Meta densities and the shape of their sample clouds

This paper compares the shape of the level sets for two multivariate densities. The densities are positive and continuous, and have the same dependence structure. The density f is heavy-tailed. It decreases at the same rate-up to a positive constant-along all rays. The level sets {f>c} for c↓0, have a limit shape, a bounded convex set. We transform each of the coordinates to obtain a new density g with Gaussian marginals. We shall also consider densities g with Laplace, or symmetric Weibull marginal densities. It will be shown that the level sets of the new light-tailed density g also have a limit shape, a bounded star-shaped set. The boundary of this set may be written down explicitly as the solution of a simple equation depending on two positive parameters. The limit shape is of interest in the study of extremes and in risk theory, since it determines how the extreme observations in different directions relate. Although the densities f and g have the same copula-by construction-the shapes of the level sets are not related. Knowledge of the limit shape of the level sets for one density gives no information about the limit shape for the other density.     

Commutativity of operators on the lattice of existence varieties

In a previous paper the authors introduced seven complete congruences on the lattice _ev(I of e-varieties of regular semigroups of the form _P :U _P VPU=PV, whereP is drawn from a small set of e-varieties: left zero, right zero, rectangular bands, groups, left groups, right groups and completely simple semigroups. Four new complete congruences are introduced here of the form _P :U _P VPU=PV, whereP is one of the following classes of regular semigroups: left monoids, right monoids, monoids, idempotent generated semigroups. For each complete congruence on _ev(I) and eachU_ev(I), the -class ofU is an interval [U ,U ] so that there is associated with each such congruence an idempotent operatorUU on _ev(I). This paper establishes numerous results concerning the commutativity of operators of this form.This work was supported in part by NSERC Grant 4044.     

A de bruijn-type formula for enumerating patterns of partitions

We develop a formula for enumerating the partitions of a set up to the action of a group. We give some special cases of this formula and illustrate its use with an example. Some comments are made relating the formula to an earlier formula.This work was supported in part by NSF Contract GP-43010.     

Characteristic functional equations of polynomials and the morera-carleman theorem

Several characteristic functional equations satisfied by classes of polynomials of bounded degree are examined in connection with certain generalizations of the Morera-Carleman Theorem. Certain functional equations which have nonanalytic polynomial solutions are also considered.     

The contraction number of a multigrid method for solving the Poisson equation

Summary The treatment of a multigrid method in the framework of numerical analysis elucidates that regularity of the solution is not necessary for the convergence of the multigrid algorithm but only for fast convergence. For the linear equations which arise from the discretization of the Poisson equation, a convergence factor 0,5 is established independent of the shape of the domain and of the regularity of the solution.Dedicated to Professor Dr.Dr.h.c. Lothar Collatz on the occasion of his 70 th birthday     

On a “lack of memory” property

For two independent nonnegative random variablesX andY we say thatX is ageless relative toY if the conditional probability P[X> Y+x|X>Y] is defined and is equal to P[X>x] for allx>0. Suppose thatX is ageless relative to a nonlatticeY with P[Y=0]<P [Y<X]. We show that the only suchX is the exponential variable. As a corollary it follows that exponential variable is the only one which possesses the ageless property relative to a continuous variable. Research partially supported by NRC of Canada grants #A8057 and #T0500. Work partially completed while on leave at Division of Math. Stat., C.S.I.R.O., Australia.     

Riesz decompositions and subtractivity for excessive measures

The convex cone of excessive measures of a right Markov process is an example of a superharmonic semigroup in the abstract potential theory developed by Arsove and Leutwiler. We show that their theory of Riesz decompositions can be sharpened in the case of excessive measures. In particular there is always a Riesz decomposition relative to a given potential cone (resp. harmonic cone). An element of an ordered convex cone is subtractive if each majorant is a specific majorant. This notion of subtractivity features prominently in the theory of harmonic cones. We give a complete characterization of the subtractive elements in the cone of excessive measures.The research of both authors was supported in part by NSF Grant DMS 87-21347.     

The Spearman footrule and a Markov chain property

An equivalent representation of the Spearman footrule is considered and a characterization in terms of a Markov chain is established. A martingale approach is thereby incorporated in the study of the asymptotic normality of the statistics.     

Family of symplectic implicit Runge-Kutta formulae

A family of formulae for the sympletic IRK method is investigated. Specifically, focus is given to general solutions for formula parameters of IRK under the symplectic and the order conditions. Examples of such formulae are constructed for up to three stages.     

Sample path Large Deviations and optimal importance sampling for stochastic volatility models

Sample path Large Deviation Principles (LDP) of the Freidlin–Wentzell type are derived for a class of diffusions, which govern the price dynamics in common stochastic volatility models from Mathematical Finance. LDP are obtained by relaxing the non-degeneracy requirement on the diffusion matrix in the standard theory of Freidlin and Wentzell. As an application, a sample path LDP is proved for the price process in the Heston stochastic volatility model.