Random time change and recurrent boundary

The purpose of this paper is to study some properties of random time changes in recurrent potential theory. In particular we show that the Martin recurrent boundary is not invariant under a random time change. We then obtain a characterization of random time change destroying a boundary point. We also give some complement about the recurrent boundary connected with “special additive functionals”. We have for example a representation at the boundary of solutions of the Poisson's equation $\text{?(I-U}{}_1\text{)=-U}{}_1\text{(x,·)}$ by using local time at x.     

Comments of the paper, “stochastic integral equations applied to telecommunications traffic without delay”

Let F be a univariate distribution with negative expectation, and let M denote the distribution of the positive maxima of a random walk generated by a sequence of independent observations from F. We consider the Laplace transforms of 1?F(x) and 1?M(x). A relation between the transforms yields some known results on the moments and the regularly varying properties of the two distributions.     

Effective conductivity and skew Brownian motion

We consider heat conduction in a periodic body which is composed of finitely many different components. The effective conductivity is represented in terms of skew Brownian motion. The representation formula is a fluctuation-dissipation relation. The dissipation term in this formula is related to the transmission of heat through the surface separating the different components of the body; it is described by the skew reflections of Brownian motion at these surfaces. The problems caused by the discontinuity of the microscopic conductivity are handled in the framework of Dirichlet forms.     

Simulated annealing for constrained global optimization

Hide-and-Seek is a powerful yet simple and easily implemented continuous simulated annealing algorithm for finding the maximum of a continuous function over an arbitrary closed, bounded and full-dimensional body. The function may be nondifferentiable and the feasible region may be nonconvex or even disconnected. The algorithm begins with any feasible interior point. In each iteration it generates a candidate successor point by generating a uniformly distributed point along a direction chosen at random from the current iteration point. In contrast to the discrete case, a single step of this algorithm may generateany point in the feasible region as a candidate point. The candidate point is then accepted as the next iteration point according to the Metropolis criterion parametrized by anadaptive cooling schedule. Again in contrast to discrete simulated annealing, the sequence of iteration points converges in probability to a global optimum regardless of how rapidly the temperatures converge to zero. Empirical comparisons with other algorithms suggest competitive performance by Hide-and-Seek.This material is based on work supported by a NATO Collaborative Research Grant, no. 0119/89.     

A limit theorem for the eigenvalues of product of two random matrices

The existence of limit spectral distribution of the product of two independent random matrices is proved when the number of variables tends to infinity. One of the above matrices is the Wishart matrix and the other is a symmetric nonnegative definite matrix.     

Asymptotic compactness and absorbing sets for 2D stochastic Navier-Stokes equations on some unbounded domains

We introduce a notion of an asymptotically compact (AC) random dynamical system (RDS). We prove that for an AC RDS the -limit set of any bounded set is nonempty, compact, strictly invariant and attracts the set . We establish that the D Navier Stokes Equations (NSEs) in a domain satisfying the Poincaré inequality perturbed by an additive irregular noise generate an AC RDS in the energy space . As a consequence we deduce existence of an invariant measure for such NSEs. Our study generalizes on the one hand the earlier results by Flandoli-Crauel (1994) and Schmalfuss (1992) obtained in the case of bounded domains and regular noise, and on the other hand the results by Rosa (1998) for the deterministic NSEs.

     

A combinatorial problem from sooner waiting time problems with run and frequency quotas

In this paper, we study the problem of finding the number of integer solutions solving

     

Ambiguous chance constrained problems and robust optimization

In this paper we study ambiguous chance constrained problems where the distributions of the random parameters in the problem are themselves uncertain. We focus primarily on the special case where the uncertainty set of the distributions is of the form where ρ_p denotes the Prohorov metric. The ambiguous chance constrained problem is approximated by a robust sampled problem where each constraint is a robust constraint centered at a sample drawn according to the central measure The main contribution of this paper is to show that the robust sampled problem is a good approximation for the ambiguous chance constrained problem with a high probability. This result is established using the Strassen-Dudley Representation Theorem that states that when the distributions of two random variables are close in the Prohorov metric one can construct a coupling of the random variables such that the samples are close with a high probability. We also show that the robust sampled problem can be solved efficiently both in theory and in practice. Research partially supported by NSF grant CCR-00-09972. Research partially supported by NSF grants CCR-00-09972, DMS-01-04282, and ONR grant N000140310514.     

Comment on “A special attack on the multiparty quantum secret sharing of secure direct communication using single photons”

In this comment, we show that the special attack [S.-J. Qin, F. Gao, Q.-Y. Wen, F.-C. Zhu, Opt. Commun. 281 (2008) 5472.], which claims to be able to obtain all the transmitted secret message bit values of the protocol of the multiparty quantum secret sharing of secure direct communication using single photons with random phase shift operations, fails. Furthermore, a class of similar attacks are also shown to fail to extract the secrete message.