The reversibility and an SPDE for the generalized Fleming–Viot processes with mutation

The (Ξ,A)$(\Xi ,A)$-Fleming–Viot process with mutation is a probability-measure-valued process whose moment dual is similar to that of the classical Fleming–Viot process except that Kingman’s coalescent is replaced by the Ξ$\Xi$-coalescent, the coalescent with simultaneous multiple collisions. We first prove the existence of such a process for general mutation generator A$A$. We then investigate its reversibility. We also study both the weak and strong uniqueness of the solution to the associated stochastic partial differential equation.     

Oscillation of harmonic functions for subordinate Brownian motion and its applications

In this paper, we establish an oscillation estimate of nonnegative harmonic functions for a pure-jump subordinate Brownian motion. The infinitesimal generator of such subordinate Brownian motion is an integro-differential operator. As an application, we give a probabilistic proof of the following form of relative Fatou theorem for such subordinate Brownian motion X$X$ in a bounded κ$\kappa$-fat open set; if u$u$ is a positive harmonic function with respect to X$X$ in a bounded κ$\kappa$-fat open set D$D$ and h$h$ is a positive harmonic function in D$D$ vanishing on D^c$D^c$, then the non-tangential limit of u/h$u/h$ exists almost everywhere with respect to the Martin-representing measure of h$h$.     

Weak convergence of censored and reflected stable processes

It is shown that if a sequence of open n$n$-sets _Dk$D_k$ increases to an open n$n$-set D$D$ then reflected stable processes in _Dk$D_k$ converge weakly to the reflected stable process in D$D$ for every starting point x$x$ in D$D$. The same result holds for censored α$\alpha$-stable processes for every x$x$ in D$D$ if D$D$ and _Dk$D_k$ satisfy the uniform Hardy inequality. Using the method in the proof of the above results, we also prove the weak convergence of reflected Brownian motions in unbounded domains.     

Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation

We develop a notion of nonlinear expectation–G$G$-expectation–generated by a nonlinear heat equation with infinitesimal generator G$G$. We first study multi-dimensional G$G$-normal distributions. With this nonlinear distribution we can introduce our G$G$-expectation under which the canonical process is a multi-dimensional G$G$-Brownian motion. We then establish the related stochastic calculus, especially stochastic integrals of Itô’s type with respect to our G$G$-Brownian motion, and derive the related Itô’s formula. We have also obtained the existence and uniqueness of stochastic differential equations under our G$G$-expectation.     

Backward stochastic differential equations associated to jump Markov processes and applications

In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure associated to a given pure jump Markov process X$X$ on a general state space K$K$. We apply these results to prove well-posedness of a class of nonlinear parabolic differential equations on K$K$, that generalize the Kolmogorov equation of X$X$. Finally we formulate and solve optimal control problems for Markov jump processes, relating the value function and the optimal control law to an appropriate BSDE that also allows to construct probabilistically the unique solution to the Hamilton–Jacobi–Bellman equation and to identify it with the value function.     

A short proof of the Doob–Meyer theorem

Every submartingale S$S$ of class D$D$ has a unique Doob–Meyer decomposition S=M+A$S=M+A$, where M$M$ is a martingale and A$A$ is a predictable increasing process starting at 0.     

On prime ideals and radicals of polynomial rings and graded rings

We extend some known results on radicals and prime ideals from polynomial rings and Laurent polynomial rings to Z$\mathbb{Z}$-graded rings, i.e, rings graded by the additive group of integers. The main of them concerns the Brown–McCoy radical G$G$ and the radical S$S$, which for a given ring A$A$ is defined as the intersection of prime ideals I$I$ of A$A$ such that A/I$A/I$ is a ring with a large center. The studies are related to some open problems on the radicals G$G$ and S$S$ of polynomial rings and situated in the context of Koethe’s problem.     

On the length of an external branch in the Beta-coalescent

In this paper, we consider Beta(2−α,α)$(2-\alpha ,\alpha )$ (with 1<α<2$1<\alpha <2$) and related Λ$\Lambda$-coalescents. If T⁽ⁿ⁾$T^{\left(n\right)}$ denotes the length of a randomly chosen external branch of the n$n$-coalescent, we prove the convergence of n^α−1T⁽ⁿ⁾$n^{\alpha -1}{T}^{\left(n\right)}$ when n$n$ tends to ∞$\infty$, and give the limit. To this aim, we give asymptotics for the number σ⁽ⁿ⁾${\sigma }^{\left(n\right)}$ of collisions which occur in the n$n$-coalescent until the end of the chosen external branch, and for the block counting process associated with the n$n$-coalescent.     

A boundary blow-up elliptic problem with an inhomogeneous term

By a perturbation method and constructing comparison functions, we reveal how the inhomogeneous term h$h$ affects the exact asymptotic behaviour of solutions near the boundary to the problem △u=b(x)g(u)+λh(x)$△u=b\left(x\right)g\left(u\right)+\lambda h\left(x\right)$, u>0$u>0$ in Ω$\Omega$, u_|∂Ω=∞$u{|}_{\partial \Omega }=\infty$, where Ω$\Omega$ is a bounded domain with smooth boundary in R^N${\mathbb{R}}^N$, λ>0$\lambda >0$, g∈C¹[0,∞)$g\in C^1[0,\infty )$ is increasing on [0,∞)$[0,\infty )$, g(0)=0$g\left(0\right)=0$, g^′$g^{\prime }$ is regularly varying at infinity with positive index ρ$\rho$, the weight b$b$, which is non-trivial and non-negative in Ω$\Omega$, may be vanishing on the boundary, and the inhomogeneous term h$h$ is non-negative in Ω$\Omega$ and may be singular on the boundary.     

Asymptotic results for the two-parameter Poisson–Dirichlet distribution

The two-parameter Poisson–Dirichlet distribution is the law of a sequence of decreasing nonnegative random variables with total sum one. It can be constructed from stable and gamma subordinators with the two parameters, α$\alpha$ and θ$\theta$, corresponding to the stable component and the gamma component respectively. The moderate deviation principle is established for the distribution when θ$\theta$ approaches infinity, and the large deviation principle is established when both α$\alpha$ and θ$\theta$ approach zero.     

Breaking the chain

We consider the motion of a Brownian particle in R$\mathbb{R}$, moving between a particle fixed at the origin and another moving deterministically away at slow speed ε>0$\epsilon >0$. The middle particle interacts with its neighbours via a potential of finite range b>0$b>0$, with a unique minimum at a>0$a>0$, where b<2a$b<2a$. We say that the chain of particles breaks on the left- or right-hand side when the middle particle is at a distance greater than b$b$ from its left or right neighbour, respectively. We study the asymptotic location of the first break of the chain in the limit of small noise, in the case where ε=ε(σ)$\epsilon =\epsilon \left(\sigma \right)$ and σ>0$\sigma >0$ is the noise intensity.     

Monotonicity of the reflected Bessel transition density on the diagonal

For α∈R$\alpha \in \mathbb{R}$, let p^R(t,x,x)$p^R(t,x,x)$ denote the diagonal of the transition density of the α$\alpha$-Bessel process in (0,1]$(0,1]$, killed at 0 and reflected at 1. As a function of x$x$, if either α≥3$\alpha \ge 3$ or α=1$\alpha =1$, then for t>0$t>0$, the diagonal is nondecreasing. This monotonicity property fails if 1≠α<3$1\ne \alpha <3$.     

Approximate martingale estimating functions for stochastic differential equations with small noises

An approximate martingale estimating function with an eigenfunction is proposed for an estimation problem about an unknown drift parameter for a one-dimensional diffusion process with small perturbed parameter ε$\epsilon$ from discrete time observations at n$n$ regularly spaced time points k/n$k/n$, k=0,1,…,n$k=0,1,\dots ,n$. We show asymptotic efficiency of an M$M$-estimator derived from the approximate martingale estimating function as ε→0$\epsilon \to 0$ and n→∞$n\to \infty$ simultaneously.     

The Quicksort process

Quicksort on the fly returns the input of n$n$ reals in increasing natural order during the sorting process. Correctly normalized the running time up to returning the l$l$-th smallest out of n$n$ seen as a process in l$l$ converges weakly to a limiting process with path in the space of cadlag functions.     

Strongly quasi-Hamiltonian-connected semicomplete multipartite digraphs

A semicomplete multipartite or semicomplete c$c$-partite digraph D$D$ is a biorientation of a c$c$-partite graph. A semicomplete multipartite digraph D$D$ is called strongly quasi-Hamiltonian-connected, if for any two distinct vertices x$x$ and y$y$ of D$D$, there is a path P$P$ from x$x$ to y$y$ such that P$P$ contains at least one vertex from each partite set of D$D$.