Some Asymptotic Results for the Number of Generalized Records

In this paper, we study asymptotic properties (large deviations and functional central limit theorem) of generalized record processes built on a triangular array of continuous and exchangeable random variables. As an application of these results, the links with the Kendall's rank correlation statistic are studied and testing exchangeability is discussed. AMS 2000 Subject Classification Primary—60F10 Secondary—60F17, 62G10     

Existence of Multivariate Max-Universal Laws

If suitably normalized maxima of an i.i.d. sample converge in distribution, the limiting distribution is known to be max-infinitely divisible and the common distribution of the sample is said to belong to its domain of attraction. We prove the existence of max-universal distributions belonging to the domain of attraction of every max-infinitely divisible law. The proof follows in the spirit of corresponding results for normalized sums of i.i.d. random variables originated by Doeblin and shows that necessarily the sampling size has to be rapidly increasing. Restricting the growth rate of the sampling size, we prove that one necessarily deals with max-semistable distributions and their domains of attraction. 2000 Mathematics subject classification Primary—60G70 Secondary—60E99, 60F05     

Completely reducible Lie subalgebras

Let G be a connected and reductive group over the algebraically closed field K. J-P. Serre has introduced the notion of a G-completely reducible subgroup H ⊂ G. In this paper, we give a notion of G-complete reducibility—G-cr for short—for Lie subalgebras of Lie(G), and we show that if the closed subgroup H ⊂ G is G-cr, then Lie(H) is G-cr as well.     

Asymptotic behavior of mean uniform norms for sequences of Gaussian processes and fields

We consider the mean uniform (mixed) norms for a sequence of Gaussian random functions. For a wide class of Gaussian processes and fields the -asymptotic for mixed norms is found whenever the volume of the index set is of order and tends to infinity, for example, -length time interval for random processes. Some numerical examples demonstrate the rate of convergence for the obtained asymptotic. The developed technique can be applied to analysis of various linear approximation methods. As an application we consider the rate of approximation by trigonometrical polynomials in the mean uniform norm. AMS 2000 Subject Classification Primary—60G70, 60G15; Secondary—60F25     

Tail Calculus with Remainder,Applications to Tail Expansions for Infinite Order Moving Averages,Randomly Stopped Sums,and Related Topics

We derive asymptotic expansions for tails of infinite weighted convolutions of some heavy-tailed distributions. Applications are given to tail expansion of the marginal distribution of ARMA processes, randomly stopped sums, as well as limiting waiting time distribution. AMS 2000 Subject Classifications. Primary—62E99, Secondary—41A60, 44A35, 60G50, 60K25     

Partial Sum Process for Records

Suppose the upper records from a sequence of i.i.d. random variables is in the domain of attraction of a normal distribution. Consider the D(0,1]-valued process {Z_n(·)} constructed by usual interpolation of the partial sums of the records. We prove that under some mild conditions, {Z_n} converges to a limiting Gaussian process in D(0,1]. As a consequence, the partial sums of records is asymptotically normal. AMS 2000 Subject Classification Primary—60F17 Secondary—60G70     

Constrained stochastic simulation—generation of time series around some specific event in a normal process

The method of so-called constrained stochastic simulation is introduced. This method specifies how to efficiently generate time series around some specific event in a normal process. All events which can be expressed by means of a linear condition (constraint) can be dealt with. Two examples are given in the paper: the generation of stochastic time series around local maxima and the generation of stochastic time series around a combination of a local minimum and maximum with a specified time separation. The constrained time series turn out to be a combination of the original process and several correction terms which includes the autocorrelation function and its time derivatives. For the application concerning local maxima it is shown that the presented method is in line with properties of a normal process near a local maximum as found in literature. The method can e.g. be applied to generate wind gusts in order to assess the extreme loading of wind turbines. AMS 2000 Subject Classification Primary—60G15, 60G70, 62G32; Secondary—62P30     

Large buffer asymptotics for generalized processor sharing queues with Gaussian inputs

In this paper we derive large-buffer asymptotics for a two-class Generalized Processor Sharing (GPS) model. We assume both classes to have Gaussian characteristics. We distinguish three cases depending on whether the GPS weights are above or below the average rate at which traffic is sent. First, we calculate exact asymptotic upper and lower bounds, then we calculate the logarithmic asymptotics, and finally we show that the decay rates of the upper and lower bound match. We apply our results to two special Gaussian models: the integrated Gaussian process and the fractional Brownian motion. Finally we derive the logarithmic large-buffer asymptotics for the case where a Gaussian flow interacts with an on-off flow. AMS Subject Classification Primary—60K25; Secondary—68M20, 60G15     

Functional law of the iterated logarithm for fields and its applications

For a Wiener field with an arbitrary finite number of parameters, we construct the law of the iterated logarithm in the functional form. We consider the problem for random fields of a certain type to reside within curvilinear boundaries without assuming that the Cairoli—Walsh condition is satisfied. Donetsk University, Donetsk. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 49, No. 7, pp. 883–894, July, 1997.     

Covariant and dynamical reduction for principal bundle field theories

Reduction for field theories with symmetry can be done either covariantly—that is, on spacetime—or dynamically—that is, after spacetime is split into space and time. The purpose of this article is to show that these two reduction procedures are, in an appropriate sense, equivalent for a class of field theories whose fields take values in a principal bundle. One can think of this class of field theories as including examples such as a “sea of rigid bodies” with and appropriate interbody coupling potential.     

The spectra of lamplighter groups and Cayley machines

We calculate the spectra and spectral measures associated to random walks on restricted wreath products G wr , with G a finite group, by calculating the Kesten—von Neumann—Serre spectral measures for the random walks on Schreier graphs of certain groups generated by automata. This generalises the work of Grigorchuk and Żuk on the lamplighter group. In the process we characterise when the usual spectral measure for a group generated by an automaton coincides with the Kesten—von Neumann—Serre spectral measure.     

Sul gruppo foundamentale di una curva algebrica. Applicazioni alle superficie multiple prive di curva diramante

Sunto Si indica e si applica un metodo per la ricerca effettiva del gruppo fondamentale G di una curva algebrica Φ, e si mostra come — una volta trovato G — si risolvano non solo il problema dei piani multipli F diramati da Φ, ma anche altri problemi connessi, di cui il principale è la determinazione delle funzioni algebriche prive di curva diramante sopra una corrispondente superficie. Si mostra tra l'altro — con costruzione diretta — come si possa modificare la curva di diramazione del piano multiplo generale (cioè il suo gruppo fondamentale) affinchè sorgano su di esso cicli diramanti.     

The speed of biased random walk on percolation clusters

 We consider biased random walk on supercritical percolation clusters in ℤ². We show that the random walk is transient and that there are two speed regimes: If the bias is large enough, the random walk has speed zero, while if the bias is small enough, the speed of the random walk is positive. Received: 20 November 2002 / Revised version: 17 January 2003 Published online: 15 April 2003 Research supported by Microsoft Research graduate fellowship. Research partially supported by the DFG under grant SPP 1033. Research partially supported by NSF grant #DMS-0104073 and by a Miller Professorship at UC Berkeley. Mathematics Subject Classification (2000): 60K37; 60K35; 60G50 Key words or phrases: Percolation – Random walk     

Multifractal products of cylindrical pulses

 New multiplicative and statistically self-similar measures μ are defined on ℝ as limits of measure-valued martingales. Those martingales are constructed by multiplying random functions attached to the points of a statistically self-similar Poisson point process defined in a strip of the plane. Several fundamental problems are solved, including the non-degeneracy and the multifractal analysis of μ. On a bounded interval, the positive and negative moments of diverge under broad conditions. First received: 14 September 1999 / Resubmited: 27 June 2001 / Revised version: 30 May 2002 / Published online: 30 September 2002 Mathematics Subject Classification (2002): 28A80, 60G18, 60G44, 60G55, 60G57 Key words or phrases: Random measures – Multifractal analysis – Continuous time martingales – Statistically self-similar Poisson point processes     

Sulla geometria differenziale dello spazio delle matrici simmetriche

Sunto Si studia la nota metrica hermitiana, generalizzante la metrica iperbolica, che si incontra nella teoria delle funzioni di p≥1 variabili complesse. — Nella p. I si determina, per via elementare, il gruppo continuo G di movimenti col massimo numero di parametri ammesso dalla metrica considerata. — Nella p. II si studiano invece le faccette piane a curvatura nulla: tale ricerca che è stata iniziata daF. Conforto — e condotta a termine daB. Segre per p=2 — viene qui completata, per ogni p, caratterizzando le faccette in questione rispetto al gruppo G, e dando delle medesime una costruzione geometrica.     

Subgame Consistent Cooperative Solution of Dynamic Games with Random Horizon

In cooperative dynamic games, a stringent condition—that of subgame consistency—is required for a dynamically stable cooperative solution. In particular, under a subgame-consistent cooperative solution an extension of the solution policy to a subgame starting at a later time with a state brought about by prior optimal behavior will remain optimal. This paper extends subgame-consistent solutions to dynamic (discrete-time) cooperative games with random horizon. In the analysis, new forms of the Bellman equation and the Isaacs–Bellman equation in discrete-time are derived. Subgame-consistent cooperative solutions are obtained for this class of dynamic games. Analytically tractable payoff distribution mechanisms, which lead to the realization of these solutions, are developed. This is the first time that subgame-consistent solutions for cooperative dynamic games with random horizon are presented.     

Unitary integrals and related matrix models

We briefly review the basic properties of unitary matrix integrals, using three matrix models to analyze their properties: the ordinary unitary, the Brezin—Gross—Witten, and the Harish—Chandra—Itzykson—Zuber models. We especially emphasize the nontrivial aspects of the theory, from the De Witt’Hooft anomaly in unitary integrals to the problem of calculating correlators with the Itzykson-Zuber measure. We emphasize the method of character expansions as a technical tool. Unitary integrals are still insufficiently investigated, and many new results should be expected as this field attracts increased attention.     

Twisted conjugacy in simply connected groups

If G is a group and an automorphism of G, one has the twisted conjugation action of G on itself This paper collects a number of results — more or less well known — for the case that G is a simply connected semisimple group.     

Tail Behavior of a Threshold Autoregressive Stochastic Volatility Model

We consider a threshold autoregressive stochastic volatility model where the driving noises are sequences of iid regularly random variables. We prove that both the right and the left tails of the marginal distribution of the log-volatility process (α_t)_t are regularly varying with tail exponent −α with α > 0. We also determine the exact values of the coefficients in the tail behaviour of the process (α_t)_t. AMS 2000 Subject Classification. Primary—62G32, 62PO5