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We consider upper‒lower (UL) (and lower‒upper (LU)) factorizations of the one-step transition probability matrix of a random walk with the state space of nonnegative integers, with the condition that both upper and lower triangular matrices in the factorization are also stochastic matrices. We provide conditions on the free parameter of the UL factorization in terms of certain continued fractions such that this stochastic factorization is possible. By inverting the order of the factors (also known as a Darboux transformation) we obtain a new family of random walks where it is possible to state the spectral measures in terms of a Geronimus transformation. We repeat this for the LU factorization but without a free parameter. Finally, we apply our results in two examples; the random walk with constant transition probabilities, and the random walk generated by the Jacobi orthogonal polynomials. In both situations we obtain urn models associated with all the random walks in question.
We prove Hardy-type inequalities for a fractional Dunkl–Hermite operator, which incidentally gives Hardy inequalities for the fractional harmonic oscillator as well. The idea is to use h-harmonic expansions to reduce the problem in the Dunkl–Hermite context to the Laguerre setting. Then, we push forward a technique based on a non-local ground representation, initially developed by Frank et al. [‘Hardy–Lieb–Thirring inequalities for fractional Schrödinger operators, J. Amer. Math. Soc.21 (2008), 925–950’] in the Euclidean setting, to obtain a Hardy inequality for the fractional-type Laguerre operator. The above-mentioned method is shown to be adaptable to an abstract setting, whenever there is a ‘good’ spectral theorem and an integral representation for the fractional operators involved.
We propose amixed spectral method for heat transfer in unbounded domains, using generalised Hermite functions and Legendre polynomials. Some basic results on the mixed generalised Hermite-Legendre orthogonal approximation are established, which plays important roles in spectral methods for various problems defined on unbounded domains. As an example, the mixed generalised Hermite-Legendre spectral scheme is constructed for anisotropic heat transfer. Its convergence is proven, and some numerical results demonstrate the spectral accuracy of this approach.
is a finite-dimensional algebra over some field, and assume that
is weakly symmetric and indecomposable, with radical cube zero and radical square nonzero. We show that such an algebra of wild representation type does not have a nonprojective module
whose ext-algebra is finite dimensional. This gives a complete classification of weakly symmetric indecomposable algebras which have a nonprojective module whose ext-algebra is finite dimensional. This shows in particular that existence of ext-finite nonprojective modules is not equivalent with the failure of the finite generation condition (Fg), which ensures that modules have support varieties.
A 𝔻-semiclassical weight is one which satisfies a particular linear, first-order homogeneous equation in a divided-difference operator 𝔻. It is known that the system of polynomials, orthogonal with respect to this weight, and the associated functions satisfy a linear, first-order homogeneous matrix equation in the divided-difference operator termed the spectral equation. Attached to the spectral equation is a structure which constitutes a number of relations such as those arising from compatibility with the three-term recurrence relation. Here this structure is elucidated in the general case of quadratic lattices. The simplest examples of the 𝔻-semiclassical orthogonal polynomial systems are precisely those in the Askey table of hypergeometric and basic hypergeometric orthogonal polynomials. However within the 𝔻-semiclassical class it is entirely natural to define a generalization of the Askey table weights which involve a deformation with respect to new deformation variables. We completely construct the analogous structures arising from such deformations and their relations with the other elements of the theory. As an example we treat the first nontrivial deformation of the Askey–Wilson orthogonal polynomial system defined by the q-quadratic divided-difference operator, the Askey–Wilson operator, and derive the coupled first-order divided-difference equations characterizing its evolution in the deformation variable. We show that this system is a member of a sequence of classical solutions to the q-Painlevé system.
The finite Fourier transform of a family of orthogonal polynomials is the usual transform of these polynomials extended by
outside their natural domain of orthogonality. Explicit expressions are given for the Legendre, Jacobi, Gegenbauer and Chebyshev families.
We relate a one-parametric generating function for the squares of Legendre polynomials to an arithmetic hypergeometric series whose parametrisation by a level 7 modular function was recently given by Cooper. By using this modular parametrisation we resolve a subfamily of identities involving
$1/ \pi $
which was experimentally observed by Sun.
In this paper we consider a class of quasi-birth-and-death processes for which explicit solutions can be obtained for the rate matrix R and the associated matrix G. The probabilistic interpretations of these matrices allow us to describe their elements in terms of paths on the two-dimensional lattice. Then determining explicit expressions for the matrices becomes equivalent to solving a lattice path counting problem, the solution of which is derived using path decomposition, Bernoulli excursions, and hypergeometric functions. A few applications are provided, including classical models for which we obtain some new results.
The aim of this paper is to find a concrete bound for the error involved when approximating the nth Hermite function (in the oscillating range) by an asymptotic formula due to D. Dominici. This bound is then used to study the accuracy of certain approximations to Hermite expansions and to Fourier transforms. A way of estimating an unknown probability density is proposed.
In this paper we develop a constructive approach to studying continuously and discretely sampled functionals of Lévy processes. Estimates for the rate of convergence of the discretely sampled functionals to the continuously sampled functionals are derived, reducing the study of the latter to that of the former. Laguerre reduction series for the discretely sampled functionals are developed, reducing their study to that of the moment generating function of the pertinent Lévy processes and to that of the moments of these processes in particular. The results are applied to questions of contingent claim valuation, such as the explicit valuation of Asian options, and illustrated in the case of generalized inverse Gaussian Lévy processes.
In this paper we develop a constructive structure theory for a class of exponential functionals of Brownian motion which includes Asian option values. This is done in two stages of differing natures. As a first step, the functionals are represented as Laguerre reduction series obtained from main results of Schröder (2006), this paper's companion paper. These reduction series are new and given in terms of the negative moments of the integral of geometric Brownian motion, whose structure theory is developed in a second step. Providing a new angle on these processes, this is done by establishing connections with theta functions. Integral representations and computable formulae for the negative moments are thus derived and then shown to furnish highly efficient ways for computing the negative moments. Application of this paper's Laguerre reduction series in numerical examples suggests that one of the most efficient methods for the explicit valuation of Asian options is obtained. The paper also provides mathematical background results referred to in Schröder (2005c).
In this paper we develop methods for reducing the study, the computation, and the construction of stochastic functionals to those of standard concepts such as the moments of the pertinent random variables. Principally, our methods are based on the notion of ladder height densities and their Laguerre expansions, and our results provide a unifying framework for the distinct approaches of Dufresne (2000) and Schröder (2005).
In the random walk whose state space is a subset of the non-negative integers explicit representations for the generating functions of the n-step transition and the first return probabilities are obtained. These representations involve the Stieltjes transform of the spectral measure of the process and the corresponding orthogonal polynomials. Several examples are given in order to illustrate the application of the results.
The distributions of nearest neighbour random walks on hypercubes in continuous time t
0 can be expressed in terms of binomial distributions; their limit behaviour for t, N → ∞ is well-known. We study here these random walks in discrete time and derive explicit bounds for the deviation of their distribution from their counterparts in continuous time with respect to the total variation norm. Our results lead to a recent asymptotic result of Diaconis, Graham and Morrison for the deviation from uniformity for N →∞. Our proofs use Krawtchouk polynomials and a version of the Diaconis–Shahshahani upper bound lemma. We also apply our methods to certain birth-and-death random walks associated with Krawtchouk polynomials.
This article studies particular sequences satisfying polynomial recurrences, among those Apéry's sequence which is shown to be the Legendre transform of the sequence. This results in the construction of simultaneous approximations of π 2/8 and ζ(3).
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