2012, Gün, Onur, König, Wolfgang, Sekulov´c, Ozren

We consider the long-time behaviour of a branching random walk in random environment on the lattice Zd. The migration of particles proceeds according to simple random walk in continuous time, while the medium is given as a random potential of spatially dependent killing/branching rates. The main objects of our interest are the annealed moments m_np , i.e., the p-th moments over the medium of the n-th moment over the migration and killing/branching, of the local and global population sizes. For n = 1, this is well-understood citeGM98, as m_1 is closely connected with the parabolic Anderson model. For some special distributions, citeA00 extended this to ngeq2, but only as to the first term of the asymptotics, using (a recursive version of) a Feynman-Kac formula for m_n. In this work we derive also the second term of the asymptotics, for a much larger class of distributions. In particular, we show that m_n^p m_1^np are asymptotically equal, up to an error e^o(t). The cornerstone of our method is a direct Feynman-Kac-type formula for mn, which we establish using the spine techniques developed in citeHR1.1

2012, Hu, Guanghui, Rathsfeld, Andreas

Scattering of time-harmonic electromagnetic plane waves by a doubly periodic surface structure in R3 can be simulated by a boundary value problem of the time-harmonic curl-curl equation. For a truncated FEM domain, non-local boundary value conditions are required in order to satisfy the radiation conditions for the upper and lower half spaces. Alternatively to boundary integral formulations, to approximate radiation conditions and absorbing boundary methods, Huber et al. [11] have proposed a coupling method based on an idea of Nitsche. In the case of profile gratings with perfectly conducting substrate, the authors have shown previously that a slightly modified variational equation can be proven to be equivalent to the boundary value problem and to be uniquely solvable. Now it is shown that this result can be used to prove convergence for the FEM coupled by truncated wave mode expansion. This result covers transmission gratings and gratings bounded by additional multi-layer systems.

2012, Ladkau, Marcel, Schoenmakers, John G.M., Zhang, Jianing

We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of this approach is that, maturity-wise, each square-root process can be calibrated to the corresponding cap(let)vola-strike panel at the market. However, since even after freezing the Libors in the drift of this model, the Libor dynamics are not affine, new affine approximations have to be developed in order to obtain Fourier based (approximate) pricing procedures for caps and swaptions. As a result, we end up with a Libor modeling package that allows for efficient calibration to a complete system of cap/swaption market quotes that performs well even in crises times, where structural breaks in vola-strike-maturity panels are typically observed

2012, Niculescu, Constantin P., Stephan, Holger

We discuss a generalization of Lagrange's algebraic identity that provides valuable insights into the nature of Jensen's inequality and of many other inequalities of convexity.

2012, Dreyer, Wolfgang, Guhlke, Clemens, Müller, Rüdiger

This is a study on electrolytes that takes a thermodynamically consistent coupling between mechanics and diffusion into account. It removes some inherent deficiencies of the popular Nernst-Planck model. A boundary problem for equilibrium processes is used to illustrate the new features of our model.

2012, Mielke, Alexander, Rossi, Riccarda, Savaré, Giuseppe

We study the asymptotic behaviour of families of gradient flows in a general metric setting, when the metric-dissipation potentials degenerate in the limit to a dissipation with linear growth. We present a general variational definition of BV solutions to metric evolutions, showing the different characterization of the solution in the absolutely continuous regime, on the singular Cantor part, and along the jump transitions. By using tools of metric analysis, BV functions and blow-up by time rescaling, we show that this variational notion is stable with respect to a wide class of perturbations involving energies, distances, and dissipation potentials. As a particular application, we show that BV solutions to rate-independent problems arise naturally as a limit of p-gradient flows, p>1, when the exponents p converge to 1.

2012, Elschner, Johannes, Hu, Guanghui

We consider the two-dimensional time-harmonic elastic wave scattering problem for an unbounded rough surface, due to an inhomogeneous source term whose support lies within a finite distance above the surface. The rough surface is supposed to be the graph of a bounded and uniformly Lipschitz continuous function, on which the elastic displacement vanishes. We propose an upward propagating radiation condition (angular spectrum representation) for solutions of the Navier equation in the upper half-space above the rough surface, and establish an equivalent variational formulation. Existence and uniqueness of solutions at arbitrary frequency is proved by applying a priori estimates for the Navier equation and perturbation arguments for semi-Fredholm operators.

2012, Rehberg, Joachim

We prove that a two-dimensional domain is already Lipschitzian if only its boundary admits locally a one-dimensional, bi-Lipschitzian parametrization.

2012, Mai, Hilmar

We consider the problem of efficient estimation of the drift parameter of an Ornstein-Uhlenbeck type process driven by a Lévy process when high-frequency observations are given. The estimator is constructed from the time-continuous likelihood function that leads to an explicit maximum likelihood estimator and requires knowledge of the continuous martingale part. We use a thresholding technique to approximate the continuous part of the process. Under suitable conditions we prove asymptotic normality and efficiency in the Hájek-Le Cam sense for the resulting drift estimator. To obtain these results we prove an estimate for the Markov generator of a pure jump Lévy process. Finally, we investigate the finite sample behavior of the method and compare our approach to least squares estimation.

2012, Elschner, Johannes, Hu, Guanghui

This paper is concerned with the direct and inverse scattering of time-harmonic plane elastic waves by unbounded periodic structures (diffraction gratings). We present a variational approach to the forward scattering problems with Lipschitz grating profiles and give a survey of recent uniqueness and existence results. We also report on recent global uniqueness results within the class of piecewise linear grating profiles for the corresponding inverse elastic scattering problems. Moreover, a discrete Galerkin method is presented to efficiently approximate solutions of direct scattering problems via an integral equation approach. Finally, an optimization method for solving the inverse problem of recovering a 2D periodic structure from scattered elastic waves measured above the structure is discussed.