Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin’s calculus

Summary. The analytic treatment of problems related to the asymptotic behaviour of random dynamical systems generated by stochastic differential equations suffers from the presence of non-adapted random invariant measures. Semimartingale theory becomes accessible if the underlying Wiener filtration is enlarged by the information carried by the orthogonal projectors on the Oseledets spaces of the (linearized) system. We study the corresponding problem of preservation of the semimartingale property and the validity of a priori inequalities between the norms of stochastic integrals in the enlarged filtration and norms of their quadratic variations in case the random element F enlarging the filtration is real valued and possesses an absolutely continuous law. Applying the tools of Malliavin’s calculus, we give smoothness conditions on F under which the semimartingale property is preserved and a priori martingale inequalities are valid. Received: 12 April 1995 / In revised form: 7 March 1996     

Pentadiagonal Oscillatory Matrices with Two Spectrum in Common

We denote the spectrum of an square matrix A by σ(A), and that of the matrix obtained by deleting the first i rows and columns of A by σ_i(A). It is known that a symmetric pentadiagonal oscillatory (SPO) matrix may be constructed from σ, σ₁ and σ₂. The pairs σ, σ₁ and σ₁, σ₂ must interlace; the construction is not unique; and the conditions on the data which ensure that A is oscillatory are extremely complicated. Given one SPO matrix A, the paper shows that operations may be applied to A to construct a family of such matrices with σ and σ₁ in common. Moreover, given one totally positive (TP) matrix A, we construct a family of TP matrices with σ, σ₁ and σ₂ in common.     

Nonstationary curves in Hilbert spaces and their correlation functions II

Partially supportted by Grant MM-22/1991 of MESC     

Symmetrisation of n-operads and compactification of real configuration spaces

It is well known that the forgetful functor from symmetric operads to nonsymmetric operads has a left adjoint Sym₁ given by product with the symmetric group operad. It is also well known that this functor does not affect the category of algebras of the operad. From the point of view of the author's theory of higher operads, the nonsymmetric operads are 1-operads and Sym₁ is the first term of the infinite series of left adjoint functors Symn, called symmetrisation functors, from n-operads to symmetric operads with the property that the category of one object, one arrow, …, one (n−1)-arrow algebras of an n-operad A is isomorphic to the category of algebras of Symn(A).In this paper we consider some geometrical and homotopical aspects of the symmetrisation of n-operads. We follow Getzler and Jones and consider their decomposition of the Fulton-Macpherson operad of compactified real configuration spaces. We construct an n-operadic counterpart of this compactification which we call the Getzler-Jones operad. We study the properties of Getzler-Jones operad and find that it is contractible and cofibrant in an appropriate model category. The symmetrisation of the Getzler-Jones operad turns out to be exactly the operad of Fulton and Macpherson. These results should be considered as an extension of Stasheff's theory of 1-fold loop spaces to n-fold loop spaces n?2. We also show that a space X with an action of a contractible n-operad has a natural structure of an algebra over an operad weakly equivalent to the little n-disks operad. A similar result holds for chain operads. These results generalise the classical Eckman-Hilton argument to arbitrary dimension.Finally, we apply the techniques to the Swiss-Cheese type operads introduced by Voronov and prove analogous results in this case.     

Some geometrical aspects of semidefinite linear complementarity problems

This article studies some geometrical aspects of the semidefinite linear complementarity problem (SDLCP), which can be viewed as a generalization of the well-known linear complementarity problem (LCP). SDLCP is a special case of a complementarity problem over a closed convex cone, where the cone considered is the closed convex cone of positive semidefinite matrices. It arises naturally in the unified formulation of a pair of primal-dual semidefinite programming problems. In this article, we introduce the notion of complementary cones in the semidefinite setting using the faces of the cone of positive semidefinite matrices and show that unlike complementary cones induced by an LCP, semidefinite complementary cones need not be closed. However, under R₀-property of the linear transformation, closedness of all the semidefinite complementary cones induced by L is ensured. We also introduce the notion of a principal subtransformation with respect to a face of the cone of positive semidefinite matrices and show that for a self-adjoint linear transformation, strict copositivity is equivalent to strict semimonotonicity of each principal subtransformation. Besides the above, various other solution properties of SDLCP will be interpreted and studied geometrically.     

Matrices that preserve vectors of fixed sign variation

For each k≥ 0, those nonsingular matrices that transform the set of totally nonzero vectors with k sign variations into (respectively, onto) itself are studied. Necessary and sufficient conditions are provided. The cases k=0,1,2,n-3,n-2,n-1 are completely characterized.     

Partially finite convex programming,Part I: Quasi relative interiors and duality theory

We study convex programs that involve the minimization of a convex function over a convex subset of a topological vector space, subject to a finite number of linear inequalities. We develop the notion of the quasi relative interior of a convex set, an extension of the relative interior in finite dimensions. We use this idea in a constraint qualification for a fundamental Fenchel duality result, and then deduce duality results for these problems despite the almost invariable failure of the standard Slater condition. Part II of this work studies applications to more concrete models, whose dual problems are often finite-dimensional and computationally tractable.