On the subdivision of small categories

We present an intrinsic and concrete development of the subdivision of small categories, give some simple examples and derive its fundamental properties. As an application, we deduce an alternative way to compare the homotopy categories of spaces and small categories, by using partially ordered sets. This yields a new conceptual proof to the well-known fact that these two homotopy categories are equivalent.     

Some notes on multivariate generalized Pareto distributions

The investigation of multivariate generalized Pareto distributions (GPDs) has begun only recently and there are slightly varying definitions of GPDs available. In this article we investigate the one from Section 5.1 of Falk et al. [Laws of Small Numbers: Extremes and Rare Events, second ed., Birkhäuser, Basel, 2004], which does not differ in the area of interest from those of other authors. We first give an interpretation of the case of independence in terms of the peaks-over-threshold approach. This case is also used in dimension d=3 by Falk et al. [Laws of Small Numbers: Extremes and Rare Events, second ed., Birkhäuser, Basel, 2004] as a counterexample to show that GP functions are not necessarily distribution functions on their entire support. We generalize this counterexample to an arbitrary dimension d≥3 and demonstrate also that other GP functions show this behavior. Finally we show that different GPDs can lead to the same conditional probability measure in the area of interest.     

Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio

We develop a pricing rule for life insurance under stochastic mortality in an incomplete market by assuming that the insurance company requires compensation for its risk in the form of a pre-specified instantaneous Sharpe ratio. Our valuation formula satisfies a number of desirable properties, many of which it shares with the standard deviation premium principle. The major result of the paper is that the price per contract solves a linear partial differential equation as the number of contracts approaches infinity. One can represent the limiting price as an expectation with respect to an equivalent martingale measure. Via this representation, one can interpret the instantaneous Sharpe ratio as a market price of mortality risk. Another important result is that if the hazard rate is stochastic, then the risk-adjusted premium is greater than the net premium, even as the number of contracts approaches infinity. Thus, the price reflects the fact that systematic mortality risk cannot be eliminated by selling more life insurance policies. We present a numerical example to illustrate our results, along with the corresponding algorithms.     

On discrete time ergodic filters with wrong initial data

For a class of non-uniformly ergodic Markov chains (X _n ) satisfying exponential or polynomial beta-mixing, under observations (Y _n ) subject to an IID noise with a positive density, it is shown that wrong initial data is forgotten in the mean total variation topology, with a certain exponential or polynomial rate.     

Null sets and games in Banach spaces

The notion of Aronszajn-null sets generalizes the notion of Lebesgue measure zero in the Euclidean space to infinite dimensional Banach spaces. We present a game-theoretic approach to Aronszajn-null sets, establish its basic properties, and discuss some ensuing open problems.     

Central limit theorems for multiple stochastic integrals and Malliavin calculus

We give a new characterization for the convergence in distribution to a standard normal law of a sequence of multiple stochastic integrals of a fixed order with variance one, in terms of the Malliavin derivatives of the sequence. We also give a new proof of the main theorem in [D. Nualart, G. Peccati, Central limit theorems for sequences of multiple stochastic integrals, Ann. Probab. 33 (2005) 177–193] using techniques of Malliavin calculus. Finally, we extend our result to the multidimensional case and prove a weak convergence result for a sequence of square integrable random vectors, giving an application.     

Homoclinic orbits and Hopf bifurcations in delay differential systems with T-B singularity

The paper carries the results on Takens-Bogdanov bifurcation obtained in [T. Faria, L.T. Magalhães, Normal forms for retarded functional differential equations and applications to Bogdanov-Takens singularity, J. Differential Equations 122 (1995) 201-224] for scalar delay differential equations over to the case of delay differential systems with parameters. Firstly, we give feasible algorithms for the determination of Takens-Bogdanov singularity and the generalized eigenspace associated with zero eigenvalue in Rn. Next, through center manifold reduction and normal form calculation, a concrete reduced form for the parameterized delay differential systems is obtained. Finally, we describe the bifurcation behavior of the parameterized delay differential systems with T-B singularity in detail and present an example to illustrate the results.     

A stabilized semi-implicit Galerkin scheme for Navier-Stokes equations

By introducing a time relaxation term for the time derivative of higher frequency components, we proposed a stabilized semi-implicit Galerkin scheme for evolutionary Navier-Stokes equations in this paper. Analysis shows that such a scheme has weaker stability conditions than that of a classical semi-implicit Galerkin scheme and, when a suitable relaxation parameter σ is chosen, it generates an approximate solution with the same accuracy as the classical one. That means the proposed scheme might use a larger time step to generate a bounded approximate solution. Thus it is more suitable for long time simulations.     

Learning from dependent observations

In most papers establishing consistency for learning algorithms it is assumed that the observations used for training are realizations of an i.i.d. process. In this paper we go far beyond this classical framework by showing that support vector machines (SVMs) only require that the data-generating process satisfies a certain law of large numbers. We then consider the learnability of SVMs for α-mixing (not necessarily stationary) processes for both classification and regression, where for the latter we explicitly allow unbounded noise.     

Hopf algebras constructed by the FRT-construction

Given any bialgebra A and a braiding product 〈|〉 on A, a bialgebra U_〈|〉 was constructed in [R. Larson, J. Towber, Two dual classes of bialgebras related to the concepts of “quantum group” and “quantum Lie algebra”, Comm. Algebra 19 (1991) 3295-3345], contained in the finite dual of A. This construction generalizes a (not very well known) construction of Fadeev, Reshetikhin and Takhtajan [L.D. Faddeev, N.Yu. Reshetikhin, L.A. Takhtajan, Quantum Groups. Braid Group, Knot Theory and Statistical Mechanics, in: Adv. Ser. Math. Phys., vol. 9, World Sci. Publishing, Teaneck, NJ, 1989, pp. 97-110]. In the present paper it is proved that when U_〈|〉 is finite-dimensional (even if A is not), then it is a quasitriangular Hopf algebra.