Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin’s calculus

Summary. The analytic treatment of problems related to the asymptotic behaviour of random dynamical systems generated by stochastic differential equations suffers from the presence of non-adapted random invariant measures. Semimartingale theory becomes accessible if the underlying Wiener filtration is enlarged by the information carried by the orthogonal projectors on the Oseledets spaces of the (linearized) system. We study the corresponding problem of preservation of the semimartingale property and the validity of a priori inequalities between the norms of stochastic integrals in the enlarged filtration and norms of their quadratic variations in case the random element F enlarging the filtration is real valued and possesses an absolutely continuous law. Applying the tools of Malliavin’s calculus, we give smoothness conditions on F under which the semimartingale property is preserved and a priori martingale inequalities are valid. Received: 12 April 1995 / In revised form: 7 March 1996     

Reducing systems of linear differential equations to a passive form

In this paper, an application of the Riquer-Thomas-Janet theory is described for the problem of transforming a system of partial differential equations into a passive form, i.e., to a special form which contains explicitly both the equations of the initial system and all their nontrivial differential consequences. This special representation of a system markedly facilitates the subsequent integration of the corresponding differential equations. In this paper, the modern approach to the indicated problem is presented. This is the approach adopted in the Knuth-Bendix procedure [13] for critical-pair/completion and then Buchberger's algorithm for completion of polynomial ideal bases [13] (or, alternatively, for the construction of Groebner bases for ideals in a differential operator ring [14]). The algorithm of reduction to the passive form for linear system of partial differential equations and its implementation in the algorithmic language REFAL, as well as the capabilities of the corresponding program, are outlined. Examples illustrating the power and efficiency of the system are presented.     

Influence functions and efficiencies of the canonical correlation and vector estimates based on scatter and shape matrices

In this paper, the influence functions and limiting distributions of the canonical correlations and coefficients based on affine equivariant scatter matrices are developed for elliptically symmetric distributions. General formulas for limiting variances and covariances of the canonical correlations and canonical vectors based on scatter matrices are obtained. Also the use of the so-called shape matrices in canonical analysis is investigated. The scatter and shape matrices based on the affine equivariant Sign Covariance Matrix as well as the Tyler's shape matrix serve as examples. Their finite sample and limiting efficiencies are compared to those of the Minimum Covariance Determinant estimators and S-estimator through theoretical and simulation studies. The theory is illustrated by an example.     

Fundamental groups of the complements of certain plane non-tame torus sextics

The moduli space of torus sextics with the configuration of singularities {A₂+A₅+2E₆} has two connected components. We compute the fundamental groups π₁(CP²−C) for sextics C in both components and study their differences.     

A nilpotent Roth theorem

Let T and S be invertible measure preserving transformations of a probability measure space (X, ℬ, μ). We prove that if the group generated by T and S is nilpotent, then exists in L ²-norm for any u, v∈L ^∞(X, ℬ, μ). We also show that for A∈ℬ with μ(A)>0 one has . By the way of contrast, we bring examples showing that if measure preserving transformations T, S generate a solvable group, then (i) the above limits do not have to exist; (ii) the double recurrence property fails, that is, for some A∈ℬ, μ(A)>0, one may have μ(A∩T _-n A∩S ^{- n} A)=0 for all n∈ℕ. Finally, we show that when T and S generate a nilpotent group of class ≤c, in L ²(X) for all u, v∈L ^∞(X) if and only if T×S is ergodic on X×X and the group generated by T ^-1 S, T ^-2 S ²,..., T ^-c S ^c acts ergodically on X. Oblatum 19-V-2000 & 5-VII-2001?Published online: 12 October 2001     

On a conjecture of Cox and Katz

This note shows that a certain toric quotient of the quintic Calabi-Yau threefold in provides a counterexample to a recent conjecture of Cox and Katz concerning nef cones of toric hypersurfaces. Received: 8 February 2001; in final form: 17 September 2001 / Published online: 1 February 2002