共查询到20条相似文献,搜索用时 398 毫秒
1.
Andreas Basse 《Journal of Theoretical Probability》2009,22(4):811-826
The aim of the present paper is to characterize the spectral representation of Gaussian semimartingales. That is, we provide
necessary and sufficient conditions on the kernel K for X
t
=∫
K
t
(s) dN
s
to be a semimartingale. Here, N denotes an independently scattered Gaussian random measure on a general space S. We study the semimartingale property of X in three different filtrations. First, the ℱ
X
-semimartingale property is considered, and afterwards the ℱ
X,∞-semimartingale property is treated in the case where X is a moving average process and ℱ
t
X,∞=σ(X
s
:s∈(−∞,t]). Finally, we study a generalization of Gaussian Volterra processes. In particular, we provide necessary and sufficient
conditions on K for the Gaussian Volterra process ∫
−∞
t
K
t
(s) dW
s
to be an ℱ
W,∞-semimartingale (W denotes a Wiener process). Hereby we generalize a result of Knight (Foundations of the Prediction Process, 1992) to the nonstationary case. 相似文献
2.
Jun-ichi Miyachi 《Archiv der Mathematik》2006,86(4):317-320
Let Λ be a left Artinian ring, D+(mod Λ) (resp., D−(mod Λ), D(mod Λ)) the derived category of bounded below complexes (resp., bounded above complexes, unbounded complexes) of
finitely generated left Λ-modules. We show that the Grothendieck groups K0(D+(mod Λ)), K0(D−(mod Λ)) and K0(D(mod Λ)) are trivial.
Received: 7 April 2005 相似文献
3.
Werner Georg Nowak 《Monatshefte für Mathematik》2002,137(3):227-238
This article is concerned with sums 𝒮(t) = ∑
n
ψ(tf(n/t)) where ψ denotes, essentially, the fractional part minus ?, f is a C
4-function with f″ ≠ 0 throughout, summation being extended over an interval of order t. We establish an asymptotic formula for ∫
T−Λ
T+Λ
(𝒮(t))2dt for any Λ = Λ(T) growing faster than log T.
Received April 30, 2001; in revised form February 15, 2002
RID="a"
ID="a" Dedicated to Professor Edmund Hlawka on the occasion of his 85th birthday 相似文献
4.
V. P. Kurenok 《Journal of Theoretical Probability》2007,20(4):859-869
The stochastic equation dX
t
=dS
t
+a(t,X
t
)dt, t≥0, is considered where S is a one-dimensional Levy process with the characteristic exponent ψ(ξ),ξ∈ℝ. We prove the existence of (weak) solutions for a bounded, measurable coefficient a and any initial value X
0=x
0∈ℝ when (ℛe
ψ(ξ))−1=o(|ξ|−1) as |ξ|→∞. These conditions coincide with those found by Tanaka, Tsuchiya and Watanabe (J. Math. Kyoto Univ. 14(1), 73–92, 1974) in the case of a(t,x)=a(x). Our approach is based on Krylov’s estimates for Levy processes with time-dependent drift. Some variants of those estimates
are derived in this note. 相似文献
5.
Shichao Chen 《The Ramanujan Journal》2009,18(1):103-112
Let Λ={λ
1≥⋅⋅⋅≥λ
s
≥1} be a partition of an integer n. Then the Ferrers-Young diagram of Λ is an array of nodes with λ
i
nodes in the ith row. Let λ
j
′ denote the number of nodes in column j in the Ferrers-Young diagram of Λ. The hook number of the (i,j) node in the Ferrers-Young diagram of Λ is denoted by H(i,j):=λ
i
+λ
j
′−i−j+1. A partition of n is called a t-core partition of n if none of the hook numbers is a multiple of t. The number of t-core partitions of n is denoted by a(t;n). In the present paper, some congruences and distribution properties of the number of 2
t
-core partitions of n are obtained. A simple convolution identity for t-cores is also given.
相似文献
6.
Extremes of independent Gaussian processes 总被引:1,自引:0,他引:1
Zakhar Kabluchko 《Extremes》2011,14(3):285-310
For every n ∈ ℕ, let X
1n
,..., X
nn
be independent copies of a zero-mean Gaussian process X
n
= {X
n
(t), t ∈ T}. We describe all processes which can be obtained as limits, as n→ ∞, of the process a
n
(M
n
− b
n
), where M
n
(t) = max
i = 1,...,n
X
in
(t), and a
n
, b
n
are normalizing constants. We also provide an analogous characterization for the limits of the process a
n
L
n
, where L
n
(t) = min
i = 1,...,n
|X
in
(t)|. 相似文献
7.
Michel Talagrand 《Israel Journal of Mathematics》1992,79(2-3):207-224
Consider a setA of symmetricn×n matricesa=(a
i,j)
i,j≤n
. Consider an independent sequence (g
i)
i≤n
of standard normal random variables, and letM=Esupa∈A|Σi,j⪯nai,jgigj|. Denote byN
2(A, α) (resp.N
t(A, α)) the smallest number of balls of radiusα for thel
2 norm ofR
n
2 (resp. the operator norm) needed to coverA. Then for a universal constantK we haveα(logN
2(A, α))1/4≤KM. This inequality is best possible. We also show that forδ≥0, there exists a constantK(δ) such thatα(logN
t≤K(δ)M.
Work partially supported by an N.S.F. grant. 相似文献
8.
The aim of this paper is to establish sufficient conditions of the finite time blow-up in solutions of the homogeneous Dirichlet
problem for the anisotropic parabolic equations with variable nonlinearity $
u_t = \sum\nolimits_{i = 1}^n {D_i (a_i (x,t)|D_i u|^{p^i (x) - 2} D_i u) + \sum\nolimits_{i = 1}^K {b_i (x,t)|u|^{\sigma _i (x,t) - 2} u} }
$
u_t = \sum\nolimits_{i = 1}^n {D_i (a_i (x,t)|D_i u|^{p^i (x) - 2} D_i u) + \sum\nolimits_{i = 1}^K {b_i (x,t)|u|^{\sigma _i (x,t) - 2} u} }
. Two different cases are studied. In the first case a
i
≡ a
i
(x), p
i
≡ 2, σ
i
≡ σ
i
(x, t), and b
i
(x, t) ≥ 0. We show that in this case every solution corresponding to a “large” initial function blows up in finite time if there
exists at least one j for which min σ
j
(x, t) > 2 and either b
j
> 0, or b
j
(x, t) ≥ 0 and Σπ
b
j
−ρ(t)(x, t) dx < ∞ with some σ(t) > 0 depending on σ
j
. In the case of the quasilinear equation with the exponents p
i
and σ
i
depending only on x, we show that the solutions may blow up if min σ
i
≥ max p
i
, b
i
≥ 0, and there exists at least one j for which min σ
j
> max p
j
and b
j
> 0. We extend these results to a semilinear equation with nonlocal forcing terms and quasilinear equations which combine
the absorption (b
i
≤ 0) and reaction terms. 相似文献
9.
Summary. We study the 2D Ising model in a rectangular box Λ
L
of linear size O(L). We determine the exact asymptotic behaviour of the large deviations of the magnetization ∑
t∈ΛL
σ(t) when L→∞ for values of the parameters of the model corresponding to the phase coexistence region, where the order parameter m
* is strictly positive. We study in particular boundary effects due to an arbitrary real-valued boundary magnetic field. Using
the self-duality of the model a large part of the analysis consists in deriving properties of the covariance function <σ(0)σ(t)>, as |t|→∞, at dual values of the parameters of the model. To do this analysis we establish new results about the high-temperature
representation of the model. These results are valid for dimensions D≥2 and up to the critical temperature. They give a complete non-perturbative exposition of the high-temperature representation.
We then study the Gibbs measure conditioned by {|∑
t∈ΛL
σ(t) −m|Λ
L
||≤|Λ
L
|L
−
c
}, with 0<c<1/4 and −m
*<m<m
*. We construct the continuum limit of the model and describe the limit by the solutions of a variational problem of isoperimetric
type.
Received: 17 October 1996 / In revised form: 7 March 1997 相似文献
10.
Let ξ,ξ
1,ξ
2,… be positive i.i.d. random variables, S=∑
j=1∞
a(j)ξ
j
, where the coefficients a(j)≥0 are such that P(S<∞)=1. We obtain an explicit form of the asymptotics of −ln P(S<x) as x→0 for the following three cases:
The research partially supported by the RFBR grants 05-01-00810 and 06-01-00738, the Russian President’s grant NSh-8980-2006.1,
and the INTAS grant 03-51-5018. The second author also supported by the Lavrentiev SB RAS grant for young scientists. 相似文献
(i) | the sequence {a(j)} is regularly varying with exponent −β<−1, and −ln P(ξ<x)=O(x −γ+δ ) as x→0 for some δ>0, where γ=1/(β−1), |
(ii) | −ln P(ξ<x) is regularly varying with exponent −γ<0 as x→0, and a(j)=O(j −β−δ ) as j→∞ for some δ>0, where γ=1/(β−1), |
(iii) | {a(j)} decreases faster than any power of j, and P(ξ<x) is regularly varying with positive exponent as x→0. |
11.
We say that n independent trajectories ξ1(t),…,ξ
n
(t) of a stochastic process ξ(t)on a metric space are asymptotically separated if, for some ɛ > 0, the distance between ξ
i
(t
i
) and ξ
j
(t
j
) is at least ɛ, for some indices i, j and for all large enough t
1,…,t
n
, with probability 1. We prove sufficient conitions for asymptotic separationin terms of the Green function and the transition
function, for a wide class of Markov processes. In particular,if ξ is the diffusion on a Riemannian manifold generated by
the Laplace operator Δ, and the heat kernel p(t, x, y) satisfies the inequality p(t, x, x) ≤ Ct
−ν/2 then n trajectories of ξ are asymptotically separated provided . Moreover, if for some α∈(0, 2)then n trajectories of ξ(α) are asymptotically separated, where ξ(α) is the α-process generated by −(−Δ)α/2.
Received: 10 June 1999 / Revised version: 20 April 2000 / Published online: 14 December 2000
RID="*"
ID="*" Supported by the EPSRC Research Fellowship B/94/AF/1782
RID="**"
ID="**" Partially supported by the EPSRC Visiting Fellowship GR/M61573 相似文献
12.
In this paper, we investigate the a.s. asymptotic behavior of the solution of the stochastic differential equation dX(t) = g(X(t)) dt + σ(X(t))dW(t), X(0) ≢ 1, where g(·) and σ(·) are positive continuous functions, and W(·) is a standard Wiener process. By means of the theory of PRV functions we find conditions on g(·), σ(·), and ϕ(·) under which ϕ(X(·)) may be approximated a.s. by ϕ(μ(·)) on {X(t) → ∞}, where μ(·) is the solution of the ordinary differential equation dμ(t) = g(μ(t)) dt with μ(0) = 1.
Published in Lietuvos Matematikos Rinkinys, Vol. 47, No. 4, pp. 445–465, October–December, 2007. 相似文献
13.
Let {X(t): t [a, b]} be a Gaussian process with mean μ L2[a, b] and continuous covariance K(s, t). When estimating μ under the loss ∫ab (
(t)−μ(t))2 dt the natural estimator X is admissible if K is unknown. If K is known, X is minimax with risk ∫ab K(t, t) dt and admissible if and only if the three by three matrix whose entries are K(ti, tj) has a determinant which vanishes identically in ti [a, b], i = 1, 2, 3. 相似文献
14.
Walter Bergweiler 《Journal d'Analyse Mathématique》1994,63(1):121-129
Let (zj) be a sequence of complex numbers satisfying |zj|→ ∞ asj → ∞ and denote by n(r) the number of zj satisfying |zj|≤ r. Suppose that lim infr → ⇈ log n(r)/ logr > 0. Let ϕ be a positive, non-decreasing function satisfying ∫∞ (ϕ(t)t logt)−1
dt < ∞. It is proved that there exists an entire functionf whose zeros are the zj such that log log M(r,f) = o((log n(r))2ϕ(log n(r))) asr → ∞ outside some exceptional set of finite logarithmic measure, and that the integral condition on ϕ is best possible here.
These results answer a question by A. A. Gol’dberg. 相似文献
15.
Let {S
n
} be a random walk on ℤ
d
and let R
n
be the number of different points among 0, S
1,…, S
n
−1. We prove here that if d≥ 2, then ψ(x) := lim
n
→∞(−:1/n) logP{R
n
≥nx} exists for x≥ 0 and establish some convexity and monotonicity properties of ψ(x). The one-dimensional case will be treated in a separate paper.
We also prove a similar result for the Wiener sausage (with drift). Let B(t) be a d-dimensional Brownian motion with constant drift, and for a bounded set A⊂ℝ
d
let Λ
t
= Λ
t
(A) be the d-dimensional Lebesgue measure of the `sausage' ∪0≤
s
≤
t
(B(s) + A). Then φ(x) := lim
t→∞:
(−1/t) log P{Λ
t
≥tx exists for x≥ 0 and has similar properties as ψ.
Received: 20 April 2000 / Revised version: 1 September 2000 / Published online: 26 April 2001 相似文献
16.
I. Kiguradze 《Georgian Mathematical Journal》1994,1(5):487-494
The properties of solutions of the equationu″(t) =p
1(t)u(τ1(t)) +p
2(t)u′(τ2(t)) are investigated wherep
i
:a, + ∞[→R (i=1,2) are locally summable functions τ1 :a, + ∞[→R is a measurable function, and τ2 :a, + ∞[→R is a nondecreasing locally absolutely continuous function. Moreover, τ
i
(t) ≥t (i = 1,2),p
1(t)≥0,p
2
2
(t) ≤ (4 - ɛ)τ
2
′
(t)p
1(t), ɛ =const > 0 and
. In particular, it is proved that solutions whose derivatives are square integrable on [α,+∞] form a one-dimensional linear
space and for any such solution to vanish at infinity it is necessary and sufficient that
. 相似文献
17.
Mario Abundo 《Methodology and Computing in Applied Probability》2010,12(3):473-490
It is studied the first-passage time (FPT) of a time homogeneous one-dimensional diffusion, driven by the stochastic differential
equation dX(t) = μ(X(t))dt + σ(X(t)) dB
t
, X(0) = x
0, through b + Y(t), where b > x
0 and Y(t) is a compound Poisson process with rate λ > 0 starting at 0, which is independent of the Brownian motion B
t
. In particular, the FPT density is investigated, generalizing a previous result, already known in the case when X(t) = μt + B
t
, for which the FPT density is the solution of a certain integral equation. A numerical method is shown to calculate approximately
the FPT density; some examples and numerical results are also reported. 相似文献
18.
Ki Sik Ha 《Semigroup Forum》1989,38(1):215-221
LetZ be a generator of an exponentially boundedC-semigroup {S
t
}
t≥0 in a Banach space and letT
t
=C
−1
S
t
. We show that the spectral mapping theorems such as exp(tσ(Z)) ⊂ σ(T
t
) and exp(tσ
p
(Z)) ⊂ tσ
p
(T
t
) ⊂ exp(tσ
p
(Z)) ⋃ {0} for everyt≥0 hold.
The present studies were supported by the Basic Science Research Institute Program, Ministry of Education, 1987. 相似文献
19.
Let X be a normed space that satisfies the Johnson–Lindenstrauss lemma (J–L lemma, in short) in the sense that for any integer
n and any x
1,…,x
n
∈X, there exists a linear mapping L:X→F, where F⊆X is a linear subspace of dimension O(log n), such that ‖x
i
−x
j
‖≤‖L(x
i
)−L(x
j
)‖≤O(1)⋅‖x
i
−x
j
‖ for all i,j∈{1,…,n}. We show that this implies that X is almost Euclidean in the following sense: Every n-dimensional subspace of X embeds into Hilbert space with distortion
22O(log*n)2^{2^{O(\log^{*}n)}}
. On the other hand, we show that there exists a normed space Y which satisfies the J–L lemma, but for every n, there exists an n-dimensional subspace E
n
⊆Y whose Euclidean distortion is at least 2Ω(α(n)), where α is the inverse Ackermann function. 相似文献
20.
Let X
1, X
2, … be a sequence of independent identically distributed real-valued random variables, S
n
be the nth partial sum process S
n
(t) ≔ X
1 + ⋯ X
⌊tn⌋, t ∈ [0, 1], W be the standard Wiener process on [0, 1], and 2 < p < ∞. It is proved that n
−1/2
S
n
converges in law to σW as n → ∞ in p-variation norm if and only if EX
1 = 0 and σ
2 = EX
12 < ∞. The result is applied to test the stability of a regression model.
The research was partially supported by the Lithuanian State Science and Studies Foundation, grant No. T-21/07 相似文献