Two-Parameter Lévy Processes Along Decreasing Paths

Let {X_t1,t2:t₁,t₂ 3 0}\{X_{t_{1},t_{2}}:t_{1},t_{2}\geq0\} be a two-parameter Lévy process on ℝ ^d . We study basic properties of the one-parameter process {X _x(t),y(t):t∈T} where x and y are, respectively, nondecreasing and nonincreasing nonnegative continuous functions on the interval T. We focus on and characterize the case where the process has stationary increments.     

A note on a conjecture of Borwein and Choi

A polynomial P(X) with coefficients {ǃ} of odd degree N - 1 is cyclotomic if and only if¶¶P(X) = ±F_p1 (±X)F_p2(±X^p1) ?F_pr(±X^{p1 p2 ?p_r-1}) P(X) = \pm \Phi_{p1} (\pm X)\Phi_{p2}(\pm X^{p1}) \cdots \Phi_{p_r}(\pm X^{p1 p2 \cdots p_r-1}) ¶where N = p₁ p₂ · · · p_r and the p_i are primes, not necessarily distinct, and where F_p(X) : = (X^p - 1) / (X - 1) \Phi_{p}(X) := (X^{p} - 1) / (X - 1) is the p-th cyclotomic polynomial. This is a conjecture of Borwein and Choi [1]. We prove this conjecture for a class of polynomials of degree N - 1 = 2^r p^l - 1 N - 1 = 2^{r} p^{\ell} - 1 for any odd prime p and for integers r, l\geqq 1 r, \ell \geqq 1 .     

Limit theorems for a class of diffusion processes

We consider a diffusion process {x(t)} on a compact Riemannian manifold with generator δ/2 + b. A current‐valued continuous stochastic process {X _t} in the sense of Itô [8] corresponds to {x(t)} by considering the stochastic line integral X _t(a) along {x(t)} for every smooth 1-form a. Furthermore {X _t} is decomposed into the martingale part and the bounded variation part as a current-valued continuous process. We show the central limit theorems for {X _t} and the martingale part of {X _t}. Occupation time laws for recurrent diffusions and homogenization problems of periodic diffusions are closely related to these theorems     

Autoregressive representations of multivariate stationary stochastic processes

Consider a q-variate weakly stationary stochastic process {X _n } with the spectral density W. The problem of autoregressive representation of {X _n } or equivalently the autoregressive representation of the linear least squares predictor of X _n , based on the infinite past is studied. It is shown that for every W in a large class of densities, the corresponding process has a mean convergent autoregressive representation. This class includes as special subclasses, the densities studied by Masani (1960) and Pourahmadi (1985). As a consequence it is shown that the condition W ^-1∈L _qxq ¹ or minimality of {X _n } is dispensable for this problem. When W is not in this class or when W has zeros of order 2 or more, it is shown that {X _n } has a mean Abel summable or mean compounded Cesáro summable autoregressive representation. Research supported by the NSF Grant MCS-8301240 and the AFOSR, Grant F49620 82 C0009. This work was done while the author was visiting Center for Stochastic Processes, University of North Carolina, Chapel Hill     

Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary

We study an inverse first-passage-time problem for Wiener process X(t) subject to random jumps from a boundary c. Let be given a threshold S > X(0); and a distribution function F on [0, + ∞). The problem consists of finding the distribution of the jumps which occur when X(t) hits c, so that the first-passage time of X(t) through S has distribution F.     

Polynomials Annihilating the Witt Ring

Let F be a non-formally real field of characteristic not 2 and let W(F) be the Witt ring of F. In certain cases generators for the annihilator ideal are determined. Aim the primary decomposition of A(F) is given. For formally d fields F, as an analogue the primary decomposition of A_t(F) = {f(X) ∈ Z[X]| f(ω) = 0 for all ω ∈ W_t(F)}, where W_t(F) is the torsion part of the Witt group, is obtained.     

The nonlinear version of Pazy’s local existence theorem

LetX be a real Banach space,U ⊂X a given open set,A ⊂X×X am-dissipative set andF:C(0,a;U) →L ^∞(0,a;X) a continuous mapping. Assume thatA generates a nonlinear semigroup of contractionsS(t): {ie221-2}) → {ie221-3}), strongly continuous at the origin, withS(t) compact for allt>0. Then, for eachu ₀ ∈ {ie221-4}) ∩U there existsT ∈ ]0,a] such that the following initial value problem: (du(t))/(dt) ∈Au(t) +F(u)(t),u(0)=u ₀, has at least one integral solution on [0,T]. Some extensions and applications are also included.     

A Generalization of a Theorem of Liao

Let X be a metrizable space and let φ：R× X → X be a continuous flow on X. For any given {φt}-invariant Borel probability measure, this paper presents a {φt}-invariant Borel subset of X satisfying the requirements of the classical ergodic theorem for the contiImous flow （X, {φt}）. The set is more restrictive than the ones in the literature, but it might be more useful and convenient, particularly for non-uniformly hyperbolic systems and skew-product flows.     

Self-similar processes with independent increments

Summary A stochastic process {X _t t 0} onR ^d is called wide-sense self-similar if, for eachc>0, there are a positive numbera and a functionb(t) such that {X _ct } and {aX _t +b(t)} have common finite-dimensional distributions. If {X _t } is widesense self-similar with independent increments, stochastically continuous, andX ₀=const, then, for everyt, the distribution ofX _t is of classL. Conversely, if is a distribution of classL, then, for everyH>0, there is a unique process {X _(H) ^t } selfsimilar with exponentH with independent increments such thatX ₁ has distribution . Consequences of this characterization are discussed. The properties (finitedimensional distributions, behaviors for small time, etc.) of the process {X _(H) ^t } (called the process of classL with exponentH induced by ) are compared with those of the Lévy process {Y _t } such thatY ₁ has distribution . Results are generalized to operator-self-similar processes and distributions of classOL. A process {X _t } onR ^d is called wide-sense operator-self-similar if, for eachc>0, there are a linear operatorA _c and a functionb _c (t) such that {X _ct } and {A _c X _t +b _c (t)} have common finite-dimensional distributions. It is proved that, if {X _t } is wide-sense operator-self-similar and stochastically continuous, then theA _c can be chosen asA _c =c ^Q with a linear operatorQ with some special spectral properties. This is an extension of a theorem of Hudson and Mason [4].     

Packing dimension and Ahlfors regularity of porous sets in metric spaces

Let X be a metric measure space with an s-regular measure μ. We prove that if A ì X{A\subset X} is r{\varrho} -porous, then dim_p(A) ￡ s-cr^s{{\rm {dim}_p}(A)\le s-c\varrho^s} where dim_p is the packing dimension and c is a positive constant which depends on s and the structure constants of μ. This is an analogue of a well known asymptotically sharp result in Euclidean spaces. We illustrate by an example that the corresponding result is not valid if μ is a doubling measure. However, in the doubling case we find a fixed N ì X{N\subset X} with μ(N) = 0 such that dim_p(A) ￡ dim_p(X)-c(log\tfrac1r)^-1r^t{{\rm {dim}_p}(A)\le{\rm {dim}_p}(X)-c(\log \tfrac1\varrho)^{-1}\varrho^t} for all r{\varrho} -porous sets A ì X\ N{A \subset X{\setminus} N} . Here c and t are constants which depend on the structure constant of μ. Finally, we characterize uniformly porous sets in complete s-regular metric spaces in terms of regular sets by verifying that A is uniformly porous if and only if there is t < s and a t-regular set F such that A ì F{A\subset F} .     

Self-interacting diffusions

 This paper is concerned with a general class of self-interacting diffusions {X _t } _{t ≥0} living on a compact Riemannian manifold M. These are solutions to stochastic differential equations of the form : dX _t = Brownian increments + drift term depending on X _t and μ _t , the normalized occupation measure of the process. It is proved that the asymptotic behavior of {μ _t } can be precisely related to the asymptotic behavior of a deterministic dynamical semi-flow Φ = {Φ _t } _{t ≥0} defined on the space of the Borel probability measures on M. In particular, the limit sets of {μ _t } are proved to be almost surely attractor free sets for Φ. These results are applied to several examples of self-attracting/repelling diffusions on the n-sphere. For instance, in the case of self-attracting diffusions, our results apply to prove that {μ _t } can either converge toward the normalized Riemannian measure, or to a gaussian measure, depending on the value of a parameter measuring the strength of the attraction. Received: 21 July 2000 / Revised version: 12 December 2000 / Published online: 15 October 2001     

Viscosity Approximation Methods for Multivalued Mappings in Banach Spaces

Let K be a nonempty closed and convex subset of a real reflexive Banach space X that has weakly sequentially continuous duality mapping J. Let T: K → K be a multivalued non-expansive non-self-mapping satisfying the weakly inwardness condition as well as the condition T(y) = {y} for any y ∈ F(T) and such that for a contraction f: K → K and any t ∈ (0, 1), there exists x _t  ∈ K satisfying x _t  ∈ tf(x _t ) + (1 ? t)Tx _t . Then it is proved that {x _t } ? K converges strongly to a fixed point of T, which is also a solution of certain variational inequality. Moreover, the convergence of two explicit methods are also investigated.     

Discreteness and rationality of F-jumping numbers on singular varieties

We prove that the F-jumping numbers of the test ideal t(X; D, \mathfraka^t){\tau(X; \Delta, \mathfrak{a}^t)} are discrete and rational under the assumptions that X is a normal and F-finite scheme over a field of positive characteristic p, K _X  + Δ is \mathbb Q{\mathbb {Q}}-Cartier of index not divisible p, and either X is essentially of finite type over a field or the sheaf of ideals \mathfraka{\mathfrak{a}} is locally principal. This is the largest generality for which discreteness and rationality are known for the jumping numbers of multiplier ideals in characteristic zero.     

On the Vector Process Obtained by Iterated Integration of the Telegraph Signal

We analyse the vector process (X ₀(t), X ₁(t),...,X _n(t), t > 0) where , and X ₀(t) is the o two-valued telegraph process.In particular, the hyperbolic equations governing the joint distributions of the process are derived and analysed.Special care is given to the case of the process (X ₀(t), X ₁(t), X ₂(t), t > 0) representing a randomly accelerated motion where some explicit results on the probability distribution are derived.     

A New Recursion in the Theory of Macdonald Polynomials

The bigraded Frobenius characteristic of the Garsia-Haiman module M _μ is known [7, 10] to be given by the modified Macdonald polynomial [(H)\tilde]_m[X; q, t]{\tilde{H}_{\mu}[X; q, t]}. It follows from this that, for m\vdash n{\mu \vdash n} the symmetric polynomial ?_p1 [(H)\tilde]_m[X; q, t]{{\partial_{p1}} \tilde{H}_{\mu}[X; q, t]} is the bigraded Frobenius characteristic of the restriction of M _μ from S _n to S _n-1. The theory of Macdonald polynomials gives explicit formulas for the coefficients c _{μ v} occurring in the expansion ?_p1 [(H)\tilde]_m[X; q, t] = ?_{v ? m}c_mv [(H)\tilde]_v[X; q, t]{{\partial_{p1}} \tilde{H}_{\mu}[X; q, t] = \sum_{v \to \mu}c_{\mu v} \tilde{H}_{v}[X; q, t]}. In particular, it follows from this formula that the bigraded Hilbert series F μ (q, t) of M _μ may be calculated from the recursion F_m (q, t) = ?_{v ? m}c_mv F_v (q, t){F_\mu (q, t) = \sum_{v \to \mu}c_{\mu v} F_v (q, t)}. One of the frustrating problems of the theory of Macdonald polynomials has been to derive from this recursion that Fm(q, t) ? N[q, t]{F\mu (q, t) \in \mathbf{N}[q, t]}. This difficulty arises from the fact that the c _{μ v} have rather intricate expressions as rational functions in q, t. We give here a new recursion, from which a new combinatorial formula for F _μ (q, t) can be derived when μ is a two-column partition. The proof suggests a method for deriving an analogous formula in the general case. The method was successfully carried out for the hook case by Yoo in [15].     

A functional LIL for integrated α stable process

Let {X（t）,t ∈ R＋} be an integrated α stable process. In this paper, a functional law of the iterated logarithm （LIL） is derived via estimating the small ball probability of X. As a corollary,, the classical Chung LIL of X is obtained. Furthermore, some results about the weighted occupation measure of X（t） are established.     

On weakly bounded empirical processes

Let F be a class of functions on a probability space (Ω, μ) and let X ₁,...,X _k be independent random variables distributed according to μ. We establish an upper bound that holds with high probability on for every t > 0, and that depends on a natural geometric parameter associated with F. We use this result to analyze the supremum of empirical processes of the form for p > 1 using the geometry of F. We also present some geometric applications of this approach, based on properties of the random operator 〈X _i , ·〉e _i , where are sampled according to an isotropic, log-concave measure on .     

Some ratio inequalities for iterated stochastic integrals

Let X = (X_t, ?_t) be a continuous local martingale with quadratic variation 〈X〉 and X₀ = 0. Define iterated stochastic integrals I_n(X) = (I_n(t, X), ?_t), n ≥ 0, inductively by $$ I_{n} (t, X) = \int ^{t} _{0} I_{n-1} (s, X)dX_{s} $$ with I₀(t, X) = 1 and I₁(t, X) = X_t. Let (??^x_t(X)) be the local time of a continuous local martingale X at x ∈ ?. Denote ??*t(X) = sup_x∈? ??^x_t(X) and X* = sup_t≥0 |X_t|. In this paper, we shall establish various ratio inequalities for I_n(X). In particular, we show that the inequalities $$ c_{n,p} \, \left\Vert (G ( \langle X \rangle _{\infty} )) ^{n/2} \right\Vert _{p} \; \le \; \left\Vert {\mathop \sup \limits _{t \ge 0}} \; {\left\vert I_{n} (t, X) \right\vert \over {(1+ \langle X \rangle _{t} ) ^{n/2}}} \right\Vert _{p} \; \le C_{n, p} \, \left\Vert (G ( \langle X \rangle _{\infty} )) ^{n/2} \right\Vert _{p} $$ hold for 0 < p < ∞ with some positive constants c_n,p and C_n,p depending only on n and p, where G(t) = log(1+ log(1+ t)). Furthermore, we also show that for some γ ≥ 0 the inequality $$ E \left[ U ^{p}_{n} \exp \left( \gamma {U ^{1/n} _{n} \over {V}} \right) \right] \le C_{n, p, \gamma} E [V ^{n, p}] \quad (0 < p < \infty ) $$ holds with some positive constant C_n,p,γ depending only on n, p and γ, where U_n is one of 〈I_n(X)〉^1/2_∞ and I*_n(X), and V one of the three random variables X*, 〈X〉^1/2_∞ and ??*_∞(X). (© 2003 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Weak Error for Stable Driven Stochastic Differential Equations: Expansion of the Densities

Consider a multidimensional stochastic differential equation of the form X_t=x+ò₀^tb(X_s-) ds+ò₀^tf(X_s-) dZ_sX_{t}=x+\int_{0}^{t}b(X_{s-})\,ds+\int_{0}^{t}f(X_{s-})\,dZ_{s}, where (Z _s ) _s≥0 is a symmetric stable process. Under suitable assumptions on the coefficients, the unique strong solution of the above equation admits a density with respect to Lebesgue measure, and so does its Euler scheme. Using a parametrix approach, we derive an error expansion with respect to the time step for the difference of these densities.