We consider a family of nonlinear stochastic heat equations of the form ${\partial }_{t}u=ℒu+\sigma \left(u\right)\dot{W}$, where $\dot{W}$ denotes space–time white noise, $ℒ$ the generator of a symmetric Lévy process on $𝐑$, and $\sigma$ is Lipschitz continuous and zero at 0. We show that this stochastic PDE has a random-field solution for every finite initial measure $u_0$. Tight a priori bounds on the moments of the solution are also obtained. In the particular case that $ℒf=c{f}^{\text{'}\text{'}}$ for some $cgt;0$, we prove that if $u_0$ is a finite measure of compact support, then the...

We study a one-dimensional stochastic differential equation driven by a stable Lévy process of order $\alpha$ with drift and diffusion coefficients $b$, $\sigma$. When $\alpha \in (1,2)$, we investigate pathwise uniqueness for this equation. When $\alpha \in (0,1)$, we study another stochastic differential equation, which is equivalent in law, but for which pathwise uniqueness holds under much weaker conditions. We obtain various results, depending on whether $\alpha \in (0,1)$ or $\alpha \in (1,2)$ and on whether the driving stable process is symmetric or not. Our...

In this paper, we consider the linear and circular consecutive $k$-out-of-$n$ systems consisting of arbitrarily dependent components. Under the condition that at least $n-r+1$ components ($r\le n$) of the system are working at time $t$, we study the reliability properties of the residual lifetime of such systems. Also, we present some stochastic ordering properties of residual lifetime of consecutive $k$-out-of-$n$ systems. In the following, we investigate the inactivity time of the component with lifetime...

We consider random walk on a discrete torus $E$ of side-length $N$, in sufficiently high dimension $d$. We investigate the percolative properties of the vacant set corresponding to the collection of sites which have not been visited by the walk up to time $u{N}^d$. We show that when $u$ is chosen small, as $N$ tends to infinity, there is with overwhelming probability a unique connected component in the vacant set which contains segments of length const $logN$. Moreover, this connected component occupies a...

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.

Let H be a separable real Hilbert space and let E be a separable real Banach space. We develop a general theory of stochastic convolution of ℒ(H,E)-valued functions with respect to a cylindrical Wiener process ${W_t^H}_{t\in [0,T]}$ with Cameron-Martin space H. This theory is applied to obtain necessary and sufficient conditions for the existence of a weak solution of the stochastic abstract Cauchy problem (ACP) $d{X}_t=A{X}_{t}dt+Bd{W}_t^H$ (t∈ [0,T]), $X_0=0$ almost surely, where A is the generator of a $C_0$-semigroup ${S\left(t\right)}_{t\ge 0}$ of bounded linear...

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 consider iterated function systems on the interval with random perturbation. Let $Y_{\epsilon }$ be uniformly distributed in [1-ε,1+ ε] and let $f_i\in C^{1+\alpha }$ be contractions with fixpoints $a_i$. We consider the iterated function system $Y_{\epsilon }{f}_i+a_i(1-Y_{\epsilon }){ⁿ}_{i=1}$, where each of the maps is chosen with probability $p_i$. It is shown that the invariant density is in L² and its L² norm does not grow faster than 1/√ε as ε vanishes. The proof relies on defining a piecewise hyperbolic dynamical system on the cube with an SRB-measure whose projection...

We consider “nonconventional” averaging setup in the form $\frac{\mathrm{d}{X}^{\epsilon }\left(t\right)}{\mathrm{d}t}=\epsilon B(X^{\epsilon }\left(t\right)$, $𝛯\left(q_1\left(t\right)\right),𝛯\left(q_2\left(t\right)\right),...,𝛯\left(q_{\ell }\left(t\right)\right))$ where $𝛯\left(t\right)$, $t\ge 0$ is either a stochastic process or a dynamical system with sufficiently fast mixing while $q_j\left(t\right)={\alpha }_{j}t$, ${\alpha }_{1}lt;{\alpha }_{2}lt;\cdots lt;{\alpha }_k$ and $q_j$, $j=k+1,...,\ell$ grow faster than linearly. We show that the properly normalized error term in the “nonconventional” averaging principle is asymptotically Gaussian.

We extend the classical theorems of I. I. Privalov and A. Zygmund from single to multiple conjugate functions in terms of the multiplicative modulus of continuity. A remarkable corollary is that if a function f belongs to the multiplicative Lipschitz class $Lip(\alpha ₁,...,{\alpha }_N)$ for some $0<\alpha ₁,...,{\alpha }_N<1$ and its marginal functions satisfy $f(·,x₂,...,x_N)\in Lip\beta ₁,...,f(x₁,...,x_{N-1},·)\in Lip{\beta }_N$ for some $0<\beta ₁,...,{\beta }_N<1$ uniformly in the indicated variables $x_l$, 1 ≤ l ≤ N, then $f{̃}^{(\eta ₁,...,{\eta }_N)}\in Lip(\alpha ₁,...,{\alpha }_N)$ for each choice of $(\eta ₁,...,{\eta }_N)$ with ${\eta }_l=0$ or 1 for 1 ≤ l ≤ N.

We study a continuous time growth process on the $d$-dimensional hypercubic lattice ${𝒵}^d$, which admits a phenomenological interpretation as the combustion reaction $A+B\to 2A$, where $A$ represents heat particles and $B$ inert particles. This process can be described as an interacting particle system in the following way: at time 0 a simple symmetric continuous time random walk of total jump rate one begins to move from the origin of the hypercubic lattice; then, as soon as any random walk visits a site...

It is proved (independently of the result of Holmes [Fund. Math. 140 (1992)]) that the dual space of the uniform closure $CFL{(}_r)$ of the linear span of the maps x ↦ d(x,a) - d(x,b), where d is the metric of the Urysohn space ${}_r$ of diameter r, is (isometrically if r = +∞) isomorphic to the space $LIP{(}_r)$ of equivalence classes of all real-valued Lipschitz maps on ${}_r$. The space of all signed (real-valued) Borel measures on ${}_r$ is isometrically embedded in the dual space of $CFL{(}_r)$ and it is shown that the image...

In analogy with earlier work on the forward-backward case, we consider an explicit construction of the forward-forward double stochastic product integral ${\prod }^{\to \to }(1+dr)$ with generator $dr=\lambda (d{A}^{†}\otimes dA-dA\otimes d{A}^{†})$. The method of construction is to approximate the product integral by a discrete double product ${\prod }_{(j,k)\in {\mathbb{N}}_m\times \mathbb{N}ₙ}^{\to \to }\Gamma \left(R_{m,n}^{(j,k)}\right)=\Gamma \left({\prod }_{(j,k)\in {\mathbb{N}}_m\times \mathbb{N}ₙ}^{\to \to }\left(R_{m,n}^{(j,k)}\right)\right)$ of second quantised rotations $R_{m,n}^{(j,k)}$ in different planes using the embedding of ${ℂ}^m\oplus ℂⁿ$ into L²(ℝ) ⊕ L²(ℝ) in which the standard orthonormal bases of ${ℂ}^m$ and ℂⁿ are mapped to the orthonormal sets consisting of normalised indicator...

We consider the linear Schrödinger equation under periodic boundary conditions, driven by a random force and damped by a quasilinear damping: $$\frac{\mathrm{d}}{\mathrm{d}t}u+\mathrm{i}\left(-\Delta +V\left(x\right)\right)u=\nu \left(\Delta u-{\gamma }_R{\left|u\right|}^{2p}u-\mathrm{i}{\gamma }_I{\left|u\right|}^{2q}u\right)+\sqrt{\nu }\eta (t,x).(*)$$ The force $\eta$ is white in time and smooth in $x$; the potential $V\left(x\right)$ is typical. We are concerned with the limiting, as $\nu \to 0$, behaviour of solutions on long time-intervals $0\le t\le {\nu }^{-1}T$, and with behaviour of these solutions under the double limit $t\to \infty$ and $\nu \to 0$. We show that these two limiting behaviours may be described in terms of solutions for the($*$) which is a well...

We prove smoothing properties of nonlocal transition semigroups associated to a class of stochastic differential equations (SDE) in ${ℝ}^d$ driven by additive pure-jump Lévy noise. In particular, we assume that the Lévy process driving the SDE is the sum of a subordinated Wiener process $Y$ (i.e. $Y=W\circ T$, where $T$ is an increasing pure-jump Lévy process starting at zero and independent of the Wiener process $W$) and of an arbitrary Lévy process independent of $Y$, that the drift coefficient is continuous...

We find conditions on a real function f:[a,b] → ℝ equivalent to being Lebesgue equivalent to an n-times differentiable function (n ≥ 2); a simple solution in the case n = 2 appeared in an earlier paper. For that purpose, we introduce the notions of $CBV{G}_{1/n}$ and $SBV{G}_{1/n}$ functions, which play analogous rôles for the nth order differentiability to the classical notion of a VBG⁎ function for the first order differentiability, and the classes $CB{V}_{1/n}$ and $SB{V}_{1/n}$ (introduced by Preiss and Laczkovich) for Cⁿ smoothness....

We show that, given an n-dimensional normed space X, a sequence of $N={(8/\epsilon )}^{2n}$ independent random vectors ${\left(X_i\right)}_{i=1}^N$, uniformly distributed in the unit ball of X*, with high probability forms an ε-net for this unit ball. Thus the random linear map $\Gamma :ℝ\to {ℝ}^N$ defined by $\Gamma x={(⟨x,X_i⟩)}_{i=1}^N$ embeds X in ${\ell }_{\infty }^N$ with at most 1 + ε norm distortion. In the case X = ℓ₂ⁿ we obtain a random 1+ε-embedding into ${\ell }_{\infty }^N$ with asymptotically best possible relation between N, n, and ε.

An important result on submajorization, which goes back to Hardy, Littlewood and Pólya, states that b ⪯ a if and only if there is a doubly stochastic matrix A such that b = Aa. We prove that under monotonicity assumptions on the vectors a and b the matrix A may be chosen monotone. This result is then applied to show that $(\widetilde{L^p},L^{\infty })$ is a Calderón couple for 1 ≤ p < ∞, where $\widetilde{L^p}$ is the Köthe dual of the Cesàro space $Ce{s}_{p^{\text{'}}}$ (or equivalently the down space $L_{\downarrow }^{p^{\text{'}}}$). In particular, $(\widetilde{L¹},L^{\infty })$ is a Calderón couple, which...

The Tracy–Widom $\beta$ distribution is the large dimensional limit of the top eigenvalue of $\beta$ random matrix ensembles. We use the stochastic Airy operator representation to show that as $a\to \infty$ the tail of the Tracy–Widom distribution satisfies $$P({\mathrm{𝑇𝑊}}_{\beta }gt;a)=a^{-(3/4)\beta +\mathrm{o}\left(1\right)}exp\left(-\frac{2}{3}\beta a^{3/2}\right).$$

In 1984 J. Clunie and T. Sheil-Small proved ([2, Corollary 5.8]) that for any complex-valued and sense-preserving injective harmonic mapping $F$ in the unit disk $𝔻$, if $F\left(𝔻\right)$ is a convex domain, then the inequality $|G\left(z_2\right)-G\left(z_1\right)|<|H\left(z_2\right)-H\left(z_1\right)|$ holds for all distinct points $z_1,z_2\in 𝔻$. Here $H$ and $G$ are holomorphic mappings in $𝔻$ determined by $F=H+\overline{G}$, up to a constant function. We extend this inequality by replacing the unit disk by an arbitrary nonempty domain $\Omega$ in $ℂ$ and improve it provided $F$ is additionally a quasiconformal mapping...

In this note we shall prove that for a continuous function $\varphi :\Delta \to {ℝ}^n$, where $\Delta \subset ℝ$,  the paratingent of $\varphi$ at $a\in \Delta$ is a non-empty and compact set in ${ℝ}^n$ if and only if $\varphi$ satisfies Lipschitz condition in a neighbourhood of $a$. Moreover, in this case the paratingent is a connected set.

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 $X=X^B-X^A$.