Extended factorizations of exponential functionals of Lévy processes

Pardo, Patie, and Savov derived, under mild conditions, a Wiener-Hopf type factorization for the exponential functional of proper Lévy processes. In this paper, we extend this factorization by relaxing a finite moment assumption as well as by considering the exponential functional for killed Lévy processes. As a by-product, we derive some interesting fine distributional properties enjoyed by a large class of this random variable, such as the absolute continuity of its distribution and the smoothness, boundedness or complete monotonicity of its density. This type of results is then used to derive similar properties for the law of maxima and first passage time of some stable Lévy processes. Thus, for example, we show that for any stable process with $\rho\in(0,\frac{1}{\alpha}-1]$, where $\rho\in[0,1]$ is the positivity parameter and $\alpha$ is the stable index, then the first passage time has a bounded and non-increasing density on $\mathbb{R}_+$. We also generate many instances of integral or power series representations for the law of the exponential functional of Lévy processes with one or two-sided jumps. The proof of our main results requires different devices from the one developed by Pardo, Patie, Savov. It relies in particular on a generalization of a transform recently introduced by Chazal et al together with some extensions to killed Lévy process of Wiener-Hopf techniques. The factorizations developed here also allow for further applications which we only indicate here also allow for further applications which we only indicate here.

On the 'downward control' of extratropical diabatic circulations by eddy-induced mean zonal forces

The situation considered is that of a zonally symmetric model of the middle atmosphere subject to a given quasi-steady zonal force F̄, conceived to be the result of irreversible angular momentum transfer due to the upward propagation and breaking of Rossby and gravity waves together with any other dissipative eddy effects that may be relevant. The model's diabatic heating is assumed to have the qualitative character of a relaxation toward some radiatively determined temperature field. To the extent that the force F̄ may be regarded as given, and the extratropical angular momentum distribution is realistic, the extratropical diabatic mass flow across a given isentropic surface may be regarded as controlled exclusively by the F̄ distribution above that surface (implying control by the eddy dissipation above that surface and not, for instance, by the frequency of tropopause folding below). This “downward control” principle expresses a critical part of the dynamical chain of cause and effect governing the average rate at which photochemical products like ozone become available for folding into, or otherwise descending into, the extratropical troposphere. The dynamical facts expressed by the principle are also relevant, for instance, to understanding the seasonal-mean rate of upwelling of water vapor to the summer mesopause, and the interhemispheric differences in stratospheric tracer transport. The robustness of the principle is examined when F̄ is time-dependent. For a global-scale, zonally symmetric diabatic circulation with a Brewer-Dobson-like horizontal structure given by the second zonally symmetric Hough mode, with Rossby height HR = 13 km in an isothermal atmosphere with density scale height H = 7 km, the vertical partitioning of the unsteady part of the mass circulation caused by fluctuations in F̄ confined to a shallow layer LF̄ is always at least 84% downward. It is 90% downward when the force fluctuates sinusoidally on twice the radiative relaxation timescale and 95% if five times slower. The time-dependent adjustment when F̄ is changed suddenly is elucidated, extending the work of Dickinson (1968), when the atmosphere is unbounded above and below. Above the forcing, the adjustment is characterized by decay of the meridional mass circulation cell at a rate proportional to the radiative relaxation rate τr−1 divided by {1 + (4H2/HR2)}. This decay is related to the boundedness of the angular momentum that can be taken up by the finite mass of air above LF̄ without causing an ever-increasing departure from thermal wind balance. Below the forcing, the meridional mass circulation cell penetrates downward at a speed τr−1 HR2/H. For the second Hough mode, the time for downward penetration through one density scale height is about 6 days if the radiative relaxation time is 20 days, the latter being representative of the lower stratosphere. At any given altitude, a steady state is approached. The effect of a rigid lower boundary on the time-dependent adjustment is also considered. If a frictional planetary boundary layer is present then a steady state is ultimately approached everywhere, with the mass circulation extending downward from LF̄ and closing via the boundary layer. Satellite observations of temperature and ozone are used in conjunction with a radiative transfer scheme to estimate the altitudes from which the lower stratospheric diabatic vertical velocity is controlled by the effective F̄ in the real atmosphere. The data appear to indicate that about 80% of the effective control is usually exerted from below 40 km but with significant exceptions up to 70 km (in the high latitude southern hemispheric winter). The implications for numerical modelling of chemical transport are noted.

Augmented Lagrangian methods under the constant positive linear dependence constraint qualification

Two Augmented Lagrangian algorithms for solving KKT systems are introduced. The algorithms differ in the way in which penalty parameters are updated. Possibly infeasible accumulation points are characterized. It is proved that feasible limit points that satisfy the Constant Positive Linear Dependence constraint qualification are KKT solutions. Boundedness of the penalty parameters is proved under suitable assumptions. Numerical experiments are presented.

On the consistency of arbitrary money-demand functions with the Sidrauski and the shopping-time models

This paper investigates which properties money-demand functions have to satisfy to be consistent with multidimensional extensions of Lucasí(2000) versions of the Sidrauski (1967) and the shopping-time models. We also investigate how such classes of models relate to each other regarding the rationalization of money demands. We conclude that money demand functions rationalizable by the shoppingtime model are always rationalizable by the Sidrauski model, but that the converse is not true. The log-log money demand with an interest-rate elasticity greater than or equal to one and the semi-log money demand are counterexamples.

A bounded upwinding scheme for computing convection-dominated transport problems

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

A continuously differentiable upwinding scheme for the simulation of fluid flow problems

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Método de Projeções Ortogonais

The problem treated in this dissertation is to establish boundedness for the iterates of an iterative algorithm in 2, under some technical conditions. However, this paper uses non-trivial intuitive arguments and its proofs lack suficient rigor. In this dissertation we discuss and strengthen the results of this paper, in order to complete and simplify its proofs

Application of a bounded upwinding scheme to complex fluid dynamics problems

This paper is concerned with an overview of upwinding schemes, and further nonlinear applications of a recently introduced high resolution upwind differencing scheme, namely the ADBQUICKEST [V.G. Ferreira, F.A. Kurokawa, R.A.B. Queiroz, M.K. Kaibara, C.M. Oishi, J.A.Cuminato, A.F. Castelo, M.F. Tomé, S. McKee, assessment of a high-order finite difference upwind scheme for the simulation of convection-diffusion problems, International Journal for Numerical Methods in Fluids 60 (2009) 1-26]. The ADBQUICKEST scheme is a new TVD version of the QUICKEST [B.P. Leonard, A stable and accurate convective modeling procedure based on quadratic upstream interpolation, Computer Methods in Applied Mechanics and Engineering 19 (1979) 59-98] for solving nonlinear balance laws. The scheme is based on the concept of NV and TVD formalisms and satisfies a convective boundedness criterion. The accuracy of the scheme is compared with other popularly used convective upwinding schemes (see, for example, Roe (1985) [19], Van Leer (1974) [18] and Arora & Roe (1997) [17]) for solving nonlinear conservation laws (for example, Buckley-Leverett, shallow water and Euler equations). The ADBQUICKEST scheme is then used to solve six types of fluid flow problems of increasing complexity: namely, 2D aerosol filtration by fibrous filters; axisymmetric flow in a tubular membrane; 2D two-phase flow in a fluidized bed; 2D compressible Orszag-Tang MHD vortex; axisymmetric jet onto a flat surface at low Reynolds number and full 3D incompressible flows involving moving free surfaces. The numerical simulations indicate that this convective upwinding scheme is a good generic alternative for solving complex fluid dynamics problems. © 2012.

A C2-continuous high-resolution upwind convection scheme

A bounded upwinding scheme for numerical solution of hyperbolic conservation laws and Navier-Stokes equations is presented. The scheme is based on convection boundedness criterion and total variation diminishing stability criteria and developed by employing continuously differentiable functions. The accuracy of the scheme is verified by assessing the error and observed convergence rate on 1-D benchmark test cases. A comparative study between the new scheme and conventional total variation diminishing/convection boundedness criterion-based upwind schemes to solve standard nonlinear hyperbolic conservation laws is also accomplished. The scheme is then examined in the simulation of Newtonian and non-Newtonian fluid flows of increasing complexity; a satisfactory agreement has been observed in terms of the overall behavior. Finally, the scheme is used to study the hydrodynamics of a gas-solid flow in a bubbling fluidized bed. © 2013 John Wiley & Sons, Ltd.

A continuously differentiable upwinding scheme for the simulation of fluid flow problems

This paper deals with the numerical solution of complex fluid dynamics problems using a new bounded high resolution upwind scheme (called SDPUS-C1 henceforth), for convection term discretization. The scheme is based on TVD and CBC stability criteria and is implemented in the context of the finite volume/difference methodologies, either into the CLAWPACK software package for compressible flows or in the Freeflow simulation system for incompressible viscous flows. The performance of the proposed upwind non-oscillatory scheme is demonstrated by solving two-dimensional compressible flow problems, such as shock wave propagation and two-dimensional/axisymmetric incompressible moving free surface flows. The numerical results demonstrate that this new cell-interface reconstruction technique works very well in several practical applications. (C) 2012 Elsevier Inc. All rights reserved.

Semilinear functional difference equations with infinite delay

We obtain boundedness and asymptotic behavior of solutions for semilinear functional difference equations with infinite delay. Applications to Volterra difference equations with infinite delay are shown. (C) 2011 Elsevier Ltd. All rights reserved.

Weighted Fourier–Laplace transforms in reproducing kernel Hilbert spaces on the sphere

We study the action of a weighted Fourier–Laplace transform on the functions in the reproducing kernel Hilbert space (RKHS) associated with a positive definite kernel on the sphere. After defining a notion of smoothness implied by the transform, we show that smoothness of the kernel implies the same smoothness for the generating elements (spherical harmonics) in the Mercer expansion of the kernel. We prove a reproducing property for the weighted Fourier–Laplace transform of the functions in the RKHS and embed the RKHS into spaces of smooth functions. Some relevant properties of the embedding are considered, including compactness and boundedness. The approach taken in the paper includes two important notions of differentiability characterized by weighted Fourier–Laplace transforms: fractional derivatives and Laplace–Beltrami derivatives.

Eluding oblivion with smart stochastic selection of synaptic updates

The variables involved in the equations that describe realistic synaptic dynamics always vary in a limited range. Their boundedness makes the synapses forgetful, not for the mere passage of time, but because new experiences overwrite old memories. The forgetting rate depends on how many synapses are modified by each new experience: many changes means fast learning and fast forgetting, whereas few changes means slow learning and long memory retention. Reducing the average number of modified synapses can extend the memory span at the price of a reduced amount of information stored when a new experience is memorized. Every trick which allows to slow down the learning process in a smart way can improve the memory performance. We review some of the tricks that allow to elude fast forgetting (oblivion). They are based on the stochastic selection of the synapses whose modifications are actually consolidated following each new experience. In practice only a randomly selected, small fraction of the synapses eligible for an update are actually modified. This allows to acquire the amount of information necessary to retrieve the memory without compromising the retention of old experiences. The fraction of modified synapses can be further reduced in a smart way by changing synapses only when it is really necessary, i.e. when the post-synaptic neuron does not respond as desired. Finally we show that such a stochastic selection emerges naturally from spike driven synaptic dynamics which read noisy pre and post-synaptic neural activities. These activities can actually be generated by a chaotic system.

Logical omniscience as infeasibility

Logical theories for representing knowledge are often plagued by the so-called Logical Omniscience Problem. The problem stems from the clash between the desire to model rational agents, which should be capable of simple logical inferences, and the fact that any logical inference, however complex, almost inevitably consists of inference steps that are simple enough. This contradiction points to the fruitlessness of trying to solve the Logical Omniscience Problem qualitatively if the rationality of agents is to be maintained. We provide a quantitative solution to the problem compatible with the two important facets of the reasoning agent: rationality and resource boundedness. More precisely, we provide a test for the logical omniscience problem in a given formal theory of knowledge. The quantitative measures we use are inspired by the complexity theory. We illustrate our framework with a number of examples ranging from the traditional implicit representation of knowledge in modal logic to the language of justification logic, which is capable of spelling out the internal inference process. We use these examples to divide representations of knowledge into logically omniscient and not logically omniscient, thus trying to determine how much information about the reasoning process needs to be present in a theory to avoid logical omniscience.

The block numerical range of analytic operator functions

We introduce the block numerical range Wn(L) of an operator function L with respect to a decomposition H = H1⊕. . .⊕Hn of the underlying Hilbert space. Our main results include the spectral inclusion property and estimates of the norm of the resolvent for analytic L . They generalise, and improve, the corresponding results for the numerical range (which is the case n = 1) since the block numerical range is contained in, and may be much smaller than, the usual numerical range. We show that refinements of the decomposition entail inclusions between the corresponding block numerical ranges and that the block numerical range of the operator matrix function L contains those of its principal subminors. For the special case of operator polynomials, we investigate the boundedness of Wn(L) and we prove a Perron-Frobenius type result for the block numerical radius of monic operator polynomials with coefficients that are positive in Hilbert lattice sense.