Instituto Nacional de Matemática Pura e Aplicada

This paper provides a fairly systematic study of general economic conditions under which rational asset pricing bubbles may arise in an intertemporal competitive equilibrium framework.Our main results are concerned with non-existence of asset pricing bubbles in those economies.These results imply that the conditions under which bubbles are possible inc1uding sorne well-known examples of monetary equilibria-are relatively fragile.

.<F3.846e+05> We propose a new projection algorithm for solving the variational inequality problem, where the underlying function is continuous and satisfies a certain generalized monotonicity assumption (e.g., it can be pseudomonotone). The method is simple and admits a nice geometric interpretation. It consists of two steps. First, we construct an appropriate hyperplane which strictly separates the current iterate from the solutions of the problem. This procedure requires a single projection onto the feasible set and employs an Armijo-type linesearch along a feasible direction. Then the next iterate is obtained as the projection of the current iterate onto the intersection of the feasible set with the halfspace containing the solution set. Thus, in contrast with most other projection-type methods, only two projection operations per iteration are needed. The method is shown to be globally convergent to a solution of the variational inequality problem under minimal assumptions. Prelimi...

We prove the conjecture (known as the "Ten Martini Problem" after Kac and Simon) that the spectrum of the almost Mathieu operator is a Cantor set for all nonzero values of the coupling and all irrational frequencies.

In this paper we study a broad class of nonparametric statistics for comparing two diagnostic markers. One can compare the sensitivities of these diagnostic markers over restricted ranges of specificity by selecting an appropriate statistic from this class. As special cases, one can compare the entire area under the receiver-operator curve (Hanley & McNeil, 1982), or one can compare the sensitivities at a fixed common specificity. Usually we would recommend a comparison based on an average of sensitivities over a restricted high level of specificities. Test procedures and confidence intervals are based on asymptotic normality. These procedures are applicable for paired data, in which both diagnostic markers are performed on each subject, and for unpaired data. The procedures may be used to compare two real functions of multiple diagnostic markers as well as to compare individual markers.

Many important theorems and conjectures in combinatorics, such as the theorem of Szemerédi on arithmetic progressions and the Erdős–Stone Theorem in extremal graph theory, can be phrased as statements about families of independent sets in certain uniform hypergraphs. In recent years, an important trend in the area has been to extend such classical results to the so-called ‘sparse random setting’. This line of research has recently culminated in the breakthroughs of Conlon and Gowers and of Schacht, who developed general tools for solving problems of this type. Although these two articles solved very similar sets of longstanding open problems, the methods used are very different from one another and have different strengths and weaknesses. In this article, we provide a third, completely different, approach to proving extremal and structural results in sparse random sets that also yields their natural ‘counting’ counterparts. We give a structural characterization of the independent sets in a large class of uniform hypergraphs by showing that every independent set is almost contained in one of a small number of relatively sparse sets. We then derive many interesting results as fairly straightforward consequences of this abstract theorem. In particular, we prove the well-known conjecture of Kohayakawa, Łuczak, and Rödl, a probabilistic embedding lemma for sparse graphs. We also give alternative proofs of many of the results of Conlon and Gowers and of Schacht, such as sparse random versions of Szemerédi’s theorem, the Erdős–Stone Theorem, and the Erdős–Simonovits Stability Theorem, and obtain their natural ‘counting’ versions, which in some cases are considerably stronger. For example, we show that for each positive <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="beta"> <mml:semantics> <mml:mi> β </mml:mi> <mml:annotation encoding="application/x-tex">\beta</mml:annotation> </mml:semantics> </mml:math> </inline-formula> and integer <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="k"> <mml:semantics> <mml:mi>k</mml:mi> <mml:annotation encoding="application/x-tex">k</mml:annotation> </mml:semantics> </mml:math> </inline-formula> , there are at most <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="StartBinomialOrMatrix beta n Choose m EndBinomialOrMatrix"> <mml:semantics> <mml:mrow> <mml:mstyle scriptlevel="0"> <mml:mrow class="MJX-TeXAtom-OPEN"> <mml:mo maxsize="1.2em" minsize="1.2em">(</mml:mo> </mml:mrow> </mml:mstyle> <mml:mfrac linethickness="0"> <mml:mrow> <mml:mi> β </mml:mi> <mml:mi>n</mml:mi> </mml:mrow> <mml:mi>m</mml:mi> </mml:mfrac> <mml:mstyle scriptlevel="0"> <mml:mrow class="MJX-TeXAtom-CLOSE"> <mml:mo maxsize="1.2em" minsize="1.2em">)</mml:mo> </mml:mrow> </mml:mstyle> </mml:mrow> <mml:annotation encoding="application/x-tex">\binom {\beta n}{m}</mml:annotation> </mml:semantics> </mml:math> </inline-formula> sets of size <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="m"> <mml:semantics> <mml:mi>m</mml:mi> <mml:annotation encoding="application/x-tex">m</mml:annotation> </mml:semantics> </mml:math> </inline-formula> that contain no <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="k"> <mml:semantics> <mml:mi>k</mml:mi> <mml:annotation encoding="application/x-tex">k</mml:annotation> </mml:semantics> </mml:math> </inline-formula> -term arithmetic progression, provided that <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="m greater-than-or-slanted-equals upper C n Superscript 1 minus 1 slash left-parenthesis k minus 1 right-parenthesis"> <mml:semantics> <mml:mrow> <mml:mi>m</mml:mi> <mml:mo> ⩾ </mml:mo> <mml:mi>C</mml:mi> <mml:msup> <mml:mi>n</mml:mi> <mml:mrow class="MJX-TeXAtom-ORD"> <mml:mn>1</mml:mn> <mml:mo> − </mml:mo> <mml:mn>1</mml:mn> <mml:mrow class="MJX-TeXAtom-ORD"> <mml:mo>/</mml:mo> </mml:mrow> <mml:mo stretchy="false">(</mml:mo> <mml:mi>k</mml:mi> <mml:mo> − </mml:mo> <mml:mn>1</mml:mn> <mml:mo stretchy="false">)</mml:mo> </mml:mrow> </mml:msup> </mml:mrow> <mml:annotation encoding="application/x-tex">m \geqslant Cn^{1-1/(k-1)}</mml:annotation> </mml:semantics> </mml:math> </inline-formula> , where <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="upper C"> <mml:semantics> <mml:mi>C</mml:mi> <mml:annotation encoding="application/x-tex">C</mml:annotation> </mml:semantics> </mml:math> </inline-formula> is a constant depending only on <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="beta"> <mml:semantics> <mml:mi> β </mml:mi> <mml:annotation encoding="application/x-tex">\beta</mml:annotation> </mml:semantics> </mml:math> </inline-formula> and <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="k"> <mml:semantics> <mml:mi>k</mml:mi> <mml:annotation encoding="application/x-tex">k</mml:annotation> </mml:semantics> </mml:math> </inline-formula> . We also obtain new results, such as a sparse version of the Erdős–Frankl–Rödl Theorem on the number of <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="upper H"> <mml:semantics> <mml:mi>H</mml:mi> <mml:annotation encoding="application/x-tex">H</mml:annotation> </mml:semantics> </mml:math> </inline-formula> -free graphs and, as a consequence of the KŁR conjecture, we extend a result of Rödl and Ruciński on Ramsey properties in sparse random graphs to the general, non-symmetric setting.

We formulate a dynamical fluctuation theory for stationary nonequilibrium states (SNS) which covers situations in a nonlinear hydrodynamic regime and is verified explicitly in stochastic models of interacting particles. In our theory a crucial role is played by the time reversed dynamics. Our results include the modification of the Onsager-Machlup theory in the SNS, a general Hamilton-Jacobi equation for the macroscopic entropy and a nonequilibrium, nonlinear fluctuation dissipation relation valid for a wide class of systems.

In 1976 [He] H~non performed a numerical study of the family of diffeomorphisms of the plane ha,b(X, y)=(1-ax2+y, bx) and detected for parameter values a=l.4, b=0.3, what seemed to be a non-trivial attractor with a highly intricate geometric structure. This family has since then been the subject of intense research, both numerical and theoretical, but its dynamics is still far from being completely understood. In particular one could not exclude the possibility that the attractor observed by H6non were just a periodic orbit with a very high period. Recently, in a remarkable paper [BC2], Benedicks and Carleson were able to show that this is not the case, at least for a positive Lebesgue measure set of parameter values near a=2, b=O. More precisely, they showed that if b>0 is small enough then for a positive measure set of a-values near a=2 the corresponding diffeomorphism ha,b exhibits a strange attractor. Their argument is a very creative extension of the techniques they had previously developed in [BUll for the study of the quadratic family on the real line and no doubt it will be important for the understanding of several other situations of complicated, nonhyperbolic dynamics. When acquainted in 1985 with the work by Benedicks and Carleson, then in progress, Palls suggested that one should in this context think of the H6non family as a particular, although important, model for the creation of a horseshoe and that the emphasis should be put on the occurrence of unfoldings of homoclinic tangencies. He proposed that the correct setting for Benedicks-Carleson's results is within this more general framework of homoclinic bifurcations and stated the following

It is proved here that minimizing measures of a Lagrangian flow are invariant and the Lagrangian is cohomologous to a constant on the support of their ergodic components. Moreover, it is shown that generic Lagrangians have a unique minimizing measure which is uniquely ergodic and is a limit of invariant probabilities supported on periodic orbits of the Lagrangian flows.

On demontre que tout diffeomorphisme C 1 structurellement stable d'une variete fermee satisfait l'axiome A

We give a necessary and sufficient condition for a 2-dimensional Riemannian manifold to be locally isometrically immersed into a 3-dimensional homogeneous Riemannian manifold with a 4-dimensional isometry group. The condition is expressed in terms of the metric, the second fundamental form, and data arising from an ambient Killing field. This class of 3-manifolds includes in particular the Berger spheres, the Heisenberg group Nil3, the universal cover of the Lie group PSL2(R) and the product spaces S2×R and H2×R. We give some applications to constant mean curvature (CMC) surfaces in these manifolds; in particular we prove the existence of a generalized Lawson correspondence, i.e., a local isometric correspondence between CMC surfaces in homogeneous 3-manifolds.

Abstract We present a variant of Korpelevich's method for variational inequality problems with monotone operators. Instead of a fixed and exogenously given stepsize, possible only when a Lipschitz constant for the operator exists and is known beforehand, we find an appropriate stepsize in each iteration through an Armijo-type search. Differently from other similar schemes, we perform only two projections onto the feasible set in each iteration, rather than one projection for each tentative step during the search, which represents a considerable saving when the projection is computationally expensive. A full convergence analysis is given, without any Lipschitz continuity assumption Keywords: Variational InequalitiesArmijo Search ∗Research of this author was partially supported by CNPqgrant NΩ301280/86 ∗Research of this author was partially supported by CNPqgrant NΩ301280/86 Notes ∗Research of this author was partially supported by CNPqgrant NΩ301280/86

This work presents a binary expansion (BE) solution approach to the problem of strategic bidding under uncertainty in short-term electricity markets. The BE scheme is used to transform the products of variables in the nonlinear bidding problem into a mixed integer linear programming formulation, which can be solved by commercially available computational systems. The BE scheme is applicable to pure price, pure quantity, or joint price/quantity bidding models. It is also possible to represent transmission networks, uncertainties (scenarios for price, quantity, plant availability, and load), financial instruments, capacity reinforcement decisions, and unit commitment. The application of the methodology is illustrated in case studies, with configurations derived from the 80-GW Brazilian system.

In open quantum systems where the effective Hamiltonian is not Hermitian, it is known that the adiabatic (or instantaneous) basis can be multivalued: by adiabatically transporting an eigenstate along a closed loop in the parameter space of the Hamiltonian, it is possible to end up in an eigenstate different from the initial eigenstate. This ‘adiabatic flip’ effect is an outcome of the appearance of a degeneracy known as an ‘exceptional point’ inside the loop. We show that contrary to what is expected of the transport properties of the eigenstate basis, the interplay between gain/loss and non-adiabatic couplings imposes fundamental limitations on the observability of this adiabatic flip effect.

For any projective embedding of a non-singular irreducible complete algebraic curve defined over a finite field, we obtain an upper bound for the number of its rational points. The constants in the bound are related to the Weierstrass order-sequence associated with the projective embedding. The bounds obtained lead to a proof of the Riemann hypothesis for curves over finite fields and yield several improvements on it.

We show that, for every compact n-dimensional manifold, n 1, there is a residual subset of Diff 1 (M ) of diffeomorphisms for which the homoclinic class of any periodic saddle of f verifies one of the following two possibilities: Either it is contained in the closure of an infinite set of sinks or sources (Newhouse phenomenon), or it presents some weak form of hyperbolicity called dominated splitting (this is a generalization of a bidimensional result of Ma [Ma3]). In particular, we show that any C 1 -robustly transitive diffeomorphism admits a dominated splitting.

We show that, for any compact surface, there is a residual (dense G_{\delta}) set of C^{1} area-preserving diffeomorphisms which either are Anosov or have zero Lyapunov exponents a.e. This result was announced by R. Mañé, but no proof was available. We also show that for any fixed ergodic dynamical system over a compact space, there is a residual set of continuous SL(2,\mathbb{R})-cocycles which either are uniformly hyperbolic or have zero exponents a.e.

Abstract A cusp type germ of vector fields is a C ∞ germ at 0∈ℝ 2 , whose 2-jet is C ∞ conjugate to We define a submanifold of codimension 5 in the space of germs consisting of germs of cusp type whose 4-jet is C 0 equivalent to Our main result can be stated as follows: any local 3-parameter family in (0, 0) ∈ ℝ 2 × ℝ 3 cutting transversally in (0, 0) is fibre- C 0 equivalent to

The problem considered is that of testing a sequence of independent normal random variables with constant, known or unknown, variance for no change in mean versus alternatives with a single change-point. Various tests, such as those based on the likelihood ratio and recursive residuals, are studied. Power approximations are developed by integrating approximations for conditional boundary crossing probabilities. A comparison of several tests is made.

This book was first published in 2001. It provides an introduction to Fourier analysis and partial differential equations and is intended to be used with courses for beginning graduate students. With minimal prerequisites the authors take the reader from fundamentals to research topics in the area of nonlinear evolution equations. The first part of the book consists of some very classical material, followed by a discussion of the theory of periodic distributions and the periodic Sobolev spaces. The authors then turn to the study of linear and nonlinear equations in the setting provided by periodic distributions. They assume only some familiarity with Banach and Hilbert spaces and the elementary properties of bounded linear operators. After presenting a fairly complete discussion of local and global well-posedness for the nonlinear Schrödinger and the Korteweg-de Vries equations, they turn their attention, in the two final chapters, to the non-periodic setting, concentrating on problems that do not occur in the periodic case.

We study Schrödinger operators with a one-frequency analytic potential, focusing on the transition between the two distinct local regimes characteristic respectively of large and small potentials. From the dynamical point of view, the transition signals the emergence of non-uniform hyperbolicity, so the dependence of the Lyapunov exponent with respect to parameters plays a central role in the analysis. Though often ill-behaved by conventional measures, we show that the Lyapunov exponent is in fact remarkably regular in a “stratified sense” which we define: the irregularity comes from the matching of nice (analytic or smooth) functions along sets with complicated geometry. This result allows us to establish that the “critical set” for the transition lies within countably many codimension one subvarieties of the (infinite-dimensional) parameter space. A more refined renormalization-based analysis shows that the critical set is rather thin within those subvarieties, and allows us to conclude that a typical potential has no critical energies. Such acritical potentials also form an open set and have several interesting properties: only finitely many “phase transitions” may happen, but never at any specific point in the spectrum, and the Lyapunov exponent is minorated in the region of the spectrum where it is positive. On the other hand, we do show that the number of phase transitions can be arbitrarily large. Key to our approach are two results about the dependence of the Lyapunov exponent of one-frequency SL(2,C) cocycles with respect to perturbations in the imaginary direction: on one hand there is a severe “quantization” restriction, and on the other hand “regularity” of the dependence characterizes uniform hyperbolicity when the Lyapunov exponent is positive. Our method is independent of arithmetic conditions on the frequency.