Linear trend exclusion for models defined with stochastic differential and difference equations
We consider a sequence of Markov chains that weakly converge to a diffusion process. We assume that the trend contains a linearly growing component. The usual parametrix method does not apply since the trend is unbounded. We show how to modify the parametrix method in order to get local limit theorems in this case.
We consider the diffusion process and its approximation by Markov chain with nonlinear unbounded trends. The usual parametrix method is not applicable because these models have unbounded trends. We describe a procedure that allows to exclude nonlinear unbounded trend and move to stochastic differential equation with bounded drift and diffusion coefficients. A similar procedure is considered for a Markov chain.
In the first part of the paper we consider a "random flight" process in \(R^d\) and obtain the weak limits under different transformations of the Poissonian switching times. In the second part we construct diffusion approximations for this process and investigate their accuracy. To prove the weak convergence result we use the approach of Stroock and Varadhan (1979). We consider more general model which may be called "random walk over ellipsoids in \(R^d\)". For this model we establish the Edgeworth type expansion. The main tool in this part is the parametrix method (Konakov (2012), Konakov and Mammen (2009)).
We strengthen the convergence result in our paper, ibid. 5, No. 6, 1059-1098 (1999; Zbl 0983.62049), proving the local asymptotic mixed normality property in one of the 11 cases considered in that paper.
This article discusses stochastic numerical methods of Runge-Kutta type with weak and strong convergences for systems of stochastic differential equations in Itô form. At the beginning we give a brief overview of the stochastic numerical methods and information from the theory of stochastic differential equations. Then we motivate the approach to the implementation of these methods using source code generation. We discuss the implementation details and the used programming languages and libraries
Let k be a field of characteristic zero, let G be a connected reductive algebraic group over k and let g be its Lie algebra. Let k(G), respectively, k(g), be the field of k- rational functions on G, respectively, g. The conjugation action of G on itself induces the adjoint action of G on g. We investigate the question whether or not the field extensions k(G)/k(G)^G and k(g)/k(g)^G are purely transcendental. We show that the answer is the same for k(G)/k(G)^G and k(g)/k(g)^G, and reduce the problem to the case where G is simple. For simple groups we show that the answer is positive if G is split of type A_n or C_n, and negative for groups of other types, except possibly G_2. A key ingredient in the proof of the negative result is a recent formula for the unramified Brauer group of a homogeneous space with connected stabilizers. As a byproduct of our investigation we give an affirmative answer to a question of Grothendieck about the existence of a rational section of the categorical quotient morphism for the conjugating action of G on itself.
Let G be a connected semisimple algebraic group over an algebraically closed field k. In 1965 Steinberg proved that if G is simply connected, then in G there exists a closed irreducible cross-section of the set of closures of regular conjugacy classes. We prove that in arbitrary G such a cross-section exists if and only if the universal covering isogeny Ĝ → G is bijective; this answers Grothendieck's question cited in the epigraph. In particular, for char k = 0, the converse to Steinberg's theorem holds. The existence of a cross-section in G implies, at least for char k = 0, that the algebra k[G]G of class functions on G is generated by rk G elements. We describe, for arbitrary G, a minimal generating set of k[G]G and that of the representation ring of G and answer two Grothendieck's questions on constructing generating sets of k[G]G. We prove the existence of a rational (i.e., local) section of the quotient morphism for arbitrary G and the existence of a rational cross-section in G (for char k = 0, this has been proved earlier); this answers the other question cited in the epigraph. We also prove that the existence of a rational section is equivalent to the existence of a rational W-equivariant map T- - - >G/T where T is a maximal torus of G and W the Weyl group.
This proceedings publication is a compilation of selected contributions from the “Third International Conference on the Dynamics of Information Systems” which took place at the University of Florida, Gainesville, February 16–18, 2011. The purpose of this conference was to bring together scientists and engineers from industry, government, and academia in order to exchange new discoveries and results in a broad range of topics relevant to the theory and practice of dynamics of information systems. Dynamics of Information Systems: Mathematical Foundation presents state-of-the art research and is intended for graduate students and researchers interested in some of the most recent discoveries in information theory and dynamical systems. Scientists in other disciplines may also benefit from the applications of new developments to their own area of study.