A new model for record values

A new mathematical model of record values, named confirmed records, is constructed. It is based on the notion of kth record values, which, in turn, is a generalization of ordinary mathematical records and extremal order statistics. Confirmed records are considered for arbitrary k = 1, 2, ... under the assumption that the original random variables X ₁, X ₂, ... are independent and have the same continuous distribution function. For new record values, two representations are obtained in the most important special cases where the original variables have the exponential and the uniform distribution. For uniform and exponential confirmed records, means and variances are found.     

Backward error analysis of polynomial approximations for computing the action of the matrix exponential

We describe how to perform the backward error analysis for the approximation of \(\exp (A)v\) by \(p(s^{-1}A)^sv\), for any given polynomial p(x). The result of this analysis is an optimal choice of the scaling parameter s which assures a bound on the backward error, i.e. the equivalence of the approximation with the exponential of a slightly perturbed matrix. Thanks to the SageMath package expbea we have developed, one can optimize the performance of the given polynomial approximation. On the other hand, we employ the package for the analysis of polynomials interpolating the exponential function at so called Leja–Hermite points. The resulting method for the action of the matrix exponential can be considered an extension of both Taylor series approximation and Leja point interpolation. We illustrate the behavior of the new approximation with several numerical examples.     

Rational exponential approximation with real poles

This paper shows that, in the set of rational functions with real poles there exists a best minimax approximation to the exponential function over the non-negative real axis. This minimax approximation has an equal-ripple property similar to the classical Chebyshev approximation and, under certain conditions, it has a form that could be gainfully exploited in the numerical solutions of heat-conduction type problems.     

On quasi-Monte Carlo simulation of Stochastic Differential Equations

In a number of problems of mathematical physics and other fields stochastic differential equations are used to model certain phenomena. Often the solution of those problems can be obtained as a functional of the solution of some specific stochastic differential equation. Then we may use the idea of weak approximation to carry out numerical simulation. We analyze some complexity issues for a class of linear stochastic differential equations (Langevin type), which can be given by

where and . It turns out that for a class of input data which are not more than Lipschitz continuous the explicit Euler scheme gives rise to an optimal (by order) numerical method. Then we study numerical phenomena which occur when switching from (real) Monte Carlo simulation to quasi-Monte Carlo simulation, which is the case when we carry out the simulation on computers. It will easily be seen that completely uniformly distributed sequences yield good substitutes for random variates, while not all uniformly distributed (mod 1) sequences are suited. In fact we provide necessary conditions on a sequence in order to serve quasi-Monte Carlo purposes. This condition is expressed in terms of the measure of well-distributions. Numerical examples complement the theoretical analysis.

     

Analysis of a finite PML approximation for the three dimensional time-harmonic Maxwell and acoustic scattering problems

We consider the approximation of the frequency domain three-dimensional Maxwell scattering problem using a truncated domain perfectly matched layer (PML). We also treat the time-harmonic PML approximation to the acoustic scattering problem. Following work of Lassas and Somersalo in 1998, a transitional layer based on spherical geometry is defined, which results in a constant coefficient problem outside the transition. A truncated (computational) domain is then defined, which covers the transition region. The truncated domain need only have a minimally smooth outer boundary (e.g., Lipschitz continuous). We consider the truncated PML problem which results when a perfectly conducting boundary condition is imposed on the outer boundary of the truncated domain. The existence and uniqueness of solutions to the truncated PML problem will be shown provided that the truncated domain is sufficiently large, e.g., contains a sphere of radius . We also show exponential (in the parameter ) convergence of the truncated PML solution to the solution of the original scattering problem inside the transition layer.

Our results are important in that they are the first to show that the truncated PML problem can be posed on a domain with nonsmooth outer boundary. This allows the use of approximation based on polygonal meshes. In addition, even though the transition coefficients depend on spherical geometry, they can be made arbitrarily smooth and hence the resulting problems are amenable to numerical quadrature. Approximation schemes based on our analysis are the focus of future research.

     

The Exponential Type of the Fundamental Solution of an Indefinite Hamiltonian System

The fundamental solution of a Hamiltonian system whose Hamiltonian H is positive definite and locally integrable is an entire function of exponential type. Its exponential type can be computed as the integral over ${\sqrt{\det H}}$ . We show that this formula remains true in the indefinite (Pontryagin space) situation, where the Hamiltonian is permitted to have finitely many inner singularities. As a consequence, we obtain a statement on non-cancellation of exponential growth for a class of entire matrix functions.     

Transformation of coordinates with grid condensation toward the curvilinear boundary of the exterior flow region and boundary rectification

We consider a transformation of coordinates that maps the infinite region above the curve y=f(x) (f(x) 0) onto the entire upper halfplane. The original region is interpreted as an exterior flow region, and the curve described by the function y=f(x) as the flow boundary. The coordinate transformation rectifies the curvilinear boundary and can be applied for numerical solution of the equations of motion of a viscous fluid in a region with a curvilinear boundary of arbitrary shape.Translated from Vychislitel'naya i Prikladnaya Matematika, No. 73, pp. 42–47, 1992.     

Quadrature formulae using zeros of Bessel functions as nodes

A gaussian type quadrature formula, where the nodes are the zeros of Bessel functions of the first kind of order (), was recently proved for entire functions of exponential type. Here we relax the restriction on as well as on the function. Some applications are also given.

     

Constrained least squares methods for linear timevarying DAE systems

Summary This paper presents a family of methods for accurate solution of higher index linear variable DAE systems, . These methods use the DAE system and some of its first derivatives as constraints to a least squares problem that corresponds to a Taylor series ofy, or an approximative equality derived from a Pade' approximation of the exponential function. Accuracy results for systems transformable to standard canonical form are given. Advantages, disadvantages, stability properties and implementation of these methods are discussed and two numerical examples are given, where we compare our results with results from more traditional methods.     

On predicting unsteady non-Newtonian blood flow

The influence of the non-Newtonian stress–strain relation of blood on the oscillatory shear index (OSI) and mean wall shear stress (WSS) are described. A mathematical non-dimensional model based on the momentum equation for a modified Casson’s fluid is formulated in terms of the dimensionless yield shear stress . An original direct numerical procedure is presented to predict the flow patterns. Results obtained by using a finite difference approach show a difference in OSI when blood is assumed to be a Newtonian fluid instead of a modified Casson’s fluid. The calculation of the OSI in human normal conditions under the Newtonian approach differs in 5% from the result obtained from using the Casson model.     

Generalized Logan’s Problem for Entire Functions of Exponential Type and Optimal Argument in Jackson’s Inequality in <Emphasis Type="Italic">L</Emphasis><Subscript>2</Subscript>(ℝ<Superscript>3</Superscript>)

We study Jackson's inequality between the best approximation of a function f ∈ L₂(R³) by entire functions of exponential spherical type and its generalized modulus of continuity. We prove Jackson's inequality with the exact constant and the optimal argument in the modulus of continuity. In particular, Jackson's inequality with the optimal parameters is obtained for classical modulus of continuity of order r and Thue-Morse modulus of continuity of order r ∈ N. These results are based on the solution of the generalized Logan problem for entire functions of exponential type. For it we construct a new quadrature formulas for entire functions of exponential type.     

Semi-discretization of stochastic partial differential equations on by a finite-difference method

The paper concerns finite-difference scheme for the approximation of partial differential equations in , with additional stochastic noise. By replacing the space derivatives in the original stochastic partial differential equation (SPDE, for short) with difference quotients, we obtain a system of stochastic ordinary differential equations. We study the difference between the solution of the original SPDE and the solution to the corresponding equation obtained by discretizing the space variable. The need to approximate the solution in with functions of compact support requires us to introduce a scale of weighted Sobolev spaces. Employing the weighted -theory of SPDE, a sup-norm error estimate is derived and the rate of convergence is given.

     

On the sojourn times for many-queue head-of-the-line Processor-sharing systems with permanent customers

We consider a single server system consisting of e queues with different types of customers (Poisson streams) andk permanent customers. The permanent customers and those at the head of the queues are served in processor-sharing by the service facility (head-of-the-line processor-sharing). The stability condition and a pseudo work conservation law will be given for arbitrary service time distributions; for exponential service times a pseudo conservation law for the mean sojourn tunes can be derived. In case of two queues and exponential service times, the generating function of the stationary occupancy distribution satisfies a functional equation being a Riemann-Hilbert problem which can be reduced to a Dirichlet problem for a circle. The solution yields the mean sojourn times as an elliptic integral, which can be computed numerically very efficiently. In case ofn 2 a numerical algorithm for computing the performance measures is presented, which is efficient forn 3. Since forn 4 an exact analytical or/and numerical treatment is too complex a heuristic approximation for the mean sojourn times of the different types of customers is given, which in case of a (completely) symmetric system is exact. The numerical and simulation results show that, over a wide range of parameters, the approximation works well.This work was supported by a grant from the Siemens AG.     

Zeros of Bernoulli-type functions and best approximations

The zero sets of (D+a)ⁿg(t) with in the (t,a)-plane are investigated for and .The results are used to determine entire interpolations to functions , which give representations for the best approximation and best one-sided approximation from the class of functions of exponential type η>0 to .     

Solution of a nonlinear singular integral equation with quadratic nonlinearity

Using methods of the theory of boundary-value problems for analytic functions, we prove a theorem on the existence of solutions of the equation

Spherical Bessel functions and explicit quadrature formula

An evaluation of the derivative of spherical Bessel functions of order at its zeros is obtained. Consequently, an explicit quadrature formula for entire functions of exponential type is given.