Singularly Perturbed Switching Diffusions: Rapid Switchings and Fast Diffusions

Motivated by many problems in optimization and control, this paper is concerned with singularly perturbed systems involving both diffusions and pure jump processes. Two models are treated. In the first model, the jump process changes very rapidly by comparison with the diffusion processes. In the second model, the diffusions change rapidly in comparison with the jump process. Asymptotic expansions are developed for the transition density vectors via a constructive method; justification of the asymptotic expansions and analysis of the remainders are provided.     

One-Dimensional Diffusions and Approximation

Consider the Voronovskaja operator A of a sequence of positive linear operators and let u(t, x) be the solution of the Cauchy problem for A. In the spirit of Altomare’s theory this solution can be studied by using the semigroup (T(t))_{t ≥ 0} generated by A and represented in terms of the operators L_n.One associates to A a stochastic equation; its solution can be also used in order to represent u(t, x).The relations between all these objects are described in the case of the operator A associated with some Meyer-König and Zeller type operators.     

Optimal Control of Diffusions

We prove a version of Pontryagin's maximum principle for time and norm optimal control of linear diffusion processes. This result includes both necessary and sufficient conditions and implies a ``concentration principle' for the optimal measure-valued controls.     

Langevin Diffusions and Metropolis-Hastings Algorithms

We consider a class of Langevin diffusions with state-dependent volatility. The volatility of the diffusion is chosen so as to make the stationary distribution of the diffusion with respect to its natural clock, a heated version of the stationary density of interest. The motivation behind this construction is the desire to construct uniformly ergodic diffusions with required stationary densities. Discrete time algorithms constructed by Hastings accept reject mechanisms are constructed from discretisations of the algorithms, and the properties of these algorithms are investigated.     

Diffusions of multiplicative cascades

A multiplicative cascade can be thought of as a randomization of a measure on the boundary of a tree, constructed from an iid collection of random variables attached to the tree vertices. Given an initial measure with certain regularity properties, we construct a continuous time, measure-valued process whose value at each time is a cascade of the initial one. We do this by replacing the random variables on the vertices with independent increment processes satisfying certain moment assumptions. Our process has a Markov property: at any given time it is a cascade of the process at any earlier time by random variables that are independent of the past. It has the further advantage of being a martingale and, under certain extra conditions, it is also continuous. For Gaussian independent increment processes we develop the infinite-dimensional stochastic calculus that describes the evolution of the measure process, and use it to compute the optimal Hölder exponent in the Wasserstein distance on measures. We also discuss applications of this process to the model of tree polymers.     

Non-Symmetric Diffusions and Related Hamiltonians

We exhibit a unitary correspondence between (equivalence classes) of Hamiltonians H(, A), involving electromagnetic potentials (A,), and generators of bi-directional Markov semigroups associated with non-symmetric diffusion processes.     

Seiberg—Witten—Floer Homology and Gluing Formulae

This paper gives a detailed construction of Seiberg-Witten-Floer homology for a closed oriented 3-manifold with a non-torsion Spin^C structure.Gluing formulae for certain 4-dimensional manifolds splitting along an embedded 3-manifold are obtained.     

Diffusions with holding and jumping boundary

Consider a family of probability measures {νξ} on a bounded open region D R d with a smooth boundary and a positive parameter set {βξ},all indexed by ξ∈D.For any starting point inside D,we run a diffusion until it first exits D,at which time it stays at the exit point ξ for an independent exponential holding time with rate βξ and then leaves ξ by a jump into D according to the distribution νξ.Once the process jumps inside,it starts the diffusion afresh.The same evolution is repeated independently each time the process jumped into the domain.The resulting Markov process is called diffusion with holding and jumping boundary(DHJ),which is not reversible due to the jumping.In this paper we provide a study of DHJ on its generator,stationary distribution and the speed of convergence.     

Data Augmentation for Diffusions

The problem of formal likelihood-based (either classical or Bayesian) inference for discretely observed multidimensional diffusions is particularly challenging. In principle, this involves data augmentation of the observation data to give representations of the entire diffusion trajectory. Most currently proposed methodology splits broadly into two classes: either through the discretization of idealized approaches for the continuous-time diffusion setup or through the use of standard finite-dimensional methodologies discretization of the diffusion model. The connections between these approaches have not been well studied. This article provides a unified framework that brings together these approaches, demonstrating connections, and in some cases surprising differences. As a result, we provide, for the first time, theoretical justification for the various methods of imputing missing data. The inference problems are particularly challenging for irreducible diffusions, and our framework is correspondingly more complex in that case. Therefore, we treat the reducible and irreducible cases differently within the article. Supplementary materials for the article are available online.     

Gluing torsion endo-permutation modules

Let k be a field of characteristic p, and let P be a finitep-group, where p is an odd prime. In this paper, we considerthe problem of gluing compatible families of endo-permutationmodules: being given a torsion element M_Q in the Dade groupD(N_P(Q)/Q), for each non-trivial subgroup Q of P, subject toobvious compatibility conditions, we show that it is alwayspossible to find an element M in the Dade group of P such that for all Q, but that Mneed not be a torsion element of D(P). The obstruction to thisis controlled by an element in the zeroth cohomology group over₂ of the poset of elementary abelian subgroups of P of rankat least 2. We also give an example of a similar situation,when M_Q is only given for centric subgroups Q of P. Moreover,general results about biset functors and the Dade functor aregiven in two appendices.     

Terminal Invariance of Jump Diffusions

Doklady Mathematics - Terminal invariance sufficient conditions for nonlinear dynamical stochastic controllable systems of diffusion-jump type are proposed. These conditions have no analogues in...     

Optimal Stopping of One-Dimensional Diffusions

In this paper we consider an optimal stopping problem for a time-homogeneous, onedimensional, regular diffusion. An essential tool in our approach is the MARTIN boundary theory. It is possible to determine explicitly the representing measure of a given β-excessive function. It is seen that this correspondence may be used to construct optimal stopping rules. In some specific cases, as demonstrated in the paper, the solution is reached directly and with ease. The so called condition of “smooth pasting” is seen to be a simple consequence of our results.     

A Note on Wavelets and Diffusions

Motivated by image processing and numerical wavelet methods for partial differential equations, we study the theoretical interactions between wavelets and the diffusion equations. Important properties of wavelets, such as the translation and scaling invariance, the p-vanishing-moment condition, and the atomic decomposition, are integrated into the diffusion process and lead to many interesting results.     

Gluing Compact Matrix Quantum Groups

We study glued tensor and free products of compact matrix quantum groups with cyclic groups – so-called tensor and free complexifications. We characterize them by studying their representation categories and algebraic relations. In addition, we generalize the concepts of global colourization and alternating colourings from easy quantum groups to arbitrary compact matrix quantum groups. Those concepts are closely related to tensor and free complexification procedures. Finally, we also study a more general procedure of gluing and ungluing.

     

Gluing semigroups: when and how

Semigroup Forum - Given two semigroups $$\langle A\rangle$$ and $$\langle B\rangle$$ in $${\mathbb {N}}^n$$ , we wonder when they can be glued, i.e., when there exists a semigroup $$\langle...     

Interactive Diffusions for Global Optimization

We present a novel approach, in which parallel annealing processes interact in a manner that expedites the identification of a globally optimal solution. A first annealing process operates at a faster time scale and has a drift function that converges to a non-zero (but relatively small) noise level. A second annealing process (operating at a slower time scale) is subject to a modified drift term in which the steepest descent direction is perturbed with the first annealing process density gradient. This additional term ensures that the second process is “repelled” from regions already explored. As a result, the first annealing process (which quickly identifies locally optimal solutions) allows the second annealing process to bypass locally optimal solutions recently identified, so that it can be made to converge to global optima at a faster rate. We show that, when compared to independent annealing processes, the proposed interactive diffusions can increase the speed of convergence at the expense of minimal additional computational overhead.     

Hitting Half-spaces by Bessel-Brownian Diffusions

The purpose of the paper is to find explicit formulas describing the joint distributions of the first hitting time and place for half-spaces of codimension one for a diffusion in ℝ ^n + 1, composed of one-dimensional Bessel process and independent n-dimensional Brownian motion. The most important argument is carried out for the two-dimensional situation. We show that this amounts to computation of distributions of various integral functionals with respect to a two-dimensional process with independent Bessel components. As a result, we provide a formula for the Poisson kernel of a half-space or of a strip for the operator (I − Δ) ^α/2, 0 < α < 2. In the case of a half-space, this result was recently found, by different methods, in Byczkowski et al. (Trans Am Math Soc 361:4871–4900, 2009). As an application of our method we also compute various formulas for first hitting places for the isotropic stable Lévy process.