Optimal transformations for prediction in continuous-time stochastic processes: finite past and future

In the classical Wiener-Kolmogorov linear prediction problem, one fixes a linear functional in the future of a stochastic process, and seeks its best predictor (in the L²-sense). In this paper we treat a variant of the prediction problem, whereby we seek the most predictable non-trivial functional of the future and its best predictor; we refer to such a pair (if it exists) as an optimal transformation for prediction. In contrast to the Wiener-Kolmogorov problem, an optimal transformation for prediction may not exist, and if it exists, it may not be unique. We prove the existence of optimal transformations for finite past and future intervals, under appropriate conditions on the spectral density of a weakly stationary, continuous-time stochastic process. For rational spectral densities, we provide an explicit construction of the transformations via differential equations with boundary conditions and an associated eigenvalue problem of a finite matrix.This research was partially supported by ARO (MURI grant) DAAH04-96-1-0445, NSF grant DMS-0074276, and CNPq grant 301179/00-0.     

Chains and Trees: ‘Strong’–‘Weak’ Order in Job Scheduling

We present a summary of recent NP-hardness and polynomial time solvability results for the distinction between strong and weak precedence for chains and trees in scheduling. We distinguish between chains and proper trees which are not chains, and demonstrate that the strong-weak precedence distinction for chains is not inclusive with regards to NP-hardness, and conjecture that the same holds for strong-weak tree precedence. The objective is to show that different interpretations for chain and tree order relations in scheduling might have far reaching computational implications.     

Generalized Markov fields and Dirichlet forms

We prove that Gaussian measure-indexed random fields, of which the covariance functional is given by the dual form of a transient Dirichlet form, have the global Markov property (where global here means w.r.t. arbitrary, not necessarily open sets), if and only if the Dirichlet form has the local property. Applications to Nelson's free Euclidean field of quantum theory and to Rozanov's generalized random functions are given.     

The degree of maps between certain 6-manifolds

For manifolds M,M of the form S² e⁴ e⁶ we compute the homomorphisms H_*M H_*M between homology groups which are realizable by a map F: M M.     

Pairs of Convex Bodies with Centrally Symmetric Intersections of Translates

For a pair of convex bodies $K$ and $K$ in $E^d$, the $d$-dimensional intersections $K \cap (x + K),$ $x \in E^d,$ are centrally symmetric if and only if $K$ and $K$ are represented as direct sums $K = R \oplus P$ and $K = R \oplus P$ such that: (i) $R$ is a compact convex set of some dimension $m$, $0 \le m \le d,$ and $R = z - R$ for a suitable vector $z \in E^d$, (ii) $P$ and $P$ are isothetic parallelotopes, both of dimension $d-m$.     

Elliptic polylogarithms: An analytic theory

In this article we introduce a natural elliptic generalization of theclassical polylogarithms, study the properties of these functions and theirrelations with Eisenstein series.     

Generalized logic and the representation of rings

Following the progression towards weaker logics, a number of authors have considered the notion of a sheaf over a quantale or, equivalently, a quantale valued set. In this paper, we use ideas from enriched category theory to motivate the definition of a quantic sheaf. Given a localic subquantale of Q, a quantic sheaf over Q gives a sheaf in the usual sense. As an application, we derive a series of sheaf representations for commutative rings including the familiar Pierce representation.     

A new example of ‘independence’ and ‘white noise’

Summary We examine the notion of free independence according to Voiculescu. This form of independence is used for defining free white noise or process with stationary and freely independent increments. We prove a general limit theorem giving the combinatorics of infinitely freely divisible states and thus of free white noises with the help of admissible partitions. We realize the free analogues of the Wiener process and of the Poisson process as processes on the full Fock space ofL ² (—).     

Ill-Conditioned Inclusions

A square system of linear equations is ill-conditioned when the norm of the corresponding inverse matrix is large. This norm bounds the size of the solution, and measures how close the system is to being inconsistent: it is thus of fundamental computational significance. We generalize this idea from linear equations to inclusions governed by closed convex processes, and hence to conic linear systems.     

On Localization of Connective Covers

A result of Neisendorfer says that, for every connected p-complete finite complex Y with ₂Y torsion, the p-completion of P_{K(/p, 1)} (Ym) and Y are of the same homotopy type for any positive integer m. Here, P_{K(/p, 1)}(Ym) is the periodization functor of Bousfield and Ym) is the m-connective cover of the space Y. The proof of this result depends on Millers Theorem of Sullivans conjecture. The aim in this paper is to study the phenomenon without the use of Millers Theorem.AMS Subject Classification (2000): 55P60     

Foundational Isomorphisms in Continuous Differentiation Theory

We provide an elementary proof of existence for the Foundational Isomorphism in each of the categories of convergence spaces, compactly generated topological spaces and sequential convergence spaces. This isomorphism embodies the germ of differentiation and its inverse the germ of integration.     

Convexity and <Emphasis Type="Italic">w</Emphasis><Superscript><Emphasis Type="Italic">*</Emphasis></Superscript>-compactness in Banach spaces

Suppose X. We construct examples of bounded sets MX, such that These examples show that the previous results of the authors on quantitative versions of Kreins theorem are optimal.Mathematics Subject Classification (2000):46B20, 46B26A. S. Granero supported by DGICYT grant BFM2001-1284. P. Hájek supported by GAR 201/01/1198, A 101 92 05 and UPV grant PPI-02-02.     

A Categorical Definition of Semidirect Products

For any punctured category, a definition of a semidirect product and its dual counterpart, a semidirect sum, is given. Several examples are studied, among which are semidirect products of commutative Banach algebras and locally compact topological groups, and semidirect sums of compact Hausdorff spaces with basepoint. Also, further applications to commutative Banach algebras are given.     

Speed of convergence as a function of given accuracy for random search methods

The essence of this article lies in a demonstration of the fact that for some random search methods (r.s.m.) of global optimization, the number of the objective function evaluations required to reach a given accuracy may have very slow (logarithmic) growth to infinity as the accuracy tends to zero. Several inequalities of this kind are derived for some typical Markovian monotone r.s.m. in metric spaces including thed-dimensional Euclidean space ^d and its compact subsets. In the compact case, one of the main results may be briefly outlined as a constructive theorem of existence: if is a first moment of approaching a good subset of-neighbourhood ofx ₀=arg maxf by some random search sequence (r.s.s.), then we may choose parameters of this r.s.s. in such a way that E c(f) In² . Certainly, some restrictions on metric space and functionf are required.     

Distribution assumptions and risk constraints in portfolio optimization

Empirical distributions are often claimed to be superior to parametric distributions, yet to also increase the computational complexity and are therefore hard to apply in portfolio optimization. In this paper, we approach the portfolio optimization problem under constraints on the portfolios Value at Risk and Expected Tail Loss, respectively, under empirical distributions for the Standard and Poors 100 stocks. We apply a heuristic optimization method which has been found to overcome the restrictions of traditional optimization techniques. Our results indicate that empirical distributions might turn into a Pandoras Box: Though highly reliable for predicting the assets risks, employing these distributions in the optimization process might result in severe mis-estimations of the resulting portfolios actual risk. It is found that even a simple mean-variance approach can be superior despite its known specification errors.AMS Classification: G11, C61Dietmar G. Maringer: Im grateful to two anonymous referees, Peter Winker, Manfred Gilli, Berç Rustem, Erricos Kontoghiorghes, Alfred Lehar, Josef Zechner, Suresh Sundaresan, and conference participants at Aix-en-Provence, Limassol, and Sydney for valuable discussions and comments on earlier versions of this paper.     

On the uniform (C, 1)-summability of Fourier series and integrability of series with respect to multiplicative orthonormal systems

H (G), f(g)H (G) , (, 1)- OHMC G. , OHMC, A. H. . , . , OHMC, lim supp _n=, , ,n .. . , 117 234 . . -      

Some New Transversality Properties

The theorems of Ceva and Menelaus are concerned with cyclic products of ratios of lengths of collinear segments of triangles or more general polygons. These segments have one endpoint at a vertex of the polygon and one at the intersection point of a side with a suitable line. To these classical results we have recently added a selftransversality theorem in which the suitable line is determined by two other vertices. Here we present additional transversality properties in which the suitable line is determined either by a vertex and the intersection point of two diagonals, or by the intersection points of two pairs of such diagonals. Unexpectedly it turns out that besides several infinite families of systematic cases there are also a few sporadic cases.     

An axiom system for Lingenberg’s metric-Euclidean planes

We show that Lingenbergs metric-Euclidean planes are the rectangular planes of Karzel and Stanik which satisfy the axiom If two of the perpendicular bisectors of a triangle exist, then so does the third.This paper was written while the author was at the Institute of Mathematics of University of Biaystok with a Fulbright grant. I thank the Polish-U.S. Fulbright Commission for the grant, Professor Krzysztof Pramowski for the hospitality, and Ewa Walecka for drawing the figures.     

Extensional Σ-Spaces in Type Theory

Synthetic Domain Theory provides a setting for denotational semantics following Dana Scott's slogan domains as sets in which all functions are continuous. Several approaches can be found in the literature, but they are either model-dependent or if they use an axiomatic setting then not uniformly and not explicitly. We present a completely logical approach to Synthetic Domain Theory (SDT), axiomatizing (complete) Extensional PERs. On these grounds some basic domain theory is developed. Special attention is devoted to admissibility. The axiomatic approach is advantageous since it allows for easy formalization and comparison to other axiomatic settings.The consistency of the theory is shown by providing an appropriate realizability model. It is discussed how to get from this special kind of SDT {à la Scott} to a more general form which unifies several approaches.