Smoothing Properties and Approximation of Time Derivatives for Parabolic Equations: Variable Time Steps

We study smoothing properties and approximation of time derivatives for time discretization schemes with variable time steps for a homogeneous parabolic problem formulated as an abstract initial value problem in a Banach space. The time stepping methods are based on using rational approximations to the exponential function which are A()-stable for suitable (0,/2] with unit bounded maximum norm. First- and second-order approximations of time derivatives based on using difference quotients are considered. Smoothing properties are derived and error estimates are established under the so-called increasing quasi-quasiuniform assumption on the time steps.     

Skorokhod decomposition of reflected diffusions on bounded Lipschitz domains with singular non-reflection part

Let be a compact set with interior G. Let L ¹ (G,dx), >0 dx-a.e. on G, and m:=dx. Let A=(a _ij ) be symmetric, and globally uniformly strictly elliptic on G. Let be such that ; f, , is closable in L ² (G,m) with closure ( ^r ,D( ^r )). The latter is fulfilled if satisfies the Hamza type condition, or _i L ¹ _loc (G,dx), 1id. Conservative, non-symmetric diffusion processes X _t related to the extension of a generalized Dirichlet form where satisfies are constructed and analyzed. If G is a bounded Lipschitz domain, H ^1,1 (G), and a _ij D( ^r ), a Skorokhod decomposition for X _t is given. This happens through a local time that is uniquely associated to the smooth measure 1_{{ Tr ()>0}} d, where Tr denotes the trace and the surface measure on G.This research has been financially supported by TMR grant HPMF-CT-2000-00942 of the European Union. Mathematics Subject Classification (2000): 60J60, 60J55, 31C15, 31C25, 35J25     

On Uniform Laws of Large Numbers for Ergodic Diffusions and Consistency of Estimators

Consider a regular diffusion process X with finite speed measure m. Denote the normalized speed measure by μ. We prove that the uniform law of large numbers holds if the class has an envelope function that is μ-integrable, or if is bounded in L _p(μ) for some p>1. In contrast with uniform laws of large numbers for i.i.d. random variables, we do not need conditions on the ‘size’ of the class in terms of bracketing or covering numbers. The result is a consequence of a number of asymptotic properties of diffusion local time that we derive. We apply our abstract results to improve consistency results for the local time estimator (LTE) and to prove consistency for a class of simple M-estimators. This revised version was published online in June 2006 with corrections to the Cover Date.     

When the “Bull” Meets the “Bear”—A First Passage Time Problem for a Hidden Markov Process

Let _t be a continuous Markov chain on N states. Consider adjoining a Brownian motion with this Markov chain so that the drift and the variance take different values when _t is in different states. This new process Z_t is a hidden Markov process. We study the probability distribution of the first passage time for Z_t.Our result, when applied to the stock market, provides an explicit mathematical interpretation of the fact that in finite time, there is positive probability for the bull (bear) market to become bear (bull).     

The Transit Time Effect of a Modulated Electron Beam

Energy change of an electron beam is studied numerically when it transits a rf field gap of width L. For a premodulated beam, the transit time L/0> for maximum energy extraction is shortened to 0.475 T (T=2/, 0> is the average velocity of the electrons) when the modulation frequency _m is matched to the rf field frequency . Enhancement of the extraction efficiency _o is dependent on the modulation coefficient h₁ and h₂. For a uniform beam with V=500 kV, _o is less than 2%. _o reaches 11% for a prebunched beam with h₁=0.7 and h₂=0.1 and will surpass 20% for an ideally modulated beam.     

Remarks on Estimation Problem for Stationary Processes in Continuous Time

The problem of estimating of the law (in the space of the paths) and the common marginal distribution for a strictly stationary ergodic process X is discussed. We show, in particular, that:(1) The empirical measure