A Wiener-Hopf type factorization for the exponential functional of Levy processes

For a Lévy process ξ=(ξt)t≥0 drifting to −∞, we define the so-called exponential functional as follows: Formula Under mild conditions on ξ, we show that the following factorization of exponential functionals: Formula holds, where × stands for the product of independent random variables, H− is the descending ladder height process of ξ and Y is a spectrally positive Lévy process with a negative mean constructed from its ascending ladder height process. As a by-product, we generate an integral or power series representation for the law of Iξ for a large class of Lévy processes with two-sided jumps and also derive some new distributional properties. The proof of our main result relies on a fine Markovian study of a class of generalized Ornstein–Uhlenbeck processes, which is itself of independent interest. We use and refine an alternative approach of studying the stationary measure of a Markov process which avoids some technicalities and difficulties that appear in the classical method of employing the generator of the dual Markov process.

Invertibility characterization of Wiener-Hopf plus Hankel operators on variable exponent Lebesgue spaces via even asymmetric factorization

We obtain invertibility and Fredholm criteria for the Wiener-Hopf plus Hankel operators acting between variable exponent Lebesgue spaces on the real line. Such characterizations are obtained via the so-called even asymmetric factorization which is applied to the Fourier symbols of the operators under study.

Regularity of Wiener-Hopf plus Hankel operators

In this thesis we consider Wiener-Hopf-Hankel operators with Fourier symbols in the class of almost periodic, semi-almost periodic and piecewise almost periodic functions. In the first place, we consider Wiener-Hopf-Hankel operators acting between L2 Lebesgue spaces with possibly different Fourier matrix symbols in the Wiener-Hopf and in the Hankel operators. In the second place, we consider these operators with equal Fourier symbols and acting between weighted Lebesgue spaces Lp(R;w), where 1 < p < 1 and w belongs to a subclass of Muckenhoupt weights. In addition, singular integral operators with Carleman shift and almost periodic coefficients are also object of study. The main purpose of this thesis is to obtain regularity properties characterizations of those classes of operators. By regularity properties we mean those that depend on the kernel and cokernel of the operator. The main techniques used are the equivalence relations between operators and the factorization theory. An invertibility characterization for the Wiener-Hopf-Hankel operators with symbols belonging to the Wiener subclass of almost periodic functions APW is obtained, assuming that a particular matrix function admits a numerical range bounded away from zero and based on the values of a certain mean motion. For Wiener-Hopf-Hankel operators acting between L2-spaces and with possibly different AP symbols, criteria for the semi-Fredholm property and for one-sided and both-sided invertibility are obtained and the inverses for all possible cases are exhibited. For such results, a new type of AP factorization is introduced. Singular integral operators with Carleman shift and scalar almost periodic coefficients are also studied. Considering an auxiliar and simpler operator, and using appropriate factorizations, the dimensions of the kernels and cokernels of those operators are obtained. For Wiener-Hopf-Hankel operators with (possibly different) SAP and PAP matrix symbols and acting between L2-spaces, criteria for the Fredholm property are presented as well as the sum of the Fredholm indices of the Wiener-Hopf plus Hankel and Wiener-Hopf minus Hankel operators. By studying dependencies between different matrix Fourier symbols of Wiener-Hopf plus Hankel operators acting between L2-spaces, results about the kernel and cokernel of those operators are derived. For Wiener-Hopf-Hankel operators acting between weighted Lebesgue spaces, Lp(R;w), a study is made considering equal scalar Fourier symbols in the Wiener-Hopf and in the Hankel operators and belonging to the classes of APp;w, SAPp;w and PAPp;w. It is obtained an invertibility characterization for Wiener-Hopf plus Hankel operators with APp;w symbols. In the cases for which the Fourier symbols of the operators belong to SAPp;w and PAPp;w, it is obtained semi-Fredholm criteria for Wiener-Hopf-Hankel operators as well as formulas for the Fredholm indices of those operators.

A simplified approach to a three-part Wiener-Hopf problem arising in diffraction theory

A direct and simple approach, utilizing Watson's lemma, is presented for obtaining an approximate solution of a three-part Wiener-Hopf problem associated with the problem of diffraction of a plane wave by a soft strip.

The Wiener-Hopf solution of a class of mixed boundary value problems arising in surface water wave phenomena

Two mixed boundary value problems associated with two-dimensional Laplace equation, arising in the study of scattering of surface waves in deep water (or interface waves in two superposed fluids) in the linearised set up, by discontinuities in the surface (or interface) boundary conditions, are handled for solution by the aid of the Weiner-Hopf technique applied to a slightly more general differential equation to be solved under general boundary conditions and passing on to the limit in a manner so as to finally give rise to the solutions of the original problems. The first problem involves one discontinuity while the second problem involves two discontinuities. The reflection coefficient is obtained in closed form for the first problem and approximately for the second. The behaviour of the reflection coefficient for both the problems involving deep water against the incident wave number is depicted in a number of figures. It is observed that while the reflection coefficient for the first problem steadily increases with the wave number, that for the second problem exhibits oscillatory behaviour and vanishes at some discrete values of the wave number. Thus, there exist incident wave numbers for which total transmission takes place for the second problem. (C) 1999 Elsevier Science B.V. All rights reserved.

Avaliação do efeito de janela e descoloração nos filtros Wiener-Hopf

A presente dissertação consta de estudos sobre deconvolução sísmica, onde buscamos otimizar desempenhos na operação de suavização, na resolução da estimativa da distribuição dos coeficientes de reflexão e na recuperação do pulso-fonte. Os filtros estudados são monocanais, e as formulações consideram o sismograma como o resultado de um processo estocástico estacionário, e onde demonstramos os efeitos de janelas e de descoloração. O principio aplicado é o da minimização da variância dos desvios entre o valor obtido e o desejado, resultando no sistema de equações normais Wiener-Hopf cuja solução é o vetor dos coeficientes do filtro para ser aplicado numa convolução. O filtro de deconvolução ao impulso é desenhado considerando a distribuição dos coeficientes de reflexão como uma série branca. O operador comprime bem os eventos sísmicos a impulsos, e o seu inverso é uma boa aproximação do pulso-fonte. O janelamento e a descoloração melhoram o resultado deste filtro. O filtro de deconvolução aos impulsos é desenhado utilizando a distribuição dos coeficientes de reflexão. As propriedades estatísticas da distribuição dos coeficientes de reflexão tem efeito no operador e em seu desempenho. Janela na autocorrelação degrada a saída, e a melhora é obtida quando ela é aplicada no operador deconvolucional. A transformada de Hilbert não segue o princípio dos mínimos-quadrados, e produz bons resultados na recuperação do pulso-fonte sob a premissa de fase-mínima. O inverso do pulso-fonte recuperado comprime bem os eventos sísmicos a impulsos. Quando o traço contém ruído aditivo, os resultados obtidos com auxilio da transformada de Hilbert são melhores do que os obtidos com o filtro de deconvolução ao impulso. O filtro de suavização suprime ruído presente no traço sísmico em função da magnitude do parâmetro de descoloração utilizado. A utilização dos traços suavizados melhora o desempenho da deconvolução ao impulso. A descoloração dupla gera melhores resultados do que a descoloração simples. O filtro casado é obtido através da maximização de uma função sinal/ruído. Os resultados obtidos na estimativa da distribuição dos coeficientes de reflexão com o filtro casado possuem melhor resolução do que o filtro de suavização.

On the solution of a class of Wiener-Hopf integral equations in finite and infinite ranges /

"Sponsored by: Wright Air Development Center"

The finite range Wiener-Hopf integral equation and a boundary value problem in a waveguide /

"Contract No. AF33(616)-6079 Project No. 9-(13-6278) Task 40572. Sponsored by: Wright Air Development Center"

Financial modelling with 2-EPT probability density functions

The class of all Exponential-Polynomial-Trigonometric (EPT) functions is classical and equal to the Euler-d’Alembert class of solutions of linear differential equations with constant coefficients. The class of non-negative EPT functions defined on [0;1) was discussed in Hanzon and Holland (2010) of which EPT probability density functions are an important subclass. EPT functions can be represented as ceAxb, where A is a square matrix, b a column vector and c a row vector where the triple (A; b; c) is the minimal realization of the EPT function. The minimal triple is only unique up to a basis transformation. Here the class of 2-EPT probability density functions on R is defined and shown to be closed under a variety of operations. The class is also generalised to include mixtures with the pointmass at zero. This class coincides with the class of probability density functions with rational characteristic functions. It is illustrated that the Variance Gamma density is a 2-EPT density under a parameter restriction. A discrete 2-EPT process is a process which has stochastically independent 2-EPT random variables as increments. It is shown that the distribution of the minimum and maximum of such a process is an EPT density mixed with a pointmass at zero. The Laplace Transform of these distributions correspond to the discrete time Wiener-Hopf factors of the discrete time 2-EPT process. A distribution of daily log-returns, observed over the period 1931-2011 from a prominent US index, is approximated with a 2-EPT density function. Without the non-negativity condition, it is illustrated how this problem is transformed into a discrete time rational approximation problem. The rational approximation software RARL2 is used to carry out this approximation. The non-negativity constraint is then imposed via a convex optimisation procedure after the unconstrained approximation. Sufficient and necessary conditions are derived to characterise infinitely divisible EPT and 2-EPT functions. Infinitely divisible 2-EPT density functions generate 2-EPT Lévy processes. An assets log returns can be modelled as a 2-EPT Lévy process. Closed form pricing formulae are then derived for European Options with specific times to maturity. Formulae for discretely monitored Lookback Options and 2-Period Bermudan Options are also provided. Certain Greeks, including Delta and Gamma, of these options are also computed analytically. MATLAB scripts are provided for calculations involving 2-EPT functions. Numerical option pricing examples illustrate the effectiveness of the 2-EPT approach to financial modelling.

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.

Mathematical modelling and optimal multivariable control of chemical processes

This work reports the developnent of a mathenatical model and distributed, multi variable computer-control for a pilot plant double-effect climbing-film evaporator. A distributed-parameter model of the plant has been developed and the time-domain model transformed into the Laplace domain. The model has been further transformed into an integral domain conforming to an algebraic ring of polynomials, to eliminate the transcendental terms which arise in the Laplace domain due to the distributed nature of the plant model. This has made possible the application of linear control theories to a set of linear-partial differential equations. The models obtained have well tracked the experimental results of the plant. A distributed-computer network has been interfaced with the plant to implement digital controllers in a hierarchical structure. A modern rnultivariable Wiener-Hopf controller has been applled to the plant model. The application has revealed a limitation condition that the plant matrix should be positive-definite along the infinite frequency axis. A new multi variable control theory has emerged fram this study, which avoids the above limitation. The controller has the structure of the modern Wiener-Hopf controller, but with a unique feature enabling a designer to specify the closed-loop poles in advance and to shape the sensitivity matrix as required. In this way, the method treats directly the interaction problems found in the chemical processes with good tracking and regulation performances. Though the ability of the analytical design methods to determine once and for all whether a given set of specifications can be met is one of its chief advantages over the conventional trial-and-error design procedures. However, one disadvantage that offsets to some degree the enormous advantages is the relatively complicated algebra that must be employed in working out all but the simplest problem. Mathematical algorithms and computer software have been developed to treat some of the mathematical operations defined over the integral domain, such as matrix fraction description, spectral factorization, the Bezout identity, and the general manipulation of polynomial matrices. Hence, the design problems of Wiener-Hopf type of controllers and other similar algebraic design methods can be easily solved.

Contracting bubbles in Hele-Shaw cells with a power-law fluid

The problem of bubble contraction in a Hele-Shaw cell is studied for the case in which the surrounding fluid is of power-law type. A small perturbation of the radially symmetric problem is first considered, focussing on the behaviour just before the bubble vanishes, it being found that for shear-thinning fluids the radially symmetric solution is stable, while for shear-thickening fluids the aspect ratio of the bubble boundary increases. The borderline (Newtonian) case considered previously is neutrally stable, the bubble boundary becoming elliptic in shape with the eccentricity of the ellipse depending on the initial data. Further light is shed on the bubble contraction problem by considering a long thin Hele-Shaw cell: for early times the leading-order behaviour is one-dimensional in this limit; however, as the bubble contracts its evolution is ultimately determined by the solution of a Wiener-Hopf problem, the transition between the long-thin limit and the extinction limit in which the bubble vanishes being described by what is in effect a similarity solution of the second kind. This same solution describes the generic (slit-like) extinction behaviour for shear-thickening fluids, the interface profiles that generalise the ellipses that characterise the Newtonian case being constructed by the Wiener-Hopf calculation.

Linear stern waves in finite depth channels

This paper formulates an analytically tractable problem for the wake generated by a long flat bottom ship by considering the steady free surface flow of an inviscid, incompressible fluid emerging from beneath a semi-infinite rigid plate. The flow is considered to be irrotational and two-dimensional so that classical potential flow methods can be exploited. In addition, it is assumed that the draft of the plate is small compared to the depth of the channel. The linearised problem is solved exactly using a Fourier transform and the Wiener-Hopf technique, and it is shown that there is a family of subcritical solutions characterised by a train of sinusoidal waves on the downstream free surface. The amplitude of these waves decreases as the Froude number increases. Supercritical solutions are also obtained, but, in general, these have infinite vertical velocities at the trailing edge of the plate. Consideration of further terms in the expansions suggests a way of canceling the singularity for certain values of the Froude number.

Minimising wave drag for free surface flow past a two-dimensional stern

Free surface flow past a two-dimensional semi-infinite curved plate is considered, with emphasis given to solving for the shape of the resulting wave train that appears downstream on the surface of the fluid. This flow configuration can be interpreted as applying near the stern of a wide blunt ship. For steady flow in a fluid of finite depth, we apply the Wiener-Hopf technique to solve a linearised problem, valid for small perturbations of the uniform stream. Weakly nonlinear results found using a forced KdV equation are also presented, as are numerical solutions to the fully nonlinear problem, computed using a conformal mapping and a boundary integral technique. By considering different families of shapes for the semi-infinite plate, it is shown how the amplitude of the waves can be minimised. For plates that increase in height as a function of the direction of flow, reach a local maximum, and then point slightly downwards at the point at which the free surface detaches, it appears the downstream wavetrain can be eliminated entirely.