A Joint Integral Test for the Locations of Extrema for Brownian Motion

Let μ⁺(t) and μ⁻(t) be the locations of the maximum and minimum, respectively, of a standard Brownian motion in the interval [0,t]. We establish a joint integral test for the lower functions of μ⁺(t) and μ⁻(t), in the sense of Paul Lévy. In particular, it yields the law of the iterated logarithm for max(μ⁺(t),μ⁻(t)) as a straightforward consequence. Our result is in agreement with well-known theorems of Chung and Erdős [(1952) Trans. Amer. Math. Soc. 72, 179–186.], and Csáki, F?ldes and Révész [(1987) Prob. Theory Relat. Fields 76, 477–497].      

Long‐range dependence and performance in telecom networks

Telecommunications systems have recently undergone significant innovations. These call for suitable statistical models that can properly describe the behaviour of the input traffic in a network. Here we use fractional Brownian motion (FBM) to model cumulative traffic network, thus taking into account the possible presence of long‐range dependence in the data. A Bayesian approach is devised in such a way that we are able to: (a) estimate the Hurst parameter H of the FBM; (b) estimate the overflow probability which is a parameter measuring the quality of service of a network: (c) develop a test for comparing the null hypothesis of long‐range dependence in the data versus the alternative of short‐range dependence. In order to achieve these inferential results, we elaborate an MCMC sampling scheme whose output enables us to obtain an approximation of the quantities of interest. An application to three real datasets, corresponding to three different levels of traffic, is finally considered. Copyright © 2004 John Wiley & Sons, Ltd.     

障碍平方期权的定价

本讨论了一种变异期权——收益结构为平方的障碍期权，在股票价格服从几何布朗运动的模型下，由带单侧吸收壁的布朗运动的密度和分布函数得到连续障碍平方期权的定价公式．     

Super-Brownian motion with reflecting historical paths. II. Convergence of approximations

We prove that the sequence of finite reflecting branching Brownian motion forests defined by Burdzy and Le Gall ([1]) converges in probability to the “super-Brownian motion with reflecting historical paths.” This solves an open problem posed in [1], where only tightness was proved for the sequence of approximations. Several results on path behavior were proved in [1] for all subsequential limits–they obviously hold for the unique limit found in the present paper.Mathematics Subject Classification (2000): Primary 60H15, Secondary 35R60Supported in part by NSF Grant DMS-0071486, Israel Science Foundation Grants 12/98 and 116/01 - 10.0, and the U.S.-Israel Binational Science Foundation (grant No. 2000065).     

Effect of a Shock Pulse on a Floating Ice Sheet

The vibrations of a viscoelastic plate lying on an elastic liquid base subjected to pulse loading have been studied theoretically and experimentally. The effect of the variable depth of the reservoir, plate thickness, and strain relaxation time on the value of the plate vibration amplitude and the length and curvature of the flexural gravity wave profile are analyzed. Good agreement of theoretical and experimental results is obtained.     

The influence of temperature gradients on the kinetic boundary layer problem for a condensing droplet

We extend an earlier method for solving kinetic boundary layer problems to the case of particles moving in aspatially inhomogeneous background. The method is developed for a gas mixture containing a supersaturated vapor and a light carrier gas from which a small droplet condenses. The release of heat of condensation causes a temperature difference between droplet and gas in the quasistationary state; the kinetic equation describing the vapor is the stationary Klein-Kramers equation for Brownian particles diffusing in a temperature gradient. By means of an expansion in Burnett functions, this equation is transformed into a set of coupled algebrodifferential equations. By numerical integration we construct fundamental solutions of this equation that are subsequently combined linearly to fulfill appropriate mesoscopic boundary conditions for particles leaving the droplet surface. In view of the intrinsic numerical instability of the system of equations, a novel procedure is developed to remove the admixture of fast growing solutions to the solutions of interest. The procedure is tested for a few model problems and then applied to a slightly simplified condensation problem with parameters corresponding to the condensation of mercury in a background of neon. The effects of thermal gradients and thermodiffusion on the growth rate of the droplet are small (of the order of 1%), but well outside of the margin of error of the method.     

Model-dependent nature of blowtorch effect on the escape and equilibration rates

We analyze the relaxation behavior of a bistable system when the background temperature profile is inhomogeneous due to the presence of a localized hot region (blowtorch) on one side of the potential barrier. Since the diffusion equation for inhomogeneous medium is model-dependent, we consider two physical models to study the kinetics of such system. Using a conventional stochastic method, we obtain the escape and equilibration rates of the system for the two physical models. For both models, we find that the hot region enhances the escape rate from the well where it is placed while it retards the escape rate from the other well. However, the value of the escape rate from the well where the hot region is placed differs for the two models while that of the escape rate from the other well is identical for both. This work, for the first time, gives a detailed report of the similarities and differences of the escape rates and, hence, exposes the common and distinct features of the two known physical models in determining the way the bistable system relaxes. Received 25 September 2001     

角域上的调和函数与条件Brown运动

设中的角域．该文绘出了A上正调和函数的Martin表示，讨论了极小调和函数与条件Brown运动的一个0—1律之间的关系，并给出了A上极小调和函数的表现形式，     

New efficient numerical procedures for solving stochastic variational problems with a priori maximum pointwise error estimates

In a previous paper we gave a new formulation and derived the Euler equations and other necessary conditions to solve strong, pathwise, stochastic variational problems with trajectories driven by Brownian motion. Thus, unlike current methods which minimize the control over deterministic functionals (the expected value), we find the control which gives the critical point solution of random functionals of a Brownian path and then, if we choose, find the expected value.This increase in information is balanced by the fact that our methods are anticipative while current methods are not. However, our methods are more directly connected to the theory and meaningful examples of deterministic variational theory and provide better means of solution for free and constrained problems. In addition, examples indicate that there are methods to obtain nonanticipative solutions from our equations although the anticipative optimal cost function has smaller expected value.In this paper we give new, efficient numerical methods to find the solution of these problems in the quadratic case. Of interest is that our numerical solution has a maximal, a priori, pointwise error of O(h3/2) where h is the node size. We believe our results are unique for any theory of stochastic control and that our methods of proof involve new and sophisticated ideas for strong solutions which extend previous deterministic results by the first author where the error was O(h²).We note that, although our solutions are given in terms of stochastic differential equations, we are not using the now standard numerical methods for stochastic differential equations. Instead we find an approximation to the critical point solution of the variational problem using relations derived from setting to zero the directional derivative of the cost functional in the direction of simple test functions.Our results are even more significant than they first appear because we can reformulate stochastic control problems or constrained calculus of variations problems in the unconstrained, stochastic calculus of variations formulation of this paper. This will allow us to find efficient and accurate numerical solutions for general constrained, stochastic optimization problems. This is not yet being done, even in the deterministic case, except by the first author.     

Several parameters of generalized Mycielskians

The generalized Mycielskians (also known as cones over graphs) are the natural generalization of the Mycielski graphs (which were first introduced by Mycielski in 1955). Given a graph G and any integer m?0, one can transform G into a new graph μ_m(G), the generalized Mycielskian of G. This paper investigates circular clique number, total domination number, open packing number, fractional open packing number, vertex cover number, determinant, spectrum, and biclique partition number of μ_m(G).