PRODUCTS OF DIFFERENTIAL EXPRESSIONS WITHOUT SMOOTHNESS ASSUMPTIONS

Abstract

To form products of differential expressions in the classical way it is necessary to place heavy differentiability assumptions on the coefficients. Here we consider symmetric (formally self-adjoint) expressions defined, not in the classical way, but in terms of quasi-derivatives. With this very general notion of symmetry we show that products such as M1M2MI of symmetric expressions M1, Hp can be formed vithout any smoothness assumptions on the coefficients and such products are symmetric expressions.     

SOME REMARKS ON QUASI-DIFFERENTIAL EXPRESSIONS WITH MATRIX-VALUED COEFFICIENTS

Abstract

This paper is Concerned with the relationship between ordinary linear quasi-differential expressions, defined in terms of locally Lebesgue integrable matrix coefficients given on an interval of the real line and “Classical” differential expressions with smooth (differentiable to certain prescribed orders) matrix coefficients. This relationship wan investigated in a recent paper of Everitt and Race [1] for the case of scalar quasi-differential expressions of Shin-Zettl type. The present work extends the ideas given there, to the more general quasi-differential expressions considered by Frentzen in recent years (see, for example [4,5]) and applies them to products and polynomials of expressions.     

Lusztig Data of Kashiwara-Nakashima Tableaux in Type D

We describe the embedding from the crystal of Kashiwara-Nakashima tableaux in type D of an arbitrary shape into that of i-Lusztig data associated to a family of reduced expressions i which are compatible with the maximal Levi subalgebra of type A. The embedding is described explicitly in terms of well-known combinatorics of type A including the Schützenberger’s jeu de taquin and an analog of RSK algorithm.

     

Kinematic measure of segments lying in a domain

The paper proves a formula for calculation of the kinematic measure K(D, l) of set of segments with constant length l, entirely contained in a bounded convex domainDof the Euclidean space. The obtained formula permits to find an explicit form for the kinematic measure K(D, l) for the domains D with known chord length distribution. In particular, application of the obtained formula gives explicit expressions for K(D, l) in the disc, regular triangle, rectangle and regular pentagon.     

On the errors of misclassification based on dichotomous and normal variables

Summary The distribution of the errors of misclassification in procedures based on dichotomous and normal variables is derived. The expressions forE(e ₁₂) andE(e ₂₁) are also obtained. The results in the paper extend those of Chang and Afifi (1974,J. Amer. Statist. Ass.,69, 336–339), using the earlier papers due to John (1961,Ann. Math. Statist.,32, 1125–1144), Subrahmaniam and Chinganda (1978,J. Statist. Plann. Inf.,2, 79–91).     

Logical equations in monadic logic

A logical formula F(X, P) can be treated as an equation to be satisfied by the solutions X ₀(P) for the predicates X with the expressions P as parameters (if there are such solutions). J. McCarthy considered the parametrization of the solutions, gave the general solution in the case of propositional logic, and stated the problem for other logics. We find the general solution for formulas in the first-order language with monadic predicates and equality. The solutions are obtained via quantifier elimination and parametrized by ϵ-terms. Bibliography: 10 titles. Published in Zapiski Nauchnykh. Seminarov POMI, Vol. 358, 2008, pp. 251–270.     

On V-orthogonal projectors associated with a semi-norm

For any n ×  p matrix X and n ×  n nonnegative definite matrix V, the matrix X(X′V X)⁺ X′V is called a V-orthogonal projector with respect to the semi-norm , where (·)⁺ denotes the Moore-Penrose inverse of a matrix. Various new properties of the V-orthogonal projector were derived under the condition that rank(V X) =  rank(X), including its rank, complement, equivalent expressions, conditions for additive decomposability, equivalence conditions between two (V-)orthogonal projectors, etc.     

Determinantal formulas for zonal spherical functions on hyperboloids

Abstract. We construct determinantal expressions for the zonal spherical functions on the hyperboloids with p,q odd (and larger than 1). This gives rise to explicit evaluation formulas for hypergeometric series representing half-integer parameter families of Jacobi functions and (via specialization) Jacobi polynomials. Received November 18, 1999 / Published online October 30, 2000     

Deconvolving Multivariate Density from Random Field

We consider the problem of estimating a continuous bounded multivariate probability density function (pdf) when the random field X _i , i ∈ Z ^d from the density is contaminated by measurement errors. In particular, the observations Y _i , i ∈ Z ^d are such that Y _i = X _i + ε _i , where the errors ε _i are a sample from a known distribution. We improve the existing results in at least two directions. First, we consider random vectors in contrast to most existing results which are only concerned with univariate random variables. Secondly, and most importantly, while all the existing results focus on the temporal cases (d = 1), we develop the results for random vectors with a certain spatial interaction. Precise asymptotic expressions and bounds on the mean-squared error are established, along with rates of both weak and strong consistencies, for random fields satisfying a variety of mixing conditions. The dependence of the convergence rates on the density of the noise field is also studied. This revised version was published online in June 2006 with corrections to the Cover Date.     

Eigenvalue bifurcation in multiparameter families of non-self-adjoint operator matrices

We consider two-point non-self-adjoint boundary eigenvalue problems for linear matrix differential operators. The coefficient matrices in the differential expressions and the matrix boundary conditions are assumed to depend analytically on the complex spectral parameter λ and on the vector of real physical parameters p. We study perturbations of semi-simple multiple eigenvalues as well as perturbations of non-derogatory eigenvalues under small variations of p. Explicit formulae describing the bifurcation of the eigenvalues are derived. Application to the problem of excitation of unstable modes in rotating continua such as spherically symmetric MHD α ²-dynamo and circular string demonstrates the efficiency and applicability of the approach.     

Solving the linear difference equation with periodic coefficients via Fibonacci sequences

ABSTRACT

The aim of this paper is to establish explicit solutions of homogeneous linear difference equations with periodic coefficients. For this purpose, we get around the problem by converting each equation of this class to an equivalent linear difference equation with constant coefficients. Second, we provide some expressions of the solutions via the combinatorial and the Binet formulas of weighted generalized Fibonacci sequences. Finally, some numerical examples and applications are proposed.     

Restricted partition functions as Bernoulli and Eulerian polynomials of higher order

Explicit expressions for restricted partition function W(s,d^m) and its quasiperiodic components W_j(s,d^m) (called Sylvester waves) for a set of positive integers d^m = {d₁, d₂, ..., d_m} are derived. The formulas are represented in a form of a finite sum over Bernoulli and Eulerian polynomials of higher order with periodic coefficients. A novel recursive relation for the Sylvester waves is established. Application to counting algebraically independent homogeneous polynomial invariants of finite groups is discussed. 2000 Mathematics Subject Classification Primary—11P81; Secondary—11B68, 11B37 The research was supported in part (LGF) by the Gileadi Fellowship program of the Ministry of Absorption of the State of Israel.     

A Parametric n-Dimensional Markov-Functional Model in the Terminal Measure

Abstract

This article develops and tests an n-dimensional Markov-functional interest rate model in the terminal measure based on parametric functional forms of exponential type. The parametric functional forms enable analytical expressions for forward discount bonds and forward LIBORs at all times and allows for calibration of the model to caplet prices given by a displaced diffusion Black model. The analytical expressions of the model provide a theoretical tool for understanding the structure of standard Markov-functional models (MFMs) as well as comparisons with the LIBOR market model (LMM). In particular, it is shown that for ‘typical’ market data the model is close enough to the LMM to be able to calibrate using the LMM calibration set-up and machinery. This provides further information about the similarities (as well as some of the differences) between MFM and LMM. The parametric n-dimensional MFM may be used for products that require high-dimensional models for appropriate pricing and risk management. When compared with an n-factor LMM, it has the virtue of being (much) faster for certain types of products.     

A formula for deficiency (L-andR-tests)

In this paper an analogue of the formulas [D. M. Chibisov,Teor. Veroyatn. Primen.,30, 269–288 (1985);Izv. Akad. Nauk UzSSR,6, 23–30 (1982)] for the difference between the power of a given asymptotically efficient test and that of the most powerful test is justified for one-sample L-and R-tests, i.e., tests based on linear combinations of order statistics and linear rank statistics. This formula directly yields the Hodges-Lehmann deficiency of corresponding tests. A general theorem is stated which is applied to L-and R-tests. The explicit expressions given by this formula for L- and R-tests are also presented. The expression related to R-tests agrees with the one obtained in [W. Albers, P. J. Bickel, and W. R. Van Zwet,Ann. Statist.,4, 108–156 (1976);6, 1170–1171 (1978)]. We present here a nontechnical (heuristic) proof of these results. Supported by the Russian Foundation for Fundamental Research (grant No. 93-011-1446). Proceedings of the XVI Seminar on Stability Problems for Stochastic Models, Part II, Eger, Hungary, 1994.     

Asymptotic analysis for multi-objective sequential stochastic assignment problems

ABSTRACT

We provide an asymptotic analysis of multi-objective sequential stochastic assignment problems (MOSSAP). In MOSSAP, a fixed number of tasks arrive sequentially, with an n-dimensional value vector revealed upon arrival. Each task is assigned to one of a group of known workers immediately upon arrival, with the reward given by an n-dimensional product-form vector. The objective is to maximize each component of the expected reward vector. We provide expressions for the asymptotic expected reward per task for each component of the reward vector and compare the convergence rates for three classes of Pareto optimal policies.     

Hidden symmetry and higher currents in a supersymmetric gauge field theory

Explicit expressions are obtained for the nonlocal conserved currents in theN=4 supersymmetric gauge theory.Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 133, pp. 6–16, 1984.     

Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains

Abstract

We address a dynamic portfolio optimization problem where the expected utility from terminal wealth has to be maximized. The special feature of this paper is an additional constraint on the portfolio strategy modeling bounded shortfall risks, which are measured by value at risk or expected loss. Using a continuous-time model of a complete financial market and applying martingale methods, analytic expressions for the optimal terminal wealth and the optimal portfolio strategies are given. Finally, some numerical results are presented.     

Expression for restricted partition function through Bernoulli polynomials

Explicit expressions for restricted partition function W(s,d ^m ) and its quasiperiodic components W _j (s,d ^m ) (called Sylvester waves) for a set of positive integers d ^m ={d ₁,d ₂,…,d _m } are derived. The formulas are represented in a form of a finite sum over Bernoulli polynomials of higher order with periodic coefficients.      

Sur la transformation des intégrales des équations différentielles linéaires ordinaires du second ordre

Résumé Le présent Mémoire contient la partie analytique d'une théorie des transformations des intégrales des équations différentielles linéaires ordinaires du second ordre. Il s'agit des équations réelles (a), (A) (p. 327) et des questions de caractère global. La théorie développée gravite autour des propriétés des équations différentielles non-linéaires du troisième ordre (b), (B) (p. 327). Sont donnés, en particulier, les théorèmes sur l'existence et l'unicité ainsi que les expressions explicites pourles intégrales des équations (b), (B).     

Some Properties of CIR Processes

Abstract

This article derives some properties of variants of squared Bessel processes known as CIR processes in the finance literature. We derive the transition probability density function of a square-root process and compute the resolvent density of CIR processes. As a consequence, we derive the density of CIR processes sampled at an independent exponential time. Moreover, we derive explicit expressions of the Laplace transforms (LTs) of first hitting times by martingale methods.