Large deviations of the first passage time for a random walk with semiexponentially distributed jumps

Suppose that ξ, ξ(1), ξ(2), ... are independent identically distributed random variables such that ?ξ is semiexponential; i.e., $P( - \xi \geqslant t) = e^{ - t^\beta L(t)} $ is a slowly varying function as t → ∞ possessing some smoothness properties. Let E ξ = 0, D ξ = 1, and S(k) = ξ(1) + ? + ξ(k). Given d > 0, define the first upcrossing time η ₊(u) = inf{k ≥ 1: S(k) + kd > u} at nonnegative level u ≥ 0 of the walk S(k) + kd with positive drift d > 0. We prove that, under general conditions, the following relation is valid for $u = (n) \in \left[ {0, dn - N_n \sqrt n } \right]$ : 0.1 $P(\eta + (u) > n) \sim \frac{{E\eta + (u)}}{n}P(S(n) \leqslant x) as n \to \infty $ , where x = u ? nd < 0 and an arbitrary fixed sequence N _n not exceeding $d\sqrt n $ tends to ∞. The conditions under which we prove (0.1) coincide exactly with the conditions under which the asymptotic behavior of the probability P(S(n) ≤ x) for $x \leqslant - \sqrt n $ was found in [1] (for $x \in \left[ { - \sqrt n ,0} \right]$ it follows from the central limit theorem).     

An integro-local theorem applicable on the whole half-axis to the sums of random variables with regularly varying distributions

We obtain an integro-local limit theorem for the sum S(n) = ξ(1)+?+ξ(n) of independent identically distributed random variables with distribution whose right tail varies regularly; i.e., it has the form P(ξ≥t) = t ^?β L(t) with β > 2 and some slowly varying function L(t). The theorem describes the asymptotic behavior on the whole positive half-axis of the probabilities P(S(n) ∈ [x, x + Δ)) as x → ∞ for a fixed Δ > 0; i.e., in the domain where the normal approximation applies, in the domain where S(n) is approximated by the distribution of its maximum term, as well as at the “junction” of these two domains.     

A sharp weightedL 2-estimate for the solution to the time-dependent Schrödinger equation

For Ξ∈R ⁿ ,t∈R andf∈S(R ⁿ ) define $\left( {S^2 f} \right)\left( t \right)\left( \xi \right) = \exp \left( {it\left| \xi \right|^2 } \right)\hat f\left( \xi \right)$ . We determine the optimal regularitys ₀ such that $\int_{R^n } {\left\| {(S^2 f)[x]} \right\|_{L^2 (R)}^2 \frac{{dx}}{{(1 + |x|)^b }} \leqslant C\left\| f \right\|_{H^s (R^n )}^2 ,s > s_0 } ,$ holds whereC is independent off∈S(R ⁿ ) or we show that such optimal regularity does not exist. This problem has been treated earlier, e.g. by Ben-Artzi and Klainerman [2], Kato and Yajima [4], Simon [6], Vega [9] and Wang [11]. Our theorems can be generalized to the case where the exp(it|ξ|²) is replaced by exp(it|ξ|^a),a≠2. The proof uses Parseval's formula onR, orthogonality arguments arising from decomposingL ²(R ⁿ ) using spherical harmonics and a uniform estimate for Bessel functions. Homogeneity arguments are used to show that results are sharp with respect to regularity.     

Superlarge deviations for sums of random variables with arithmetical super-exponential distributions

Local limit theorems are obtained for superlarge deviations of sums S(n) = ξ(1) + ... + ξ(n) of independent identically distributed random variables having an arithmetical distribution with the right-hand tail decreasing faster that that of a Gaussian law. The distribution of ξ has the form ?(ξ = k) = \(e^{ - k^\beta L(k)} \), where β > 2, k ∈ ? (? is the set of all integers), and L(t) is a slowly varying function as t → ∞ which satisfies some regularity conditions. These theorems describing an asymptotic behavior of the probabilities ?(S(n) = k) as k/n → ∞, complement the results on superlarge deviations in [4, 5].     

Asymptotic Analysis for Random Walks with Nonidentically Distributed Jumps Having Finite Variance

Let ξ₁,ξ₂,... be independent random variables with distributions F₁F₂,... in a triangular array scheme (F _i may depend on some parameter). Assume that Eξ _i = 0, Eξ _i ² < ∞, and put \(S_n = \sum {_{i = 1}^n \;} \xi _i ,\;\overline S _n = \max _{k \leqslant n} S_k\). Assuming further that some regularly varying functions majorize or minorize the “averaged” distribution \(F = \frac{1}{n}\sum {_{i = 1}^n F_i }\), we find upper and lower bounds for the probabilities P(S _n > x) and \(P(\bar S_n > x)\). We also study the asymptotics of these probabilities and of the probabilities that a trajectory {S _k } crosses the remote boundary {g(k)}; that is, the asymptotics of P(max_k≤n(S _k ? g(k)) > 0). The case n = ∞ is not excluded. We also estimate the distribution of the first crossing time.     

Additive operators preserving rank-additivity on symmetry matrix spaces

We characterize the additive operators preserving rank-additivity on symmetry matrix spaces. LetS _n(F) be the space of alln×n symmetry matrices over a fieldF with 2,3 ∈F ^*, thenT is an additive injective operator preserving rank-additivity onS _n(F) if and only if there exists an invertible matrixU∈M _n(F) and an injective field homomorphism ? ofF to itself such thatT(X)=cUX ^?U^T, ?X=(x_ij)∈S_n(F) wherec∈F ^*,X ^?=(?(x _ij)). As applications, we determine the additive operators preserving minus-order onS _n(F) over the fieldF.     

Comparison Inequalities for One Sided Normal Probabilities

Several sharp upper and lower bounds for the ratio of two normal probabilities $\mathbb{P}\Biggl(\,\bigcap_{i=1}^{n}\bigl\{\xi^{(1)}_i\leq \mu_i\bigr\}\Biggr)\Big/\mathbb{P}\Biggl(\,\bigcap_{i=1}^{n}\bigl\{\xi^{(0)}_i\leq \mu_i\bigr\}\Biggr)$ are given in this paper for various cases, where (ξ ₁ ⁽⁰⁾ ,ξ ₂ ⁽⁰⁾ ,…,ξ _n ⁽⁰⁾ ) and (ξ ₁ ⁽¹⁾ ,ξ ₂ ⁽¹⁾ , …,ξ _n ⁽¹⁾ ) are standard normal random variables with covariance matrices R ⁰=(r _ij ⁰ ) and R ¹=(r _ij ¹ ), respectively.     

On mappings preserving orthogonality of non-singular vectors

Letq be a regular quadratic form on a vector space (V,F) and letf be the bilinear form associated withq. Then, \(\dot V: = \{ z \in V|q(z) \ne 0\} \) is the set of non-singular vectors ofV, and forx, y ∈ \(\dot V\) , ?(x, y) ?f(x, y) ²/(q(x) · q(y)) is theq-measure of (x, y), where ?(x,y)=0 means thatx, y are orthogonal. For an arbitrary mapping \(\sigma :\dot V \to \dot V\) we consider the functional equations $$\begin{gathered} (I)\sphericalangle (x,y) = 0 \Leftrightarrow \sphericalangle (x^\sigma ,y^\sigma ) = 0\forall x,y \in \dot V, \hfill \\ (II)\sphericalangle (x,y) = \sphericalangle (x^\sigma ,y^\sigma )\forall x,y \in \dot V, \hfill \\ (III)f(x,y)^2 = f(x^\sigma ,y^\sigma )^2 \forall x,y \in \dot V, \hfill \\ \end{gathered} $$ and we state conditions on (V,F,q) such thatσ is induced by a mapping of a well-known type. In case of dimV ∈N?{0, 1, 2} ∧ ∣F∣ > 3, each of the assumptions (I), (II), (III) implies that there exist aρ-linear injectionξ :V →V and a fixed λ ∈F?{0} such thatF x ^σ =F x ^ξ ?x ∈ \(\dot V\) andf(x ^ξ,y ^ξ)=λ · (f(x, y))^ρ ?x, y ∈V. Moreover, (II) implies ρ =id _F ∧q(x ^ξ) = λ ·q(x) ?x ∈ \(\dot V\) , and (III) implies ρ=id _F ∧ λ ∈ {1,?1} ∧x ^σ ∈ {x ^ξ, ?x ^ξ} ?x ∈ \(\dot V\) . Other results obtained in this paper include the cases dimV = 2 resp. dimV ?N resp. ∣F∣ = 3.     

Asymptotic behaviour of the minima to a class of optimization problems for differential inclusions

Denoting byS _k (ξ _k ) the set of solutions of the Cauchy problem $\dot x \in F_k (t,x),x(0) = \xi _k $ , fork∈N∪{∞}, we prove that, under appropriate assumptions, the sequence {S _k (ξ _k )} _{k ∈ N} converges toS _∞(∈_∞) in the Kuratowski sense as well as in the Mosco sense. This result together with some facts from Γ-convergence theory are used to prove a result concerning the existence and the asymptotic behavior of the minima to the optimization problem $$\min \int_0^T {[g_k (t,x(t)) + h_k (t,\dot x(t))]} dt + \psi _k (\xi ),x \in S_k (\xi ),\xi \in K$$ withK a compact subset ofR ⁿ .     

On Dirichlet Type Problems of Polynomial Dirac Equations with Boundary Conditions

Let ${{\bf D}_{\bf x} := \sum_{i=1}^n \frac{\partial}{\partial x_i} e_i}$ be the Euclidean Dirac operator in ${\mathbb{R}^n}$ and let P(X) = a _m X ^m + . . . + a ₁ X +  a ₀ be a polynomial with real coefficients. Differential equations of the form P(D _x )u(x) = 0 are called homogeneous polynomial Dirac equations with real coefficients. In this paper we treat Dirichlet type problems of the a slightly less general form P(D _x )u(x) = f(x) (where the roots are exclusively real) with prescribed boundary conditions that avoid blow-ups inside the domain. We set up analytic representation formulas for the solutions in terms of hypercomplex integral operators and give exact formulas for the integral kernels in the particular cases dealing with spherical and concentric annular domains. The Maxwell and the Klein–Gordon equation are included as special subcases in this context.     

Dissipativity of some class of uncertain systems

We consider the system $$ \dot x = A\left( \cdot \right)x + B\left( \cdot \right)u, u = S\left( \cdot \right)x, t \geqslant t_0 , $$ where A(·) ∈ ? ^n×n , B(·) ? ^n×p , and S(·) ∈ ? ^p×n . The entries of matrices A(·), B(·), and S(·) are arbitrary bounded functionals. We consider the problem of constructing a matrix H > 0 and finding relations between the entries of the matrices B(·) and S(·) such that for a given constant matrix R the inequality $$ V\left( {x\left( t \right)} \right) < V\left( {x\left( {t_0 } \right)} \right) + \int\limits_{t_0 }^t {x*\left( \tau \right)Rx\left( \tau \right)d\tau ,} $$ where V(x) = x*Hx, is satisfied. This problem is solved for the cases where matrix A(·) has p sign-definite entries on the upper part of some subdiagonal or on the lower part of some superdiagonal. It is assumed also that all entries located to the left (or to the right) of the sign-definite entries are equal to zero.     

On the chromatic numbers of spheres in ℝ n

Let χ(S _r ^n?1 )) be the minimum number of colours needed to colour the points of a sphere S _r ^n?1 of radius $r \geqslant \tfrac{1} {2}$ in ? ⁿ so that any two points at the distance 1 apart receive different colours. In 1981 P. Erd?s conjectured that χ(S _r ^n?1 )→∞ for all $r \geqslant \tfrac{1} {2}$ . This conjecture was proved in 1983 by L. Lovász who showed in [11] that χ(S _r ^n?1 ) ≥ n. In the same paper, Lovász claimed that if $r < \sqrt {\frac{n} {{2n + 2}}}$ , then χ(S _r ^n?1 ) ≤ n+1, and he conjectured that χ(S _r ^n?1 ) grows exponentially, provided $r \geqslant \sqrt {\frac{n} {{2n + 2}}}$ . In this paper, we show that Lovász’ claim is wrong and his conjecture is true: actually we prove that the quantity χ(S _r ^n?1 ) grows exponentially for any $r > \tfrac{1} {2}$ .     

The behavior of \sum\nolimits_{n = 1}^\infty {{{\zeta ^{ \llcorner n\theta \lrcorner } } \mathord{\left/ {\vphantom {{\zeta ^{ \llcorner n\theta \lrcorner } } n}} \right. \kern-\nulldelimiterspace} n}} for particular values of θ

Let ζ be a primitive q′-root of unity. We prove that the series $ \sum\nolimits_{n = 1}^\infty {{{\zeta ^{ \llcorner n\theta \lrcorner } } \mathord{\left/ {\vphantom {{\zeta ^{ \llcorner n\theta \lrcorner } } n}} \right. \kern-0em} n}} $ for θ ∈ Q converges if and only if θ = p/q with (p,q) = 1 and q′ ? p, and that there exists an uncountable set S of Liouville’s numbers such that the series does not converge when θ ∈ S.     

Modal stabilization of a certain class of uniformly controllable systems

The system $\dot x = A( \cdot )x + b( \cdot )u,$ where A(·) ∈ ? ^n×n and b(·) ∈ ? ^n×1, is considered. The elements of the matrix A(·) and the column b(·) are bounded by nonanticipating functionals of an arbitrary nature that satisfy the condition $\mathop {\inf }\limits_{( \cdot )} A^{n - 1} ( \cdot )b( \cdot ),...,A( \cdot )b( \cdot ),b( \cdot )| > 0$ . From a given constant spectrum contained in the left half-plane, a feedback u = (s(·), x) is constructed, the coefficients of which are expressed in terms of A(·) and b(·). Conditions for the closed system to be globally exponentially stable are found. A similar result is obtained for the system $x(k + 1) = A(k)x(k) + b(k)u(k)$ .     

Limit ultraspherical series and their approximation properties

We study new series of the form $\sum\nolimits_{k = 0}^\infty {f_k^{ - 1} \hat P_k^{ - 1} (x)} $ in which the general term $f_k^{ - 1} \hat P_k^{ - 1} (x)$ , k = 0, 1, …, is obtained by passing to the limit as α→?1 from the general term $\hat f_k^\alpha \hat P_k^{\alpha ,\alpha } (x)$ of the Fourier series $\sum\nolimits_{k = 0}^\infty {f_k^\alpha \hat P_k^{\alpha ,\alpha } (x)} $ in Jacobi ultraspherical polynomials $\hat P_k^{\alpha ,\alpha } (x)$ generating, for α> ?1, an orthonormal system with weight (1 ? x ₂)α on [?1, 1]. We study the properties of the partial sums $S_n^{ - 1} (f,x) = \sum\nolimits_{k = 0}^n {f_k^{ - 1} \hat P_k^{ - 1} (x)} $ of the limit ultraspherical series $\sum\nolimits_{k = 0}^\infty {f_k^{ - 1} \hat P_k^{ - 1} (x)} $ . In particular, it is shown that the operator S _n ^?1 (f) = S _n ^?1 (f, x) is the projection onto the subspace of algebraic polynomials p _n = p _n (x) of degree at most n, i.e., S _n (p _n ) = p _n ; in addition, S _n ^?1 (f, x) coincides with f(x) at the endpoints ±1, i.e., S _n ^?1 (f,±1) = f(±1). It is proved that the Lebesgue function Λ _n (x) of the partial sums S _n ^?1 (f, x) is of the order of growth equal to O(ln n), and, more precisely, it is proved that $\Lambda _n (x) \leqslant c(1 + \ln (1 + n\sqrt {1 - x^2 } )), - 1 \leqslant x \leqslant 1$ .     

Rational approximations of real numbers

For anyx ∈ r put $$c(x) = \overline {\mathop {\lim }\limits_{t \to \infty } } \mathop {\min }\limits_{(p,q\mathop {) \in Z}\limits_{q \leqslant t} \times N} t\left| {qx - p} \right|.$$ . Let [x₀; x₁,..., x_n, ...] be an expansion of x into a continued fraction and let \(M = \{ x \in J,\overline {\mathop {\lim }\limits_{n \to \infty } } x_n< \infty \}\) .Forx∈M put D(x)=c(x)/(1?c(x)). The structure of the set \(\mathfrak{D} = \{ D(x),x \in M\}\) is studied. It is shown that $$\mathfrak{D} \cap (3 + \sqrt 3 ,(5 + 3\sqrt 3 )/2) = \{ D(x^{(n,3} )\} _{n = 0}^\infty \nearrow (5 + 3\sqrt 3 )/2,$$ where \(x^{(n,3)} = [\overline {3;(1,2)_n ,1} ].\) This yields for \(\mu = \inf \{ z,\mathfrak{D} \supset (z, + \infty )\}\) (“origin of the ray”) the following lower bound: μ?(5+3√3)/2=5.0n>(5 + 3/3)/2=5.098.... Suppose a∈n. Put \(M(a) = \{ x \in M,\overline {\mathop {\lim }\limits_{n \to \infty } } x_n = a\}\) , \(\mathfrak{D}(a) = \{ D(x),x \in M(a)\}\) . The smallest limit point of \(\mathfrak{D}(a)(a \geqslant 2)\) is found. The structure of (a) is studied completely up to the smallest limit point and elucidated to the right of it.     

Simultaneous approximation by algebraic polynomials

Some estimates for simultaneous polynomial approximation of a function and its derivatives are obtained. These estimates are exact in a certain sense. In particular, the following result is derived as a corollary: Forf∈C ^r[?1,1],m∈N, and anyn≥max{m+r?1, 2r+1}, an algebraic polynomialP _n of degree ≤n exists that satisfies $$\left| {f^{\left( k \right)} \left( x \right) - P_n^{\left( k \right)} \left( {f,x} \right)} \right| \leqslant C\left( {r,m} \right)\Gamma _{nrmk} \left( x \right)^{r - k} \omega ^m \left( {f^{\left( r \right)} ,\Gamma _{nrmk} \left( x \right)} \right),$$ for 0≤k≤r andx ∈ [?1,1], where ω^υ(f^(k),δ) denotes the usual vth modulus of smoothness off ^(k), and Moreover, for no 0≤k≤r can (1?x ²)( ^{r?k+1)/(r?k+m)}(1/n²)^{(m?1)/(r?k+m)} be replaced by (1-x²)^αkn^2αk-2, with α_k>(r-k+a)/(r-k+m).     

Estimates for interval probabilities of the sums of random variables with locally subexponential distributions

Let {_i} _i=1 be a sequence of independent identically distributed nonnegative random variables, S _n = ξ₁ + ? +ξ_n. Let Δ = (0, T] and x + Δ = (x, x + T]. We study the ratios of the probabilities P(S _n ε x + Δ)/P(ξ ₁ ε x + Δ) for all n and x. The estimates uniform in x for these ratios are known for the so-called Δ-subexponential distributions. Here we improve these estimates for two subclasses of Δ-subexponential distributions; one of them is a generalization of the well-known class LC to the case of the interval (0, T] with an arbitrary T ≤ ∞. Also, a characterization of the class LC is given.     

Small deviations of series of independent positive random variables with weights close to exponential

Let ξ, ξ₀, ξ₁, ... be independent identically distributed (i.i.d.) positive random variables. The present paper is a continuation of the article [1] in which the asymptotics of probabilities of small deviations of series S = Σ _j=0 ^∞ a(j)ξ _j was studied under different assumptions on the rate of decrease of the probability ?(ξ < x) as x → 0, as well as of the coefficients a(j) ≥ 0 as j → ∞. We study the asymptotics of ?(S < x) as x → 0 under the condition that the coefficients a(j) are close to exponential. In the case when the coefficients a(j) are exponential and ?(ξ < x) ～ bx ^α as x → 0, b > 0, a > 0, the asymptotics ?(S < x) is obtained in an explicit form up to the factor x ^o(1). Originality of the approach of the present paper consists in employing the theory of delayed differential equations. This approach differs significantly from that in [1].     

Everywhere divergent Φ-means of Fourier series

For a function ? ∈, L ¹( $\mathbb{T}$ ), we investigate the sequence (C, 1) of mean values Φ(¦S _k (x, ?) ? ?(x)¦), where Φ(t): [0, +∞) → [0,+∞), Φ(0) = 0, is a continuous increasing function. We prove that if Φ increases faster than exponentially, then these means can diverge everywhere. Divergence almost everywhere of such means was established earlier.