Asymptotic properties of some goodness-of-fit tests based on the L 1-norm

Some goodness-of-fit tests based on the L ₁-norm are considered. The asymptotic distribution of each statistic under the null hypothesis is the distribution of the L ₁-norm of the standard Wiener process on [0,1]. The distribution function, the density function and a table of some percentage points of the distribution are given. A result for the asymptotic tail probability of the L ₁-norm of a Gaussian process is also obtained. The result is useful for giving the approximate Bahadur efficiency of the test statistics whose asymptotic distributions are represented as the L ₁-norms of Gaussian processes.     

On the numerical solution of certain boundary control problems for vibrating media in one space-dimension

This paper is concerned with the numerical solution of control problems which consist of minimizing certain quadratic functionals depending on control functions in L ₂[0,1] for some given time T > 0 and bounded with respect to the maximum norm. These control functions act upon the boundary conditions of a vibrating system in one space-dimension which is governed by a wave equation of spatial order 2n They are to be chosen in such a way that a given initial state of vibration at time zero is transferred into the state of rest. This requirement can be expressed by an infinite system of moment equations to be satisfied by the control functions

The control problem is approximated by replacing this infinite system by finitely many, say N, equations (truncation) and by choosing piecewise constant functions as controls (discretization). The resulting problem is a quadratic optimization problem which is solved very efficiently by a multiplier method

Convergence of the solutions of the approximating problems to the solution of the control problem, as N tends to infinity and the discretization is infinitely refined, is shown under mild assumptions. Numerical results are presented for a vibrating beam     

Pullback attractors for nonautonomous 2D Bénard problem in some unbounded domains

In this paper, we study the 2D Bénard problem, a system with the Navier–Stokes equations for the velocity field coupled with a convection–diffusion equation for the temperature, in an arbitrary domain (bounded or unbounded) satisfying the Poincaré inequality with nonhomogeneous boundary conditions and nonautonomous external force and heat source. The existence of a weak solution to the problem is proved by using the Galerkin method. We then show the existence of a unique minimal finite‐dimensional pullback D_σ‐attractor for the process associated to the problem. Copyright © 2013 John Wiley & Sons, Ltd.     

Existence and Smoothness of the Density for Spatially Homogeneous SPDEs

In this paper, we extend Walsh’s stochastic integral with respect to a Gaussian noise, white in time and with some homogeneous spatial correlation, in order to be able to integrate some random measure-valued processes. This extension turns out to be equivalent to Dalang’s one. Then we study existence and regularity of the density of the probability law for the real-valued mild solution to a general second order stochastic partial differential equation driven by such a noise. For this, we apply the techniques of the Malliavin calculus. Our results apply to the case of the stochastic heat equation in any space dimension and the stochastic wave equation in space dimension d=1,2,3. Moreover, for these particular examples, known results in the literature have been improved.      

A Nonhomogeneous Boundary-Value Problem for the Korteweg–de Vries Equation Posed on a Finite Domain

Abstract

Studied here is an initial- and boundary-value problem for the Korteweg–de Vries equation posed on a bounded interval with nonhomogeneous boundary conditions. This particular problem arises naturally in certain circumstances when the equation is used as a model for waves and a numerical scheme is needed. It is shown here that this initial-boundary-value problem is globally well-posed in the L ₂-based Sobolev space H  ^s (0, 1) for any s ≥ 0. In addition, the mapping that associates to appropriate initial- and boundary-data the corresponding solution is shown to be analytic as a function between appropriate Banach spaces.     

Monte-Carlo approximations for 2d Navier-Stokes equations with measure initial data

We are interested in proving Monte-Carlo approximations for 2d Navier-Stokes equations with initial data u ₀ belonging to the Lorentz space L ^2,∞ and such that curl u ₀ is a finite measure. Giga, Miyakawaand Osada [7] proved that a solution u exists and that u=K* curl u, where K is the Biot-Savartkernel and v = curl u is solution of a nonlinear equation in dimension one, called the vortex equation. In this paper, we approximate a solution v of this vortex equationby a stochastic interacting particlesystem and deduce a Monte-Carlo approximation for a solution of the Navier-Stokesequation. That gives in this case a pathwise proofof the vortex algorithm introducedby Chorin and consequently generalizes the works ofMarchioro-Pulvirenti [12] and Méléardv [15] obtained in the case of a vortex equation with bounded density initial data. Received: 6 October 1999 / Revised version: 15 September 2000 / Published online: 9 October 2001     

Global strong solution to the three dimensional nonhomogeneous incompressible magnetohydrodynamic equations with density‐dependent viscosity and resistivity

In this paper, we consider an initial boundary value problem for the 3‐dimensional nonhomogeneous incompressible magnetohydrodynamic equations with density‐dependent viscosity and resistivity coefficients over a bounded smooth domain. Global in time unique strong solution is proved to exist when the L² norms of initial vorticity and current density are both suitably small with arbitrary large initial density, and the vacuum of initial density is also allowed. Finally, we revisit the Navier‐Stokes model without electromagnetic effect. We find that this initial boundary problem also admits a unique global strong solution under other conditions. In particular, we prove small kinetic‐energy strong solution exists globally in time, which extends the recent result of Huang and Wang.     

Nonlinear heat equation with L 1-data

A nonlinear heat equation with Newton-type boundary conditions with all heat sources being bounded only in L ¹-norms is investigated. An integral solution is then defined and its existence, uniqueness and continuous dependence is proved by using accretivity of the stationary part in L ¹ () L ¹ (). Received September 1, 1997     

Nonautonomous heat equations with generalized Wentzell boundary conditions

In this paper, we study the nonautonomous heat equation in C[0,1] C[0,1] with generalized Wentzell boundary conditions.It is shown, under appropriate assumptions, that there exists a unique evolution family for this problem and that the family satisfies various regularity properties. This enables us to obtain, for the corresponding inhomogeneous problem, classical and strict solutions having optimal regularity.     

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.     

Itô's formula for linear fractional PDEs

In this paper, we introduce a stochastic integral with respect to the solution X of the fractional heat equation on [0,1], interpreted as a divergence operator. This allows to use the techniques of the Malliavin calculus in order to establish an Itô-type formula for the process X.     

Transient behaviour of semilinear stochastic systems with random parameters

The transient solution of a class of nonautonomous, stochastic differential equations with given random initial conditions is studied. The considered evolution equation is characterized by the presence of a deterministic linear term and of a random nonlinear term whose parameters can be modeled by random processes of Rice noise type. Analytical approximated expressions for the first- and second-order moments and for the probability density of the solution process are derived and are applied to determine the statistical properties of a class of stochastic nonlinear oscillators.     

Mixing “In the sense of Ibragimov.” Estimate for the rate of approach of a family of integral functionals of a solution of a differential equation with periodic coefficients to a family of wiener processes. Some applications. I

We prove that a bounded 1-periodic function of a solution of a time-homogeneous diffusion equation with 1-periodic coefficients forms a process that satisfies the condition of uniform strong mixing. We obtain an estimate for the rate of approach of a certain normalized integral functional of a solution of an ordinary time-homogeneous stochastic differential equation with 1-periodic coefficients to a family of Wiener processes in probability in the metric of space C [0, T]. As an example, we consider an ordinary differential equation perturbed by a rapidly oscillating centered process that is a 1-periodic function of a solution of a time-homogeneous stochastic differential equation with 1-periodic coefficients. We obtain an estimate for the rate of approach of a solution of this equation to a solution of the corresponding It? stochastic equation.     

Problems for elliptic equations with operator-boundary conditions

We consider, in a Hilbert space H, a problem on [0,1] for a second order elliptic operator-differential equation with operator-boundary conditions. We also consider second order elliptic differential equations with operatorboundary conditions in cylindrical domains in the case when operator-boundary conditions contain integral terms over the whole domain. In this case, the proof of the density of the domain of definition of operators in a space is difficult. When boundary conditions are local, this fact is a simple corollary of the density ofC ₀ () inL _p ().     

Stationary min-stable stochastic processes

Summary We consider the class of stationary stochastic processes whose margins are jointly min-stable. We show how the scalar elements can be generated by a single realization of a standard homogeneous Poisson process on the upper half-strip [0,1]×R ₊ and a group of L ₁-isometries. We include a Dobrushin-like result for the realizations in continuous time.     

A Functional Equation Whose Unknown is \mathcal{P}([0,1]) Valued

We study a functional equation whose unknown maps a Euclidean space into the space of probability distributions on [0,1]. We prove existence and uniqueness of its solution under suitable regularity and boundary conditions, we show that it depends continuously on the boundary datum, and we characterize solutions that are diffuse on [0,1]. A canonical solution is obtained by means of a Randomly Reinforced Urn with different reinforcement distributions having equal means. The general solution to the functional equation defines a new parametric collection of distributions on [0,1] generalizing the Beta family.     

On the instability of resonances in parallel-plane waveguides under local perturbations of the boundary

We study the large-time asymptotics for solutions u( x , t) of the wave equation with Dirichlet boundary data, generated by a time-harmonic force distribution of frequency ω, in a class of domains with non-compact boundaries and show that the results obtained in [11] for a special class of local perturbations of Ω₀ ? ?² × (0,1) can be extended to arbitrary smooth local perturbations Ω of Ω₀. In particular, we prove that u is bounded as t → ∞ if Ω does not allow admissible standing waves of frequency ω in the sense of [8]. This implies in connection with [8]. Theorem 3.1 that the logarithmic resonances of the unperturbed domain Ω₀ at the frequencies ω = πk (k = 1, 2,…) observed in [14] can be simultaneously removed by small perturbations of the boundary. As a main step of our analysis, the determination of admissible solutions of the boundary value problem ΔU + κ²U = ? f in Ω, U = 0 on ?Ω is reduced to a compact operator equation.     

General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients

In this article, we consider a linear-quadratic optimal control problem (LQ problem) for a controlled linear stochastic differential equation driven by a multidimensional Browinan motion and a Poisson random martingale measure in the general case, where the coefficients are allowed to be predictable processes or random matrices. By the duality technique, the dual characterization of the optimal control is derived by the optimality system (so-called stochastic Hamilton system), which turns out to be a linear fully coupled forward-backward stochastic differential equation with jumps. Using a decoupling technique, the connection between the stochastic Hamilton system and the associated Riccati equation is established. As a result, the state feedback representation is obtained for the optimal control. As the coefficients for the LQ problem are random, here, the associated Riccati equation is a highly nonlinear backward stochastic differential equation (BSDE) with jumps, where the generator depends on the unknown variables K, L, and H in a quadratic way (see (5.9) herein). For the case where the generator is bounded and is linearly dependent on the unknown martingale terms L and H, the existence and uniqueness of the solution for the associated Riccati equation are established by Bellman's principle of quasi-linearization.     

A nonlinear stochastic heat equation: Hölder continuity and smoothness of the density of the solution

In this paper, we establish a version of the Feynman–Kac formula for multidimensional stochastic heat equation driven by a general semimartingale. This Feynman–Kac formula is then applied to study some nonlinear stochastic heat equations driven by nonhomogeneous Gaussian noise: first, an explicit expression for the Malliavin derivatives of the solutions is obtained. Based on the representation we obtain the smooth property of the density of the law of the solution. On the other hand, we also obtain the Hölder continuity of the solutions.