Phase transition in a log-normal Markov functional model

We derive the exact solution of a one-dimensional Markov functional model with log-normally distributed interest rates in discrete time. The model is shown to have two distinct limiting states, corresponding to small and asymptotically large volatilities, respectively. These volatility regimes are separated by a phase transition at some critical value of the volatility. We investigate the conditions under which this phase transition occurs, and show that it is related to the position of the zeros of an appropriately defined generating function in the complex plane, in analogy with the Lee-Yang theory of the phase transitions in condensed matter physics.Comment: 9 pages, 5 figures. v2: Added asymptotic expressions for the convexity-adjusted Libors in the small and large volatility limits. v3: Added one reference. Final version to appear in Journal of Mathematical Physic

Phase Slips and the Eckhaus Instability

We consider the Ginzburg-Landau equation, $\partial_t u= \partial_x^2 u + u - u|u|^2$, with complex amplitude $u(x,t)$. We first analyze the phenomenon of phase slips as a consequence of the {\it local} shape of $u$. We next prove a {\it global} theorem about evolution from an Eckhaus unstable state, all the way to the limiting stable finite state, for periodic perturbations of Eckhaus unstable periodic initial data. Equipped with these results, we proceed to prove the corresponding phenomena for the fourth order Swift-Hohenberg equation, of which the Ginzburg-Landau equation is the amplitude approximation. This sheds light on how one should deal with local and global aspects of phase slips for this and many other similar systems.Comment: 22 pages, Postscript, A

Moment inversion problem for piecewise D-finite functions

We consider the problem of exact reconstruction of univariate functions with jump discontinuities at unknown positions from their moments. These functions are assumed to satisfy an a priori unknown linear homogeneous differential equation with polynomial coefficients on each continuity interval. Therefore, they may be specified by a finite amount of information. This reconstruction problem has practical importance in Signal Processing and other applications. It is somewhat of a ``folklore'' that the sequence of the moments of such ``piecewise D-finite''functions satisfies a linear recurrence relation of bounded order and degree. We derive this recurrence relation explicitly. It turns out that the coefficients of the differential operator which annihilates every piece of the function, as well as the locations of the discontinuities, appear in this recurrence in a precisely controlled manner. This leads to the formulation of a generic algorithm for reconstructing a piecewise D-finite function from its moments. We investigate the conditions for solvability of the resulting linear systems in the general case, as well as analyze a few particular examples. We provide results of numerical simulations for several types of signals, which test the sensitivity of the proposed algorithm to noise

Integrals Over Polytopes, Multiple Zeta Values and Polylogarithms, and Euler's Constant

Let $T$ be the triangle with vertices (1,0), (0,1), (1,1). We study certain integrals over $T$, one of which was computed by Euler. We give expressions for them both as a linear combination of multiple zeta values, and as a polynomial in single zeta values. We obtain asymptotic expansions of the integrals, and of sums of certain multiple zeta values with constant weight. We also give related expressions for Euler's constant. In the final section, we evaluate more general integrals -- one is a Chen (Drinfeld-Kontsevich) iterated integral -- over some polytopes that are higher-dimensional analogs of $T$. This leads to a relation between certain multiple polylogarithm values and multiple zeta values.Comment: 19 pages, to appear in Mat Zametki. Ver 2.: Added Remark 3 on a Chen (Drinfeld-Kontsevich) iterated integral; simplified Proposition 2; gave reference for (19); corrected [16]; fixed typ

Low energy expansion of the four-particle genus-one amplitude in type II superstring theory

A diagrammatic expansion of coefficients in the low-momentum expansion of the genus-one four-particle amplitude in type II superstring theory is developed. This is applied to determine coefficients up to order s^6R^4 (where s is a Mandelstam invariant and R^4 the linearized super-curvature), and partial results are obtained beyond that order. This involves integrating powers of the scalar propagator on a toroidal world-sheet, as well as integrating over the modulus of the torus. At any given order in s the coefficients of these terms are given by rational numbers multiplying multiple zeta values (or Euler--Zagier sums) that, up to the order studied here, reduce to products of Riemann zeta values. We are careful to disentangle the analytic pieces from logarithmic threshold terms, which involves a discussion of the conditions imposed by unitarity. We further consider the compactification of the amplitude on a circle of radius r, which results in a plethora of terms that are power-behaved in r. These coefficients provide boundary `data' that must be matched by any non-perturbative expression for the low-energy expansion of the four-graviton amplitude. The paper includes an appendix by Don Zagier.Comment: JHEP style. 6 eps figures. 50 page

Local maximum points of explicitly quasiconvex functions

This work concerns generalized convex real-valued functions defined on a nonempty convex subset of a real topological linear space. Its aim is twofold: first, to show that any local maximum point of an explicitly quasiconvex function is a global minimum point whenever it belongs to the intrinsic core of the function’s domain and second, to characterize strictly convex normed spaces by applying this property for a particular class of convex functions