Randomly weighted self-normalized Lévy processes

Let (_Ut,_Vt)$(U_t,V_t)$ be a bivariate Lévy process, where _Vt$V_t$ is a subordinator and _Ut$U_t$ is a Lévy process formed by randomly weighting each jump of _Vt$V_t$ by an independent random variable _Xt$X_t$ having cdf F$F$. We investigate the asymptotic distribution of the self-normalized Lévy process _Ut/_Vt$U_t/V_t$ at 0 and at ∞$\infty$. We show that all subsequential limits of this ratio at 0 (∞$\infty$) are continuous for any nondegenerate F$F$ with finite expectation if and only if _Vt$V_t$ belongs to the centered Feller class at 0 (∞$\infty$). We also characterize when _Ut/_Vt$U_t/V_t$ has a non-degenerate limit distribution at 0 and ∞$\infty$.     

Selections and their absolutely continuous invariant measures

Let I=[0,1]$I=[0,1]$ and let P be a partition of I   into a finite number of intervals. Let _τ1${\tau }_1$, _τ2${\tau }_2$; I→I$I\to I$ be two piecewise expanding maps on P  . Let G⊂I×I$G\subset I\times I$ be the region between the boundaries of the graphs of _τ1${\tau }_1$ and _τ2${\tau }_2$. Any map τ:I→I$\tau :I\to I$ that takes values in G is called a selection of the multivalued map defined by G  . There are many results devoted to the study of the existence of selections with specified topological properties. However, there are no results concerning the existence of selection with measure-theoretic properties. In this paper we prove the existence of selections which have absolutely continuous invariant measures (acim). By our assumptions we know that _τ1${\tau }_1$ and _τ2${\tau }_2$ possess acims preserving the distribution functions F⁽¹⁾$F^{(1)}$ and F⁽²⁾$F^{(2)}$. The main result shows that for any convex combination F   of F⁽¹⁾$F^{(1)}$ and F⁽²⁾$F^{(2)}$ we can find a map η   with values between the graphs of _τ1${\tau }_1$ and _τ2${\tau }_2$ (that is, a selection) such that F is the η-invariant distribution function. Examples are presented. We also study the relationship of the dynamics of our multivalued maps to random maps.     

Weak convergence of censored and reflected stable processes

It is shown that if a sequence of open n$n$-sets _Dk$D_k$ increases to an open n$n$-set D$D$ then reflected stable processes in _Dk$D_k$ converge weakly to the reflected stable process in D$D$ for every starting point x$x$ in D$D$. The same result holds for censored α$\alpha$-stable processes for every x$x$ in D$D$ if D$D$ and _Dk$D_k$ satisfy the uniform Hardy inequality. Using the method in the proof of the above results, we also prove the weak convergence of reflected Brownian motions in unbounded domains.     

Mosco convergence of the sets of fixed points for one-parameter nonexpansive semigroups

We consider the Mosco convergence of the sets of fixed points for one-parameter strongly continuous semigroups of nonexpansive mappings. One of our main results is the following: Let C$C$ be a closed convex subset of a Hilbert space E$E$. Let {T(t):t≥0}$\{T\left(t\right):t\ge 0\}$ be a strongly continuous semigroup of nonexpansive mappings on C$C$. The set of all fixed points of T(t)$T\left(t\right)$ is denoted by F(T(t))$F\left(T\left(t\right)\right)$ for each t≥0$t\ge 0$. Let τ$\tau$ be a nonnegative real number and let {_tn}$\left\{t_n\right\}$ be a sequence in R$\mathbb{R}$ satisfying τ+_tn≥0$\tau +t_n\ge 0$ and _tn≠0$t_n\ne 0$ for n∈N$n\in \mathbb{N}$, and _limntn=0${lim}_n{t}_n=0$. Then {F(T(τ+_tn))}$\left\{F\left(T(\tau +t_n)\right)\right\}$ converges to _?t≥0F(T(t))${?}_{t\ge 0}F\left(T\left(t\right)\right)$ in the sense of Mosco.     

Crossing number additivity over edge cuts

Consider a graph G$G$ with a minimal edge cut F$F$ and let _G1$G_1$, _G2$G_2$ be the two (augmented) components of G−F$G-F$. A long-open question asks under which conditions the crossing number of G$G$ is (greater than or) equal to the sum of the crossing numbers of _G1$G_1$ and _G2$G_2$—which would allow us to consider those graphs separately. It is known that crossing number is additive for |F|∈{0,1,2}$\left|F\right|\in \{0,1,2\}$ and that there exist graphs violating this property with |F|≥4$\left|F\right|\ge 4$. In this paper, we show that crossing number is additive for |F|=3$\left|F\right|=3$, thus closing the final gap in the question.     

Tournaments associated with multigraphs and a theorem of Hakimi

A tournament of order n$n$ is usually considered as an orientation of the complete graph _Kn$K_n$. In this note, we consider a more general definition of a tournament that we call aC$C$-tournament, where C$C$ is the adjacency matrix of a multigraph G$G$, and a C$C$-tournament is an orientation of G$G$. The score vector of a C$C$-tournament is the vector of outdegrees of its vertices. In 1965 Hakimi obtained necessary and sufficient conditions for the existence of a C$C$-tournament with a prescribed score vector R$R$ and gave an algorithm to construct such a C$C$-tournament which required, however, some backtracking. We give a simpler and more transparent proof of Hakimi’s theorem, and then provide a direct construction of such a C$C$-tournament which works even for weighted graphs.     

Minimum size transversals in uniform hypergraphs

A set of vertices in a hypergraph which meets all the edges is called a transversal. The transversal number τ(H)$\tau \left(H\right)$ of a hypergraph H$H$ is the minimum cardinality of a transversal in H$H$. A classical greedy algorithm for constructing a transversal of small size selects in each step a vertex which has the largest degree in the hypergraph formed by the edges not met yet. The analysis of this algorithm (by Chvátal and McDiarmid (1992)  [3]) gave some upper bounds for τ(H)$\tau \left(H\right)$ in a uniform hypergraph H$H$ with a given number of vertices and edges. We discuss a variation of this greedy algorithm. Analyzing this new algorithm, we obtain upper bounds for τ(H)$\tau \left(H\right)$ which improve the bounds by Chvátal and McDiarmid.     

The scaling limit of Poisson-driven order statistics with applications in geometric probability

Let _ηt${\eta }_t$ be a Poisson point process of intensity t≥1$t\ge 1$ on some state space Y$\mathbb{Y}$ and let f$f$ be a non-negative symmetric function on Y^k${\mathbb{Y}}^k$ for some k≥1$k\ge 1$. Applying f$f$ to all k$k$-tuples of distinct points of _ηt${\eta }_t$ generates a point process _ξt${\xi }_t$ on the positive real half-axis. The scaling limit of _ξt${\xi }_t$ as t$t$ tends to infinity is shown to be a Poisson point process with explicitly known intensity measure. From this, a limit theorem for the m$m$-th smallest point of _ξt${\xi }_t$ is concluded. This is strengthened by providing a rate of convergence. The technical background includes Wiener–Itô chaos decompositions and the Malliavin calculus of variations on the Poisson space as well as the Chen–Stein method for Poisson approximation. The general result is accompanied by a number of examples from geometric probability and stochastic geometry, such as k$k$-flats, random polytopes, random geometric graphs and random simplices. They are obtained by combining the general limit theorem with tools from convex and integral geometry.     

Some limit theorems for Hawkes processes and application to financial statistics

In the context of statistics for random processes, we prove a law of large numbers and a functional central limit theorem for multivariate Hawkes processes observed over a time interval [0,T]$[0,T]$ when T→∞$T\to \infty$. We further exhibit the asymptotic behaviour of the covariation of the increments of the components of a multivariate Hawkes process, when the observations are imposed by a discrete scheme with mesh Δ$\Delta$ over [0,T]$[0,T]$ up to some further time shift τ$\tau$. The behaviour of this functional depends on the relative size of Δ$\Delta$ and τ$\tau$ with respect to T$T$ and enables to give a full account of the second-order structure. As an application, we develop our results in the context of financial statistics. We introduced in Bacry et al. (2013) [7] a microscopic stochastic model for the variations of a multivariate financial asset, based on Hawkes processes and that is confined to live on a tick grid. We derive and characterise the exact macroscopic diffusion limit of this model and show in particular its ability to reproduce the important empirical stylised fact such as the Epps effect and the lead–lag effect. Moreover, our approach enables to track these effects across scales in rigorous mathematical terms.     

Structural instability of cookie-cutter sets

It is proved that the cookie-cutter set in R$\mathbb{R}$ is structurally instable in C¹$C^1$ topology, that means for the invariant set E$E$ of the IFS _{fi}i${\left\{f_i\right\}}_i$, we can always perturb _{fi}i${\left\{f_i\right\}}_i$ arbitrarily small in C¹$C^1$ topology to provide an IFS _{gi}i${\left\{g_i\right\}}_i$ with its invariant set F$F$, such that _dimHE=_dimHF${dim}_{H}E={dim}_{H}F$ and E,F$E,F$ are not Lipschitz equivalent.     

Frobenius groups and retract rationality

Let k$k$ be any field, G$G$ be a finite group acting on the rational function field k(_xg:g∈G)$k(x_g:g\in G)$ by h⋅_xg=_xhg$h\cdot x_g=x_{hg}$ for any h,g∈G$h,g\in G$. Define k(G)=k(_xg:g∈G)^G$k\left(G\right)=k{(x_g:g\in G)}^G$. Noether’s problem asks whether k(G)$k\left(G\right)$ is rational (= purely transcendental) over k$k$. A weaker notion, retract rationality introduced by Saltman, is also very useful for the study of Noether’s problem. We prove that, if G$G$ is a Frobenius group with abelian Frobenius kernel, then k(G)$k\left(G\right)$ is retract k$k$-rational for any field k$k$ satisfying some mild conditions. As an application, we show that, for any algebraic number field k$k$, for any Frobenius group G$G$ with Frobenius complement isomorphic to S_L2(_F5)$S{L}_2\left({\mathbb{F}}_5\right)$, there is a Galois extension field K$K$ over k$k$ whose Galois group is isomorphic to G$G$, i.e. the inverse Galois problem is valid for the pair (G,k)$(G,k)$. The same result is true for any non-solvable Frobenius group if k(_ζ8)$k\left({\zeta }_8\right)$ is a cyclic extension of k$k$.