New efficient numerical procedures for solving stochastic variational problems with a priori maximum pointwise error estimates

In a previous paper we gave a new formulation and derived the Euler equations and other necessary conditions to solve strong, pathwise, stochastic variational problems with trajectories driven by Brownian motion. Thus, unlike current methods which minimize the control over deterministic functionals (the expected value), we find the control which gives the critical point solution of random functionals of a Brownian path and then, if we choose, find the expected value.This increase in information is balanced by the fact that our methods are anticipative while current methods are not. However, our methods are more directly connected to the theory and meaningful examples of deterministic variational theory and provide better means of solution for free and constrained problems. In addition, examples indicate that there are methods to obtain nonanticipative solutions from our equations although the anticipative optimal cost function has smaller expected value.In this paper we give new, efficient numerical methods to find the solution of these problems in the quadratic case. Of interest is that our numerical solution has a maximal, a priori, pointwise error of O(h3/2) where h is the node size. We believe our results are unique for any theory of stochastic control and that our methods of proof involve new and sophisticated ideas for strong solutions which extend previous deterministic results by the first author where the error was O(h²).We note that, although our solutions are given in terms of stochastic differential equations, we are not using the now standard numerical methods for stochastic differential equations. Instead we find an approximation to the critical point solution of the variational problem using relations derived from setting to zero the directional derivative of the cost functional in the direction of simple test functions.Our results are even more significant than they first appear because we can reformulate stochastic control problems or constrained calculus of variations problems in the unconstrained, stochastic calculus of variations formulation of this paper. This will allow us to find efficient and accurate numerical solutions for general constrained, stochastic optimization problems. This is not yet being done, even in the deterministic case, except by the first author.     

The Laplace transform on time scales revisited

In this work, we reexamine the time scale Laplace transform as defined by Bohner and Peterson [M. Bohner, A. Peterson, Dynamic Equations on Time Scales: An Introduction with Applications, Birkhäuser, Boston, 2001; M. Bohner, A. Peterson, Laplace transform and Z-transform: Unification and extension, Methods Appl. Anal. 9 (1) (2002) 155-162]. In particular, we give conditions on the class of functions which have a transform, develop an inversion formula for the transform, and further, we provide a convolution for the transform. The notion of convolution leads to considering its algebraic structure—in particular the existence of an identity element—motivating the development of the Dirac delta functional on time scales. Applications and examples of these concepts are given.     

The probability of generating a soluble subgroup of a finite group

It is proved that for finite groups G, the probability thattwo randomly chosen elements of G generate a soluble subgrouptends to zero as the index of the largest soluble normal subgroupof G tends to infinity.     

Is life improbable?

E. P. Wigner's argument that the probability of the existence of self-reproducing units, e.g., organisms, is zero according to standard quantum theory is stated and analyzed. Theorems are presented which indicate that Wigner's mathematical result in fact should not be interpreted as asserting the improbability of self-reproducing units.     

Infinite products for power series

An algorithm is introduced and shown to lead to a unique infinite product representation for a given formal power series A(z) with A(0) = 1. The infinite product is , where all b_n ≠ 0, r_n , and r_n+1 > r_n. The degree of approximation by the polynomial (1 + b₁z^r₁) · · · (1 + b_nz^r_n) is also considered.     

A C-symplectic free -manifold with contractible orbits and

An interesting question in symplectic geometry concerns whether or not a closed symplectic manifold can have a free symplectic circle action with orbits contractible in the manifold. Here we present a c-symplectic example, thus showing that the problem is truly geometric as opposed to topological. Furthermore, we see that our example is the only known example of a c-symplectic manifold having non-trivial fundamental group and Lusternik-Schnirelmann category precisely half its dimension.