We develop a potential theoretic approach to the problem of metastability for reversible diffusion processes with generators of the form $-ϵ\Delta +\nabla F(·)\nabla$ on ${ℝ}^d$ or subsets of ${ℝ}^d$, where $F$ is a smooth function with finitely many local minima. In analogy to previous work on discrete Markov chains, we show that metastable exit times from the attractive domains of the minima of $F$ can be related, up to multiplicative errors that tend to one as $ϵ\downarrow 0$, to the capacities of suitably constructed sets. We show that...

A linear Boltzmann equation is interpreted as the forward equation for the probability density of a Markov process $\left(K\right(t),i(t),Y(t\left)\right)$ on $({𝕋}^2\times \{1,2\}\times {ℝ}^2)$, where ${𝕋}^2$ is the two-dimensional torus. Here $\left(K\right(t),i(t\left)\right)$ is an autonomous reversible jump process, with waiting times between two jumps with finite expectation value but infinite variance. $Y\left(t\right)$ is an additive functional of $K$, defined as ${\int }_0^{t}v\left(K\left(s\right)\right)\mathrm{d}s$, where $\left|v\right|\sim 1$ for small $k$. We prove that the rescaled process ${(NlnN)}^{-1/2}Y\left(Nt\right)$ converges in distribution to a two-dimensional Brownian motion. As a consequence,...

In this paper we examine self-similar solutions to the system $u_{it}-d_i\Delta u_i={\prod }_{k=1}^m{u}_k^{p_k^i}$, i = 1,…,m, $x\in {ℝ}^N$, t > 0, $u_i(0,x)=u_{0i}\left(x\right)$, i = 1,…,m, $x\in {ℝ}^N$, where m > 1 and $p_k^i>0$, to describe asymptotics near the blow up point.

This paper provides blow up results of Fujita type for a reaction-diffusion system of 3 equations in the form $uₜ-\Delta \left(a_{11}u\right)=h(t,x){\left|v\right|}^p$, $vₜ-\Delta \left(a_{21}u\right)-\Delta \left(a_{22}v\right)=k(t,x){\left|w\right|}^q$, $wₜ-\Delta \left(a_{31}u\right)-\Delta \left(a_{32}v\right)-\Delta \left(a_{33}w\right)=l(t,x){\left|u\right|}^r$, for $x\in {ℝ}^N$, t > 0, p > 0, q > 0, r > 0, $a_{ij}=a_{ij}(t,x,u,v)$, under initial conditions u(0,x) = u₀(x), v(0,x) = v₀(x), w(0,x) = w₀(x) for $x\in {ℝ}^N$, where u₀, v₀, w₀ are nonnegative, continuous and bounded functions. Subject to conditions on dependence on the parameters p, q, r, N and the growth of the functions h, k, l at infinity, we prove finite blow up time for every solution of the...

Let $X$ be a $\mu$-symmetric Hunt process on a LCCB space $𝙴$. For an open set $𝙶\subseteq 𝙴$, let ${\tau }_{𝙶}$ be the exit time of $X$ from $𝙶$ and $A^{𝙶}$ be the generator of the process killed when it leaves $𝙶$. Let $r:[0,\infty [\to [0,\infty [$ and $R\left(t\right)={\int }_0^{t}r\left(s\right)\mathrm{d}s$. We give necessary and sufficient conditions for ${𝔼}_{\mu }R\left({\tau }_{𝙶}\right)lt;\infty$ in terms of the behavior near the origin of the spectral measure of $-A^{𝙶}$. When $r\left(t\right)=t^l$, $l\ge 0$, by means of this condition we derive the Nash inequality for the killed process. In the diffusion case this permits to show that the existence of moments of order $l+1$ for ${\tau }_{𝙶}$...

We consider the stochastic differential equation $X_t=X₀+{\int }_0^t(A_s+B_s{X}_s)ds+{\int }_0^t{C}_{s}d{Y}_s$, where $A_t$, $B_t$, $C_t$ are nonrandom continuous functions of t, X₀ is an initial random variable, $Y=(Y_t,t\ge 0)$ is a Gaussian process and X₀, Y are independent. We give the form of the solution ($X_t$) to (0.1) and then basing on the results of Plucińska [Teor. Veroyatnost. i Primenen. 25 (1980)] we prove that ($X_t$) is a quasi-diffusion proces.

We prove the existence of uniform attractors ${}_{\epsilon }$ in the space $H¹\left({ℝ}^N\right)$ for the nonautonomous nonclassical diffusion equation $u_t-\epsilon \Delta u_t-\Delta u+f(x,u)+\lambda u=g(x,t)$, ε ∈ [0,1]. The upper semicontinuity of the uniform attractors ${{}_{\epsilon }}_{\epsilon \in [0,1]}$ at ε = 0 is also studied.

We study nonlinear diffusion problems of the form $u_t=u_{xx}+f\left(u\right)$ with free boundaries. Such problems may be used to describe the spreading of a biological or chemical species, with the free boundary representing the expanding front. For special $f\left(u\right)$ of the Fisher-KPP type, the problem was investigated by Du and Lin [DL]. Here we consider much more general nonlinear terms. For any $f\left(u\right)$ which is $C^1$ and satisfies $f\left(0\right)=0$, we show that the omega limit set $\omega \left(u\right)$ of every bounded positive solution is determined by a stationary...

A notion of a wide-sense Markov process $X_t$ of order k ≥ 1, $X_t\sim WM\left(k\right)$, is introduced as a direct generalization of Doob’s notion of wide-sense Markov process (of order k=1 in our terminology). A base for investigation of the covariance structure of $X_t$ is the k-dimensional process $x_t=(X_{t-k+1},...,X_t)$. The covariance structure of $X_t\sim WM\left(k\right)$ is considered in the general case and in the periodic case. In the general case it is shown that $X_t\sim WM\left(k\right)$ iff $x_t$ is a k-dimensional WM(1) process and iff the covariance function of $x_t$ has the triangular...

In the present work, we consider spectrally positive Lévy processes $(X_t,t\ge 0)$ not drifting to $+\infty$ and we are interested in conditioning these processes to reach arbitrarily large heights (in the sense of the height process associated with $X$) before hitting $0$. This way we obtain a new conditioning of Lévy processes to stay positive. The (honest) law ${\mathbb{P}}_x^{☆}$ of this conditioned process (starting at $xgt;0$) is defined as a Doob $h$-transform via a martingale. For Lévy processes with infinite variation paths,...

We show that the essential spectral radius ${\varrho }_e\left(T\right)$ of T ∈ B(H) can be calculated by the formula ${\varrho }_e\left(T\right)$ = inf${ℱ}_{♯·♯}\left(XT{X}^{-1}\right)$: X an invertible operator, where ${ℱ}_{♯·♯}\left(T\right)$ is a Φ₁-perturbation function introduced by Mbekhta [J. Operator Theory 51 (2004)]. Also, we show that if ${}_{♯·♯}\left(T\right)$ is a Φ₂-perturbation function [loc. cit.] and if T is a Fredholm operator, then $dist(0,{\sigma }_e\left(T\right))$ = sup${}_{♯·♯}\left(XT{X}^{-1}\right)$: X an invertible operator.

Let ϕ: [0,1] → [0,1] be a nondecreasing continuous function such that ϕ(x) > x for all x ∈ (0,1). Let the operator $V_{\varphi }:f\left(x\right)\mapsto {\int }_0^{\varphi \left(x\right)}f\left(t\right)dt$ be defined on L₂[0,1]. We prove that $V_{\varphi }$ has a finite number of nonzero eigenvalues if and only if ϕ(0) > 0 and ϕ(1-ε) = 1 for some 0 < ε < 1. Also, we show that the spectral trace of the operator $V_{\varphi }$ always equals 1.

We consider regenerative processes with values in some general Polish space. We define their $\epsilon$-big excursions as excursions $e$ such that $\varphi \left(e\right)gt;\epsilon$, where $\varphi$ is some given functional on the space of excursions which can be thought of as, e.g., the length or the height of $e$. We establish a general condition that guarantees the convergence of a sequence of regenerative processes involving the convergence of $\epsilon$-big excursions and of their endpoints, for all $\epsilon$ in a set whose closure contains $0$. Finally,...

In this paper we establish a decoupling feature of the random interlacement process ${ℐ}^u\subset {\mathbb{Z}}^d$ at level $u$, $d\ge 3$. Roughly speaking, we show that observations of ${ℐ}^u$ restricted to two disjoint subsets $A_1$ and $A_2$ of ${\mathbb{Z}}^d$ are approximately independent, once we add a sprinkling to the process ${ℐ}^u$ by slightly increasing the parameter $u$. Our results differ from previous ones in that we allow the mutual distance between the sets $A_1$ and $A_2$ to be much smaller than their diameters. We then provide an important application...

We survey recent results concerning estimates of the principal eigenvalue of the Dirichlet $p$-Laplacian and the Navier $p$-biharmonic operator on a ball of radius $R$ in ${ℝ}^N$ and its asymptotics for $p$ approaching $1$ and $\infty$. Let $p$ tend to $\infty$. There is a critical radius $R_C$ of the ball such that the principal eigenvalue goes to $\infty$ for $0<R\le R_C$ and to $0$ for $R>R_C$. The critical radius is $R_C=1$ for any $N\in \mathbb{N}$ for the $p$-Laplacian and $R_C=\sqrt{2N}$ in the case of the $p$-biharmonic operator. When $p$ approaches $1$, the principal eigenvalue...

Let $m\ge 3$ be an integer. The so-calledis a discrete time Markov chain which is very popular in theoretical computer science, modelling famous algorithms used in searching and sorting. This random process satisfies a well-known phase transition: when $m\le 26$, the asymptotic behavior of the process is Gaussian, but for $m\ge 27$ it is no longer Gaussian and a limit $W^{DT}$ of a complex-valued martingale arises. In this paper, we consider the multitype branching process which is the continuous time version of...

Let $\left\{X_{ij}\right\}$, $i,j=\cdots$, be a double array of independent and identically distributed (i.i.d.) real random variables with $E{X}_{11}=\mu$, $E|X_{11}{-\mu |}^2=1$ and $E|X_{11}{|}^{4}lt;\infty$. Consider sample covariance matrices (with/without empirical centering) $𝒮=\frac{1}{n}{\sum }_{j=1}^n({𝐬}_j-\overline{𝐬}){({𝐬}_j-\overline{𝐬})}^T$ and $𝐒=\frac{1}{n}{\sum }_{j=1}^n{𝐬}_j{𝐬}_j^T$, where $\overline{𝐬}=\frac{1}{n}{\sum }_{j=1}^n{𝐬}_j$ and ${𝐬}_j={𝐓}_n^{1/2}{(X_{1j},...,X_{pj})}^T$ with ${\left({𝐓}_n^{1/2}\right)}^2={𝐓}_n$, non-random symmetric non-negative definite matrix. It is proved that central limit theorems of eigenvalue statistics of $𝒮$ and $𝐒$ are different as $n\to \infty$ with $p/n$ approaching a positive constant. Moreover, it is also proved that such a different behavior is not observed in the...

For each n ≥ 1, let $v_{n,k},k\ge 1$ and $u_{n,k},k\ge 1$ be mutually independent sequences of nonnegative random variables and let each of them consist of mutually independent and identically distributed random variables with means v̅ₙ and u̅̅ₙ, respectively. Let $X{ₙ}^B\left(t\right)=(1/cₙ){\sum }_{j=1}^{\left[nt\right]}(v_{n,j}-v̅ₙ)$, $X{ₙ}^A\left(t\right)=(1/cₙ){\sum }_{j=1}^{\left[nt\right]}(u_{n,j}-u̅̅ₙ)$, t ≥ 0, and $Xₙ=X{ₙ}^B-X{ₙ}^A$. The main result gives conditions under which the weak convergence $Xₙ\stackrel{}{\to }X$, where X is a Lévy process, implies $X{ₙ}^B\stackrel{}{\to }{X}^B$ and $X{ₙ}^A\stackrel{}{\to }{X}^A$, where $X^B$ and $X^A$ are mutually independent Lévy processes and $X=X^B-X^A$.