Kac-Akhiezer formula for normal integral operators

The Kac-Akhiezer formula for finite section normal Wiener-Hopf integral operators is proved. This is an extension of the corresponding result for symmetric operator [2, 3, 4, 5, 6, 7].

On the unreasonable effectiveness of Gutzmer's formula

In this article we plan to demonstrate the usefulness of `Gutzmer's formula' in the study of various problems related to the Segal-Bargmann transform. Gutzmer's formula is known in several contexts: compact Lie groups, symmetric spaces of compact and noncompact type, Heisenberg groups and Hermite expansions. We apply Gutzmer's formula to study holomorphic Sobolev spaces, local Peter-Weyl theorems, Paley-Wiener theorems and Poisson semigroups.

Classical screw theory: A fresh look using dual eigenvalue approach

This paper presents a novel algebraic formulation of the central problem of screw theory, namely the determination of the principal screws of a given system. Using the algebra of dual numbers, it shows that the principal screws can be determined via the solution of a generalised eigenproblem of two real, symmetric matrices. This approach allows the study of the principal screws of the general screw systems associated with a manipulator of arbitrary geometry in terms of closed-form expressions of its architecture and configuration parameters. The formulation is illustrated with examples of practical manipulators.

Homogenization of eigenvalue problems in perforated domains

In this paper, we treat some eigenvalue problems in periodically perforated domains and study the asymptotic behaviour of the eigenvalues and the eigenvectors when the number of holes in the domain increases to infinity Using the method of asymptotic expansion, we give explicit formula for the homogenized coefficients and expansion for eigenvalues and eigenvectors. If we denote by ε the size of each hole in the domain, then we obtain the following aysmptotic expansion for the eigenvalues: Dirichlet: λε = ε−2 λ + λ0 +O (ε), Stekloff: λε = ελ1 +O (ε2), Neumann: λε = λ0 + ελ1 +O (ε2).Using the method of energy, we prove a theorem of convergence in each case considered here. We briefly study correctors in the case of Neumann eigenvalue problem.

Ergodic control of partially observed Markov chains

The ergodic or long-run average cost control problem for a partially observed finite-state Markov chain is studied via the associated fully observed separated control problem for the nonlinear filter. Dynamic programming equations for the latter are derived, leading to existence and characterization of optimal stationary policies.

A Quasi-Newton Adaptive Algorithm for Generalized Symmetric Eigenvalue Problem

In this paper, we first recast the generalized symmetric eigenvalue problem, where the underlying matrix pencil consists of symmetric positive definite matrices, into an unconstrained minimization problem by constructing an appropriate cost function, We then extend it to the case of multiple eigenvectors using an inflation technique, Based on this asymptotic formulation, we derive a quasi-Newton-based adaptive algorithm for estimating the required generalized eigenvectors in the data case. The resulting algorithm is modular and parallel, and it is globally convergent with probability one, We also analyze the effect of inexact inflation on the convergence of this algorithm and that of inexact knowledge of one of the matrices (in the pencil) on the resulting eigenstructure. Simulation results demonstrate that the performance of this algorithm is almost identical to that of the rank-one updating algorithm of Karasalo. Further, the performance of the proposed algorithm has been found to remain stable even over 1 million updates without suffering from any error accumulation problems.

Asymptotic behaviour of point processes with Markov-dependent intervals

This splitting techniques for MARKOV chains developed by NUMMELIN (1978a) and ATHREYA and NEY (1978b) are used to derive an imbedded renewal process in WOLD's point process with MARKOV-correlated intervals. This leads to a simple proof of renewal theorems for such processes. In particular, a key renewal theorem is proved, from which analogues to both BLACKWELL's and BREIMAN's forms of the renewal theorem can be deduced.

Comment: Eigenvalue sensitivity method for optimal stabilisation of linear systems

In a letter RauA proposed a new method for designing statefeedback controllers using eigenvalue sensitivity matrices. However, there appears to be a conceptual mistake in the procedure, or else it is unduly restricted in its applicability. In particular the equation — BR~lBTK = A/.I, in which K is a positive-definite symmetric matrix.

Risk Minimizing Option Pricing in a Semi-Markov Modulated Market

We address risk minimizing option pricing in a semi-Markov modulated market where the floating interest rate depends on a finite state semi-Markov process. The growth rate and the volatility of the stock also depend on the semi-Markov process. Using the Föllmer–Schweizer decomposition we find the locally risk minimizing price for European options and the corresponding hedging strategy. We develop suitable numerical methods for computing option prices.

Portfolio Optimization in a Semi-Markov Modulated Market

We address a portfolio optimization problem in a semi-Markov modulated market. We study both the terminal expected utility optimization on finite time horizon and the risk-sensitive portfolio optimization on finite and infinite time horizon. We obtain optimal portfolios in relevant cases. A numerical procedure is also developed to compute the optimal expected terminal utility for finite horizon problem.

Optimal maintenance and replacement via a semi-Markov decision model

Optimal bang-coast maintenance policies for a machine, subject to failure, are considered. The approach utilizes a semi-Markov model for the system. A simplified model for modifying the probability of machine failure with maintenance is employed. A numerical example is presented to illustrate the procedure and results.

Asymptotic analysis of option pricing in a Markov modulated market

We address asymptotic analysis of option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of the stocks depend on a finite state Markov chain. We study two variations of the chain namely, when the chain is moving very fast compared to the underlying asset price and when it is moving very slow. Using quadratic hedging and asymptotic expansion, we derive corrections on the locally risk minimizing option price.

Holomorphic Sobolev spaces, Hermite and special Hermite semigroups and a Paley-Wiener theorem for the windowed Fourier transform

The images of Hermite and Laguerre-Sobolev spaces under the Hermite and special Hermite semigroups (respectively) are characterized. These are used to characterize the image of Schwartz class of rapidly decreasing functions f on R-n and C-n under these semigroups. The image of the space of tempered distributions is also considered and a Paley-Wiener theorem for the windowed (short-time) Fourier transform is proved.

A quantum stochastic Lie-Trotter product formula

A Trotter product formula is established for unitary quantum stochastic processes governed by quantum stochastic differential equations with constant bounded coefficients.