The maximum maximum of a martingale constrained by an intermediate law

Let (M _t ) be any martingale with M ₀≡ 0, an intermediate law M ₁∼μ₁, and terminal law M ₂∼μ₂, and let Mˉ ₂≡ sup_{0≤ t ≤2} M _t . In this paper we prove that there exists an upper bound, with respect to stochastic ordering of probability measures, on the law of Mˉ ₂. We construct, using excursion theory, a martingale which attains this maximum. Finally we apply this result to the robust hedging of a lookback option. Received: 26 December 1998 / Revised version: 20 April 2000 /?Published online: 15 February 2001     

The condensate 〈(A µ 2 )〉 in commutative and noncommutative theories

We show that the gauge invariance of the operator ∫ dx tr(A _μ ² −2/(gξ)x ^υθ_μυ A ^μ) in a noncommutative gauge theory does not lead to the gauge independence of its vacuum condensate. We obtain the generalized Ward identities for Green’s functions containing the operator lim_Ω→∞(1/Ω)∫_Ω dx tr (A _μ ² ) in commutative and noncommutative gauge theories. __________ Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 148, No. 3, pp. 350–356, September, 2006.     

On Cramer Approximations under Violation of Cramer's Condition

Let X ₁, X ₂,... be independent identically distributed random variables with distribution function F, S ₀ = 0, S _n = X ₁ + ⋯ + X _n , and Sˉ _n = max_1⩽k⩽n S _k . We obtain large-deviation theorems for S _n and Sˉ _n under the condition 1 − F(x) = P{X ₁ ⩾ x} = e^−l(x), l(x) = x ^α L(x), α ∈ (0, 1), where L(x) is a slowly varying function as x → ∞. __________ Translated from Lietuvos Matematikos Rinkinys, Vol. 45, No. 4, pp. 447–456, October–December, 2005.     

On a nonhomogeneous Burgers’ equation

In this paper the Cauchy problem for the following nonhomogeneous Burgers’ equation is considered : (1)u _t +uu _x =μu _xx −kx,x ∈R,t > 0, where μ and k are positive constants. Since the nonhomogeneous term kx does not belong to any L^p(R) space, this type of equation is beyond usual Sobolev framework in some sense. By Hopf-Cole transformation, (1) takes the form (2)ϕ _t −ϕ _xx = −x ² ϕ. With the help of the Hermite polynomials and their properties, (1) and (2) are solved exactly. Moreover, the large time behavior of the solutions is also considered, similar to the discussion in Hopf’s paper. Especially, we observe that the nonhomogeneous Burgers’ equation (1) is nonlinearly unstable.     

Transfer of absolute continuity by a flow generated by a stochastic equation with reflection

Let ϕ_t(x), x ∈ ℝ₊ be a value taken at time t ≥ 0 by a solution of a stochastic equation with normal reflection from a hyperplane starting at initial time from x. We characterize the absolutely continuous (with respect to Lebesgue measure) component and the singular component of a stochastic measure-valued process μ_t = μ ○ ϕ _t ⁻¹ that is the image of a certain absolutely continuous measure μ under random mapping ϕ_t(·). We prove that the restriction of the Hausdorff measure H ^d−1 to the support of the singular component is σ-finite and give sufficient conditions guaranteeing that the singular component is absolutely continuous with respect to H ^d−1. __________ Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 58, No. 12, pp. 1663–1673, December, 2006.     

Degenerate principal series representations of Sp(<Emphasis Type="Italic">p,q</Emphasis>)

Letp>q and letG=Sp(p, q). LetP=LN be the maximal parabolic subgroup ofG with Levi subgroupL≅GL _q (ℍ)×Sp(p−q). Forsεℂ andμ a highest weight of Sp(p−q), let п_s,μ be the representation ofP such that its restriction toN is trivial and ⊠T _p-q ^μ , where det _q is the determinant character of GL _q (ℍ) andT _p-q ^μ is the irreducible representation of Sp(p−q) with highest weightμ. LetI _p,q(s, μ) be the Harish-Chandra module of the induced representation Ind _P ^G . In this paper, we shall determine the module structure and unitarity ofI _{p, q}(s, μ). Partially supported by NUS grant R-146-000-026-112.     

Topological realizations of families of ergodic automorphisms, multitowers and orbit equivalence

We study minimal topological realizations of families of ergodic measure preserving automorphisms (e.m.p.a.'s). Our main result is the following theorem. Theorem: Let {T_p:p∈I} be an arbitrary finite or countable collection of e.m.p.a.'s on nonatomic Lebesgue probability spaces (Y _p v _p ). Let S be a Cantor minimal system such that the cardinality of the set ε _S of all ergodic S-invariant Borel probability measures is at least the cardinality of I. Then for any collection {μ _p :pεI} of distinct measures from ε _S there is a Cantor minimal system S′ in the topological orbit equivalence class of S such that, as a measure preserving system, (S ¹,μ _p ) is isomorphic to T_p for every p∈I. Moreover, S′ can be chosen strongly orbit equivalent to S if and only if all finite topological factors of S are measure-theoretic factors of T_p for all p∈I. This result shows, in particular, that there are no restrictions at all for the topological realizations of countable families of e.m.p.a.'s in Cantor minimal systems. Namely, for any finite or countable collection {T ₁,T₂,…} of e.m.p.a.'s of nonatomic Lebesgue probability spaces, there is a Cantor minimal systemS, whose collection {μ1,μ2…} of ergodic Borel probability measures is in one-to-one correspondence with {T ₁,T₂,…}, and such that (S,μ _i ) is isomorphic toT _i for alli. Furthermore, since realizations are taking place within orbit equivalence classes of a given Cantor minimal system, our results generalize the strong orbit realization theorem and the orbit realization theorem of [18]. Those theorems are now special cases of our result where the collections {T _p}, {T _p }{μ _p } consist of just one element each. Research of I.K. was supported by NSF grant DMS 0140068.     

图的符号团边控制数

本文研究了图的符号团边控制数的问题.利用鸽巢原理,获得了图K_n∨P_m和K_n∨C_m的符号团边控制数,推广了已有的结果.     

Reinhardt域的Bergman核函数(Ⅰ)

若D为Reinhardt域 D={z∈Cⁿ:||z||_α=sum from j=1 to n(|z_j|~(2/α_j)<1)}这里0<α_j,j=1,2,…,n。若K_D(z,)为D的Bergman核函数,证明了一系列结果以获得K_D(z,)的渐近表达式.     

Bazilevič函数的对数系数

本文研究了Bazilevič函数类B_α（C,D）的对数系数.利用构造一个非负函数和对复变函数模的积分进行估计的方法,获得了B_α（C,D）的对数系数,推广了一些已有的相关结果.     

On States of Total Weighted Occupation Times for Superdiffusions

Suppose X is a superdiffusion in R ^d with general branching mechanism ψ, and Y _{r D} denotes the total weighted occupation time of X in a bounded smooth domain D. We discuss the conditions on ψ to guarantee that Y _{r D} has absolutely continuous states. And for particular ψ₍ z) = z ^1+β, 0 < β≤ 1, we prove that, in the case d < 2 + 2/β, Y _{r D} is absolutely continuous with respect to the Lebesgue measure in , whereas in the case d > 2 + 2/β, it is singular. As we know the absolute continuity and singularity of Y _{r D} have not been discussed before. Received February 1, 1999, Revised February 25, 2000, Accepted March 9, 2000     

Constructing three-dimensional mappings onto the unit sphere with the hypercomplex Szegö kernel

In classical complex analysis the Szegö kernel method provides an explicit way to construct conformal maps from a given simply-connected domain G⊂C onto the unit disc. In this paper we revisit this method in the three-dimensional case. We investigate whether it is possible to construct three-dimensional mappings from some elementary domains into the three-dimensional unit ball by using the hypercomplex Szegö kernel. In the cases of rectangular domains, L-shaped domains, cylinders and the symmetric double-cone the proposed method leads surprisingly to qualitatively very good results. In the case of the cylinder we get even better results than those obtained by the hypercomplex Bergman method that was very recently proposed by several authors.We round off with also giving an explicit example of a domain, namely the T-piece, where the method does not lead to the desired result. This shows that one has to adapt the methods in accordance with different classes of domains.     

Decomposition of stochastic flows and Lyapunov exponents

Let φ _t be the stochastic flow of a stochastic differential equation on a compact Riemannian manifold M. Fix a point m∈M and an orthonormal frame u at m, we will show that there is a unique decomposition φ _t = ξ _t ψ _t such that ξ _t is isometric, ψ _t fixes m and Dψ _t (u) = us _t , where s _t is an upper triangular matrix. We will also establish some convergence properties in connection with the Lyapunov exponents and the decomposition Dφ _t (u) = u _t s _t with u _t being an orthonormal frame. As an application, we can show that ψ_t preserves the directions in which the tangent vectors at m are dilated at fixed exponential rates. Received: 19 November 1998 / Revised version: 1 October 1999 / Published online: 14 June 2000     

Semistar-Krull and valuative dimension of integral domains

Given a stable semistar operation of finite type ⋆ on an integral domain D, we show that it is possible to define in a canonical way a stable semistar operation of finite type ⋆[X] on the polynomial ring D[X], such that, if n := ⋆-dim(D), then n+1 ≤ ⋆[X]-dim(D[X]) ≤ 2n+1. We also establish that if D is a ⋆-Noetherian domain or is a Prüfer ⋆-multiplication domain, then ⋆[X]-dim(D[X]) = ⋆- dim(D)+1. Moreover we define the semistar valuative dimension of the domain D, denoted by ⋆-dim _v (D), to be the maximal rank of the ⋆-valuation overrings of D. We show that ⋆-dim _v (D) = n if and only if ⋆[X ₁, . . . , X _n ]-dim(D[X ₁, . . . , X _n ]) = 2n, and that if ⋆-dim _v (D) < ∞ then ⋆[X]-dim _v (D[X]) = ⋆-dim _v (D) + 1. In general ⋆-dim(D) ≤ ⋆-dim _v (D) and equality holds if D is a ⋆-Noetherian domain or is a Prüfer ⋆-multiplication domain. We define the ⋆-Jaffard domains as domains D such that ⋆-dim(D) < ∞ and ⋆-dim(D) = ⋆-dim _v (D). As an application, ⋆-quasi-Prüfer domains are characterized as domains D such that each (⋆, ⋆′)-linked overring T of D, is a ⋆′-Jaffard domain, where ⋆′ is a stable semistar operation of finite type on T. As a consequence of this result we obtain that a Krull domain D, must be a w _D -Jaffard domain.     

Fourier Inversion of Distributions Supported by a Hypersurface

Let μ _Σ be the natural measure on R ^N (N≥3) supported by a compact oriented analytic hypersurface Σ, ψ a smooth function on R ^N and P(D) a differential operator in N variables of order m. We determine a sufficient condition on the number λ such that the Fourier integral of the distribution P(D)ψ μ _Σ be summable by Cesàro means of order λ to zero in a point outside the hypersurface. This condition depends on m and on the position of the point with respect to the caustic of the hypersurface.     

Potential theory of subordinate killed Brownian motion in a domain

 Subordination of a killed Brownian motion in a bounded domain D⊂ℝ ^d via an α/2-stable subordinator gives a process Z _t whose infinitesimal generator is −(−Δ| _D )^α/2, the fractional power of the negative Dirichlet Laplacian. In this paper we study the properties of the process Z _t in a Lipschitz domain D by comparing the process with the rotationally invariant α-stable process killed upon exiting D. We show that these processes have comparable killing measures, prove the intrinsic ultracontractivity of the generator of Z _t , prove the intrinsic ultracontractivity of the semigroup of Z _t , and, in the case when D is a bounded C ^1,1 domain, obtain bounds on the Green function and the jumping kernel of Z _t . Received: 4 April 2002 / Revised version: 1 July 2002 / Published online: 19 December 2002 This work was completed while the authors were in the Research in Pairs program at the Mathematisches Forschungsinstitut Oberwolfach. We thank the Institute for the hospitality. The research of the first author is supported in part by NSF Grant DMS-9803240. The research of the second author is supported in part by MZT grant 037008 of the Republic of Croatia. Mathematics Subject Classification (2000): Primary 60J45; Secondary 60J75, 31C25 Key words or phrases: Killed Brownian motions – Stable processes – Subordination – Fractional Laplacian     

Bipartite Distance-regular Graphs, Part I

Let Γ=(X,E) denote a bipartite distance-regular graph with diameter D≥4, and fix a vertex x of Γ. The Terwilliger algebra T=T(x) is the subalgebra of Mat _X(C) generated by A, E ^* ₀, E ^* ₁,…,E ^* _D, where A denotes the adjacency matrix for Γ and E ^* _i denotes the projection onto the i ^TH subconstituent of Γ with respect to x. An irreducible T-module W is said to be thin whenever dimE ^* _i W≤1 for 0≤i≤Di. The endpoint of W is min{i|E ^* _i W≠0}. We determine the structure of the (unique) irreducible T-module of endpoint 0 in terms of the intersection numbers of Γ. We show that up to isomorphism there is a unique irreducible T-module of endpoint 1 and it is thin. We determine its structure in terms of the intersection numbers of Γ. We determine the structure of each thin irreducible T-module W of endpoint 2 in terms of the intersection numbers of Γ and an additional real parameter ψ=ψ(W), which we refer to as the type of W. We now assume each irreducible T-module of endpoint 2 is thin and obtain the following two-fold result. First, we show that the intersection numbers of Γ are determined by the diameter D of Γ and the set of ordered pairs

Nielsen’s theorem for model aspherical manifolds

The main issue of this paper is the discussion of Nielsen’s realisation-problem for aspherical manifolds arising from (generalised) Seifert fiber space constructions. We present sufficient conditions on such “model” aspherical manifoldsM to have that a finite abstract kernel ψ:G → Out (π₁ (M)) can be (effectively) geometrically realised by a group of fiber preserving homeomorphisms ofM if and only if ψ can be realised by an (admissible) group extension 1 → (π₁ (M)) →E’ →G → 1. Then an algebraic approach to a (partial) study of the symmetry ofM is possible. Our result covers all situations already described in literature and we show with an example that we also deal with other types of Seifert fiber space constructions which were not yet treated before. Research Assistant of the Belgian National Fund for Scientific Research (N.F.W.O.)     

The ultrametric corona problem

Let K be a complete ultrametric algebraically closed field and let A be the K-Banach algebra of bounded analytic functions in the disk D: |x| < 1. Let Mult(A, ∥ · ∥) be the set of continuous multiplicative semi-norms of A, let Mult _m (A, ∥ · ∥) be the subset of the ϕ ∈ Mult(A, ∥ · ∥) whose kernel is a maximal ideal and let Mult _a (A, ∥ · ∥) be the subset of the ϕ ∈ Mult _m (A, ∥ · ∥) whose kernel is of the form (x − a)A, a ∈ D ( if ϕ ∈ Mult _m (A, ∥ · ∥) \ Mult _a (A, ∥ · ∥), the kernel of ϕ is then of infinite codimension). We examine whether Mult _a (A, ∥ · ∥) is dense inside Mult _m (A, ∥ · ∥) with respect to the topology of simple convergence. This a first step to the conjecture of density of Mult _a (A, ∥ · ∥) in the whole set Mult(A, ∥ · ∥): this is the corresponding problem to the well-known complex corona problem. We notice that if ϕ ∈ Mult _m (A, ∥ · ∥) is defined by an ultrafilter on D, then ϕ lies in the closure of Mult _a (A, ∥ · ∥). Particularly, we show that this is case when a maximal ideal is the kernel of a unique ϕ ∈ Multm(A, ∥ · ∥). Particularly, when K is strongly valued all maximal ideals enjoy this property. And we can prove this is also true when K is spherically complete, thanks to the ultrametric holomorphic functional calculus. More generally, we show that if ψ ∈ Mult(A, ∥ · ∥) does not define the Gauss norm on polynomials (∥ · ∥), then it is defined by a circular filter, like on rational functions and analytic elements. As a consequence, if ψ ∈ Multm(A, ∥ · ∥) \ Multa(A, ∥ · ∥) or if φ does not lie in the closure of Mult _a (A, ∥ · ∥), then its restriction to polynomials is the Gauss norm. The first situation does happen. The second is unlikely. The text was submitted by the authors in English.     

Some characterization results based on the conditional expectation of a function of non-adjacent order statistic (record value)

In this paper, we attempt to characterize a distribution by means ofE[ψ(X _k +s:n)|X _k:n =z]g(z), under some mild conditions on ψ(·) andg(·). An explicit result is provided in the case ofs=1 and a uniqueness result is proved in the case ofs=2. For the general case, an expression is provided for the conditional expectation. Similar results are proved for the record values, both in the continuous as well as in the discrete case (weak records).