Rayleigh–Ritz variation method and connected‐moments polynomial approach

We show that the connected‐moments polynomial approach proposed recently is equivalent to the well known Rayleigh–Ritz variation method in the Krylov space. We compare the latter with one of the original connected‐moments methods by means of a numerical test on an anharmonic oscillator. © 2008 Wiley Periodicals, Inc. Int J Quantum Chem, 2009     

Bipower-type estimation in a noisy diffusion setting

We consider a new class of estimators for volatility functionals in the setting of frequently observed Itō diffusions which are disturbed by i.i.d. noise. These statistics extend the approach of pre-averaging as a general method for the estimation of the integrated volatility in the presence of microstructure noise and are closely related to the original concept of bipower variation in the no-noise case. We show that this approach provides efficient estimators for a large class of integrated powers of volatility and prove the associated (stable) central limit theorems. In a more general Itō semimartingale framework this method can be used to define both estimators for the entire quadratic variation of the underlying process and jump-robust estimators which are consistent for various functionals of volatility. As a by-product we obtain a simple test for the presence of jumps in the underlying semimartingale.     

A note on the central limit theorem for bipower variation of general functions

In this paper we present a central limit theorem for general functions of the increments of Brownian semimartingales. This provides a natural extension of the results derived in [O.E. Barndorff-Nielsen, S.E. Graversen, J. Jacod, M. Podolskij, N. Shephard, A central limit theorem for realised power and bipower variations of continuous semimartingales, in: From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev, Springer, 2006], where the central limit theorem was shown for even functions. We prove an infeasible central limit theorem for general functions and state some assumptions under which a feasible version of our results can be obtained. Finally, we present some examples from the literature to which our theory can be applied.     

Optimal Control Problem Governed by Semilinear Parabolic Equation and its Algorithm

In this paper, an optimal control problem governed by semilinear parabolic equation which involves the control variable acting on forcing term and coefficients appearing in the higher order derivative terms is formulated and analyzed. The strong variation method, due originally to Mayne et al to solve the optimal control problem of a lumped parameter system, is extended to solve an optimal control problem governed by semilinear parabolic equation, a necessary condition is obtained, the strong variation algorithm for this optimal control problem is presented, and the corresponding convergence result of the algorithm is verified.     

Pseudo-atoms, atoms and a Jordan type decomposition in effect algebras

The aim of this paper is to introduce and investigate the concept of pseudo-atoms of a real-valued function m defined on an effect algebra L; a few examples of pseudo-atoms and atoms are given in the context of null-additive, null-null-additive and pseudo-null-additive functions and also, some fundamental results for pseudo-atoms under the assumption of null-null-additivity are established. The notions of total variation |m|, positive variation m⁺ and negative variation m⁻ of a real-valued function m on L are studied elaborately and it is proved for a modular measure m (which is of bounded total variation) defined on a D-lattice L that, m is pseudo-atomic (or atomic) if and only if its total variation |m| is pseudo-atomic (or atomic). Finally, a Jordan type decomposition theorem for an extended real-valued function m of bounded total variation defined on an effect algebra L is proved and some properties on decomposed parts of m such as continuity from below, pseudo-atomicity (or atomicity) and being measure, are discussed. A characterization for the function m to be of bounded total variation is established here and used in proving above-mentioned Jordan type decomposition theorem.     

Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes

We consider the problem of estimating the covariance of two diffusion-type processes when they are observed only at discrete times in a nonsynchronous manner. In our previous work in 2003, we proposed a new estimator which is free of any ‘synchronization’ processing of the original data and showed that it is consistent for the true covariance of the processes as the observation interval shrinks to zero; Hayashi and Yoshida (Bernoulli, 11, 359–379, 2005). This paper is its sequel. Specifically, it establishes asymptotic normality of the estimator in a general nonsynchronous sampling scheme.     

Dynamic properties of a body with discontinual mass variation

In this paper the procedure for the dynamic analysis of body separation is introduced. Based on the general laws of classical dynamics, the method for obtaining the velocity and the angular velocity of the remainder body during separation is developed. Due to the discontinual mass variation, the jump-like change of the velocity and the angular velocity of the body is evident. Various types of motion of the separated body are considered. Depending on the type of motion of the separated body the dynamic properties of the remainder body are obtained. As a special case the in-plane motion of the body before and after separation is considered. The theoretical considerations are applied for the separation analysis of a rotor (a shaft-disc system). The transient motion of the body after separation is investigated. To prove the correctness of the procedure suggested in the paper, the case when the mass and the moment of inertia of the separated body are infinitesimal is analyzed. The obtained differential equations are the same as those previously obtained.     

The play operator on the rectifiable curves in a Hilbert space

The vector play operator is the solution operator of a class of evolution variational inequalities arising in continuum mechanics. For regular data, the existence of solutions is easily obtained from general results on maximal monotone operators. If the datum is a continuous function of bounded variation, then the existence of a weak solution is usually proved by means of a time discretization procedure. In this paper we give a short proof of the existence of the play operator on rectifiable curves making use of basic facts of measure theory. We also drop the separability assumptions usually made by other authors. Copyright © 2007 John Wiley & Sons, Ltd.     

基于强度传输方程的相位检索

为了从直接测量的强度图像中计算出相位信息,研究了基于强度传输方程的相位检索技术.设计了一个实用的相位检索系统,包含经典傅里叶相位检索和基于整体变分的相位检索算法.通过测量聚焦平面和前后散焦平面光波场的空间强度,求解二阶微分方程得到相位.与迭代相位检索技术相比克服了其迭代不确定性、收敛速度慢等缺点.实验表明,利用强度传输...