This paper is devoted to the computation of statistical characteristics of the response of discrete vibration systems with a random external excitation. The excitation can act at multiple points and is modeled by a time-shifted random process and its derivatives up to the second order. Statistical characteristics of the response are given by expansions as to the correlation length of a weakly correlated random process which is used in the excitation model. As the main result analytic expressions of some integrals involved in the expansion terms are derived.

In this paper matrix compression techniques in the context of wavelet Galerkin schemes for boundary integral equations are developed and analyzed that exhibit optimal complexity in the following sense. The fully discrete scheme produces approximate solutions within discretization error accuracy offered by the underlying Galerkin method at a computational expense that is proven to stay proportional to the number of unknowns. Key issues are the second compression, that reduces the near field complexity significantly, and an additional a-posteriori compression. The latter one is based on a general result concerning an optimal work balance, that applies, in particular, to the quadrature used to compute the compressed stiffness matrix with sufficient accuracy in linear time. The theoretical results are illustrated by a 3D example on a nontrivial domain.

Thesis (Ph.D)--Industrial and Systems Engineering, Georgia Institute of Technology, 2010. / Committee Chair: Ayhan, Hayriye; Committee Member: Foley, Robert D.; Committee Member: Goldsman, David M.; Committee Member: Reed, Joshua; Committee Member: Zwart, Bert. Part of the SMARTech Electronic Thesis and Dissertation Collection.

We derive at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a selection of exponential Lévy models, restricting our attention to asset-price models whose log returns structure is a Lévy process. We consider two main problems. First, we consider very general Lévy models that are in the domain of attraction of a stable random variable. Under some relatively minor assumptions, we give first-order at-the-money call-price and implied volatility asymptotics. In the case where our Lévy process has Brownian component, we discover new orders of convergence by showing that the rate of convergence can be of the form t¹/ᵃℓ(t) where ℓ is a slowly varying function and $\alpha \in (1,2)$. We also give an example of a Lévy model which exhibits this new type of behavior where ℓ is not asymptotically constant. In the case of a Lévy process with Brownian component, we find that the order of convergence of the call price is √t. Second, we investigate the CGMY process whose call-price asymptotics are known to third order. Previously, measure transformation and technical estimation methods were the only tools available for proving the order of convergence. We give a new method that relies on the Lipton-Lewis formula, guaranteeing that we can estimate the call-price asymptotics using only the characteristic function of the Lévy process. While this method does not provide a less technical approach, it is novel and is promising for obtaining second-order call-price asymptotics for at-the-money options for a more general class of Lévy processes.

This dissertation is a contribution to the the study of the longtime dynamics of evolutionary equations in unbounded domains. It is of particular interest to prove the existence of global attractors for solutions of such equations. Th this end one need in general some type of asymtotical compactness. In the case the evolutionary PDE is defined on a bounded domain, asymptotical compactness follows from the regularity estimates and the compactnes of Sobolev embeddings and therefore the existence of attractors has been established for most of the disipative equations of mathematocal physics in a bounded domain. The problem is more challenging when the domain is unbounded since the Sobolev embeddings are no longer comapct, so that the usual regularity estimates may not be sufficient.To overcome this obstacle of compactness, A.V. Babin and M.I. Vishik introduced some weighted Sobolev spaces. In their pioneering paper, Proc. Roy. Soc. Edinb.

The main goal in analyzing microarray data is to determine the genes that are differentially expressed across two types of tissue samples or samples obtained under two experimental conditions. In this dissertation we proposed two methods to determine differentially expressed genes. For the penalized normal mixture model (PMMM) to determine genes that are differentially expressed, we penalized both the variance and the mixing proportion parameters simultaneously. The variance parameter was penalized so that the log-likelihood will be bounded, while the mixing proportion parameter was penalized so that its estimates are not on the boundary of its parametric space. The null distribution of the likelihood ratio test statistic (LRTS) was simulated so that we could perform a hypothesis test for the number of components of the penalized normal mixture model. In addition to simulating the null distribution of the LRTS for the penalized normal mixture model, we showed that the maximum likelihood estimates were asymptotically normal, which is a first step that is necessary to prove the asymptotic null distribution of the LRTS. This result is a significant contribution to field of normal mixture model. The modified p-value approach for detecting differentially expressed genes was also discussed in this dissertation. The modified p-value approach was implemented so that a hypothesis test for the number of components can be conducted by using the modified likelihood ratio test. In the modified p-value approach we penalized the mixing proportion so that the estimates of the mixing proportion are not on the boundary of its parametric space. The null distribution of the (LRTS) was simulated so that the number of components of the uniform beta mixture model can be determined. Finally, for both modified methods, the penalized normal mixture model and the modified p-value approach were applied to simulated and real data.

The central objective of this work is to present an analysis of the asymptotic conformal Killing vectors in asymptotically-flat space-times of general relativity. This problem has been examined by two different methods; in Chapter 5 the asymptotic expansion technique originated by Newman and Unti [31] leads to a solution for asymptotically-flat spacetimes which admit an asymptotically shear-free congruence of null geodesics, and in Chapter 6 the conformal rescaling technique of Penrose [54] is used both to support the findings of the previous chapter and to set out a procedure for solution in the general case. It is pointed out that Penrose's conformal technique is preferable to the use of asymptotic expansion methods, since it can be established in a rigorous manner without leading to the possible convergence difficulties associated with asymptotic expansions. Since the asymptotic conformal symmetry groups of asymptotically flat space-times Are generalisations of the conformal group of Minkowski space-time we devote Chapters 3 and 4 to a study of the flat space case so that the results of later chapters may receive an interpretation in terms of familiar concepts. These chapters fulfil a second, equally important, role in establishing local isomorphisms between the Minkowski-space conformal group, 90(2,4) and SU(2,2). The SO(2,4) representation has been used by Kastrup [61] to give a physical interpretation using space-time gauge transformations. This appears as part of the survey of interpretative work in Chapter 7. The SU(2,2) representation of the conformal group has assumed a theoretical prominence in recent years. through the work of Penrose [9-11] on twistors. In Chapter 4 we establish contact with twistor ideas by showing that points in Minkowski space-time correspond to certain complex skew-symmetric rank two tensors on the SU(2,2) carrier space. These objects are, in Penrose's terminology [91, simple skew-symmetric twistors of valence [J. A particularly interesting aspect of conformal objects in space-time is explored in Chapter 8, where we extend the work of Geroch [16] on multipole moments of the Laplace equation in 3-space to the consideration. of Q tý =0 in Minkowski space-time. This development hinges upon the fact that multipole moment fields are also conformal Killing tensors. In the final chapter some elementary applications of the results of Chapters 3 and 5 are made to cosmological models which have conformal flatness or asymptotic conformal flatness. In the first class here we have 'models of the Robertson-Walker type and in the second class we have the asymptotically-Friedmann universes considered by Hawking [73].

The novelty and originality of the work consists in the fact that in order to obtain asymptotic expansions with optimal values of the remainder terms in the zone of large deviations, along with the cumulant method the classical method of characteristic functions has to be used. In addition, when solving the problems stated in the work, other than the well known results in the problems of limit theorems of the probability theory and mathematical statistics, we have to estimate constants. Technically it is frequently rather a complicated task. The results obtained in the work have good opportunities to be applied in probability theory, mathematical statistics, econometric, etc. That is illustrated in the last section of the work in which theorems of large deviations are proved in the summation of weighted random variables with weights as well as discounted limit theorems.

We consider the motion of a Brownian particle trapped in an arbitrary bounded two or three-dimensional domain, whose boundary is reflecting except for a small absorbing window through which the particle can escape. We use the method of matched asymptotic expansions to calculate the mean first passage time, defined as the time taken for the Brownian particle to escape from the domain through the absorbing window. This is known as the narrow escape problem. Since the mean escape time diverges as the window shrinks, the calculation is a singular perturbation problem. We extend our results to include N absorbing windows of varying length in two dimensions and varying radius in three dimensions. We present findings in two dimensions for the unit disk, unit square and ellipse and in three dimensions for the unit sphere. The narrow escape problem has various applications in many fields including finance, biology, and statistical mechanics.

In this thesis we study the asymptotic behaviour of the solution of a discrete time renewal equation depending on a small perturbation parameter. In particular, we construct asymptotic expansions for the solution of the renewal equation and related quantities. The results are applied to studies of quasi-stationary phenomena for regenerative processes and asymptotics of ruin probabilities for a discrete time analogue of the Cramér-Lundberg risk model.