A Converse Comparison Theorem for <Emphasis Type="Italic">g</Emphasis>-Expectations

With the help of a limit property of solutions of backward stochastic differential equations(BSDEs),this paper establishes a converse comparison theorem for deterministic generators g of BSDEs under the assumption g(t, y, 0) ≡0.     

A Property of <Emphasis Type="Italic">g</Emphasis>-Expectation

This paper proves that, under the hypothesis g(t, 0, 0) ≡ 0 and some natural assumptions, the generator g of a backward stochastic differential equation can be uniquely determined by the corresponding g-expectations with all terminal conditions. The main result of this paper also confirms and extends Peng Shige‘s conjecture.     

A Relationship Between the Conditional <Emphasis Type="Italic">g</Emphasis>-Evaluation System and the Generator <Emphasis Type="Italic">g</Emphasis> and Its Applications

In this paper, under the most elementary conditions on a backward stochastic differential equation （BSDE for short） introduced by Peng, a new relationship between the conditional g-evaluation system and the generator g of BSDE is obtained in the sense of ＂process＂, based on some recent results of Jiang. Moreover, as applications, two converse comparison theorems and two uniqueness theorems on the generators of BSDEs are proved.     

Conditional Log-Laplace Functionals of Immigration Superprocesses with Dependent Spatial Motion

A non-critical branching immigration superprocess with dependent spatial motion is constructed and characterized as the solution of a stochastic equation driven by a time-space white noise and an orthogonal martingale measure. A representation of its conditional log-Laplace functionals is established, which gives the uniqueness of the solution and hence its Markov property. Some properties of the superprocess including an ergodic theorem are also obtained.Mathematics Subject Classifications (2000) 60J80, 60G57, 60J35.Zenghu Li: Supported by the NSFC (No. 10121101 and No. 10131040).Hao Wang: Supported by the research grant of UO.Jie Xiong: Research supported partially by NSA and by Alexander von Humboldt Foundation.     

General change of variable formulas for semimartingales in one and finite dimensions

Summary A general one dimensional change of variables formula is established for continuous semimartingales which extends the famous Meyer-Tanaka formula. The inspiration comes from an application arising in stochastic finance theory. For functions mapping ⁿ to , a general change of variables formula is established for arbitrary semimartingales, where the usualC ² hypothesis is relaxed.Supported in part by NSF grant No. DMS-9103454Supported in part by John D. and Catherine T. MacArthur Foundation award for US-Chile Scientific CooperationSupported in part by FONDECYT, grant 92-0881     

On Compact Graphs

Let G be a finite simple graph with adjacency matrix A, and let P（A） be the convex closure of the set of all permutation matrices commuting with A. G is said to be compact if every doubly stochastic matrix which commutes with A is in P（A）. In this paper, we characterize 3-regular compact graphs and prove that if G is a connected regular compact graph, G - v is also compact, and give a family of almost regular compact connected graphs.     

Brauer groups are not characterized by Ulm invariants

Two important invariants of a fieldF are its Brauer groupB(F) and its character groupX(F). IfF is countable, these are countable abelian torsion groups, and so are determined by their Ulm invariants. We show here that Ulm’s invariants do not determine Brauer groups or character groups of uncountable fields. An essential tool, which is entirely group theoretic in nature, is a fact about ultraproducts of torsion groups. Supported in part by NSF Grant No. DMS-8500883. Supported in part by NSA Grant No. MDA904-85-H-0014. Supported in part by NSF Grant No. DMS-8500929.     

A probabilistic interpretation and stochastic particle approximations of the 3-dimensional Navier-Stokes equations

We develop a probabilistic interpretation of local mild solutions of the three dimensional Navier-Stokes equation in the L^p spaces, when the initial vorticity field is integrable. This is done by associating a generalized nonlinear diffusion of the McKean-Vlasov type with the solution of the corresponding vortex equation. We then construct trajectorial (chaotic) stochastic particle approximations of this nonlinear process. These results provide the first complete proof of convergence of a stochastic vortex method for the Navier-Stokes equation in three dimensions, and rectify the algorithm conjectured by Esposito and Pulvirenti in 1989. Our techniques rely on a fine regularity study of the vortex equation in the supercritical L^p spaces, and on an extension of the classic McKean-Vlasov model, which incorporates the derivative of the stochastic flow of the nonlinear process to explain the vortex stretching phenomenon proper to dimension three. Supported by Fondecyt Project 1040689 and Nucleus Millennium Information and Randomness ICM P01-005.     

Stochastic comparison and preservation of positive correlations for Lévy-type processes

The stochastic comparison and preservation of positive correlations for Levy-type processes on R^d are studied under the condition that Levy measure v satisfies f{0〈｜z｜≤1）｜z｜｜v（x, dz） - v（x, d（-z））｜ 〈 ∞, x∈ R^d, while the sufficient conditions and necessary ones for them are obtained. In some cases the conditions for stochastic comparison are not only sufficient but also necessary.     

On the rate of convergence in the entropic central limit theorem

We study the rate at which entropy is produced by linear combinations of independent random variables which satisfy a spectral gap condition.Mathematics Subjects Classification (2000):94A17; 60F05Supported in part by the EU Grant HPMT-CT-2000-00037, The Minkowski center for Geometry and the Israel Science Foundation.Supported in part by NSF Grant DMS-9796221.Supported in part by EPSRC Grant GR/R37210.Supported in part by the BSF, Clore Foundation and EU Grant HPMT-CT-2000-00037.     

Sum-Avoiding Subsets

We estimate the maximal number of elements that can be selected from a set of n numbers so that the sum of two selected elements are never in the original set. We improve Choi’s upper bound of n^2/5 to e^{c√log n n}.To Professor Nicolas, on the occasion of his 60th birthday.2000 Mathematics Subject Classification: Primary—11B75Supported by Hungarian National Foundation for Scientific Research (OTKA), Grants No. T 38396, T43623 and T42750.     

Strong approximation of additive functionals

LetX ₁,X ₂,...be a sequence of i.i.d. random variables and putS ₀=0,S _n =X ₁+...+X _n . A strong approximation type result is given forA _N = _i=1 ^N f(S _i ) whereF(x),xR is a real valued function. A similar result is given for ₀ ^t g(B(s))ds. Some weak convergence type implications are also discussed.1991 Mathematics Subject Classification: Primary: 60F15, Secondary: 60J15.Supported by the Hungarian National Foundation for Scientific Research, Grant No. 1905.Supported by an NSERC Canada Grant at Carleton University.Supported by a PSC CUNY Grant No.662349.     

Bounding the coefficients of a divisor of a given polynomial

We find bounds for the coefficients of a divisorg(X) of a given polynomialf(X).Supported in part by NSF Grant No. DMS-8610730.     

A Local Limit Theorem for Solutions of BSDEs with Mao’s non-Lipschitz Generator

This paper establishes a local limit theorem for solutions of backward stochastic differential equations with Mao＇s non-Lipschitz generator, which is similar to the limit theorem obtained by [3] under the Lipschitz assumption.     

Goldie conditions for constants of algebraic derivations of semiprime algebras

Relations between Goldie conditions of a semiprime algebraR and its subalgebraR ^d of constants under an algebraic derivation are studied. The results obtained are applied to actions of finite dimensional solvable Lie algebras on associative algebras with no non-zero nilpotent elements. Supported by KBN Grant No. 2 2012 91 02. Supported by KBN Grant No. 2 2047 91 02.     

Index theory on locally homogeneous spaces

We describe how the equivariant K homology class of an invariant elliptic operator on a homogeneous space of a linear semisimple Lie group determines the L ²-index of the associated operator on a finite volume locally homogeneous space. The machinery of equivariant K homology and of KK theory can be used to prove theorems about L ²-indices. We give an application motivated by the problem of calculating multiplicities of subrepresentations of quasi-regular representations.Supported by the National Science Foundation under Grant No. DMS-8903472.Supported by the National Science Foundation under Grant No. DMS-8901436.     

Isomorphism types of Rogers semilattices for families from different levels of the arithmetical hierarchy

We investigate differences in isomorphism types for Rogers semilattices of computable numberings of families of sets lying in different levels of the arithmetical hierarchy. Supported by RFBR grant No. 05-01-00819 and by INTAS grant No. 00-499. Supported by NSFC grant No. 60310213. __________ Translated from Algebra i Logika, Vol. 45, No. 6, pp. 637–654, November–December, 2006.     

A Notion of Stochastic Input-to-State Stability and Its Application to Stability of Cascaded Stochastic Nonlinear Systems

In this paper, the property of practical input-to-state stability and its application to stability of cascaded nonlinear systems are investigated in the stochastic framework. Firstly, the notion of （practical） stochastic input-to-state stability with respect to a stochastic input is introduced, and then by the method of changing supply functions, （a） an （practical） SISS-Lyapunov function for the overall system is obtained from the corresponding Lyapunov functions for cascaded （practical） SISS subsystems.     

An SQP algorithm for extended linear-quadratic problems in stochastic programming

Extended Linear-Quadratic Programming (ELQP) problems were introduced by Rockafellar and Wets for various models in stochastic programming and multistage optimization. Several numerical methods with linear convergence rates have been developed for solving fully quadratic ELQP problems, where the primal and dual coefficient matrices are positive definite. We present a two-stage sequential quadratic programming (SQP) method for solving ELQP problems arising in stochastic programming. The first stage algorithm realizes global convergence and the second stage algorithm realizes superlinear local convergence under a condition calledB-regularity.B-regularity is milder than the fully quadratic condition; the primal coefficient matrix need not be positive definite. Numerical tests are given to demonstrate the efficiency of the algorithm. Solution properties of the ELQP problem underB-regularity are also discussed.Supported by the Australian Research Council.     

Pinning class of the Wiener measure by a functional: related martingales and invariance properties

For a given functional Y on the path space, we define the pinning class of the Wiener measure as the class of probabilities which admit the same conditioning given Y as the Wiener measure. Using stochastic analysis and the theory of initial enlargement of filtration, we study the transformations (not necessarily adapted) which preserve this class. We prove, in this non Markov setting, a stochastic Newton equation and a stochastic Noether theorem. We conclude the paper with some non canonical representations of Brownian motion, closely related to our study.Mathematics Subject Classification (2000): 60G44, 60H07, 60H20, 60H30