Distributions of functionals of diffusions with jumps

The paper deals with a generalization of diffusion with jumps. One of the main points is that values of jumps depend on positions of the diffusion before the jump. The next generalization concerns moments of jumps. These moments occur in accordance with the compound Poisson process or with jumping moments constructed by inverse integral functionals of the diffusion. Bibliography: 8 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 339, 2006, pp. 15–36.     

Distributions of functionals of diffusions with jumps

The paper deals with methods of computing the distributions of functionals of a process that is a diffusion with jumps occurring according to a compound Poisson process. For symmetric processes, some exact formulas for distributions related to the first exit time are derived. Bibliography: 6 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 328, 2005, pp. 27–41.     

Distributions of the location of maximuma and minimuma for diffusions with jumps

The paper deals with methods of computation of distributions of location for maxima and minima for diffusions with jumps. As an example, we obtain explicit formulas for distributions of location for the maximum of the process which is equal to the sum of a Brownian motion and the compound Poisson process. Bibliography: 8 titles.     

Distribution of functionals of bridges for diffusions with jumps

The paper deals with a method of calculation of distributions for functionals of bridges of a process which is a generalization of a diffusion with jumps. The approach to calculation of distributions for integral functionals of bridges is the same as for the diffusion itself. This approach is based on calculation of the Laplace transform of distributions of the integral functionals. Bibliography: 4 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 341, 2007, pp. 34–47.     

Distributions of additive functionals of the Brownian motion stopped at various random moments

Distributions of additive functionals of the Brownian motion stopped at random moments are investigated. The moments are constructed by the maximum and minimum operations from well-known random times, such as the moment inverse to some additive functionals and first exit time. Bibliography: 5 titles.Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 294, 2002, pp. 55–76.This research was supported in part by the Russian Foundation for Basic Research, grants 02-01-00265 and 00-15-96019.Translated by V. N. Sudakov.     

Distributions of functionals of the Brownian motion stopped at the moment inverse to the sojourn time

The paper deals with methods of computing the distributions of functionals of the Brownian motion stopped at some random moments. The moments are obtained by means of the minimum and maximum operations from the moments inverse to some additive functionals. Bibliography: 5 titles. Translated fromZapiski Nauchnykh Seminarov POMI, Vol. 228, 1996, pp. 39–56.     

Transformations of diffusions with jumps

The paper deals with some transformations of diffusions with jumps. We consider the class of diffusions with jumps that is closed with respect to composition with invertible, twice continuously differentiable functions. A special random time change gives us again a diffusion with jumps. A result on transformation of a measure is valid for this class of diffusions with jumps. Bibliographty: 6 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 351, 2007, pp. 79–100.     

Ergodic control of reflected diffusions with jumps

We discuss ergodicity properties of a controlled jumps diffusion process reflected from the boundary of a bounded domain. The control parameters act on the drift term and on a first-order-type jump density. The controlled process is generated via a Girsanov change of probability, and a long-run average criterion is optimized. An optimal stationary feedback is constructed by means of the Hamilton-Jacobi-Bellman equation.     

Forward equations for reflected diffusions with jumps

In this paper we obtain the forward equations associated with the evolution of the density, if it exists, of reflected diffusions on the positive orthant with jumps which form a marked point process whose random jump measure possesses a stochastic intensity. These results generalize the so-called generalized Dynkin equations for piecewise deterministic jump processes due to Davis. We then consider the stationary case where the existence of a stochastic intensity is not needed. The techniques are based on local times and the use of random jump measures. We discuss the application of these results to problems arising in queuing and storage processes as well as stationary distributions of diffusions with delayed and jump reflections at the origin.This research was supported in part by the Quebec-France Cooperative Research Program and by the Natural Sciences and Engineering Research Council of Canada under Grant OGP 0042024.     

Ergodic behavior of diffusions with random jumps from the boundary

We consider a diffusion process on D⊂R^d$D\subset {\mathbb{R}}^d$, which upon hitting ∂D$\partial D$, is redistributed in D$D$ according to a probability measure depending continuously on its exit point. We prove that the distribution of the process converges exponentially fast to its unique invariant distribution and characterize the exponent as the spectral gap for a differential operator that serves as the generator of the process on a suitable function space.     

On parabolic inequalities for generators of diffusions with jumps

We prove absolute continuity of space-time probabilities satisfying certain parabolic inequalities for generators of diffusions with jumps. As an application, we prove absolute continuity of transition probabilities of singular diffusions with jumps under minimal conditions that ensure absolute continuity of the corresponding diffusions without jumps.     

Graphs with the maximum or minimum number of 1-factors

Recently Alon and Friedland have shown that graphs which are the union of complete regular bipartite graphs have the maximum number of 1-factors over all graphs with the same degree sequence. We identify two families of graphs that have the maximum number of 1-factors over all graphs with the same number of vertices and edges: the almost regular graphs which are unions of complete regular bipartite graphs, and complete graphs with a matching removed. The first family is determined using the Alon and Friedland bound. For the second family, we show that a graph transformation which is known to increase network reliability also increases the number of 1-factors. In fact, more is true: this graph transformation increases the number of k-factors for all k≥1, and “in reverse” also shows that in general, threshold graphs have the fewest k-factors. We are then able to determine precisely which threshold graphs have the fewest 1-factors. We conjecture that the same graphs have the fewest k-factors for all k≥2 as well.     

Optimal impulse control problems for degenerate diffusions with jumps

Optimal stopping and impulse control problems for degenerate diffusion with jumps are studied in this paper. Lipschitzian coefficients for the diffusion process, data with polynomial growth, and evolution in the whole space are the main assumptions on the models. Several characterizations of the optimal cost functions are given. Existence of optimal policies is obtained.This research has been supported in part by Army Research Office Contract DAAG29-83-K-0014 and by National Science Foundation Grant DMS-8601998.     

Maximum and minimum of one-dimensional diffusions

Let M_t be the maximum of a recurrent one-dimensional diffusion up till time t. Under appropriate conditions, there exists a distribution function F such that |P(M_t?x) ? F^t(x)|→0as t and x go to infinity. This reduces the asymptotic behavior of the maximum to that of the maximum of independent and identically distributed random variables with distribution function F. A new proof of this fact is given which is based on a time change of the Ornstein-Uhlenbeck process. Using this technique, the asymptotic independence of the maximum and minimum is also established. Moreover, this method allows one to construct stationary processes in which the limiting behavior of M_t is essentially unaffected by the stationary distribution. That is, there may be no relationship between the distribution F above and the marginal distribution of the process.     

A simplified proof of the representation of functionals of diffusions

A simple proof is given for the stochastic integral representation of a Fréchet differentiable functional of the paths of a given diffusion process. The proof begins when the functional depends on one coordinate, then passes to (by appropriate conditioning) a perhaps more difficult case—when the functional depends on a finite number of coordinates—and finally, by approximation, to the general case.     

On distributions of functionals of the brownian motion stopped at the moment inverse to local time

Translated fromZapiski Nauchnykh Seminarov POMI, Vol. 194, pp. 30–47, 1992     

Plant location with minimum inventory

We present an integer programming model for plant location with inventory costs. The linear programming relaxation has been solved by Dantzig-Wolfe decomposition. In this case the subproblems reduce to the minimum cut problem. We have used subgradient optimization to accelerate the convergence of the D-W algorithm. We present our experience with problems arising in the design of a distribution network for computer spare parts. In most cases, from a fractional solution we were able to derive integer solutions within 4% of optimality.