Reflected Brownian motion in a cone: Semimartingale property

Summary In this paper, the object of study is reflected Brownian motion in a cone ind-dimensions (d3) with nonconstant oblique reflection on each radial line emanating from the vertex of the cone. The basic question considered here is When is this process a semimartingale?. Conditions for the existence and uniqueness of the process for which the vertex is an instantaneous state were given by Kwon, which is resolved in terms of a real parameter depending on the cone and the direction of reflection. It is shown that starting from any point of the cone, the process is a semimartingale if < 1, + 0 and not a semimartingale if < < 2.This research is supported by KOSEF grant 941-0100-011-1     

The cohomology of invariant variational bicomplexes

Let: E M be a fiber bundle and let be an infinitesimal Lie transformation group acting onE. We announce various new results concerning the cohomology of the invariant variational bicomplex ( ^*,* (J(E)), d_H, d_V) and the associated invariant Euler-Lagrange complex. As one application of our general theory, we completely solve the local invariant inverse problem of the calculus of variations for finite-dimensional infinitesimal Lie transformation groups.     

Spencer cohomologies and symmetry groups

We propose the construction of a spectral sequence converging to Spencer cohomologies. By using symmetry groups of differential equations systems, we manage to unify computations by reduction to the invariant systems over a homogeneous space. The conditions of coincidence of Spencer cohomologies with the cohomologies of an invariant Spencer complex we obtain from the arithmetic of a -characteristic manifold with respect to fundamental weights of the homogeneous space.     

Large deviations for martingales with some applications

Let(X _i ) be a martingale difference sequence. LetY be a standard normal random variable. We investigate the rate of uniform convergence

Right distributive quasigroups on algebraic varieties

In this paper we develop a structure theory of algebraic right distributive quasigroups which correspond to closed and connected conjugacy classes generating algebraic Fischer groups (in the sense of [6]) such that the mappingx x ^–1 ax, fora , is an automorphism of (as variety). We also give examples of algebraic Fischer groups where this does not happen. It becomes clear that the class of algebraic right distributive quasigroups has nice properties concerning subquasigroups, normal subquasigroups and direct product.We give a complete classification of one- and two-dimensional as well as of minimal algebraic right distributive quasigroups.     

Dimension and entropy of a non-ergodic Markovian process and its relation to Rademacher Riesz Products

Given a Markov chain (not necessarily stationary or homogeneous) with finite state space and an initial distribution, we can construct a measure on the unit interval [0, 1]. In this work we examine the equality (up to a constant) of the Hausdorff dimension of and of a suitably defined entropy for the Markovian process. The results are applied to the so-called Rademacher-Riesz Products.     

Rates of convergence and optimal spectral bandwidth for long range dependence

Summary For a realization of lengthn from a covariance stationary discrete time process with spectral density which behaves like ^1–2H as 0+ for 1/2<H<1 (apart from a slowly varying factor which may be of unknown form), we consider a discrete average of the periodogram across the frequencies 2j/n,j=1,..., m, wherem andm/n0 asn. We study the rate of convergence of an analogue of the mean squared error of smooth spectral density estimates, and deduce an optimal choice ofm.     

Minimax risk overl p -balls forl p -error

Summary Consider estimating the mean vector from dataN _n (, ² I) withl _q norm loss,q1, when is known to lie in ann-dimensionall _p ball,p(0, ). For largen, the ratio of minimaxlinear risk to minimax risk can bearbitrarily large ifp. Obvious exceptions aside, the limiting ratio equals 1 only ifp=q=2. Our arguments are mostly indirect, involving a reduction to a univariate Bayes minimax problem. Whenp, simple non-linear co-ordinatewise threshold rules are asymptotically minimax at small signal-to-noise ratios, and within a bounded factor of asymptotic minimaxity in general. We also give asymptotic evaluations of the minimax linear risk. Our results are basic to a theory of estimation in Besov spaces using wavelet bases (to appear elsewhere).     

On Toeplitz type quadratic functionals of stationary Gaussian processes

Summary A central limit theorem for Toeplitz type quadratic functionals of a stationary Gaussian processX(t),t, is proved, generalizing the result of Avram [1] for discrete time processes. The result is applied to the problem of nonparametric estimation of linear functionals of an unknown spectral density function. We give some upper bounds for the minimax mean square risk of the nonparametric estimators, similar to those by Ibragimov and Has'minskii [12] for a probability density function.     

Eigenresonance states in the Kronig-Penney model

We investigate a sandwich of three layer systems with Dirac -functions in the Kronig-Penney model. The inner system ofN=5 atomic layers is enclosed by the two outer systems with different potential strength. The numberM of the atomic layers in the outer system is varied betweenM=9 and infinity, whereas the numberN of the inner layers is held fixed. We obtain the transmission coefficient for the finite system in the region of scattering energies (E>0). An alternating set of transmission gaps, transmission bands and bands of eigenresonance states is obtained. The normalizable eigenresonances occur (forM going to infinity), if a transmission band of the inner system overlaps a transmission gap of the outer systems. The reason for obtaining solutions of standing waves in the band of eigenresonances is the rapid change of the wave phase of a traveling wave, which occurs in a transmission band of the inner system.