Stieltjes functions and discrete classical orthogonal polynomials

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Krylov subspace methods for approximating functions of symmetric positive definite matrices with applications to applied statistics and anomalous diffusion

Matrix function approximation is a current focus of worldwide interest and finds application in a variety of areas of applied mathematics and statistics. In this thesis we focus on the approximation of A^(-α/2)b, where A ∈ ℝ^(n×n) is a large, sparse symmetric positive definite matrix and b ∈ ℝ^n is a vector. In particular, we will focus on matrix function techniques for sampling from Gaussian Markov random fields in applied statistics and the solution of fractional-in-space partial differential equations. Gaussian Markov random fields (GMRFs) are multivariate normal random variables characterised by a sparse precision (inverse covariance) matrix. GMRFs are popular models in computational spatial statistics as the sparse structure can be exploited, typically through the use of the sparse Cholesky decomposition, to construct fast sampling methods. It is well known, however, that for sufficiently large problems, iterative methods for solving linear systems outperform direct methods. Fractional-in-space partial differential equations arise in models of processes undergoing anomalous diffusion. Unfortunately, as the fractional Laplacian is a non-local operator, numerical methods based on the direct discretisation of these equations typically requires the solution of dense linear systems, which is impractical for fine discretisations. In this thesis, novel applications of Krylov subspace approximations to matrix functions for both of these problems are investigated. Matrix functions arise when sampling from a GMRF by noting that the Cholesky decomposition A = LL^T is, essentially, a `square root' of the precision matrix A. Therefore, we can replace the usual sampling method, which forms x = L^(-T)z, with x = A^(-1/2)z, where z is a vector of independent and identically distributed standard normal random variables. Similarly, the matrix transfer technique can be used to build solutions to the fractional Poisson equation of the form ϕn = A^(-α/2)b, where A is the finite difference approximation to the Laplacian. Hence both applications require the approximation of f(A)b, where f(t) = t^(-α/2) and A is sparse. In this thesis we will compare the Lanczos approximation, the shift-and-invert Lanczos approximation, the extended Krylov subspace method, rational approximations and the restarted Lanczos approximation for approximating matrix functions of this form. A number of new and novel results are presented in this thesis. Firstly, we prove the convergence of the matrix transfer technique for the solution of the fractional Poisson equation and we give conditions by which the finite difference discretisation can be replaced by other methods for discretising the Laplacian. We then investigate a number of methods for approximating matrix functions of the form A^(-α/2)b and investigate stopping criteria for these methods. In particular, we derive a new method for restarting the Lanczos approximation to f(A)b. We then apply these techniques to the problem of sampling from a GMRF and construct a full suite of methods for sampling conditioned on linear constraints and approximating the likelihood. Finally, we consider the problem of sampling from a generalised Matern random field, which combines our techniques for solving fractional-in-space partial differential equations with our method for sampling from GMRFs.

Cauchy-Stieltjes Integral on Time Scales in Banach Spaces and Hysteresis Operators

The play operator has a fundamental importance in the theory of hysteresis. It was studied in various settings as shown by P. Krejci and Ph. Laurencot in 2002. In that work it was considered the Young integral in the frame of Hilbert spaces. Here we study the play in the frame of the regulated functions (that is: the ones having only discontinuities of the first kind) on a general time scale T (that is: with T being a nonempty closed set of real numbers) with values in a Banach space. We will be showing that the dual space in this case will be defined as the space of operators of bounded semivariation if we consider as the bilinearity pairing the Cauchy-Stieltjes integral on time scales.

A Stieltjes approach to static hedges

Static hedging of complicated payoff structures by standard instruments becomes increasingly popular in finance. The classical approach is developed for quite regular functions, while for less regular cases, generalized functions and approximation arguments are used. In this note, we discuss the regularity conditions in the classical decomposition formula due to P. Carr and D. Madan (in Jarrow ed, Volatility, pp. 417–427, Risk Publ., London, 1998) if the integrals in this formula are interpreted as Lebesgue integrals with respect to the Lebesgue measure. Furthermore, we show that if we replace these integrals by Lebesgue–Stieltjes integrals, the family of representable functions can be extended considerably with a direct approach.

The Expanded Human Kallikrein (KLK) gene family : genomic organisation, tissue specific expression and potential functions

The tissue kallikreins are serine proteases encoded by highly conserved multigene families. The rodent kallikrein (KLK) families are particularly large, consisting of 13 26 genes clustered in one chromosomal locus. It has been recently recognised that the human KLK gene family is of a similar size (15 genes) with the identification of another 12 related genes (KLK4-KLK15) within and adjacent to the original human KLK locus (KLK1-3) on chromosome 19q13.4. The structural organisation and size of these new genes is similar to that of other KLK genes except for additional exons encoding 5 or 3 untranslated regions. Moreover, many of these genes have multiple mRNA transcripts, a trait not observed with rodent genes. Unlike all other kallikreins, the KLK4-KLK15 encoded proteases are less related (25–44%) and do not contain a conventional kallikrein loop. Clusters of genes exhibit high prostatic (KLK2-4, KLK15) or pancreatic (KLK6-13) expression, suggesting evolutionary conservation of elements conferring tissue specificity. These genes are also expressed, to varying degrees, in a wider range of tissues suggesting a functional involvement of these newer human kallikrein proteases in a diverse range of physiological processes.