Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient

We consider a multidimensional diffusion X$X$ with drift coefficient b(α,_Xt)$b(\alpha ,X_t)$ and diffusion coefficient ?σ(β,_Xt)$?\sigma (\beta ,X_t)$. The diffusion sample path is discretely observed at times _tk=kΔ$t_k=k\Delta$ for k=1…n$k=1\dots n$ on a fixed interval [0,T]$[0,T]$. We study minimum contrast estimators derived from the Gaussian process approximating X$X$ for small ?$?$. We obtain consistent and asymptotically normal estimators of α$\alpha$ for fixed Δ$\Delta$ and ?→0$?\to 0$ and of (α,β)$(\alpha ,\beta )$ for Δ→0$\Delta \to 0$ and ?→0$?\to 0$ without any condition linking ?$?$ and Δ$\Delta$. We compare the estimators obtained with various methods and for various magnitudes of Δ$\Delta$ and ?$?$ based on simulation studies. Finally, we investigate the interest of using such methods in an epidemiological framework.     

Weak convergence of censored and reflected stable processes

It is shown that if a sequence of open n$n$-sets _Dk$D_k$ increases to an open n$n$-set D$D$ then reflected stable processes in _Dk$D_k$ converge weakly to the reflected stable process in D$D$ for every starting point x$x$ in D$D$. The same result holds for censored α$\alpha$-stable processes for every x$x$ in D$D$ if D$D$ and _Dk$D_k$ satisfy the uniform Hardy inequality. Using the method in the proof of the above results, we also prove the weak convergence of reflected Brownian motions in unbounded domains.     

The Helmholtz equation in a non-smooth inclusion

In this paper, we study the Helmholtz equation in a non-smooth inclusion, i.e., in a doubly connected bounded domain B$B$ in R²$R^2$ with boundary ∂B$\partial B$ that consists of two disjoint closed curves Γ$\Gamma$ and _Γ0${\Gamma }_0$. The existence and uniqueness of a solution to the Helmholtz equation for mixed boundary conditions on Γ$\Gamma$ are obtained by using Riesz–Fredholm theory.     

Boundary value problems in spaces of distributions on smooth and polygonal domains

We study boundary value problems of the form -Δu=f$-\mathrm{\Delta }u=f$ on Ω$\Omega$ and Bu=g$\mathit{Bu}=g$ on the boundary ∂Ω$\mathrm{\partial }\Omega$, with either Dirichlet or Neumann boundary conditions, where Ω$\Omega$ is a smooth bounded domain in Rⁿ${\mathbb{R}}^n$ and the data f,g$f,g$ are distributions  . This problem has to be first properly reformulated and, for practical applications, it is of crucial importance to obtain the continuity of the solution u$u$ in terms of f and g  . For f=0$f=0$, taking advantage of the fact that u$u$ is harmonic on Ω$\Omega$, we provide four formulations of this boundary value problem (one using nontangential limits of harmonic functions, one using Green functions, one using the Dirichlet-to-Neumann map, and a variational one); we show that these four formulations are equivalent. We provide a similar analysis for f≠0$f\ne 0$ and discuss the roles of f and g, which turn to be somewhat interchangeable in the low regularity case. The weak formulation is more convenient for numerical approximation, whereas the nontangential limits definition is closer to the intuition and easier to check in concrete situations. We extend the weak formulation to polygonal domains using weighted Sobolev spaces. We also point out some new phenomena for the “concentrated loads” at the vertices in the polygonal case.     

Positional graphs and conditional structure of weakly null sequences

We prove that, unless assuming additional set theoretical axioms, there are no reflexive spaces without unconditional sequences of the density continuum. We show that for every integer n$n$ there are normalized weakly-null sequences of length _ωn${\omega }_n$ without unconditional subsequences. This together with a result of Dodos et al. (2011) [7] shows that _ωω${\omega }_{\omega }$ is the minimal cardinal κ$\kappa$ that could possibly have the property that every weakly null κ$\kappa$-sequence has an infinite unconditional basic subsequence. We also prove that for every cardinal number κ$\kappa$ which is smaller than the first ω$\omega$-Erd?s cardinal there is a normalized weakly-null sequence without subsymmetric subsequences. Finally, we prove that mixed Tsirelson spaces of uncountable densities must always contain isomorphic copies of either _c0$c_0$ or _?p${?}_p$, with p≥1$p\ge 1$.     

The scaling limit of Poisson-driven order statistics with applications in geometric probability

Let _ηt${\eta }_t$ be a Poisson point process of intensity t≥1$t\ge 1$ on some state space Y$\mathbb{Y}$ and let f$f$ be a non-negative symmetric function on Y^k${\mathbb{Y}}^k$ for some k≥1$k\ge 1$. Applying f$f$ to all k$k$-tuples of distinct points of _ηt${\eta }_t$ generates a point process _ξt${\xi }_t$ on the positive real half-axis. The scaling limit of _ξt${\xi }_t$ as t$t$ tends to infinity is shown to be a Poisson point process with explicitly known intensity measure. From this, a limit theorem for the m$m$-th smallest point of _ξt${\xi }_t$ is concluded. This is strengthened by providing a rate of convergence. The technical background includes Wiener–Itô chaos decompositions and the Malliavin calculus of variations on the Poisson space as well as the Chen–Stein method for Poisson approximation. The general result is accompanied by a number of examples from geometric probability and stochastic geometry, such as k$k$-flats, random polytopes, random geometric graphs and random simplices. They are obtained by combining the general limit theorem with tools from convex and integral geometry.     

Crossing number additivity over edge cuts

Consider a graph G$G$ with a minimal edge cut F$F$ and let _G1$G_1$, _G2$G_2$ be the two (augmented) components of G−F$G-F$. A long-open question asks under which conditions the crossing number of G$G$ is (greater than or) equal to the sum of the crossing numbers of _G1$G_1$ and _G2$G_2$—which would allow us to consider those graphs separately. It is known that crossing number is additive for |F|∈{0,1,2}$\left|F\right|\in \{0,1,2\}$ and that there exist graphs violating this property with |F|≥4$\left|F\right|\ge 4$. In this paper, we show that crossing number is additive for |F|=3$\left|F\right|=3$, thus closing the final gap in the question.     

Consistency,optimality, and incompleteness

Assume that the problem _P0$P_0$ is not solvable in polynomial time. Let T   be a first-order theory containing a sufficiently rich part of true arithmetic. We characterize T∪{_ConT}$T\cup \{{\mathit{Con}}_T\}$ as the minimal extension of T   proving for some algorithm that it decides _P0$P_0$ as fast as any algorithm B$\mathbb{B}$ with the property that T   proves that B$\mathbb{B}$ decides _P0$P_0$. Here, _ConT${\mathit{Con}}_T$ claims the consistency of T. As a byproduct, we obtain a version of Gödel?s Second Incompleteness Theorem. Moreover, we characterize problems with an optimal algorithm in terms of arithmetical theories.     

Blow-up and propagation of disturbances for fast diffusion equations

This paper is concerned with the Cauchy problem for the fast diffusion equation _ut−Δu^m=αu^_p1$u_t-\Delta u^m=\alpha u^{p_1}$ in R^N${\mathbb{R}}^N$ (N≥1$N\ge 1$), where m∈(0,1)$m\in (0,1)$, _p1>1$p_1>1$ and α>0$\alpha >0$. The initial condition _u0$u_0$ is assumed to be continuous, nonnegative and bounded. Using a technique of subsolutions, we set up sufficient conditions on the initial value _u0$u_0$ so that u(t,x)$u(t,x)$ blows up in finite time, and we show how to get estimates on the profile of u(t,x)$u(t,x)$ for small enough values of t>0$t>0$.     

On functional limits of short- and long-memory linear processes with GARCH(1,1) noises

This paper considers the short- and long-memory linear processes with GARCH (1,1) noises. The functional limit distributions of the partial sum and the sample autocovariances are derived when the tail index α$\alpha$ is in (0,2)$(0,2)$, equal to 2, and in (2,∞)$(2,\infty )$, respectively. The partial sum weakly converges to a functional of α$\alpha$-stable process when α<2$\alpha <2$ and converges to a functional of Brownian motion when α≥2$\alpha \ge 2$. When the process is of short-memory and α<4$\alpha <4$, the autocovariances converge to functionals of α/2$\alpha /2$-stable processes; and if α≥4$\alpha \ge 4$, they converge to functionals of Brownian motions. In contrast, when the process is of long-memory, depending on α$\alpha$ and β$\beta$ (the parameter that characterizes the long-memory), the autocovariances converge to either (i) functionals of α/2$\alpha /2$-stable processes; (ii) Rosenblatt processes (indexed by β$\beta$, 1/2<β<3/4$1/2<\beta <3/4$); or (iii) functionals of Brownian motions. The rates of convergence in these limits depend on both the tail index α$\alpha$ and whether or not the linear process is short- or long-memory. Our weak convergence is established on the space of càdlàg functions on [0,1]$[0,1]$ with either (i) the _J1$J_1$ or the _M1$M_1$ topology (Skorokhod, 1956); or (ii) the weaker form S$S$ topology (Jakubowski, 1997). Some statistical applications are also discussed.     

Estimation for stochastic differential equations with a small diffusion coefficient

We consider a multidimensional diffusion X$X$ with drift coefficient b(_Xt,α)$b(X_t,\alpha )$ and diffusion coefficient εa(_Xt,β)$\epsilon a(X_t,\beta )$ where α$\alpha$ and β$\beta$ are two unknown parameters, while ε$\epsilon$ is known. For a high frequency sample of observations of the diffusion at the time points k/n$k/n$, k=1,…,n$k=1,\dots ,n$, we propose a class of contrast functions and thus obtain estimators of (α,β)$(\alpha ,\beta )$. The estimators are shown to be consistent and asymptotically normal when n→∞$n\to \infty$ and ε→0$\epsilon \to 0$ in such a way that ε⁻¹n^−ρ${\epsilon }^{-1}{n}^{-\rho }$ remains bounded for some ρ>0$\rho >0$. The main focus is on the construction of explicit contrast functions, but it is noted that the theory covers quadratic martingale estimating functions as a special case. In a simulation study we consider the finite sample behaviour and the applicability to a financial model of an estimator obtained from a simple explicit contrast function.     

Applications of equivariant degree for gradient maps to symmetric Newtonian systems

We consider G=Γ×S¹$G=\Gamma \times S^1$ with Γ$\Gamma$ being a finite group, for which the complete Euler ring structure in U(G)$U\left(G\right)$ is described. The multiplication tables for Γ=_D6$\Gamma =D_6$, _S4$S_4$ and _A5$A_5$ are provided in the Appendix. The equivariant degree for G$G$-orthogonal maps is constructed using the primary equivariant degree with one free parameter. We show that the G$G$-orthogonal degree extends the degree for G$G$-gradient maps (in the case of G=Γ×S¹$G=\Gamma \times S^1$) introduced by G?ba in [K. G?ba, W. Krawcewicz, J. Wu, An equivariant degree with applications to symmetric bifurcation problems I: Construction of the degree, Bull. London. Math. Soc. 69 (1994) 377–398]. The computational results obtained are applied to a Γ$\Gamma$-symmetric autonomous Newtonian system for which we study the existence of 2π$2\pi$-periodic solutions. For some concrete cases, we present the symmetric classification of the solution set for the systems considered.     

Which finite simple groups are unit groups?

We prove that if G$G$ is a finite simple group which is the unit group of a ring, then G$G$ is isomorphic to: (a) a cyclic group of order 2; or (b) a cyclic group of prime order 2^k−1$2^k-1$ for some k$k$; or (c) a projective special linear group _PSLn(_F2)${PSL}_n\left({\mathbb{F}}_2\right)$ for some n≥3$n\ge 3$. Moreover, these groups do all occur as unit groups. We deduce this classification from a more general result, which holds for groups G$G$ with no non-trivial normal 2-subgroup.