Statistical Inference with Fractional Brownian Motion

We give a test between two complex hypothesis; namely we test whether a fractional Brownian motion (fBm) has a linear trend against a certain non-linear trend. We study some related questions, like goodness-of-fit test and volatility estimation in these models.     

Estimation of integrated volatility in stochastic volatility models

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd.     

Feedback controlled periodic states for different kinds of photorefractive nonlinear response

We investigate analytically and numerically the influence of the type of the photorefractive nonlinear response on the periodic states (attractors) which occur during feedback controlled 2W-coupling and correspond to almost 100% diffraction efficiency of the dynamic index grating. In addition to the case of the local response typical, for example, for LiNbO₃ crystals we consider the cases of nonlocal (diffusive) response (BaTiO₃, SBN) and resonant response (DC-biased BSO, BTO, and BGO crystals). It is shown that the conditions for the transition to the periodic states and their apparent characteristics are strongly different for the two limiting cases above. Received 16 July 2002 / Received in final form 29 October 2002 Published online 4 March 2003     

Atomic-scale simulation of nano-grains:structure and diffusion properties

Nanograins are characterized by a typical grain size from lto 100 nm.Mclecular dynamics aimubations have been carried out for the nanograin sphere with the diameters from 1.45 to 10.12 nm.We study the influence of grain size on structure and diffusion properties of the nanograins.The results reveal that as the grain size is reduced,the fraction of grain surface increases significantly,and the surface width is approximately constant；the diffusicn coefficlent is increased sharply,and the relation of the diffusion coefficient and the grain size is close to exponential relation below 10nm.     

Pump–probe second harmonic generation study of ultrafast spin dynamics in semiconductor multilayers

We report the first application of pump–probe second harmonic generation (SHG) measurements to characterize optically induced magnetization in non‐magnetic multilayer semiconductors. In the experiment, spin‐polarized electrons are excited selectively by a pump beam in the GaAs layer of GaAs/GaSb/InAs structures. However, the resulting net magnetization manifests itself through the induced SHG probe signal from the GaSb/InAs interface, thus indicating a spin‐polarized electron transport across the heterostructure. We find that the magnetization dynamics are governed by an interplay between the spin density evolution at the interfaces and the spin relaxation. Copyright © 2003 John Wiley & Sons, Ltd.     

Tribute to Endre Csáki and Pál Révész

Summary This article provides a glimpse of some of the highlights of the joint work of Endre Csáki and Pál Révész since 1979. The topics of this short exploration of the rich stochastic milieu of this inspiring collaboration revolve around Brownian motion, random walks and their long excursions, local times and additive functionals, iterated processes, almost sure local and global central limit theorems, integral functionals of geometric stochastic processes, favourite sites--favourite values and jump sizes for random walk and Brownian motion, random walking in a random scenery, and large void zones and occupation times for coalescing random walks.     

On Weak Solutions of an Integral Equation Driven by a p-Semimartingale of Special Type

We consider the integral equation driven by a standard Brownian motion and by a fractional Brownian motion. Sufficient conditions under which the equation has a weak solution are obtained.     

Distribution results for lattices in SL(2,ℚ p )

In this paper we study the ergodic properties of the linear action of lattices Γ of SL(2,ℚ_p) on ℚ_p × ℚ_p and distribution results for orbits of Γ. Following Serre, one can define a “geodesic flow” for an associated tree (actually associated to GL(2,ℚ_p)). The approach we use is based on an extension of this approach to “frame flows” which are a natural compact group extension of the geodesic flow.     

Some Notes about Tanaka''''s Equation

ＳｏｍｅＮｏｔｅｓａｂｏｕｔＴａｎａｋａ＇ｓＥｑｕａｔｉｏｎＹａｎＺｈｉｂｉｎ（严质彬）（ＤｅｐａｒｔｍｅｎｔｏｆＭａｔｈｅｍａｔｉｃｓ，ＨａｒｂｉｎＩｎｓｔｉｔｕｔｅｏｆＴｅｃｈｎｏｌｏｇｙ，Ｈａｒｂｉｎ，１５０００１）ＡｂｓｔｒａｃｔＬｅｔ｛Ｗｔ...     

Measure change techniques in optimal control

Fully and partially observed stochastic control of systems with nonlinear dynamics and terminal and running costs are considered. Measure changes are introduced which allow both state and observation dynamics to be thought of as linear. In the case when the terms of the cost have a special form the measure change transformation “cancels out” the nonlinearities and changes the original nonlinear problem into a classical LQG one and standard results can be applied. We also consider unnormalized conditional densities of the whole path as state variables and obtain dynamic programming and verification results. R. J. Elliott wishes to acknowledge support of the Natural Sciences and Engineering Research Council of Canada, Grant A7964.