Small-time expansions for state-dependent local jump–diffusion models with infinite jump activity

In this article, we consider a Markov process ${\left\{X_t\right\}}_{t?0}$, which solves a stochastic differential equation driven by a Brownian motion and an independent pure jump component exhibiting both state-dependent jump intensity and infinite jump activity. A second order expansion is derived for the tail probability $\mathbb{P}[X_t?x+y]$ in small time $t$, where $x$ is the initial value of the process and $y>0$. As an application of this expansion and a suitable change of the underlying probability measure, a second order expansion, near expiration, for out-of-the-money European call option prices is obtained when the underlying stock price is modeled as the exponential of the jump–diffusion process ${\left\{X_t\right\}}_{t?0}$ under the risk-neutral probability measure.     

Pruned discrete random samples

Let $X_i,i\in \mathbb{N}$, be independent and identically distributed random variables with values in ${\mathbb{N}}_0$. We transform (‘prune’) the sequence $\{X_1,\dots ,X_n\},n\in \mathbb{N}$, of discrete random samples into a sequence $\{0,1,2,\dots ,Y_n\},n\in \mathbb{N}$, of contiguous random sets by replacing $X_{n+1}$ with $Y_n+1$ if $X_{n+1}>Y_n$. We consider the asymptotic behaviour of $Y_n$ as $n\to \infty$. Applications include path growth in digital search trees and the number of tables in Pitmanʼs Chinese restaurant process if the latter is conditioned on its limit value.     

The waiting time distribution for a correlated queue with exponential interarrival and service times

We are concerned with the analysis of the waiting time distribution in an $M∕M∕1$ queue in which the interarrival time between the $n$th and the $(n+1)$th customers and the service time of the $n$th customer are correlated random variables with Downton’s bivariate exponential distribution. In this paper we show that the conditional waiting time distribution, given that the waiting time is positive, is exponential.     

On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes

We study subexponential tail asymptotics for the distribution of the maximum $M_t?{sup}_{u\in [0,t]}{X}_u$ of a process $X_t$ with negative drift for the entire range of $t>0$. We consider compound renewal processes with linear drift and Lévy processes. For both processes we also formulate and prove the principle of a single big jump for their maxima. The class of compound renewal processes with drift particularly includes the Cramér–Lundberg renewal risk process.     

Competitive exclusion for a two-species chemotaxis system with two chemicals

In this paper we consider the following competitive two-species chemotaxis system with two chemicals in a smooth bounded domain $\Omega \subset {\mathbb{R}}^n$ with $n\ge 1$, where ${\chi }_i\ge 0$, $a_i\ge 0$ and ${\mu }_i>0$ $(i=1,2)$. For the case $a_1>1>a_2\ge 0$, it will be proved that if ${\chi }_1{\chi }_2<{\mu }_1{\mu }_2$, ${\chi }_1\le a_1{\mu }_1$ and ${\chi }_2<{\mu }_2$, then the initial–boundary value problem with homogeneous Neumann boundary condition admits a unique global bounded solution and $(u,v,w,z)\to (0,1,1,0)$ uniformly on $\bar{\Omega }$ as $t\to \infty$.     

Gagliardo–Nirenberg inequalities and non-inequalities: The full story

We investigate the validity of the Gagliardo–Nirenberg type inequality

(1)${6f6}_{W^{s,p}(\mathrm{\Omega })}?{6f6}_{W^{s_1,p_1}(\mathrm{\Omega })}^{\theta }{6f6}_{W^{s_2,p_2}(\mathrm{\Omega })}^{1?\theta },$

with $\mathrm{\Omega }?{\mathbb{R}}^N$. Here, $0\le s_1\le s\le s_2$ are non negative numbers (not necessarily integers), $1\le p_1,p,p_2\le \infty$, and we assume the standard relations

$s=\theta s_1+(1?\theta )s_2,1/p=\theta /p_1+(1?\theta )/p_2\text{ for some }\theta \in (0,1).$

By the seminal contributions of E. Gagliardo and L. Nirenberg, (1) holds when $s_1,s_2,s$ are integers. It turns out that (1) holds for “most” of values of $s_1,\dots ,p_2$, but not for all of them. We present an explicit condition on $s_1,s_2,p_1,p_2$ which allows to decide whether (1) holds or fails.     

Some multicolor bipartite Ramsey numbers involving cycles and a small number of colors

For bipartite graphs $G_1,G_2,\dots ,G_k$, the bipartite Ramsey number $b(G_1,G_2,\dots ,G_k)$ is the least positive integer $b$ so that any coloring of the edges of $K_{b,b}$ with $k$ colors will result in a copy of $G_i$ in the $i$th color for some $i$. In this paper, our main focus will be to bound the following numbers: $b(C_{2t_1},C_{2t_2})$ and $b(C_{2t_1},C_{2t_2},C_{2t_3})$ for all $t_i\ge 3,$$b(C_{2t_1},C_{2t_2},C_{2t_3},C_{2t_4})$ for $3\le t_i\le 9,$ and $b(C_{2t_1},C_{2t_2},C_{2t_3},C_{2t_4},C_{2t_5})$ for $3\le t_i\le 5.$ Furthermore, we will also show that these mentioned bounds are generally better than the bounds obtained by using the best known Zarankiewicz-type result.     

The Cauchy problem for the generalized Zakharov–Kuznetsov equation on modulation spaces

We consider the Cauchy problem for the generalized Zakharov–Kuznetsov equation ${?}_{t}u+{?}_{x_1}\mathrm{\Delta }u={?}_{x_1}(u^{m+1})$ on three and higher dimensions. We mainly study the local well-posedness and the small data global well-posedness in the modulation space $M_{2,1}^0({\mathbb{R}}^n)$ for $m\ge 4$ and $n\ge 3$. We also investigate the quartic case, i.e., $m=3$.     

Y spaces and global smooth solution of fractional Navier–Stokes equations with initial value in the critical oscillation spaces

For fractional Navier–Stokes equations and critical initial spaces X, one used to establish the well-posedness in the solution space which is contained in $C({\mathbb{R}}_{+},X)$. In this paper, for heat flow, we apply parameter Meyer wavelets to introduce Y spaces $Y^{m,\beta }$ where $Y^{m,\beta }$ is not contained in $C({\mathbb{R}}_{+},{\dot{B}}_{\infty }^{1?2\beta ,\infty })$. Consequently, for $\frac{1}{2}<\beta <1$, we establish the global well-posedness of fractional Navier–Stokes equations with small initial data in all the critical oscillation spaces. The critical oscillation spaces may be any Besov–Morrey spaces ${({\dot{B}}_{p,q}^{{\gamma }_1,{\gamma }_2}({\mathbb{R}}^n))}^n$ or any Triebel–Lizorkin–Morrey spaces ${({\dot{F}}_{p,q}^{{\gamma }_1,{\gamma }_2}({\mathbb{R}}^n))}^n$ where $1\le p,q\le \infty ,0\le {\gamma }_2\le \frac{n}{p},{\gamma }_1?{\gamma }_2=1?2\beta$. These critical spaces include many known spaces. For example, Besov spaces, Sobolev spaces, Bloch spaces, Q-spaces, Morrey spaces and Triebel–Lizorkin spaces etc.     

Lower bounds for moments of global scores of pairwise Markov chains

Let $X_1,\dots$ and $Y_1,\dots$ be random sequences taking values in a finite set $\mathbb{A}$. We consider a similarity score $L_n?L(X_1,\dots ,X_n;Y_1,\dots ,Y_n)$ that measures the homology of words $(X_1,\dots ,X_n)$ and $(Y_1,\dots ,Y_n)$. A typical example is the length of the longest common subsequence. We study the order of moment $E{|L_n?E{L}_n|}^r$ in the case where the two-dimensional process $(X_1,Y_1),(X_2,Y_2),\dots$ is a Markov chain on $\mathbb{A}\times \mathbb{A}$. This general model involves independent Markov chains, hidden Markov models, Markov switching models and many more. Our main result establishes a condition that guarantees that $E{|L_n?E{L}_n|}^r?n^{\frac{r}{2}}$. We also perform simulations indicating the validity of the condition.     

Existence and convexity of local solutions to degenerate Hessian equations

In this work, we prove the existence of convex solutions to the following k-Hessian equation

$S_k[u]=K(y)g(y,u,Du)$

in the neighborhood of a point $(y_0,u_0,p_0)\in {\mathbb{R}}^n\times \mathbb{R}\times {\mathbb{R}}^n$, where $g\in C^{\infty },g(y_0,u_0,p_0)>0$, $K\in C^{\infty }$ is nonnegative near $y_0$, $K(y_0)=0$ and $\text{Rank}(D_y^{2}K)(y_0)\ge n?k+1$.