A Generalized Comparison Theorem for BSDEs and Its?Applications

This paper establishes a generalized comparison theorem for one-dimensional backward stochastic differential equations (BSDEs) whose generators are uniformly continuous in z and satisfy a kind of weakly monotonic condition in y. As applications, two new existence and uniqueness theorems for solutions of BSDEs are obtained. In the one-dimensional setting, these results generalize some corresponding results in Pardoux and Peng (Syst. Control Lett. 14:55–61, 1990), Mao (Stoch. Process. Their Appl. 58:281–292, 1995), El Karoui et al. (Math. Finance 7:1–72, 1997), Pardoux (Nonlinear Analysis, Differential Equations and Control, Montreal, QC, 1998, Kluwer Academic, Dordrecht, 1999), Cao and Yan (Adv. Math. 28(4):304–308, 1999), Briand and Hu (Probab. Theory Relat. Fields 136(4):604–618, 2006), and Jia (C. R. Acad. Sci. Paris, Ser. I 346:439–444, 2008).     

Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type

We have obtained the following limit theorem: if a sequence of RCLL supersolutions of a backward stochastic differential equations (BSDE) converges monotonically up to (y _t ) with E[sup _t |y _t |²] < ∞, then (y _t ) itself is a RCLL supersolution of the same BSDE (Theorem 2.4 and 3.6). We apply this result to the following two problems: 1) nonlinear Doob–Meyer Decomposition Theorem. 2) the smallest supersolution of a BSDE with constraints on the solution (y, z). The constraints may be non convex with respect to (y, z) and may be only measurable with respect to the time variable t. this result may be applied to the pricing of hedging contingent claims with constrained portfolios and/or wealth processes. Received: 3 June 1997 / Revised version: 18 January 1998     

Representation theorems for generators of BSDEs in L p spaces

In this paper,we prove that the generator g of a class of backward stochastic differential equations (BSDEs) can be represented by the solutions of the corresponding BSDEs at point (t,y,z),when the terminal data is in L p spaces,for 1 < p ≤ 2.     

A note on Jensen’s inequality for BSDEs

Under the Lipschitz assumption and square integrable assumption on g, Jiang proved that Jensen＇s inequality for BSDEs with generator g holds in general if and only if g is independent of y, g is super homogenous in z and g（t, 0） = 0, a.s., a.e.. In this paper, based on Jiang＇s results, under the same assumptions as Jiang＇s, we investigate the necessary and sufficient condition on g under which Jensen＇s inequality for BSDEs with generator g holds for some specific convex functions, which generalizes some known results on Jensen＇s inequality for BSDEs.     

General existence results for reflected BSDE and BSDE

In this paper, we are concerned with the problem of existence of solutions for generalized reflected backward stochastic differential equations (GRBSDEs for short) and generalized backward stochastic differential equations (GBSDEs for short) when the generator is continuous with general growth with respect to the variable y and stochastic quadratic growth with respect to the variable z. We deal with the case of a bounded terminal condition ξ and a bounded barrier L as well as the case of unbounded ones. This is done by using the notion of generalized BSDEs with two reflecting barriers studied in Essaky and Hassani (submitted for publication) [14]. The work is suggested by the interest the results might have in finance, control and game theory.     

A Little More on Coz-Unique Frames

Coz-unique frames were defined and characterized by Banaschewski and Gilmour (J Pure Appl Algebra 157:1–22, 2001). In this note we give further characterizations of these frames along the lines of characterizations of absolutely z-embedded spaces obtained by Blair and Hager (Math Z 136:41–52, 1974) on the one hand, and by Hager and Johnson (Canad J Math 20:389–393, 1968) on the other. We also extend to frames certain characterizations of z-embedded spaces; namely, we give a characterization of coz-onto frame homomorphisms in terms of normal covers.      

Some argument inequalities for certain analytic functions

For analytic functions f(z) in the open unit disk U and convex functions g(z) in U, Nunokawa et al. [NUNOKAWA, M.—OWA, S.—NISHIWAKI, J.—KUROKI, K.—HAYAMI, T: Differential subordination and argumental property, Comput. Math. Appl. 56 (2008), 2733–2736] have proved one theorem which is a generalization of the result [POMMERENKE, CH.: On close-toconvex analytic functions, Trans. Amer. Math. Soc. 114 (1965), 176–186]. The object of the present paper is to generalize the theorem due to Nunokawa et al..     

The pluripolar hull of {w=e −1/z }

In this paper we show that the pluripolar hull ofE={(z, ω)∈C²:ω=e ^−1/z,z≠0} is equal toE. This implies thatE is plurithin at 0, which answers a question of Sadullaev. The result remains valid ife ^−1/z is replaced by certain other holomorphic functions with an essential singularity at 0.     

Differential sobordination and Bazilevič functions

LetM(z)=z ⁿ +…,N(z)=z ⁿ +… be analytic in the unit disc Δ and let λ(z)=N(z)/zN′(z). The classical result of Sakaguchi-Libera shows that Re(M′(z)/N′(z))<0 implies Re(M(z)/N(z))>0 in Δ whenever Re(λ(z))>0 in Δ. This can be expressed in terms of differential subordination as follows: for anyp analytic in Δ, withp(0)=1,p(z)+λ(z)zp′(z)<1+z/1−z impliesp(z)<1+z/1−z, for Reλ(z)>0,z∈Δ. In this paper we determine different type of general conditions on λ(z),h(z) and ϕ(z) for which one hasp(z)+λ(z)zp′(z)<h(z) impliesp(z)<ϕ(z)<h(z) z∈Δ. Then we apply the above implication to obtain new theorems for some classes of normalized analytic funotions. In particular we give a sufficient condition for an analytic function to be starlike in Δ.     

Rates of convergence in the CLT for linear random fields

In this paper, we study sums of linear random fields defined on the lattice Z ² with values in a Hilbert space. The rate of convergence of distributions of such sums to the Gaussian law is discussed, and mild sufficient conditions to obtain an approximation of order n ^−p are presented. This can be considered as a complement of a recent result of [A.N. Nazarova, Logarithmic velocity of convergence in CLT for stochastic linear processes and fields in a Hilbert space, Fundam. Prikl. Mat., 8:1091–1098, 2002 (in Russian)], where the logarithmic rate of convergence was stated, and as a generalization of the result of [D. Bosq, Erratum and complements to Berry–Esseen inequality for linear processes in Hilbert spaces, Stat. Probab. Lett., 70:171–174, 2004] for linear processes.     

On the Nevanlinna characteristic of <Emphasis Type="Italic">f</Emphasis>(<Emphasis Type="Italic">z</Emphasis>+<Emphasis Type="Italic">η</Emphasis>) and difference equations in the complex plane

We investigate the growth of the Nevanlinna characteristic of f(z+η) for a fixed η∈C in this paper. In particular, we obtain a precise asymptotic relation between T(r,f(z+η)) and T(r,f), which is only true for finite order meromorphic functions. We have also obtained the proximity function and pointwise estimates of f(z+η)/f(z) which is a discrete version of the classical logarithmic derivative estimates of f(z). We apply these results to give new growth estimates of meromorphic solutions to higher order linear difference equations. This also allows us to solve an old problem of Whittaker (Interpolatory Function Theory, Cambridge University Press, Cambridge, 1935) concerning a first order difference equation. We show by giving a number of examples that all of our results are best possible in certain senses. Finally, we give a direct proof of a result in Ablowitz, Halburd and Herbst (Nonlinearity 13:889–905, 2000) concerning integrable difference equations. This research was supported in part by the Research Grants Council of the Hong Kong Special Administrative Region, China (HKUST6135/01P). The second author was also partially supported by the National Natural Science Foundation of China (Grant No. 10501044) and the HKUST PDF Matching Fund.     

Bang–bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game

In this Note, we solve a nonzero-sum stochastic differential game (NZSDG) with bang–bang-type equilibrium controls by using backward stochastic differential equations (BSDEs). The generator is multi-dimensional and discontinuous with respect to z.     

Order bounds for second derivative approximations

Rational approximations to the exponential function with denominator (1−λz−μz ²) ^s arise as stability functions of second derivative generalizations of Runge–Kutta methods. The purpose of this paper is to derive order barriers for approximations of this and related forms. Although some of these barriers are already known, we will analyse them in a new way. Order arrows were originally proposed as a complement to order stars for establishing barriers for A-stable methods but they are shown also to be a powerful tool for analysing the type of order barrier considered in this paper.     

The Schur Algorithm for Generalized Schur Functions II: Jordan Chains and Transformations of Characteristic Functions

 In the first paper of this series (Daniel Alpay, Tomas Azizov, Aad Dijksma, and Heinz Langer: The Schur algorithm for generalized Schur functions I: coisometric realizations, Operator Theory: Advances and Applications 129 (2001), pp. 1–36) it was shown that for a generalized Schur function s(z), which is the characteristic function of a coisometric colligation V with state space being a Pontryagin space, the Schur transformation corresponds to a finite-dimensional reduction of the state space, and a finite-dimensional perturbation and compression of its main operator. In the present paper we show that these formulas can be explained using simple relations between V and the colligation of the reciprocal s(z)⁻¹ of the characteristic function s(z) and general factorization results for characteristic functions. Received October 31, 2001; in revised form August 21, 2002 RID="a" ID="a" Dedicated to Professor Edmund Hlawka on the occasion of his 85th birthday     

The general gould type integral with respect to a multisubmeasure

In two earlier papers [GAVRILUŢ, A.: A Gould type integral with respect to a multisubmeasure, Math. Slovaca 58 (2008), 1–20] and [Gavriluţ, A.: On some properties of the Gould type integral with respect to a multisubmeasure, An. Ştiinţ. Univ. Al. I. Cuza Iaşi. Mat. (N.S.) 52 (2006), 177–194], we defined and studied a Gould type integral for a real valued, bounded function with respect to a multisubmeasure having finite variation. In this paper, we introduce and study the properties of a Gould type integral in the general setting: the function may be unbounded and the variation of the multisubmeasure may be infinite.     

Multivariable Askey–Wilson function and bispectrality

For every positive integer d, we define a meromorphic function F _d (n;z), where n,z∈ℂ ^d , which is a natural extension of the multivariable Askey–Wilson polynomials of Gasper and Rahman (Theory and Applications of Special Functions, Dev. Math., vol. 13, pp. 209–219, Springer, New York, 2005). It is defined as a product of very-well-poised ₈ φ ₇ series and we show that it is a common eigenfunction of two commutative algebras A_z{\mathcal{A}}_{z} and A_n{\mathcal{A}}_{n} of difference operators acting on z and n, with eigenvalues depending on n and z, respectively. In particular, this leads to certain identities connecting products of very-well-poised ₈ φ ₇ series.     

On Homogeneous Differential Polynomials of Meromorphic Functions

In this paper, we study one conjecture proposed by W. Bergweiler and show that any transcendental meromorphic functions f(z) have the form exp(αz+β) if f(z)f″(z)–a(f′ (z))²≠0, where . Moreover, an analogous normality criterion is obtained. Supported by National Natural Science Foundation and Science Technology Promotion Foundation of Fujian Province (2003)     

Jensen’s Inequality for Backward Stochastic Differential Equations

Abstract Under the Lipschitz assumption and square integrable assumption on g, the author proves that Jensen’s inequality holds for backward stochastic differential equations with generator g if and only if g is independent of y, g(t, 0) ≡ 0 and g is super homogeneous with respect to z. This result generalizes the known results on Jensen’s inequality for g- expectation in [4, 7–9]. *Project supported by the National Natural Science Foundation of China (No.10325101) and the Science Foundation of China University of Mining and Technology.     

On the Carleson Measure Criterion in Linear Systems Theory

In Ho and Russell (SIAM J Control Optim 21(4):614–640, 1983), and Weiss (Syst Control Lett 10(1): 79–82, 1988), a Carleson measure criterion for admissibility of one-dimensional input elements with respect to diagonal semigroups is given. We extend their results from the Hilbert space situation (L ²-admissibility on the state space ℓ ₂) to the more general situation of L ^p -admissibility on the state space ℓ _q . For analytic diagonal semigroups we present a new result that does not rely on Laplace transform methods. A comparison of both criteria leads to a result on L ^p -admissibility for reciprocal systems in the sense of Curtain (Syst Control Lett 49(2):81–89, 2003).     

An efficient algorithm for accelerating the convergence of oscillatory series,useful for computing the polylogarithm and Hurwitz zeta functions

This paper sketches a technique for improving the rate of convergence of a general oscillatory sequence, and then applies this series acceleration algorithm to the polylogarithm and the Hurwitz zeta function. As such, it may be taken as an extension of the techniques given by Borwein’s “An efficient algorithm for computing the Riemann zeta function” by Borwein for computing the Riemann zeta function, to more general series. The algorithm provides a rapid means of evaluating Li _s (z) for general values of complex s and a kidney-shaped region of complex z values given by ∣z ²/(z–1)∣<4. By using the duplication formula and the inversion formula, the range of convergence for the polylogarithm may be extended to the entire complex z-plane, and so the algorithms described here allow for the evaluation of the polylogarithm for all complex s and z values. Alternatively, the Hurwitz zeta can be very rapidly evaluated by means of an Euler–Maclaurin series. The polylogarithm and the Hurwitz zeta are related, in that two evaluations of the one can be used to obtain a value of the other; thus, either algorithm can be used to evaluate either function. The Euler–Maclaurin series is a clear performance winner for the Hurwitz zeta, while the Borwein algorithm is superior for evaluating the polylogarithm in the kidney-shaped region. Both algorithms are superior to the simple Taylor’s series or direct summation. The primary, concrete result of this paper is an algorithm allows the exploration of the Hurwitz zeta in the critical strip, where fast algorithms are otherwise unavailable. A discussion of the monodromy group of the polylogarithm is included.