Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant

Summary This work is concerned with the existence and uniqueness of a class of semimartingale reflecting Brownian motions which live in the non-negative orthant of ^d . Loosely speaking, such a process has a semimartingale decomposition such that in the interior of the orthant the process behaves like a Brownian motion with a constant drift and covariance matrix, and at each of the (d-1)-dimensional faces that form the boundary of the orthant, the bounded variation part of the process increases in a given direction (constant for any particular face) so as to confine the process to the orthant. For historical reasons, this pushing at the boundary is called instantaneous reflection. In 1988, Reiman and Williams proved that a necessary condition for the existence of such a semimartingale reflecting Brownian motion (SRBM) is that the reflection matrix formed by the directions of reflection be completely-L. In this work we prove that condition is sufficient for the existence of an SRBM and that the SRBM is unique in law. It follows from the uniqueness that an SRBM defines a strong Markov process. Our results have potential application to the study of diffusions arising as approximations tomulti-class queueing networks.Research supported in part by NSF Grants DMS 8657483, 8722351 and 9023335, and a grant from AT&T Bell Labs. In addition, R.J. Williams was supported in part during the period of this research by an Alfred P. Sloan Research Fellowship     

Stochastic flows on the boundaries of SL(n,R)

Summary We study the asymptotic stability of the stochastic flows on a class of compact spaces induced by a diffusion process in SL(n, R) or GL(n, R). These compact spaces are called boundaries of SL(n, R), which include SO(n), the flag manifold, the sphereS ⁿ–1 and the Grassmannians. The one point motions of these flows are Brownian motions. For almost every, , we determine the set of stable points. This is a random open set whose complement has zero Lebesgue measure. The distance between any two points in the same component of this set tends to zero exponentially fast under the flow. The Lyapunov exponents at stable points are computed explicitly. We apply our results to a stochastic flow onS ⁿ–2 generated by a stochastic differential equation which exhibits some nice symmetry.Research supported in part by Hou Yin Dong Education Foundation of China On leave from Nankai University, Tianjin, China     

Alternating iteration and elliptic variational inequalities

Summary Free boundary value problems, too complicated for formulation as a variational inequality, are broken up into two problems on overlapping regions. On one region the problem is treated as an ordinary boundary value problem; on the second region, the free boundary part of the problem is reduced to a variational inequality. By solving the two problems successively it is shown that under certain conditions the successive solutions converge to a single function that gives a solution of the original problem. Application to a filtration problem is given.     

Calculs de complexité relatifs à une méthode de dissection emboîtée

Résumé Nous présentons une numérotation de type Nested Dissection des inconnues d'un système linéaireAX=B pour des ensembles de matricescreuses symétriques définies positives correspondant à des famille de graphes non orientés,à degré borné, et admettant un -thérème de séparation. Comparativement aux méthodes et résultats de Rose [9], l'algorithme présenté est plus simple, mais les théorèmes de complexité moins généraux, en raison de l'hypothèse restrictive de degré borné. En outre, les démonstrations font appel en permanence à la structure d'arbre sur la famille des séparateurs qui constitue, par ailleurs, une partition de l'ensemble des sommets du graphe initial. Nous présentons ensuite le schéma général d'implémentation dans le cadre du code d'éléments finis MODULEF pourdes problèmes plans d'éléments finis, et nous donnons quelques mesures comparatives avec la numérotation plus classique qui tend à minimiser le profil de la matrice.

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Complexity bounds for a nested dissection method

Summary A nested dissection ordering is given for solving any system of linear equationsAX=B, for the family ofsparse symmetric positive definite matrices corresponding to the class of undirected graphs withbounded degree, and satisfyinga -separator theorem. If we compare the methods and results presented by Rose [9], our algorithm is more simple, but the complexity results are less general because of the restriction of bounded degree. Besides, our proofs use continually the arborescent structure on the family of separators, which is, by another way, a partition of the set of vertices for the initial graph. Then, the general implementation scheme in the finite element package MODULEF, fortwo-dimensional finite element problems, is presented, and numerical comparisons between our ordering and the standard envelope method are given.

     

Two families of mixed finite elements for second order elliptic problems

Summary Two families of mixed finite elements, one based on triangles and the other on rectangles, are introduced as alternatives to the usual Raviart-Thomas-Nedelec spaces. Error estimates inL ² () andH ^–5 () are derived for these elements. A hybrid version of the mixed method is also considered, and some superconvergence phenomena are discussed.     

Is Gauss quadrature optimal for analytic functions?

Summary We consider the problem of optimal quadratures for integrandsf: [–1,1] which have an analytic extension to an open diskD _r of radiusr about the origin such that 1 on . Ifr=1, we show that the penalty for sampling the integrand at zeros of the Legendre polynomial of degreen rather than at optimal points, tends to infinity withn. In particular there is an infinite penalty for using Gauss quadrature. On the other hand, ifr>1, Gauss quadrature is almost optimal. These results hold for both the worst-case and asymptotic settings.This research was supported in part by the National Science Foundation under Grants MCS-8203271 and MCS-8303111This research was supported in part by the National Science Foundation under Grant MCS-8923676     

The convergence of spline collocation for strongly elliptic equations on curves

Summary Most boundary element methods for two-dimensional boundary value problems are based on point collocation on the boundary and the use of splines as trial functions. Here we present a unified asymptotic error analysis for even as well as for odd degree splines subordinate to uniform or smoothly graded meshes and prove asymptotic convergence of optimal order. The equations are collocated at the breakpoints for odd degree and the internodal midpoints for even degree splines. The crucial assumption for the generalized boundary integral and integro-differential operators is strong ellipticity. Our analysis is based on simple Fourier expansions. In particular, we extend results by J. Saranen and W.L. Wendland from constant to variable coefficient equations. Our results include the first convergence proof of midpoint collocation with piecewise constant functions, i.e., the panel method for solving systems of Cauchy singular integral equations.Dedicated to Prof. Dr. Dr. h.c. mult. Lothar Collatz on the occasion of his 75th birthdayThis work was begun at the Technische Hochschule Darmstadt where Professor Arnold was supported by a North Atlantic Treaty Organization Postdoctoral Fellowship. The work of Professor Arnold is supported by NSF grant BMS-8313247. The work of Professor Wendland was supported by the Stiftung Volkswagenwerk     

A three-dimensional quadratic nonconforming element

Summary We define a second-degree nonconforming element on tetrahedra. We build a basis for the opproximation space derived from this element. We prove a discrete regularity property similar to the one that holds for the corresponding two-dimensional element.This work was partly supported by NSERC and by the Ministère de l'Education du Québec     

Concerted cycloaddition of chlorosulfonyl isocyanate to α-pinene stepwise rearrangement of the β-lactam cycloadduct to a γ-lactam

Chlorosulfonyl isocyanate adds to α-pinene in concerted fashion to give the unrearranged N-chlorosulfonyl-β-lactam 2 (75%). Thermolysis of cycloadduct 2 affords the rearranged N-chlorosulfonyl-γ-lactam 6 (60%) via a sequence of transient carbonium ions (45). Reductive hydrolysis of 2 and 6 gave, respectively, the NH-β-lactam 3 (70%) and the NH-γ-lactam 7 (70%). Proof of structure of the rearranged γ-lactams 6 and 7 are provided, respectively, by X-ray crystallographic analysis and the application of the Eu(dpm)₃ NMR shift reagent.     

Solution manifolds and submanifolds of parametrized equations and their discretization errors

Summary The paper concerns solution manifolds of nonlinear parameterdependent equations (1)F(u, )=y₀ involving a Fredholm operatorF between (infinite-dimensional) Banach spacesX=Z× andY, and a finitedimensional parameter space . Differntial-geometric ideas are used to discuss the connection between augmented equations and certain onedimensional submanifolds produced by numerical path-tracing procedures. Then, for arbitrary (finite) dimension of , estimates of the error between the solution manifold of (1) and its discretizations are developed. These estimates are shown to be applicable to rather general nonlinear boundaryvalue problems for partial differential equations.This work was in part supported by the U.S. Air Force Office of Scientific Research under Grant 80-0176, the National Science Foundation under Grant MCS-78-05299, and the Office of Naval Research under Contract N-00014-80-C-0455