µ⁽²⁾, …, µ^(N?1). We introduce the notion of stability in the subspace H _N?1 and derive a stability criterion.     

On sharp bounds for marginal densities of product measures

We develop a new approach for counting integral solutions of the system of equations associated to rational lines on cubic hypersurface. As a consequence, we deduce the density result for rational lines on the cubic hypersurface defined by c1z₁³ + ··· + c_sz_s³ = 0 as soon as s≥21.     

Discrete nonlinear hyperbolic equations. Classification of integrable cases

We consider discrete nonlinear hyperbolic equations on quad-graphs, in particular on ?². The fields are associated with the vertices and an equation of the form Q(x ₁, x ₂, x ₃, x ₄) = 0 relates four vertices of one cell. The integrability of equations is understood as 3D-consistency, which means that it is possible to impose equations of the same type on all faces of a three-dimensional cube so that the resulting system will be consistent. This allows one to extend these equations also to the multidimensional lattices ? ^N . We classify integrable equations with complex fields x and polynomials Q multiaffine in all variables. Our method is based on the analysis of singular solutions.     

On the failure of concentration for the ℓ∞-ball

Let (X, d) be a compact metric space and µ a Borel probability on X. For each N ≥ 1 let d_∞^N be the ?_∞-product on X^N of copies of d, and consider 1-Lipschitz functions X^N → ? for d_∞^N.     

On the approximation of continuous functions of two variables

It is shown that if P _m ^α,β (x) (α, β > ?1, m = 0, 1, 2, …) are the classical Jaboci polynomials, then the system of polynomials of two variables {Ψ _mn ^α,β (x, y)} _m,n=0 ^r = {P _m ^α,β (x)P _n ^α,β (y)} _{m, n=0} ^r (r = m + n ≤ N ? 1) is an orthogonal system on the set Ω _N×N = ?ub;(x _i , y _i ) _i,j=0 ^N , where x _i and y _i are the zeros of the Jacobi polynomial P _n ^α,β (x). Given an arbitrary continuous function f(x, y) on the square [?1, 1]², we construct the discrete partial Fourier-Jacobi sums of the rectangular type S _{m, n, N} ^α,β (f; x, y) by the orthogonal system introduced above. We prove that the order of the Lebesgue constants ∥S _{m, n, N} ^α,β ∥ of the discrete sums S _{m, n, N} ^α,β (f; x, y) for ?1/2 < α, β < 1/2, m + n ≤ N ? 1 is O((mn) ^{q + 1/2}), where q = max?ub;α,β?ub;. As a consequence of this result, several approximate properties of the discrete sums S _{m, n, N} ^α,β (f; x, y) are considered.     

Polar functions of multiparameter bifractional Brownian sheets

Let B^H,K ： （B^H,K（t）, t ∈R＋^N} be an （N,d）-bifractional Brownian sheet with Hurst indices H = （H1,..., HN） ∈ （0, 1）^N and K = （K1,..., KN）∈ （0, 1]^N. The characteristics of the polar functions for B^H,K are investigated. The relationship between the class of continuous functions satisfying the Lipschitz condition and the class of polar-functions of B^H,K is presented. The Hausdorff dimension of the fixed points and an inequality concerning the Kolmogorov＇s entropy index for B^H,K are obtained. A question proposed by LeGall about the existence of no-polar, continuous functions statisfying the Holder condition is also solved.     

Two-Sided Estimates of Fourier Sums Lebesgue Functions with Respect to Polynomials Orthogonal on Nonuniform Grids

Let Ω = {t₀, t₁, …, t_N} and Ω_N = {x₀, x₁, …, x_N–1}, where x_j = (t_j + t_{j + 1})/2, j = 0, 1, …, N–1 be arbitrary systems of distinct points of the segment [–1, 1]. For each function f(x) continuous on the segment [–1, 1], we construct discrete Fourier sums S_{n, N}( f, x) with respect to the system of polynomials {p?_k,N(x)} _k=0 ^N–1 , forming an orthonormal system on nonuniform point systems Ω_N consisting of finite number N of points from the segment [–1, 1] with weight Δt_j = t_{j + 1}–t_j. We find the growth order for the Lebesgue function L_n,N (x) of the considered partial discrete Fourier sums S_n,N ( f, x) as n = O(δ _N ^?2/7 ), δ_N = max_{0≤ j≤N?1} Δt_j More exactly, we have a two-sided pointwise estimate for the Lebesgue function L_{n, N}(x), depending on n and the position of the point x from [–1, 1].     

Controlling noise error in block iterative methods

This paper describes a new \(O(N^{\frac {3}{2}}\log (N))\) solver for the symmetric positive definite Toeplitz system T_Nx_N = b_N. The method is based on the block QR decomposition of T_N accompanied with Levinson algorithm and its generalized version for solving Schur complements S_m of size m. In our algorithm we use a formula for displacement rank representation of the S_m in terms of generating vectors of the matrix T_N, and we assume that N = lm with \(l, m\in \mathbb {N}\). The new algorithm is faster than the classical O(N²)-algorithm for N > 2⁹. Numerical experiments confirm the good computational properties of the new method.     

Detailed error analysis for a fractional Adams method with graded meshes

We consider a fractional Adams method for solving the nonlinear fractional differential equation \(\,^{C}_{0}D^{\alpha }_{t} y(t) = f(t, y(t)), \, \alpha >0\), equipped with the initial conditions \(y^{(k)} (0) = y_{0}^{(k)}, k=0, 1, \dots , \lceil \alpha \rceil -1\). Here, α may be an arbitrary positive number and ?α? denotes the smallest integer no less than α and the differential operator is the Caputo derivative. Under the assumption \(\,^{C}_{0}D^{\alpha }_{t} y \in C^{2}[0, T]\), Diethelm et al. (Numer. Algor. 36, 31–52, 2004) introduced a fractional Adams method with the uniform meshes t _n = T(n/N),n = 0,1,2,…,N and proved that this method has the optimal convergence order uniformly in t _n , that is O(N ^?2) if α > 1 and O(N ^?1?α ) if α ≤ 1. They also showed that if \(\,^{C}_{0}D^{\alpha }_{t} y(t) \notin C^{2}[0, T]\), the optimal convergence order of this method cannot be obtained with the uniform meshes. However, it is well-known that for y ∈ C ^m [0,T] for some \(m \in \mathbb {N}\) and 0 < α < m, the Caputo fractional derivative \(\,^{C}_{0}D^{\alpha }_{t} y(t) \) takes the form “\(\,^{C}_{0}D^{\alpha }_{t} y(t) = c t^{\lceil \alpha \rceil -\alpha } + \text {smoother terms}\)” (Diethelm et al. Numer. Algor. 36, 31–52, 2004), which implies that \(\,^{C}_{0}D^{\alpha }_{t} y \) behaves as t ^?α??α which is not in C ²[0,T]. By using the graded meshes t _n = T(n/N) ^r ,n = 0,1,2,…,N with some suitable r > 1, we show that the optimal convergence order of this method can be recovered uniformly in t _n even if \(\,^{C}_{0}D^{\alpha }_{t} y\) behaves as t ^σ ,0 < σ < 1. Numerical examples are given to show that the numerical results are consistent with the theoretical results.     

Existence and concentration behavior of sign-changing solutions for quasilinear Schrödinger equations

We consider the quasilinear Schrödinger equations of the form ?ε²Δu + V(x)u ? ε²Δ(u²)u = g(u), x∈ R^N, where ε > 0 is a small parameter, the nonlinearity g(u) ∈ C¹(R) is an odd function with subcritical growth and V(x) is a positive Hölder continuous function which is bounded from below, away from zero, and inf_ΛV(x) < inf?_ΛV(x) for some open bounded subset Λ of R^N. We prove that there is an ε₀ > 0 such that for all ε ∈ (0, ε₀], the above mentioned problem possesses a sign-changing solution uε which exhibits concentration profile around the local minimum point of V(x) as ε → 0⁺.     

Orthogonality Relations for a Stationary Flow of an Ideal Fluid

For a real solution (u, p) to the Euler stationary equations for an ideal fluid, we derive an infinite series of the orthogonality relations that equate some linear combinations of mth degree integral momenta of the functions u_iu_j and p to zero (m = 0, 1,... ). In particular, the zeroth degree orthogonality relations state that the components ui of the velocity field are L²-orthogonal to each other and have coincident L²-norms. Orthogonality relations of degree m are valid for a solution belonging to a weighted Sobolev space with the weight depending on m.