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This paper deals with the geometric local theta correspondence at the Iwahori level for dual reductive pairs of type II over a non Archimedean field $F$ of characteristic $p\neq 2$ in the framework of the geometric Langlands program. First we construct and study the geometric version of the invariants of the Weil representation of the Iwahori-Hecke algebras. In the particular case of $(GL_1, GL_m)$ we give a complete geometric description of the corresponding category. The second part of the paper deals with geometric local Langlands functoriality at the Iwahori level in a general setting. Given two reductive connected groups $G$, $H$ over $F$ and a morphism $\check{G}\times \mathrm{SL}_2\to\check{H}$ of Langlands dual groups, we construct a bimodule over the affine extended Hecke algebras of $H$ and $G$ that should realize the geometric local Arthur-Langlands functoriality at the Iwahori level. Then, we propose a conjecture describing the geometric local theta correspondence at the Iwahori level constructed in the first part in terms of this bimodule and we prove our conjecture for pairs $(GL_1, GL_m)$., Comment: To appear in the Journal of the Institute of Mathematics of Jussieu

Let 𝓈 be a finite or countable set. Given a matrix F = (F ij ) i,j∈𝓈 of distribution functions on R and a quasistochastic matrix Q = (q ij ) i,j∈𝓈 , i.e. an irreducible nonnegative matrix with maximal eigenvalue 1 and associated unique (modulo scaling) positive left and right eigenvectors u and v, the matrix renewal measure ∑ n≥0 Q n ⊗ F *n associated with Q ⊗ F := (q ij F ij ) i,j∈𝓈 (see below for precise definitions) and a related Markov renewal equation are studied. This was done earlier by de Saporta (2003) and Sgibnev (2006, 2010) by drawing on potential theory, matrix-analytic methods, and Wiener-Hopf techniques. In this paper we describe a probabilistic approach which is quite different and starts from the observation that Q ⊗ F becomes an ordinary semi-Markov matrix after a harmonic transform. This allows us to relate Q ⊗ F to a Markov random walk {(M n , S n )} n≥0 with discrete recurrent driving chain {M n } n≥0. It is then shown that renewal theorems including a Choquet-Deny-type lemma may be easily established by resorting to standard renewal theory for ordinary random walks. The paper concludes with two typical examples.

In this paper, we provide a concrete interpretation of equivariant Reidemeister torsion, and demonstrate that Bismut–Zhang’s equivariant Cheeger–Müller theorem simplifies considerably when applied to locally symmetric spaces. In a companion paper, this allows us to extend recent results on torsion cohomology growth and torsion cohomology comparison for arithmetic locally symmetric spaces to an equivariant setting.

Suppose that X 1, …, X n are random variables with the same known marginal distribution F but unknown dependence structure. In this paper we study the smallest possible value of P(X 1 + · · · + X n < s) over all possible dependence structures, denoted by m n,F (s). We show that m n,F (ns) → 0 for s no more than the mean of F under weak assumptions. We also derive a limit of m n,F (ns) for any s ∈ R with an error of at most n -1/6 for general continuous distributions. An application of our result to risk management confirms that the worst-case value at risk is asymptotically equivalent to the worst-case expected shortfall for risk aggregation with dependence uncertainty. In the last part of this paper we present a dual presentation of the theory of complete mixability and give dual proofs of theorems in the literature on this concept.

Tent spaces of vector-valued functions were recently studied by Hytönen, van Neerven and Portal with an eye on applications to $H^{\infty }$-functional calculi. This paper extends their results to the endpoint cases $p=1$ and $p=\infty $ along the lines of earlier work by Harboure, Torrea and Viviani in the scalar-valued case. The main result of the paper is an atomic decomposition in the case $p=1$, which relies on a new geometric argument for cones. A result on the duality of these spaces is also given.

We study the free group of rank two from the point of view of Stallings core graphs. The first half of the paper examines primitive elements in this group, giving new and self-contained proofs for various known results about them. In particular, this includes the classification of bases of this group. The second half of the paper is devoted to constructing a counterexample to a conjecture by Miasnikov, Ventura and Weil, which seeks to characterize algebraic extensions in free groups in terms of Stallings graphs.

International audience; The weak KAM theory was developed by Fathi in order to study the dynamics of convex Hamiltonian systems. It somehow makes a bridge between viscosity solutions of the Hamilton–Jacobi equation and Mather invariant sets of Hamiltonian systems, although this was fully understood only a posteriori. These theories converge under the hypothesis of convexity, and the richness of applications mostly comes from this remarkable convergence. In this paper, we provide an elementary exposition of some of the basic concepts of weak KAM theory. In a companion paper, Albert Fathi exposed the aspects of his theory which are more directly related to viscosity solutions. Here, on the contrary, we focus on dynamical applications, even if we also discuss some viscosity aspects to underline the connections with Fathi's lecture. The fundamental reference on weak KAM theory is the still unpublished book Weak KAM theorem in Lagrangian dynamics by Albert Fathi. Although we do not offer new results, our exposition is original in several aspects. We only work with the Hamiltonian and do not rely on the Lagrangian, even if some proofs are directly inspired by the classical Lagrangian proofs. This approach is made easier by the choice of a somewhat specific setting. We work on R d and make uniform hypotheses on the Hamiltonian. This allows us to replace some compactness arguments by explicit estimates. For the most interesting dynamical applications, however, the compactness of the configuration space remains a useful hypothesis and we retrieve it by considering periodic (in space) Hamiltonians. Our exposition is centred on the Cauchy problem for the Hamilton–Jacobi equation and the Lax–Oleinik evolution operators associated to it. Dynamical applications are reached by considering fixed points of these evolution operators, the weak KAM solutions. The evolution operators can also be used for their regularizing properties; this opens an alternative route to dynamical applications. 1. The method of characteristics, existence and uniqueness of regular solutions We consider a C 2 Hamiltonian H(t, q, p) : R × R d × R d * → R and study the associated Hamiltonian system ˙ q(t) = ∂ p H(t, q(t), p(t)), ˙ p(t) = −∂ q H(t, q(t), p(t)), (HS) * This paper is a late addition to the papers surveying active areas in partial differential equations , published in issue 141.2, which were based on a series of mini-courses held in the International Centre for Mathematical Sciences (ICMS) in Edinburgh during 2010. and Hamilton–Jacobi equation ∂ t u + H(t, q, ∂ q u(t, q)) = 0. (HJ) We denote by X H (x) = X H (q, p) the Hamiltonian vector field X H = J dH, where J is the matrix J = 0 I −I 0. The Hamiltonian system can be written in condensed terms ˙ x(t) = X H (t, x(t)). We shall always assume that the solutions extend to R. We denote by ϕ t τ = (Q t τ , P t τ): R d

The purpose of this paper is to give a complete description of the primitive ideal space of the C*-algebra [R] associated to the ring of integers R in a number field K in the recent paper [5]. As explained in [5], [R] can be realized as the Toeplitz C*-algebra of the affine semigroup R ⋊ R× over R and as a full corner of a crossed product C0() ⋊ K ⋊ K*, where is a certain adelic space. Therefore Prim([R]) is homeomorphic to the primitive ideal space of this crossed product. Using a recent result of Sierakowski together with the fact that every quasi-orbit for the action of K ⋊ K* on contains at least one point with trivial stabilizer we show that Prim([R]) is homeomorphic to the quasi-orbit space for the action of K ⋊ K* on , which in turn may be identified with the power set of the set of prime ideals of R equipped with the power-cofinite topology.

This is an addendum to a recent paper by Zaïmi, Bertin and Aljouiee [‘On number fields without a unit primitive element’, Bull. Aust. Math. Soc.93 (2016), 420–432], giving the answer to a question asked in that paper, together with some historical connections.

In the paper ‘Bruhat–Tits theory from Berkovich's point of view. I. Realizations and compactifications of buildings’, we investigated various realizations of the Bruhat–Tits building $\mathcal{B}(\mathrm{G},k)$ of a connected and reductive linear algebraic group G over a non-Archimedean field k in the framework of Berkovich's non-Archimedean analytic geometry. We studied in detail the compactifications of the building which naturally arise from this point of view. In the present paper, we give a representation theoretic flavour to these compactifications, following Satake's original constructions for Riemannian symmetric spaces.We first prove that Berkovich compactifications of a building coincide with the compactifications, previously introduced by the third named author and obtained by a gluing procedure. Then we show how to recover them from an absolutely irreducible linear representation of G by embedding $\mathcal{B}(\mathrm{G},k)$ in the building of the general linear group of the representation space, compactified in a suitable way. Existence of such an embedding is a special case of Landvogt's general results on functoriality of buildings, but we also give another natural construction of an equivariant embedding, which relies decisively on Berkovich geometry.

Let $({\mathcal X}, d, \mu)$ be a metric measure space and satisfy the so-called upper doubling condition and the geometrical doubling condition. In this paper, we introduce the atomic Hardy space $H^1(\mu)$ and prove that its dual space is the known space ${\rm RBMO}(\mu)$ in this context. Using this duality, we establish a criterion for the boundedness of linear operators from $H^1(\mu)$ to any Banach space. As an application of this criterion, we obtain the boundedness of Calder\'on--Zygmund operators from $H^1(\mu)$ to $L^1(\mu)$., Comment: This paper has been withdrawn by the authors, since it has already been published

This paper provides a simple proof for the fact that the hitting time to an infrequently visited subset for a one-dependent regenerative process converges weakly to an exponential distribution. Special cases are positive recurrent Harris chains and Harris processes. The paper further extends this class of limit theorems to ‘rewards’ that are cumulated to the hitting time of such a rare set.

In this paper, we are concerned with the instability problem of one global transonic conic shock wave for the supersonic Euler flow past an infinitely long conic body whose vertex angle is less than some critical value. This is motivated by the following descriptions in the bookSupersonic Flow and Shock Wavesby Courant and Friedrichs: if there is a supersonic steady flow which comes from minus infinity, and the flow hits a sharp cone along its axis direction, then it follows from the Rankine-Hugoniot conditions, the physical entropy condition, and the apple curve method that there will appear a weak shock or a strong shock attached at the vertex of the cone, which corresponds to the supersonic shock or the transonic shock, respectively. A long-standing open problem is that only the weak shock could occur, and the strong shock is unstable. However, a convincing proof of this instability has apparently never been given. The aim of this paper is to understand this. In particular, under some suitable assumptions, because of the essential influence of the rotation of Euler flow, we show that a global transonic conic shock solution is unstable as long as the related sharp circular cone is perturbed.

We prove the so-called inverse conjecture for the Gowers U^{s+1}-norm in the case s = 3 (the cases s < 3 being established in previous literature). That is, we establish that if f : [N] -> C is a function with |f(n)| = ��then there is a bounded complexity 3-step nilsequence F(g(n)��) which correlates with f. The approach seems to generalise so as to prove the inverse conjecture for s >= 4 as well, and a longer paper will follow concerning this. By combining this with several previous papers of the first two authors one obtains the generalised Hardy-Littlewood prime-tuples conjecture for any linear system of complexity at most 3. In particular, we have an asymptotic for the number of 5-term arithmetic progressions p_1 < p_2 < p_3 < p_4 < p_5, 49 pages, to appear in Glasgow J. Math. Fixed a problem with the file (the paper appeared in duplicate)

In this paper, the componentwise increasing convex order, the upper orthant order, the upper orthant convex order, and the increasing directionally convex order for random vectors are generalized to hierarchical classes of integral stochastic order relations. The elements of the generating classes of functions possess nonnegative partial derivatives up to some given degrees. Some properties of these new stochastic order relations are studied. Particular attention is paid to the comparison of weighted sums of the respective components of ordered random vectors. By providing a unified derivation of standard multivariate stochastic orderings, the present paper shows how some well-known results derive from a common principle.

This thesis is concerned with the study of stochastic epidemic models for infectious diseases in heterogeneous populations. All diseases treated are of SIR type, i.e. individuals are either Susceptible, Infectious or Recovered (and immune). The transitions between these states are according to S to I to R. The thesis consists of five papers. Papers I and II treat approximations for the distribution of the time to extinction. In Paper I, a sub-community version of the SIR model with demography is considered. The interest is in how the distribution of the time to extinction is affected by varying the degree of interaction between the sub-communities. Paper II is concerned with a two-type version of Bartlett's model. The distribution of the time to extinction is studied when the difference in susceptibility/infectivity between the types of individuals is varied. Papers III and IV treat random intersection graphs with tunable clustering. In Paper III a Reed-Frost epidemic is run on such a random intersection graph. The critical parameter R_0 and the probability of a large outbreak are derived and it is investigated how these quantities are affected by the clustering in the graph. In Paper IV the interest is in the component structure of such a graph, i.e. the size and the emergence of a giant component is studied. The last paper, Paper V, treats the situation when a simple epidemic is running in a varying environment. A varying environment is in this context any external factor that affects the contact rate in the population, but is itself unaffected by the population. The model treated is a term-time forced version of the stochastic general epidemic where the contact rate is modelled by an alternating renewal process. A threshold parameter R_* and the probability of a large outbreak are derived and studied.

Nice polynomials are polynomials whose coefficients, roots, and critical points are integers. The earliest papers on nice polynomials [1, 2, 3] give an explicit formula for all nice cubics. All the derivations of this formula use Pythagorean triples.In 1999 the problem of finding, constructing, and classifying nice polynomials was added to the list of unsolved problems [4] in The American Mathematical Monthly. Other papers soon followed, including [5] and [6], with extending the results of nice polynomials to polynomials with coefficients, roots, and critical points in integral domains D. Such polynomials are called D-nice.

The Farey series of order n, Fn, consists of all the fractions between 0 and 1 (inclusive) with denominators less than or equal to n, arranged in order of magnitude and expressed in their lowest terms, so that for example The most obvious way of computing one is to assign a long series of stores and then insert the terms with denominator 1, with denominator 2, … , shifting the terms already there to make room for the new ones in their correct positions. This may require a large amount of storage and is fairly slow because of the large amount of shifting involved: for instance F1025 has 319765 terms, and occupies 400 printed pages (see Neville [1]). Neville also gives a table related to F100, which has 3045 terms. His procedures, a heroic application of pencil-and-paper methods, are described at the end of this paper.

Let (X, O) be a germ of a normal surface singularity, π: → X be the minimal resolution of singularities and let A = (ai,j) be the n × n symmetrical intersection matrix of the exceptional set of In an old preprint Nash proves that the set of arcs on a surface singularity is a scheme , and defines a map from the set of irreducible components of to the set of exceptional components of the minimal resolution of singularities of (X,O). He proved that this map is injective and ask if it is surjective. In this paper we consider the canonical decomposition •For any couple (Ei,Ej) of distinct exceptional components, we define Numerical Nash condition (NN(i,j)). We have that (NN(i,j)) implies In this paper we prove that (NN(i,j)) is always true for at least the half of couples (i,j).•The condition (NN(i,j)) is true for all couples (i,j) with i ≠ j, characterizes a certain class of negative definite matrices, that we call Nash matrices. If A is a Nash matrix then the Nash map N is bijective. In particular our results depend only on A and not on the topological type of the exceptional set.•We recover and improve considerably almost all results known on this topic and our proofs are new and elementary.•We give infinitely many other classes of singularities where Nash Conjecture is true.The proofs are based on my old work [8] and in Plenat [10].

In this paper, we give a characterization of the simultaneous unitarizability of any finite set of SL(2, ℂ)-valued functions on and determine all possible ways of the unitarization. Such matrix functions can be regarded as images of the generators for the fundamental group of a surface in an -family, and the results of this paper have applications in the construction of constant mean curvature surfaces in space.

This paper is concerned with the analysis of Markov decision processes in which a natural form of termination ensures that the expected future costs are bounded, at least under some policies. Whereas most previous analyses have restricted attention to the case where the set of states is finite, this paper analyses the case where the set of states is not necessarily finite or even countable. It is shown that all the existence, uniqueness, and convergence results of the finite-state case hold when the set of states is a general Borel space, provided we make the additional assumption that the optimal value function is bounded below. We give a sufficient condition for the optimal value function to be bounded below which holds, in particular, if the set of states is countable.

Let X = (X1, X2, …, Xn) be an exchangeable random vector, and write X(1:i) = min{X1, X2, …, Xi}, 1 ≤ i ≤ n. In this paper we obtain conditions under which X(1:i) decreases in i in the hazard rate order. A result involving more general (that is, not necessarily exchangeable) random vectors is also derived. These results are applied to obtain the limiting behaviour of the hazard rate function of the lifetimes of various coherent systems in reliability theory. The notions of the Samaniego signatures and the minimal signatures of such systems are extensively used in the paper. An interesting relationship between these two signatures is obtained. The results are illustrated in a series of examples.

An algebraic group of type E7 over an algebraically closed field has an irreducible representation in a vector space of dimension 56 and is, in fact, the identity component of the automorphism group of a quartic form on the space. This paper describes the construction of the quartic form if the characteristic is ≠ 2, 3, taking into account a field of definition F. Certain F-forms of E7 appear in the automorphism groups of quartic forms over F, as well as forms of E6. Many of the results of the paper are known, but are perhaps not easily accessible in the literature.

We study the uncertain dichotomous choice model. In this model, a group of expert decision makers is required to select one of two alternatives. The applications of this model are relevant to a wide variety of areas. A decision rule translates the individual opinions of the members into a group decision, and is optimal if it maximizes the probability of the group making a correct choice. In this paper, we assume the correctness probabilities of the experts to be independent random variables selected from some given distribution. Moreover, the ranking of the members in the group is (at least partly) known. Thus, one can follow rules based on this ranking. The extremes are the expert rule and the majority rule. The probabilities of the two extreme rules being optimal were compared in a series of early papers, for a variety of distributions. In most cases, the asymptotic behaviours of the probabilities of the two extreme rules followed the same patterns. Do these patterns hold in general? If not, what are the ranges of possible asymptotic behaviours of the probabilities of the two extreme rules being optimal? In this paper, we provide satisfactory answers to these questions.

This thesis consists of four papers.In paper 1, we prove central limit theorems for Markov chains under (local) contraction conditions. As a corollary we obtain a central limit theorem for Markov chains associated with iterated function systems with contractive maps and place-dependent Dini-continuous probabilities.In paper 2, properties of inverse subordinators are investigated, in particular similarities with renewal processes. The main tool is a theorem on processes that are both renewal and Cox processes.In paper 3, distributional properties of supercritical and especially immortal branching processes are derived. The marginal distributions of immortal branching processes are found to be compound geometric.In paper 4, a description of a dynamic population model is presented, such that samples from the population have genealogies as given by a Lambda-coalescent with mutations. Depending on whether the sample is grouped according to litters or families, the sampling distribution is either regenerative or non-regenerative.

In this paper, we describe a class of Wiener functionals that are ‘indeterminate by their moments’, that is, whose distributions are not uniquely determined by their moments. In particular, it is proved that the integral of a geometric Brownian motion is indeterminate by its moments and, moreover, shown that previous proofs of this result are incorrect. The main result of this paper is based on geometric inequalities in Gauss space and on a generalization of the Krein criterion due to H. L. Pedersen.

Let Mn be an immersed umbilic-free hypersurface in the (n + 1)-dimensional unit sphere n+1, then Mn is associated with a so-called Möbius metric g, a Möbius second fundamental form B and a Möbius form Φ which are invariants of Mn under the Möbius transformation group of n+1. A classical theorem of Möbius geometry states that Mn (n ≥ 3) is in fact characterized by g and B up to Möbius equivalence. A Möbius isoparametric hypersurface is defined by satisfying two conditions: (1) Φ ≡ 0; (2) All the eigenvalues of B with respect to g are constants. Note that Euclidean isoparametric hyper-surfaces are automatically Möbius isoparametric, whereas the latter are Dupin hypersurfaces.In this paper, we prove that a Möbius isoparametric hypersurface in 4 is either of parallel Möbius second fundamental form or Möbius equivalent to a tube of constant radius over a standard Veronese embedding of ℝP2 into 4. The classification of hypersurfaces in n+1 (n ≥ 2) with parallel Möbius second fundamental form has been accomplished in our previous paper [6]. The present result is a counterpart of Pinkall’s classification for Dupin hypersurfaces in 4 up to Lie equivalence.

In this paper we find the necessary and sufficient conditions on a, b, c, s for a triangle with sides a, b, c to fit into a square of side s.Questions about precisely when one shape fits into another attract wide attention. In 1993 Post [1] gave necessary and sufficient conditions on the six sides of two triangles for the first to fit into the second. Recently, the necessary and sufficient conditions for squares to fit in triangles [2], equilateral triangles in triangles [3], rectangles in triangles [4] and rectangles in rectangles [5] are given. In [2] Wetzel asked when a given triangle fits into a given square. In this paper we find the necessary and sufficient conditions on a, b, c, s for a triangle with sides a, b, c to fit into a square of side s. For the sake of convenience, let α, β, γ denote the angles opposite sides a, b, c respectively, and we may assume without loss of generality that a ≥ b ≥ c, which implies that α ≥ β ≥ γ.

This paper studies a discrete-time single-server queue with two independent inputs and service interruptions. One of the inputs to the queue is an independent and identically distributed process. The other is a much more general process and it is not required to be Markov nor is it required to be stationary. The service interruption process is also general and it is not required to be Markov or to be stationary. This paper shows that a stochastic decomposition property for the virtual waiting-time process holds in the discrete-time single-server queue with service interruptions. To the best of the author's knowledge, no stochastic decomposition results for virtual waiting-time processes in non-work-conserving queues, such as queues with service interruptions, have been obtained before and only work-conserving queues have been studied in the literature.

In this paper, we study the on-line parameter estimation problem for a partially observable system subject to deterioration and random failure. The state of the system evolves according to a continuous-time homogeneous Markov process with a finite state space. The state of the system is hidden except for the failure state. When the system is operating, only the information obtained by condition monitoring, which is related to the working state of the system, is available. The condition monitoring observations are assumed to be in continuous range, so that no discretization is required. A recursive maximum likelihood (RML) algorithm is proposed for the on-line parameter estimation of the model. The new RML algorithm proposed in the paper is superior to other RML algorithms in the literature in that no projection is needed and no calculation of the gradient on the surface of the constraint manifolds is required. A numerical example is provided to illustrate the algorithm.

The test ideal $\tau(R)$ of a ring $R$ of prime characteristic is an important object in the theory of tight closure. In this paper, we study a generalization of the test ideal, which is the ideal $\tau(\a^t)$ associated to a given ideal $\a$ with rational exponent $t \ge 0$. We first prove a key lemma of this paper, which gives a characterization of the ideal $\tau(\a^t)$. As applications of this key lemma, we generalize the preceding results on the behavior of the test ideal $\tau(R)$. Moreover, we prove an analog of so-called Skoda's theorem, which is formulated algebraically via adjoint ideals by Lipman in his proof of the "modified Brian\c{c}on--Skoda theorem.", Comment: 11 pages, AMS-LaTeX; v.2: minor changes, to appear in Nagoya Math. J

We correct two technical errors in the original paper. The main result in the original paper remains valid without any changes.

This thesis, consisting of six papers and a summary, studies the area of continuous time financial mathematics. A unifying theme for many of the problems studied is the implications of possible mis-specifications of models. Intimately connected with this question is, perhaps surprisingly, convexity properties of option prices. We also study qualitative behavior of different optimal stopping boundaries appearing in option pricing.In Paper I a new condition on the contract function of an American option is provided under which the option price increases monotonically in the volatility. It is also shown that American option prices are continuous in the volatility.In Paper II an explicit pricing formula for the perpetual American put option in the Constant Elasticity of Variance model is derived. Moreover, different properties of this price are studied.Paper III deals with the Russian option with a finite time horizon. It is shown that the value of the Russian option solves a certain free boundary problem. This information is used to analyze the optimal stopping boundary.A study of perpetual game options is performed in Paper IV. One of the main results provides a condition under which the value of the option is increasing in the volatility.In Paper V options written on several underlying assets are considered. It is shown that, within a large class of models, the only model for the stock prices that assigns convex option prices to all convex contract functions is geometric Brownian motion.Finally, in Paper VI it is shown that the optimal stopping boundary for the American put option is convex in the standard Black-Scholes model.

Suppose that {X s , 0 ≤ s ≤ T} is an m-dimensional geometric Brownian motion with drift, μ is a bounded positive Borel measure on [0,T], and ϕ : ℝ m → [0,∞) is a (weighted) l q (ℝ m )-norm, 1 ≤ q ≤ ∞. The purpose of this paper is to study the distribution and the moments of the random variable Y given by the L p (μ)-norm, 1 ≤ p ≤ ∞, of the function s ↦ ϕ(X s ), 0 ≤ s ≤ T. By using various geometric inequalities in Wiener space, this paper gives upper and lower bounds for the distribution function of Y and proves that the distribution function is log-concave and absolutely continuous on every open subset of the distribution's support. Moreover, the paper derives tail probabilities, presents sharp moment inequalities, and shows that Y is indetermined by its moments. The paper will also discuss the so-called moment-matching method for the pricing of Asian-styled basket options.

In this paper, we study the classification of matrix GI/M/1-type Markov chains with a tree structure. We show that the Perron–Frobenius eigenvalue of a Jacobian matrix provides information for classifying these Markov chains. A fixed-point approach is utilized. A queueing application is presented to show the usefulness of the classification method developed in this paper.

Let (G, ρ, X) be a prehomogeneous vector space with singular set S over an algebraic number field F. The main result of this paper is a proof for the convergence of the zeta fucntions Z(Φ, s) associated with (G, ρ, X) for large Re s under the assumption that S is a hypersurface. This condition is satisfied if G is reductive and (G, ρ, X) is regular. When the connected component of the stabilizer of a generic point x is semisimple and the group Πx of connected components of Gx is abelian, a clear estimate of the domain of convergence is given.Moreover when S is a hypersurface and the Hasse principle holds for G, it is shown that the zeta fucntions are sums of (usually infinite) Euler products, the local components of which are orbital local zeta functions. This result has been proved in a previous paper by the author under the more restrictive condition that (G, ρ, X) is irreducible, regular, and reduced, and the zeta function is absolutely convergent.

In this paper, we consider denumerable-state continuous-time Markov decision processes with (possibly unbounded) transition and reward rates and general action space under the discounted criterion. We provide a set of conditions weaker than those previously known and then prove the existence of optimal stationary policies within the class of all possibly randomized Markov policies. Moreover, the results in this paper are illustrated by considering the birth-and-death processes with controlled immigration in which the conditions in this paper are satisfied, whereas the earlier conditions fail to hold.

This paper presents an algorithmic procedure to calculate the delay distribution of a type k customer in a first-come-first-served (FCFS) discrete-time queueing system with multiple types of customers, where each type has different service requirements (the MMAP[K]/PH[K]/1 queue). First, we develop a procedure, using matrix analytical methods, to handle arrival processes that do not allow batch arrivals to occur. Next, we show that this technique can be generalized to arrival processes that do allow batch arrivals to occur. We end the paper by presenting some numerical examples.

This paper is concerned with a finitely generated module M over a (commutative Noetherian) local ring R. In the case when R is a homomorphic image of a Gorenstein local ring, one can use the well-known associativity formula for multiplicities, together with local duality and Matlis duality, to produce analogous associativity formulae for the local cohomology modules of M with respect to the maximal ideal. The main purpose of this paper is to show that these formulae also hold in the case when R is universally catenary and such that all its formal fibres are Cohen–Macaulay.These formulae involve certain subsets of the spectrum of R called the pseudosupports of M; these pseudo-supports are closed in the Zariski topology when R is universally catenary and has the property that all its formal fibres are Cohen–Macaulay. However, examples are provided to show that, in general, these pseudo-supports need not be closed. We are able to conclude that the above-mentioned associativity formulae for local cohomology modules do not hold over all local rings.

We set out some general criteria to prove the K-property, refining the assumptions used in an earlier paper for the flow case, and introducing the analogous discrete-time result. We also introduce one-sided $\lambda $ -decompositions, as well as multiple techniques for checking the pressure gap required to show the K-property. We apply our results to the family of Mañé diffeomorphisms and the Katok map. Our argument builds on the orbit decomposition theory of Climenhaga and Thompson.

In this work, we study a mesh termination scheme in acoustic scattering, known as the perfectly matched layer (PML) method. The main result of the paper is the following. Assume that the scatterer is contained in a bounded and strictly convex artificial domain. We surround this domain by a PML of constant thickness. On the peripheral boundary of this layer, a homogenous Dirichlet condition is imposed. We show in this paper that the resulting boundary-value problem for the scattered field is uniquely solvable for all wavenumbers and the solution within the artificial domain converges exponentially fast toward the full-space scattering solution when the layer thickness is increased. The proof is based on the idea of interpreting the PML medium as a complex stretching of the coordinates in Rn and on the use of complexified layer potential techniques.

Consider a renewal process. The renewal events partition the process into i.i.d. renewal cycles. Assume that on each cycle, a rare event called 'success’ can occur. Such successes lend themselves naturally to approximation by Poisson point processes. If each success occurs after a random delay, however, Poisson convergence may be relatively slow, because each success corresponds to a time interval, not a point. In 1996, Altschul and Gish proposed a finite-size correction to a particular approximation by a Poisson point process. Their correction is now used routinely (about once a second) when computers compare biological sequences, although it lacks a mathematical foundation. This paper generalizes their correction. For a single renewal process or several renewal processes operating in parallel, this paper gives an asymptotic expansion that contains in successive terms a Poisson point approximation, a generalization of the Altschul-Gish correction, and a correction term beyond that.

The paper considers one of the standard processes for modeling returns in finance, the stochastic volatility process with regularly varying innovations. The aim of the paper is to show how point process techniques can be used to derive the asymptotic behavior of the sample autocorrelation function of this process with heavy-tailed marginal distributions. Unlike other non-linear models used in finance, such as GARCH and bilinear models, sample autocorrelations of a stochastic volatility process have attractive asymptotic properties. Specifically, in the infinite variance case, the sample autocorrelation function converges to zero in probability at a rate that is faster the heavier the tails of the marginal distribution. This behavior is analogous to the asymptotic behavior of the sample autocorrelations of independent identically distributed random variables.

This paper studies the dependence structure and bounds of several basic prototypical parallel queueing systems with correlated arrival processes to different queues. The marked feature of our systems is that each queue viewed alone is a standard single-server queuing system extensively studied in the literature, but those queues are statistically dependent due to correlated arrival streams. The major difficulty in analysing those systems is that the presence of correlation makes the explicit computation of a joint performance measure either intractable or computationally intensive. In addition, it is not well understood how and in what sense arrival correlation will improve or deteriorate a system performance measure. The objective of this paper is to provide a better understanding of the dependence structure of correlated queueing systems and to derive computable bounds for the statistics of a joint performance measure. In this paper, we obtain conditions on arrival processes under which a performance measure in two systems can be compared, in the sense of orthant and supermodular orders, among different queues and over different arrival times. Such strong comparison results enable us to study both spatial dependence (dependence among different queues) and temporal dependence (dependence over different time instances) for a joint performance measure. Further, we derive a variety of upper and lower bounds for the statistics of a stationary joint performance measure. Finally, we apply our results to synchronized queueing systems, using the ideas combined from the theory of orthant and supermodular dependence orders and majorization with respect to weighted trees (Xu and Li (2000)). Our results reveal how a performance measure can be affected, favourably or adversely, by different types of dependencies.

This paper arose from interest in assessing the quality of random number generators. The problem of testing randomness of a string of binary bits produced by such a generator gained importance with the wide use of public key cryptography and the need for secure encryption algorithms. All such algorithms are based on a generator of (pseudo) random numbers; the testing of such generators for randomness became crucial for the communications industry where digital signatures and key management are vital for information processing. The concept of approximate entropy has been introduced in a series of papers by S. Pincus and co-authors. The corresponding statistic is designed to measure the degree of randomness of observed sequences. It is based on incremental contrasts of empirical entropies based on the frequencies of different patterns in the sequence. Sequences with large approximate entropy must have substantial fluctuation or irregularity. Alternatively, small values of this characteristic imply strong regularity, or lack of randomness, in a sequence. Pincus and Kalman (1997) evaluated approximate entropies for binary and decimal expansions of e, π, √2 and √3 with the surprising conclusion that the expansion of √3 demonstrated much less irregularity than that of π. Tractable small sample distributions are hardly available, and testing randomness is based, as a rule, on fairly long strings. Therefore, to have rigorous statistical tests of randomness based on this approximate entropy statistic, one needs the limiting distribution of this characteristic under the randomness assumption. Until now this distribution remained unknown and was thought to be difficult to obtain. To derive the limiting distribution of approximate entropy we modify its definition. It is shown that the approximate entropy as well as its modified version converges in distribution to a χ2-random variable. The P-values of approximate entropy test statistics for binary expansions of e, π and √3 are plotted. Although some of these values for √3 digits are small, they do not provide enough statistical significance against the randomness hypothesis.

In this paper, we give necessary and sufficient conditions to ensure the validity of confidence intervals, based on the central limit theorem, in simulations of highly reliable Markovian systems. We resort to simulations because of the frequently huge state space in practical systems. So far the literature has focused on the property of bounded relative error. In this paper we focus on ‘bounded normal approximation’ which asserts that the approximation of the normal law, suggested by the central limit theorem, does not deteriorate as the reliability of the system increases. Here we see that the set of systems with bounded normal approximation is (strictly) included in the set of systems with bounded relative error.

On the basis of the Karlin and McGregor result, which states that the transition probability functions of a birth and death process can be expressed via the introduction of an orthogonal polynomial system and a spectral measure, we investigate in this paper how the Laplace transforms and the distributions of different transient characteristics related to excursions of a birth and death process can be expressed by means of the basic orthogonal polynomial system and the spectral measure. This allows us in particular to give a probabilistic interpretation of the series introduced by Stieltjes to study the convergence of the fundamental continued fraction associated with the system. Throughout the paper, we pay special attention to the case when the birth and death process is ergodic. Under the assumption that the spectrum of the spectral measure is discrete, we show how the distributions of different random variables associated with excursions depend on the fundamental continued fraction, the orthogonal polynomial system and the spectral measure.

A gap mapping is a discontinuous interval mapping with two strictly increasing branches that have a gap between their ranges. They are one-dimensional dynamical systems, which arise in the study of certain higher dimensional flows, for example the Lorenz flow and the Cherry flow. In this paper, we prove hyperbolicity of renormalization acting on $C^3$ dissipative gap mappings, and show that the topological conjugacy classes of infinitely renormalizable gap mappings are $C^1$ manifolds.

In this paper we prove a local exponential synchronization for Markovian random iterations of homeomorphisms of the circle $S^{1}$ , providing a new result on stochastic circle dynamics even for $C^1$ -diffeomorphisms. This result is obtained by combining an invariance principle for stationary random iterations of homeomorphisms of the circle with a Krylov–Bogolyubov-type result for homogeneous Markov chains.

It is proved that every holomorphically convex complex space endowed with an action of a compact Lie group K can be realized as an open K-stable subspace of a holomorphically convex space endowed with a holomorphic action of the complexified group K . Similar results are obtained for holomorphic if-bundles over such spaces. Let G be a real Lie group which acts by holomorphic transformations on a (reduced) complex space X. Suppose that the Lie algebra of the complexification G c of G (see [Ho, p. 204]) is the complexification of the Lie algebra of G. This holds for example in the case where G is simply connected. Then, by integrating the holomorphic vector fields given by the G-action, the complexification G c acts locally and holomorphically on X (see [K]). Adapting the terminology of Palais (see [P]), we say that a complex space X* which contains X as an open subset is a globalization of the complex G-space X whenever the local G-action on X extends to a global holomorphic action on X* and G c X = X*. The following results are proved in this paper. THEOREM 1. Let G be a compact Lie group and X a holomorphically convex complex G-space X. Then there exists a globalization X* of X satisfying the following conditions (i) X* is holomorphically convex (ii) Every G-equivariant holomorphic map ψ from X into a complex space Received August 7, 1995. Γhe first author would like to thank the Department of Mathematics of Brandeis University for its hospitality while a part of this paper was written. This project was partially supported by Sonderforschungbereich 237 "Unordnung und groβe Fluktuationeon" of the Deutsche Forschungsgemeinschaft. 2 The second author is supported by an Instituto Nazionale di Alt a Matematica grant which is gratefully acknowledged.