Spectral methods for bivariate Markov processes with diffusion and discrete components and a variant of the Wright-Fisher model

The aim of this paper is to study differential and spectral properties of the infinitesimal operator of two dimensional Markov processes with diffusion and discrete components. The infinitesimal operator is now a second-order differential operator with matrix-valued coefficients, from which we can derive backward and forward equations, a spectral representation of the probability density, study recurrence of the process and the corresponding invariant distribution. All these results are applied to an example coming from group representation theory which can be viewed as a variant of the Wright-Fisher model involving only mutation effects.Comment: 6 figure

Some examples of matrix-valued orthogonal functions having a differential and an integral operator as eigenfunctions

The aim of this paper is to show some examples of matrix-valued orthogonal functions on the real line which are simultaneously eigenfunctions of a second-order differential operator of Schr\"{o}dinger type and an integral operator of Fourier type. As a consequence we derive integral representations of these functions as well as other useful structural formulas. Some of these functions are plotted to show the relationship with the Hermite or wave functions

IFSM representation of Brownian motion with applications to simulation

Several methods are currently available to simulate paths of the Brownian motion. In particular, paths of the BM can be simulated using the properties of the increments of the process like in the Euler scheme, or as the limit of a random walk or via L2 decomposition like the Kac-Siegert/Karnounen-Loeve series. In this paper we first propose a IFSM (Iterated Function Systems with Maps) operator whose fixed point is the trajectory of the BM. We then use this representation of the process to simulate its trajectories. The resulting simulated trajectories are self-affine, continuous and fractal by construction. This fact produces more realistic trajectories than other schemes in the sense that their geometry is closer to the one of the true BM's trajectories. The IFSM trajectory of the BM can then be used to generate more realistic solutions of stochastic differential equations

Non-commutative Painleve' equations and Hermite-type matrix orthogonal polynomials

We study double integral representations of Christoffel-Darboux kernels associated with two examples of Hermite-type matrix orthogonal polynomials. We show that the Fredholm determinants connected with these kernels are related through the Its-Izergin-Korepin-Slavnov (IIKS) theory with a certain Riemann-Hilbert problem. Using this Riemann-Hilbert problem we obtain a Lax pair whose compatibility conditions lead to a non-commutative version of the Painleve' IV differential equation for each family.Comment: Final version, accepted for publication on CMP: Communications in Mathematical Physics. 24 pages, 1 figur

Condensation and Slow Dynamics of Polar Nanoregions in Lead Relaxors

It is now well established that the unique properties of relaxor ferroelectrics are due to the presence of polar nanoregions (PNR's). We present recent results from Neutron and Raman scattering of single crystals of PZN, PZN-xPT, and PMN. Both sets of measurements provide information on the condensation of the PNR's and on their slow dynamics, directly through the central peak and, indirectly, through their coupling to transverse phonons. A comparative analysis of these results allows identification of three stages in the evolution of the PNR's with decreasing temperature: a purely dynamic stage, a quasi-static stage with reorientational motion and a frozen stage. A model is proposed, based on a prior study of KTN, which explains the special behavior of the transverse phonons (TO and TA) in terms of their mutual coupling through the rotations of the PNR's.Comment: AIP 6x9 style files, 10 pages, 4 figures, Conference-Fundamental Physics of Ferroelectrics 200