The spectrum of the random environment and localization of noise

We consider random walk on a mildly random environment on finite transitive d- regular graphs of increasing girth. After scaling and centering, the analytic spectrum of the transition matrix converges in distribution to a Gaussian noise. An interesting phenomenon occurs at d = 2: as the limit graph changes from a regular tree to the integers, the noise becomes localized.Comment: 18 pages, 1 figur

On Convergence Properties of Shannon Entropy

Convergence properties of Shannon Entropy are studied. In the differential setting, it is shown that weak convergence of probability measures, or convergence in distribution, is not enough for convergence of the associated differential entropies. A general result for the desired differential entropy convergence is provided, taking into account both compactly and uncompactly supported densities. Convergence of differential entropy is also characterized in terms of the Kullback-Liebler discriminant for densities with fairly general supports, and it is shown that convergence in variation of probability measures guarantees such convergence under an appropriate boundedness condition on the densities involved. Results for the discrete setting are also provided, allowing for infinitely supported probability measures, by taking advantage of the equivalence between weak convergence and convergence in variation in this setting.Comment: Submitted to IEEE Transactions on Information Theor

Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio

We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. First, we apply our method to price options on non-traded assets for which there is a traded asset that is correlated to the non-traded asset. Our main contribution to this particular problem is to show that our seller/buyer prices are the upper/lower good deal bounds of Cochrane and Sa\'{a}-Requejo (2000) and of Bj\"{o}rk and Slinko (2006) and to determine the analytical properties of these prices. Second, we apply our method to price options in the presence of stochastic volatility. Our main contribution to this problem is to show that the instantaneous Sharpe ratio, an integral ingredient in our methodology, is the negative of the market price of volatility risk, as defined in Fouque, Papanicolaou, and Sircar (2000).Comment: Keywords: Pricing derivative securities, incomplete markets, Sharpe ratio, correlated assets, stochastic volatility, non-linear partial differential equations, good deal bound

Large Deviations Principle for a Large Class of One-Dimensional Markov Processes

We study the large deviations principle for one dimensional, continuous, homogeneous, strong Markov processes that do not necessarily behave locally as a Wiener process. Any strong Markov process $X_{t}$ in $\mathbb{R}$ that is continuous with probability one, under some minimal regularity conditions, is governed by a generalized elliptic operator $D_{v}D_{u}$, where $v$ and $u$ are two strictly increasing functions, $v$ is right continuous and $u$ is continuous. In this paper, we study large deviations principle for Markov processes whose infinitesimal generator is $\epsilon D_{v}D_{u}$ where $0<\epsilon\ll 1$. This result generalizes the classical large deviations results for a large class of one dimensional "classical" stochastic processes. Moreover, we consider reaction-diffusion equations governed by a generalized operator $D_{v}D_{u}$. We apply our results to the problem of wave front propagation for these type of reaction-diffusion equations.Comment: 23 page

Bishop and Laplacian Comparison Theorems on Three Dimensional Contact Subriemannian Manifolds with Symmetry

We prove a Bishop volume comparison theorem and a Laplacian comparison theorem for three dimensional contact subriemannian manifolds with symmetry

Finite Element Convergence for the Joule Heating Problem with Mixed Boundary Conditions

We prove strong convergence of conforming finite element approximations to the stationary Joule heating problem with mixed boundary conditions on Lipschitz domains in three spatial dimensions. We show optimal global regularity estimates on creased domains and prove a priori and a posteriori bounds for shape regular meshes.Comment: Keywords: Joule heating problem, thermistors, a posteriori error analysis, a priori error analysis, finite element metho

On the Kobayashi-Royden metric for ellipsoids

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/46237/1/208_2005_Article_BF01446557.pd

Holomorphic Functions on Bundles Over Annuli

We consider a family E_m(D,M) of holomorphic bundles constructed as follows: to any given M in GL_n(Z), we associate a "multiplicative automorphism" f of (C*)^n. Now let D be a f-invariant Stein Reinhardt domain in (C*)^n. Then E_m(D,M) is defined as the flat bundle over the annulus of modulus m>0, with fiber D, and monodromy f. We show that the function theory on E_m(D,M) depends nontrivially on the parameters m, M and D. Our main result is that E_m(D,M) is Stein if and only if m log(r(M)) <= 2 \pi^2, where r(M) denotes the max of the spectral radii of M and its inverse. As corollaries, we: -- obtain a classification result for Reinhardt domains in all dimensions; -- establish a similarity between two known counterexamples to a question of J.-P. Serre; -- suggest a potential reformulation of a disproved conjecture of Siu Y.-T

Operator renewal theory and mixing rates for dynamical systems with infinite measure

We develop a theory of operator renewal sequences in the context of infinite ergodic theory. For large classes of dynamical systems preserving an infinite measure, we determine the asymptotic behaviour of iterates $L^n$ of the transfer operator. This was previously an intractable problem. Examples of systems covered by our results include (i) parabolic rational maps of the complex plane and (ii) (not necessarily Markovian) nonuniformly expanding interval maps with indifferent fixed points. In addition, we give a particularly simple proof of pointwise dual ergodicity (asymptotic behaviour of $\sum_{j=1}^nL^j$) for the class of systems under consideration. In certain situations, including Pomeau-Manneville intermittency maps, we obtain higher order expansions for $L^n$ and rates of mixing. Also, we obtain error estimates in the associated Dynkin-Lamperti arcsine laws.Comment: Preprint, August 2010. Revised August 2011. After publication, a minor error was pointed out by Kautzsch et al, arXiv:1404.5857. The updated version includes minor corrections in Sections 10 and 11, and corresponding modifications of certain statements in Section 1. All main results are unaffected. In particular, Sections 2-9 are unchanged from the published versio

Natural equilibrium states for multimodal maps

This paper is devoted to the study of the thermodynamic formalism for a class of real multimodal maps. This class contains, but it is larger than, Collet-Eckmann. For a map in this class, we prove existence and uniqueness of equilibrium states for the geometric potentials $-t \log|Df|$, for the largest possible interval of parameters $t$. We also study the regularity and convexity properties of the pressure function, completely characterising the first order phase transitions. Results concerning the existence of absolutely continuous invariant measures with respect to the Lebesgue measure are also obtained