Equivalence of two notions of continuity for stationary continuous-time information sources

The notion of continuity for continuous-time information sources which was introduced by Pinsker has found numerous applications in information theory. Continuity in probability is an important concept in the theory of continuous-time stochastic processes. It is shown that these two forms of continuity are equivalent for stationary processes whose state space is a separable metric space.     

Finite-dimensional approximations for the equation of nonlinear filtering derived in mild form

The Zakai equation for the unnormalized conditional density is derived as a mild stochastic bilinear differential equation on a suitableL ² space. It is assumed that the Markov semigroup corresponding to the state process isC ₀ on such space. This allows the establishment of the existence and uniqueness of the solution by means of general theorems on stochastic differential equations in Hilbert space. Moreover, an easy treatment of convergence conditions can be given for a general class of finite-dimensional approximations, including Galerkin schemes. This is done by using a general continuity result for the solution of a mild stochastic bilinear differential equation on a Hilbert space with respect to the semigroup, the forcing operator, and the initial state, within a suitable topology.     

Strong continuity implies uniform sequential continuity

Uniform sequential continuity, a property classically equivalent to sequential continuity on compact sets, is shown, constructively, to be a consequence of strong continuity on a metric space. It is then shown that in the case of a separable metric space, uniform sequential continuity implies strong continuity if and only if one adopts a certain boundedness principle that, although valid in the classical, recursive and intuitionistic setting, is independent of Heyting arithmetic.     

Impulse and continuous control of piecewise deterministic Markov processes

In this paper we consider the problem of impulse and continuous control on the jump rate and post jump location parameters of piecewise-deterministic Markov processes (PDP's). In a companion paper we studied the optimal stopping with continuous control problem of PDP's assuming only absolutely continuity along trajectories hypothesis on the final cost function. In this paper we apply these results to obtain optimality equations for the impulse and continuous control problem of PDP's in terms of a set of quasi-variational inequalities as well as on the first jump time operator of the process. No continuity or differential assumptions on the whole state space, neither stability assumptions on the parameters of the problem are required. It is shown that if the post intervention operator satisfies some locally lipschitz continuity along trajectories properties then so will the value function of the impulse and continuous control problem.     

On a generalization of the Dvoretzky–Wald–Wolfowitz theorem with an application to a robust optimization problem

A generalization of the Dvoretzky–Wald–Wolfowitz theorem to the case of conditional expectations is provided assuming that the σ-field on the state space has no conditional atoms. Neither continuity nor compactness assumptions are made on the model. An application to a robust (maxmin) optimization problem is given.     

Affine processes are regular

We show that stochastically continuous, time-homogeneous affine processes on the canonical state space ${\mathbb{R}_{\geq 0}^m \times \mathbb{R}^n}$ are always regular. In the paper of Duffie et?al. (Ann Appl Probab 13(3):984?C1053, 2003) regularity was used as a crucial basic assumption. It was left open whether this regularity condition is automatically satisfied for stochastically continuous affine processes. We now show that the regularity assumption is indeed superfluous, since regularity follows from stochastic continuity and the exponentially affine form of the characteristic function. For the proof we combine classic results on the differentiability of transformation semigroups with the method of the moving frame which has been recently found to be useful in the theory of SPDEs.     

State vector solutions for nonaxisymmetric problem of multilayered half space piezoelectric medium

A state space formulation is established for the nonaxisymmetric space problem of transversely isotropic piezoelectric media in a system of cylindrical coordinate by introducing the state vector. Using the Hankel transform and the Fourier series, the state vector equations are transformed into ordinary differential equations. By the use of the matrix methods, the analytical solutions of a single piezoelectric layer are presented in the form of the product of initial state variables and transfer matrix. The applications of state vector solutions are discussed. An analytical solution for a semiinfinite piezoelectric medium subjected to the vertical point forceP _z, horizontal point forceP _x along x-direction and point electric charge Q at the origin of the surface is presented. According to the continuity conditions at the interfaces, the general solution formulation forN-layered transversely isotropic piezoelectric media is given. Project supported by the National Natural Science Foundation of China (Grant No. 59648001).     

Paths of random evolutions

We study the paths of general random evolution processes obtained by piecing together deterministic evolution functions according to the dictates of a regular step process. If the state space is metrizable we show that such processes are strong Markov; and they are even standard under a certain continuity condition on paths. We apply this result to solutions of stochastic delayed differential equations, and we make a connection between our processes and random evolutions associated with classes of semigroups.     

The Strong Continuity of Convex Functions

A convex function defined on an open convex set of a finite-dimensional space is known to be continuous at every point of this set. In fact, a convex function has a strengthened continuity property. The notion of strong continuity is introduced in this study to show that a convex function has this property. The proof is based on only the definition of convexity and Jensen’s inequality. The definition of strong continuity involves a constant (the constant of strong continuity). An unimprovable value of this constant is given in the case of convex functions. The constant of strong continuity depends, in particular, on the form of a norm introduced in the space of arguments of a convex function. The polyhedral norm is of particular interest. It is straightforward to calculate the constant of strong continuity when it is used. This requires a finite number of values of the convex function.     

Convergence to steady state of solutions of the euler equations,I

In this paper we analyze the convergence to steady state of solutions of the compressible and the incompressible isentropic Euler equations in two space dimensions. In the compressible case, the original equations do not converge. We replace the equation of continuity with an elliptic equation for the density, obtaining a new set of equations, which have the same steady solution. In the incompressible case, the equation of continuity is replaced by a Poisson equation for the pressure. In both cases, we linearize the equations around a steady solution and show that the unsteady solution of the linearized equations converges to the steady solution, if the steady solution is sufficiently smooth. In the proof we consider how the energy of the time dependent part developes with time, and find that it decrease exponentially.     

Estimates for the Fourier-Bessel transforms of multivariate functions

Two estimates useful in applications are proved for the Fourier-Bessel (or Hankel) transform in the space $\mathbb{L}_2 \left( {\mathbb{R}_ + ^2 } \right)$ for some classes of two-variable functions characterized by a generalized modulus of continuity.     

Nonparametric adaptive control of discounted stochastic systems with compact state space

We are concerned with discrete-time stochastic control models for which the random disturbances are independent with a common unknown distribution. When the state space is compact, we prove that mild continuity conditions are sufficient to obtain adaptive policies which are asymptotically optimal with respect to the discounted reward criterion.This research was supported in part by the Consejo Nacional de Ciencia y Tecnología (CONACYT), Mexico City, Mexico, under Grant No. PCEXCNA-050156.     

Continuous L-cluster methods

Right and left continuity are investigated in a certain order theoretic model for cluster analysis. These conditions are related to purely order theoretic concepts. Semiflat cluster methods are characterized in terms of left continuity and flat cluster methods in terms of right continuity.     

Existence of equilibrium stationary strategies in discounted noncooperative stochastic games with uncountable state space

This paper considers discounted noncooperative stochastic games with uncountable state space and compact metric action spaces. We assume that the transition law is absolutely continuous with respect to some probability measure defined on the state space. We prove, under certain additional continuity and integrability conditions, that such games have -equilibrium stationary strategies for each >0. To prove this fact, we provide a method for approximating the original game by a sequence of finite or countable state games. The main result of this paper answers partially a question raised by Parthasarathy in Ref. 1.     

On continuity of the spectral radius function in Banach algebras

Summary This paper deals with the problem of the continuity of the spectral radius function in abstract Banach algebras. A new sufficient condition for the continuity of the function above at a point of a Banach algebra (which generalizes the already known ones and, in the particular case of the algebra of all linear and continuous operators on a separable Hilbert space, is also necessary for continuity of spectral radius) is given. Such a condition, in the algebra of all linear and continuous operators on a generic Banach space, is less restrictive than the already known ones, as several examplex show.     

Blackwell optimal policies in a Markov decision process with a Borel state space

After an introduction into sensitive criteria in Markov decision processes and a discussion of definitions, we prove the existence of stationary Blackwell optimal policies under following main assumptions: (i) the state space is a Borel one; (ii) the action space is countable, the action sets are finite; (iii) the transition function is given by a transition density; (iv) a simultaneous Doeblin-type recurrence condition holds. The proof is based on an aggregation of randomized stationary policies into measures. Topology in the space of those measures is at the same time a weak and a strong one, and this fact yields compactness of the space and continuity of Laurent coefficients of the expected discounted reward. Another important tool is a lexicographical policy improvement. The exposition is mostly self-contained.Supported by the National Science Foundation.     

Recurrence set-relations in stochastic multiobjective dynamic decision processes

Finite horizon stochastic dynamic decision processes with R^p valued additive returns are considered. The optimization criterion is a partial-order preference relation induced from a convex cone in R^p . The state space is a countable set, and the action space is a compact metric spaces. The optimal value function, which is of a set-valued mapping, is defined. Under certain assumptions on the continuity of the reward vector and the transition probability, a system of a recurrence set-relations concerning the optimal value functions is given.     

Exponential decay in time of solutions of the viscous quantum hydrodynamic equations

The long-time asymptotics of solutions of the viscous quantum hydrodynamic model in one space dimension is studied. This model consists of continuity equations for the particle density and the current density, coupled to the Poisson equation for the electrostatic potential. The equations are a dispersive and viscous regularization of the Euler equations. It is shown that the solutions converge exponentially fast to the (unique) thermal equilibrium state as the time tends to infinity. For the proof, we employ the entropy dissipation method, applied for the first time to a third-order differential equation.     

Differential equations on manifolds with edge singularities in spaces with asymptotics

The present paper deals with differential equations with edge degeneration in spaces with asymptotics. We give the definition of an edge space with asymptotics, prove the continuity of operators with edge degeneration in the scale of these spaces, present statements of problems with edge operators, and state conditions providing their Fredholm property.     

Programmed iteration method and sets of positional absorption

A pursuit–evasion differential game is considered, and the programmed iteration method is used to construct a set of positional absorption corresponding to the Krasovskii–Subbotin alternative theorem. The case is considered where the set of positions determining the state constraints may not be closed (in the position space), but has closed sections corresponding to fixed times. Properties are established that are interpreted as the (one-sided) continuity of the positional absorption set from above, and the relation to the solution of the game in the class of set-valued quasi-strategies is shown.