Asymptotic analysis of the M/G/1 queue with a time‐dependent arrival rate

We consider the M/G/1 queue with an arrival rate λ that depends weakly upon time, as λ = λ(εt) where ε is a small parameter. In the asymptotic limit ε → 0, we construct approximations to the probability p _n(t)that η customers are present at time t. We show that the asymptotics are different for several ranges of the (slow) time scale Τ= εt. We employ singular perturbation techniques and relate the various time scales by asymptotic matching. This revised version was published online in June 2006 with corrections to the Cover Date.     

A limit problem in natural convection

We discuss a model limit problem which arises as a first step in the mathematical justification of our Boussinesq-type approximation [4], which takes into account dissipative heating in natural convection. We treat a simplified highly non linear system depending on a (perturbation) parameter ε. The main difficulty is that for ε ≠ 0 the velocity is not solenoidal. First we prove that our system has weak solutions for each fixed ε. Moreover, while the chosen perturbation parameter ε tends to zero we show, that we arrive at the usual incompressible case and the standard Boussinesq approximation.     

Spot Self-Replication and Dynamics for the Schnakenburg Model in a Two-Dimensional Domain

The dynamical behavior of multi-spot solutions in a two-dimensional domain Ω is analyzed for the two-component Schnakenburg reaction–diffusion model in the singularly perturbed limit of small diffusivity ε for one of the two components. In the limit ε→0, a quasi-equilibrium spot pattern in the region away from the spots is constructed by representing each localized spot as a logarithmic singularity of unknown strength S _j for j=1,…,K at unknown spot locations x _j ∈Ω for j=1,…,K. A formal asymptotic analysis, which has the effect of summing infinite logarithmic series in powers of −1/log ε, is then used to derive an ODE differential algebraic system (DAE) for the collective coordinates S _j and x _j for j=1,…,K, which characterizes the slow dynamics of a spot pattern. This DAE system involves the Neumann Green’s function for the Laplacian. By numerically examining the stability thresholds for a single spot solution, a specific criterion in terms of the source strengths S _j , for j=1,…,K, is then formulated to theoretically predict the initiation of a spot-splitting event. The analytical theory is illustrated for spot patterns in the unit disk and the unit square, and is compared with full numerical results computed directly from the Schnakenburg model.      

Homogenization of a model spectral problem for the Laplace operator in a domain with many closely located “ heavy” and “intermediate heavy” concentrated masses

We study the asymptotic behavior of eigenelements of boundary value problems in a domain Ω ⊂ ℝ^d, d ⩾ 3, with rapidly alternating type of boundary conditions. The density is equal to 1 outside tiny domains and is equal to ε^−m inside them, where ε is a small parameter. These domains (concentrated masses) of diameter εa are located on the boundary at a positive distance of order O(ε) from each other, where a = const. The Dirichlet boundary condition is on parts of ∂Ω that are tangent to concentrated masses, and the Neumann boundary condition is stated outside concentrated masses. We construct the limit (homogenized) operator, prove the convergence of eigenelements of the original problem to the eigenelements of the limit (homogenized) problem in the case m ⩾ 2, and estimate the difference between the eigenelements. Bibliography: 79 titles. Illustrations: 4 figures. __________ Translated from Problemy Matematicheskogo Analiza, No. 32, 2006, pp. 45–75.     

Asymptotic modelling of conductive thin sheets

We derive and analyse models which reduce conducting sheets of a small thickness ε in two dimensions to an interface and approximate their shielding behaviour by conditions on this interface. For this we consider a model problem with a conductivity scaled reciprocal to the thickness ε, which leads to a nontrivial limit solution for ε → 0. The functions of the expansion are defined hierarchically, i.e. order by order. Our analysis shows that for smooth sheets the models are well defined for any order and have optimal convergence meaning that the H ¹-modelling error for an expansion with N terms is bounded by O(ε ^N+1) in the exterior of the sheet and by O(ε ^N+1/2) in its interior. We explicitly specify the models of order zero, one and two. Numerical experiments for sheets with varying curvature validate the theoretical results.     

Homogenization of solutions to problems for the Laplace operator in unbounded domains with many concentrated masses on the boundary

A problem for the Laplace operator is considered in a three-dimensional unbounded domain with singular density. The density, depending on a small positive parameter ε, is equal to 1 outside small inclusions, and is equal to (δε)^−m in these inclusions. These domains, concentrated masses of diameter εδ, are located along the plane part of the boundary at the distance of order O(δ), where δ = δ(ε). The Dirichlet condition is imposed on the boundary parts tangent to the concentrated masses. We construct the limit (averaged) operator and study the asymptotic behavior of solutions to the original problem with m < 1. __________ Translated from Problemy Matematicheskogo Analiza, No. 33, 2006, pp. 103–111.     

Limit behavior of thin heterogeneous domain with rapidly oscillating boundary

Abstract We give a generalization of the work presented in [6] where the asymptotic behaviour, as ε→0, of a monotone nonlinear problem in a bounded multidomain of R^N depending on ε was addressed. We extend the previous results to the case where the nonlinear operator depends both on the slow and rapid variable and we prove that, due to the presence of the rapid variable, the algebraic equation contained in the limit problem obtained in [6] must be replaced by a partial differential equation with respect to the microscopic variable y′. Keywords: Homogenization, Dimension reduction, Multidomain, Rapid variable, Limit problem Mathematics Subject Classification (2000): 35B27, 35J60     

Diffusive scaling of the spectral gap for the dilute Ising lattice-gas dynamics below the percolation threshold

We consider a conservative stochastic lattice-gas dynamics reversible with respect to the canonical Gibbs measure of the bond dilute Ising model on ℤ ^d at inverse temperature β. When the bond dilution density p is below the percolation threshold we prove that for any particle density and any β, with probability one, the spectral gap of the generator of the dyamics in a box of side L centered at the origin scales like L ⁻². Such an estimate is then used to prove a decay to equilibrium for local functions of the form where ε is positive and arbitrarily small and α = ? for d = 1, α=1 for d≥2. In particular our result shows that, contrary to what happes for the Glauber dynamics, there is no dynamical phase transition when β crosses the critical value β _c of the pure system. Received: 10 April 2000 / Revised version: 23 October 2000 / Published online: 5 June 2001     

Value and perfection in stochastic games

A stochastic game isvalued if for every playerk there is a functionr ^k:S→R from the state spaceS to the real numbers such that for every ε>0 there is an ε equilibrium such that with probability at least 1−ε no states is reached where the future expected payoff for any playerk differs fromr ^k(s) by more than ε. We call a stochastic gamenormal if the state space is at most countable, there are finitely many players, at every state every player has only finitely many actions, and the payoffs are uniformly bounded and Borel measurable as functions on the histories of play. We demonstrate an example of a recursive two-person non-zero-sum normal stochastic game with only three non-absorbing states and limit average payoffs that is not valued (but does have ε equilibria for every positive ε). In this respect two-person non-zero-sum stochastic games are very different from their zero-sum varieties. N. Vieille proved that all such non-zero-sum games with finitely many states have an ε equilibrium for every positive ε, and our example shows that any proof of this result must be qualitatively different from the existence proofs for zero-sum games. To show that our example is not valued we need that the existence of ε equilibria for all positive ε implies a “perfection” property. Should there exist a normal stochastic game without an ε equilibrium for some ε>0, this perfection property may be useful for demonstrating this fact. Furthermore, our example sews some doubt concerning the existence of ε equilibria for two-person non-zero-sum recursive normal stochastic games with countably many states. This research was supported financially by the German Science Foundation (Deutsche Forschungsgemeinschaft) and the Center for High Performance Computing (Technical University, Dresden). The author thanks Ulrich Krengel and Heinrich Hering for their support of his habilitation at the University of Goettingen, of which this paper is a part.     

Correlated equilibrium payoffs and public signalling in absorbing games

An absorbing game is a repeated game where some action combinations are absorbing, in the sense that whenever they are played, there is a positive probability that the game terminates, and the players receive some terminal payoff at every future stage.  We prove that every multi-player absorbing game admits a correlated equilibrium payoff. In other words, for every ε>0 there exists a probability distribution p _ε over the space of pure strategy profiles that satisfies the following. With probability at least 1−ε, if a pure strategy profile is chosen according to p _ε and each player is informed of his pure strategy, no player can profit more than ε in any sufficiently long game by deviating from the recommended strategy. Received: April 2001/Revised: June 4, 2002     

Stabilized Asymptotics of solutions to reaction-diffusion systems with a small parameter

For solutions of reaction-diffusion systems under Dirichlet or Neumann boundary conditions, having a small parameter ε as a coefficient to the time derivative of the first component, the principal term of the asymptotics with respect to ε is found for all t>0. This principal term is a solution of the system, obtained as a limit for ε=0, and has a finite number of discontinuities; the continuous parts, beginning from the second, are situated on finite-dimensional unstable manifolds passing through stationary points of the limit system. Bibliography: 4 titles. Translated from Trudy Seminara imeni I. G. Petrovskogo, No. 17, pp. 128–152, 1994.     

State classification for a class of measure-valued branching diffusions in a Brownian medium

Summary. The spatial structure of a new class of measure-valued diffusions which arise as limits in distribution of a sequence of interacting branching particle systems is investigated. We obtain the following criterion of state classification for these superprocesses: their effective state space is contained in the set of purely atomic measures or the set of absolutely continuous measures according as ε=0 or ε≠0, when the coefficient of the motion generator is a smooth function. Received: 15 December 1995 / In revised form: 24 March 1997     

Weyl Laws for Partially Open Quantum Maps

We study a toy model for “partially open” wave-mechanical system, like for instance a dielectric micro-cavity, in the semiclassical limit where ray dynamics is applicable. Our model is a quantized map on the 2-dimensional torus, with an additional damping at each time step, resulting in a subunitary propagator, or “damped quantum map”. We obtain analogues of Weyl’s laws for such maps in the semiclassical limit, and draw some more precise estimates when the classical dynamics is chaotic. Submitted: October 16, 2008. Accepted: April 3, 2009.     

Statistical theory for fast particle channeling based on the local boltzmann equation. Correlation matrix of interactions and diffusion function of particles

The kinetic theory of motion for fast particles in a crystal is elaborated, based on the Bogoliubov chain of equations. A local kinetic equation is derived for the one-particle distribution function in conditions of particle interaction with thermal lattice oscillations and valence electrons. A characteristic of the particle subsystem in the de-channeling problem—the diffusion function B(ε_⊥) in the space of transverse energies—is determined, accounting for the explicit form of the collision term in the kinetic equation. It is found that the functional relationship described by B(ε_⊥) has different forms in the three variation intervals of ε_⊥ that are related to channeling, quasichanneling, and chaotic particle motion. Furthermore, it is shown that the diffusion function has a singularity for the value of the transverse energy equal to the potential barrier of the channel. Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 111, No. 3, pp. 483–496, June, 1997.     

Homogenization of a parabolic signorini boundary value problem in a thick plane junction

We consider a parabolic Signorini boundary value problem in a thick plane junction Ω _ε which is the union of a domain Ω₀ and a large number of ε−periodically situated thin rods. The Signorini conditions are given on the vertical sides of the thin rods. The asymptotic analysis of this problem is done as ε → 0, i.e., when the number of the thin rods infinitely increases and their thickness tends to zero. With the help of the integral identity method we prove a convergence theorem and show that the Signorini conditions are transformed (as ε → 0) in differential inequalities in the region that is filled up by the thin rods in the limit passage. Bibliography: 31 titles. Illustrations: 1 figure.     

A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling

Let (X(t)) be a risk process with reserve-dependent premium rate, delayed claims and initial capital u. Consider a class of risk processes {(X ^ε (t)): ε > 0} derived from (X(t)) via scaling in a slow Markov walk sense, and let Ψ_ε(u) be the corresponding ruin probability. In this paper we prove sample path large deviations for (X ε (t)) as ε → 0. As a consequence, we give exact asymptotics for log Ψ_ε(u) and we determine a most likely path leading to ruin. Finally, using importance sampling, we find an asymptotically efficient law for the simulation of Ψ_ε(u). AMS Subject Classifications 60F10, 91B30 This work has been partially supported by Murst Project “Metodi Stocastici in Finanza Matematica”     

Singular Perturbation for the Discounted Continuous Control of Piecewise Deterministic Markov Processes

This paper deals with the expected discounted continuous control of piecewise deterministic Markov processes (PDMP’s) using a singular perturbation approach for dealing with rapidly oscillating parameters. The state space of the PDMP is written as the product of a finite set and a subset of the Euclidean space ℝ ⁿ . The discrete part of the state, called the regime, characterizes the mode of operation of the physical system under consideration, and is supposed to have a fast (associated to a small parameter ε>0) and a slow behavior. By using a similar approach as developed in Yin and Zhang (Continuous-Time Markov Chains and Applications: A Singular Perturbation Approach, Applications of Mathematics, vol. 37, Springer, New York, 1998, Chaps. 1 and 3) the idea in this paper is to reduce the number of regimes by considering an averaged model in which the regimes within the same class are aggregated through the quasi-stationary distribution so that the different states in this class are replaced by a single one. The main goal is to show that the value function of the control problem for the system driven by the perturbed Markov chain converges to the value function of this limit control problem as ε goes to zero. This convergence is obtained by, roughly speaking, showing that the infimum and supremum limits of the value functions satisfy two optimality inequalities as ε goes to zero. This enables us to show the result by invoking a uniqueness argument, without needing any kind of Lipschitz continuity condition.     

Null-controllability of a Hyperbolic Equation as?Singular Limit of Parabolic Ones

This article considers a hyperbolic equation perturbed by a vanishing viscosity term depending on a small parameter ε>0. We show that the resulting parabolic equation is null-controllable. Moreover, we provide uniform estimates, with respect to ε, for the parabolic controls and we prove their convergence to a control of the limit hyperbolic equation. The method we use is based on Fourier expansion of solutions and the analysis of a biorthogonal sequence to a family of complex exponential functions.     

Scaling Methods and Approximative Equations for Homogeneous Reaction—Diffusion Systems and Applications to Epidemics

Summary. We consider a reaction-diffusion equation that is homogeneous of degree one. This homogeneity is a symmetry. The dynamics is factorized into trivial evolution due to symmetry and nontrivial behavior by a projection to an appropriate hypermanifold. The resulting evolution equations are rather complex. We examine the bifurcation behavior of a stationary point of the projected system. For these purposes we develop techniques for dimension reduction similar to the Ginzburg-Landau (GL) approximation, the modulation equations. Since we are not in the classical GL situation, the remaining approximative equations have a quadratic nonlinearity and the amplitude does not scale with ε but with ε ² where ε ² denotes the bifurcation parameter. Moreover, the symmetry requires that not only one but two equations are necessary to describe the behavior of the system. We investigate traveling fronts for the modulation equations. This result is used to analyze an epidemic model. Received April 9, 1996; second revision received January 3, 1997; final revision received October 7, 1997; accepted January 19, 1998