A Graph-based Equilibrium Problem for the Limiting Distribution of Nonintersecting Brownian Motions at Low Temperature

We consider n nonintersecting Brownian motion paths with p prescribed starting positions at time t=0 and q prescribed ending positions at time t=1. The positions of the paths at any intermediate time are a determinantal point process, which in the case p=1 is equivalent to the eigenvalue distribution of a random matrix from the Gaussian unitary ensemble with external source. For general p and q, we show that if a temperature parameter is sufficiently small, then the distribution of the Brownian paths is characterized in the large n limit by a vector equilibrium problem with an interaction matrix that is based on a bipartite planar graph. Our proof is based on a steepest descent analysis of an associated (p+q)×(p+q) matrix-valued Riemann–Hilbert problem whose solution is built out of multiple orthogonal polynomials. A new feature of the steepest descent analysis is a systematic opening of a large number of global lenses.     

Multivariate Generalization of the Hypergeometric Function Type I Distribution

The hypergeometric function type I distribution with the pdf proportional to x ^ν−1(1−x) ^γ−1 ₂ F ₁(α,β;γ;1−x), 0<x<1 occurs as the distribution of the product of two independent beta variables. In this article, a multivariate generalization of this distribution is defined and its properties are derived.      

A Note on the Distribution of the Distance from a Lattice

Let ℒ be an n-dimensional lattice, and let x be a point chosen uniformly from a large ball in ℝ ⁿ . In this note we consider the distribution of the distance from x to ℒ, normalized by the largest possible such distance (i.e., the covering radius of ℒ). By definition, the support of this distribution is [0,1]. We show that there exists a universal constant α ₂ that provides a natural “threshold” for this distribution in the following sense. For any ε>0, there exists a δ>0 such that for any lattice, this distribution has mass at least δ on [α ₂−ε,1]; moreover, there exist lattices for which the distribution is tightly concentrated around α ₂ (and so the mass on [α ₂+ε,1] can be arbitrarily small). We also provide several bounds on α ₂ and its extension to other ℓ _p norms. We end with an application from the area of computational complexity. Namely, we show that α ₂ is exactly the approximation factor of a certain natural protocol for the Covering Radius Problem. I. Haviv’s research was supported by the Binational Science Foundation and by the Israel Science Foundation. V. Lyubashevsky’s research was supported by NSF ITR 0313241. O. Regev’s research was supported by an Alon Fellowship, by the Binational Science Foundation, by the Israel Science Foundation, and by the European Commission under the Integrated Project QAP funded by the IST directorate as Contract Number 015848.     

Maximum Principle of Optimal Control of the Primitive Equations of the Ocean with Two Point Boundary State Constraint

We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of combined optimal stochastic and impulse control of a fairly general class of diffusions with random coefficients. Unlike, in the Markovian framework, we cannot apply quasi-variational inequalities techniques. We rather derive the main results using techniques involving reflected BSDEs and the Snell envelope.     

The Real Powers of the Convolution of a Gamma Distribution and a Bernoulli Distribution

In this paper, we essentially compute the set of x,y>0 such that the mapping \(z\longmapsto(1-r+re^{z})^{x}(\frac{\lambda}{\lambda-z})^{y}\) is a Laplace transform. If X and Y are two independent random variables which have respectively Bernoulli and Gamma distributions, we denote by μ the distribution of X+Y. The above problem is equivalent to finding the set of x>0 such that μ ^*x exists.     

Equations for the Missing Boundary Values in the Hamiltonian Formulation of Optimal Control Problems

Partial differential equations for the unknown final state and initial costate arising in the Hamiltonian formulation of regular optimal control problems with a quadratic final penalty are found. It is shown that the missing boundary conditions for Hamilton’s canonical ordinary differential equations satisfy a system of first-order quasilinear vector partial differential equations (PDEs), when the functional dependence of the H-optimal control in phase-space variables is explicitly known. Their solutions are computed in the context of nonlinear systems with ℝ ⁿ -valued states. No special restrictions are imposed on the form of the Lagrangian cost term. Having calculated the initial values of the costates, the optimal control can then be constructed from on-line integration of the corresponding 2n-dimensional Hamilton ordinary differential equations (ODEs). The off-line procedure requires finding two auxiliary n×n matrices that generalize those appearing in the solution of the differential Riccati equation (DRE) associated with the linear-quadratic regulator (LQR) problem. In all equations, the independent variables are the finite time-horizon duration T and the final-penalty matrix coefficient S, so their solutions give information on a whole two-parameter family of control problems, which can be used for design purposes. The mathematical treatment takes advantage from the symplectic structure of the Hamiltonian formalism, which allows one to reformulate Bellman’s conjectures concerning the “invariant-embedding” methodology for two-point boundary-value problems. Results for LQR problems are tested against solutions of the associated differential Riccati equation, and the attributes of the two approaches are illustrated and discussed. Also, nonlinear problems are numerically solved and compared against those obtained by using shooting techniques.     

Control of the Planar Takens–Bogdanov Bifurcation with Applications

It is well-known that on a versal deformation of the Takens–Bogdanov bifurcation is possible to find dynamical systems that undergo saddle-node, Hopf, and homoclinic bifurcations. In this document a nonlinear control system in the plane is considered, whose nominal vector field has a double-zero eigenvalue, and then the idea is to find under which conditions there exists a scalar control law such that be possible establish a priori, that the closed-loop system undergoes any of the three bifurcations: saddle-node, Hopf or homoclinic. We will say then that such system undergoes the controllable Takens–Bogdanov bifurcation. Applications of this result to the averaged forced van der Pol oscillator, a population dynamics, and adaptive control systems are discussed.     

Moments and Distribution of the Local Times of a Transient Random Walk on ℤ d

Consider an arbitrary transient random walk on ℤ ^d with d∈ℕ. Pick α∈[0,∞), and let L _n (α) be the spatial sum of the αth power of the n-step local times of the walk. Hence, L _n (0) is the range, L _n (1)=n+1, and for integers α, L _n (α) is the number of the α-fold self-intersections of the walk. We prove a strong law of large numbers for L _n (α) as n→∞. Furthermore, we identify the asymptotic law of the local time in a random site uniformly distributed over the range. These results complement and contrast analogous results for recurrent walks in two dimensions recently derived by Černy (Stoch. Proc. Appl. 117:262–270, 2007). Although these assertions are certainly known to experts, we could find no proof in the literature in this generality.      

Moderate and Large Deviation Estimate for the Markov-Binomial Distribution

Considering the Markov-binomial distribution, we obtain the moderate deviation and large deviation estimates for the number of successes S _n and the number of experiments Y(r) until the rth success.     

Second-order Optimality Conditions for Optimal Control of the Primitive Equations of the Ocean with Periodic Inputs

We investigate in this article the Pontryagin’s maximum principle for control problem associated with the primitive equations (PEs) of the ocean with periodic inputs. We also derive a second-order sufficient condition for optimality. This work is closely related to Wang (SIAM J. Control Optim. 41(2):583–606, 2002) and He (Acta Math. Sci. Ser. B Engl. Ed. 26(4):729–734, 2006), in which the authors proved similar results for the three-dimensional Navier-Stokes (NS) systems.     

On the Value Function of Weakly Coercive Problems in Nonlinear Stochastic Control

In this paper we investigate via a dynamic programming approach some nonlinear stochastic control problems where the control set is unbounded and a classical coercivity hypothesis is replaced by some weaker assumptions. We prove that these problems can be approximated by finite fuel problems; show the continuity of the relative value functions and characterize them as unique viscosity solutions of a quasi-variational inequality with suitable boundary conditions.     

The Poincaré series of divisorial valuations in the plane defines the topology of the set of divisors

With a plane curve singularity one associates a multi-index filtration on the ring of germs of functions of two variables defined by the orders of a function on irreducible components of the curve. The Poincaré series of this filtration turns out to coincide with the Alexander polynomial of the curve germ. For a finite set of divisorial valuations on the ring corresponding to some components of the exceptional divisor of a modification of the plane, in a previous paper there was obtained a formula for the Poincaré series of the corresponding multi-index filtration similar to the one associated with plane germs. Here we show that the Poincaré series of a set of divisorial valuations on the ring of germs of functions of two variables defines “the topology of the set of the divisors” in the sense that it defines the minimal resolution of this set up to combinatorial equivalence. For the plane curve singularity case, we also give a somewhat simpler proof of the statement by Yamamoto which shows that the Alexander polynomial is equivalent to the embedded topology.     

Approximation of integrable functions by general linear operators of their Fourier series at the Lebesgue points

Pointwise estimates of the deviation T _n,A,B f(⋅)−f(⋅) in terms of moduli of continuity [`(w)]_·f\bar{w}_{\cdot}f and w _⋅ f are proved. Analog results on norm approximation with remarks and corollaries are also given. In the results essentially weaker conditions than those in [2, Theorem 1, p. 437] are used.     

On the lattice of sub-pseudovarieties of DA

The wealth of information that is available on the lattice of varieties of bands, is used to illuminate the structure of the lattice of sub-pseudovarieties of DA, a natural generalization of bands which plays an important role in language theory and in logic. The main result describes a hierarchy of decidable sub-pseudovarieties of DA in terms of iterated Mal’cev products with the pseudovarieties of definite and reverse definite semigroups.     

Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching

We consider the optimal proportional reinsurance and dividend strategy. The surplus process is modeled by the classical compound Poisson risk model with regime switching. Considering a class of utility functions, the object of the insurer is to select the reinsurance and dividend strategy that maximizes the expected total discounted utility of the shareholders until ruin. By adapting the techniques and methods of stochastic control, we study the quasi-variational inequality for this classical and impulse control problem and establish a verification theorem. We show that the optimal value function is characterized as the unique viscosity solution of the corresponding quasi-variational inequality.     

Necessary Conditions for Optimal Control of Stochastic Evolution Equations in Hilbert Spaces

We consider a nonlinear stochastic optimal control problem associated with a stochastic evolution equation. This equation is driven by a continuous martingale in a separable Hilbert space and an unbounded time-dependent linear operator.     

Stability of a Turnpike Phenomenon for a Discrete-Time Optimal Control System

We study the structure of solutions of a discrete-time control system with a compact metric space of states X which arises in economic dynamics. This control system is described by a nonempty closed set Ω⊂X×X which determines a class of admissible trajectories (programs) and by a bounded upper semicontinuous objective function v:Ω→R ¹ which determines an optimality criterion. We are interested in turnpike properties of the approximate solutions which are independent of the length of the interval, for all sufficiently large intervals. In the present paper, we show that these turnpike properties are stable under perturbations of the objective function v.     

On the Distribution of Weakly Composite Numbers

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Isochronicity at infinity for a class of polynomial differential system

In this paper, we explore the problem of isochronicity at infinity for a class of polynomial differential system. The technique is based on taking infinity into the origin by means of a homeomorphism. Simultaneously, we derive a recursive algorithm to compute period constants at the origin of the transformed system. At the end, as an application of our algorithm, we study pseudo-isochronous center conditions at infinity for a class of septic system.     

Stability Analysis of an Optimal Control Problem for a Hyperbolic Equation

In this paper, we derive some results concerning the continuous dependence on parameters of optimal solutions to an optimal control problem that involves a quasilinear hyperbolic differential equation with a boundary condition and a nonlinear integral functional of action; continuous dependence of such kind is sometimes referred to as stability or sensitivity. To present a sufficient condition for the continuous dependence, we use the Kuratowski–Painlevé upper limit of a sequence of sets. Also offered is a technical interpretation of the results.