Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss

The problem of estimating large covariance matrices of multivariate real normal and complex normal distributions is considered when the dimension of the variables is larger than the number of samples. The Stein–Haff identities and calculus on eigenstructure for singular Wishart matrices are developed for real and complex cases, respectively. By using these techniques, the unbiased risk estimates for certain classes of estimators for the population covariance matrices under invariant quadratic loss functions are obtained for real and complex cases, respectively. Based on the unbiased risk estimates, shrinkage estimators which are counterparts of the estimators due to Haff [L.R. Haff, Empirical Bayes estimation of the multivariate normal covariance matrix, Ann. Statist. 8 (1980) 586–697] are shown to improve upon the best scalar multiple of the empirical covariance matrix under the invariant quadratic loss functions for both real and complex multivariate normal distributions in the situation where the dimension of the variables is larger than the number of samples.     

Feynman-Kac Formula for Left Continuous Additive Functionals and Extended Kato Class Measures

The perturbation of the generator of a Borel right process by a signed measure is investigated, using probabilistic and analytic potential theoretical methods. We establish a Feynman-Kac formula associated with measures charging no polar set and belonging to an extended Kato class. A main tool of this approach is the validity of a Khas’minskii Lemma for Stieltjes exponentials of positive left continuous additive functionals.      

A Boundedness Criterion via Atoms for Linear Operators in Hardy Spaces

Let p∈(0,1] and s≥[n(1/p−1)], where [n(1/p−1)] denotes the maximal integer no more than n(1/p−1). In this paper, the authors prove that a linear operator T extends to a bounded linear operator from the Hardy space H ^p (ℝ ⁿ ) to some quasi-Banach space ℬ if and only if T maps all (p,2,s)-atoms into uniformly bounded elements of ℬ.      

Some number-theoretic identities from group actions

We apply group actions to some natural situations like the natural ‘linear’ action of GL _r (Z _n ) and some of its subgroups to derive number-theoretic identities like

Darboux Transformation for Drinfel'd-Sokolov-Wilson Equation

A coupled system known as the Drinfel'd-Sokolov-Wilson equation is reexamined. With the help of a Lax operator of fourth order, its proper Darboux transformation is constructed. Also, a nonlinear superposition formula is worked out for the associated Bäcklund transformation and some solutions are calculated.     

Algebraic and Differential Nonlinear Superposition Formulas

Knowledge of the Lax pair and the Darboux transformation for a completely integrable system provides an iterative approach for generating exact solutions. This approach involves solving for the eigenfunction of the Lax pair at each step. But this process can be considerably simplified using the Bäcklund transformation and Bianchi's permutability theorem. This allows constructing the so-called nonlinear superposition formula, which provides a new solution of the system in terms of three previous solutions. The advantage of this approach is that the differential order of the nonlinear superposition formulas is lower than that of the Lax pairs, and in some cases, these formulas reduce to algebraic equations. We consider the construction of new nonlinear superposition formulas in the form of both differential equations and algebraic equations.     

Surface Measures and Tightness of (r,p)-Capacities on Poisson Space

We prove tightness of (r,p)-Sobolev capacities on configuration spaces equipped with Poisson measure. By using this result we construct surface measures on configuration spaces in the spirit of the Malliavin calculus. A related Gauss-Ostrogradskii formula is obtained.     

Infinite-Dimensional Black-Scholes Equation with Hereditary Structure

This paper considers the option pricing problem for contingent claims of the European type in a (B,S)-market in which the stock price and the asset in the riskless bank account both have hereditary structures. The Black-Scholes equation for the classical option pricing problem is generalized to an infinite-dimensional equation to include the effects of time delay in the evolution of the financial market as well as a very general payoff function. A computational algorithm for the solution is also obtained via a double sequence of polynomials of a certain bounded linear functional on a Banach space and the time variable.     

变系数情形下Criss-Cross三角形线性元的渐近展式与超收敛

本文讨论了二阶椭圆方程变系数情形下Criss-Cross三角形线性元的超收敛性质,得到了有限元的渐进展式、外推及高精度组合公式等结果.     

Line integrals and Green's formula on time scales

In this paper we study curves parametrized by a time scale parameter, introduce line delta and nabla integrals along time scale curves, and obtain an analog of Green's formula in the time scale setting.