Algebras of invariant differential operators on a class of multiplicity free spaces

Let G be a connected reductive algebraic group and let G'=[G,G] be its derived subgroup. Let (G,V) be a multiplicity free representation with a one dimensional quotient (see definition below). We prove that the algebra D(V)^{G'} of G'-invariant differential operators with polynomial coefficients on V, is a quotient of a so-called Smith algebra over its center. Over C this class of algebras was introduced by S.P. Smith as a class of algebras similar to the enveloping algebra U(sl(2)) of sl(2). Our result generalizes the case of the Weil representation, where the associative algebra generated by Q(x) and Q(?) (Q being a non degenerate quadratic form on V) is a quotient of U(sl(2)) Other structure results are obtained when (G,V) is a regular prehomogeneous vector space of commutative parabolic type

Expansion of the propagation of chaos for Bird and Nanbu systems

The Bird and Nanbu systems are particle systems used to approximate the solution of the mollied Boltzmann equation. In particular, they have the propagation of chaos property. Following [GM94, GM97, GM99], we use coupling techniques and results on branching processes to write an expansion of the error in the propagation of chaos in terms of the number of particles, for slightly more general systems than the ones cited above. This result leads to the proof of the a.s convergence and the centrallimit theorem for these systems. In particular, we have a central-limit theorem for the empirical measure of the system under less assumptions then in [M{\'e}l98]. As in [GM94, GM97, GM99], these results apply to the trajectories of particles on an interval [0; T]

Decomposition of reductive regular prehomogeneous vector spaces

Let (G,V) be a regular prehomogeneous vector space (abbreviated to PV), where G is a connected reductive algebraic group over C. If $V= \oplus_{i=0}^{n}V_{i}$ is a decomposition of V into irreducible representations, then, in general, the PV's $(G,V_{i})$ are no longer regular. In this paper we introduce the notion of quasi-irreducible PV (abbreviated to Q-irreducible), and show first that for completely Q-reducible PV's, the Q-isotopic components are intrinsically defined, as in ordinary representation theory. We also show that, in an appropriate sense, any regular PV is a direct sum of quasi-irreducible PV's. Finally we classify the quasi-irreducible PV's of parabolic type

Invariant differential operators on a class of multiplicity free spaces

If $(G,V)$ is a multiplity free space with a one dimensional quotient we give generators and relations for the non-commutative algebra $D(V)^{G'}$ of invariant differential operators under the semi-simple part $G'$ of the reductive group $G$. More precisely we show that $D(V)^{G'}$ is the quotient of a Smith algebra by a completely described two-sided ideal.Comment: 31 page

A Numerical Scheme for Invariant Distributions of Constrained Diffusions

Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the corresponding stochastic networks and thus it is important to develop reliable and efficient algorithms for numerical computation of such distributions. In this work we propose and analyze a Monte-Carlo scheme based on an Euler type discretization of the reflected stochastic differential equation using a single sequence of time discretization steps which decrease to zero as time approaches infinity. Appropriately weighted empirical measures constructed from the simulated discretized reflected diffusion are proposed as approximations for the invariant probability measure of the true diffusion model. Almost sure consistency results are established that in particular show that weighted averages of polynomially growing continuous functionals evaluated on the discretized simulated system converge a.s. to the corresponding integrals with respect to the invariant measure. Proofs rely on constructing suitable Lyapunov functions for tightness and uniform integrability and characterizing almost sure limit points through an extension of Echeverria's criteria for reflected diffusions. Regularity properties of the underlying Skorohod problems play a key role in the proofs. Rates of convergence for suitable families of test functions are also obtained. A key advantage of Monte-Carlo methods is the ease of implementation, particularly for high dimensional problems. A numerical example of a eight dimensional Skorohod problem is presented to illustrate the applicability of the approach

Global solvability of a networked integrate-and-fire model of McKean-Vlasov type

We here investigate the well-posedness of a networked integrate-and-fire model describing an infinite population of neurons which interact with one another through their common statistical distribution. The interaction is of the self-excitatory type as, at any time, the potential of a neuron increases when some of the others fire: precisely, the kick it receives is proportional to the instantaneous proportion of firing neurons at the same time. From a mathematical point of view, the coefficient of proportionality, denoted by $\alpha$, is of great importance as the resulting system is known to blow-up for large values of $\alpha$. In the current paper, we focus on the complementary regime and prove that existence and uniqueness hold for all time when $\alpha$ is small enough.Comment: Published at http://dx.doi.org/10.1214/14-AAP1044 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Path storage in the particle filter

This article considers the problem of storing the paths generated by a particle filter and more generally by a sequential Monte Carlo algorithm. It provides a theoretical result bounding the expected memory cost by $T + C N \log N$ where $T$ is the time horizon, $N$ is the number of particles and $C$ is a constant, as well as an efficient algorithm to realise this. The theoretical result and the algorithm are illustrated with numerical experiments.Comment: 9 pages, 5 figures. To appear in Statistics and Computin