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Option Pricing Under New Classes of Jump-Diffusion Processes
In this dissertation, we introduce novel exponential jump-diffusion models for pricing options. Firstly, the normal convolution gamma mixture jump-diffusion model is presented. This model generalizes Merton's jump-diffusion and Kou's double exponential jump-diffusion. We show that the normal convolution gamma mixture jump-diffusion model captures some economically important features of the asset price, and that it exhibits heavier tails than both Merton jump-diffusion and double exponential jump-diffusion models. Secondly, the normal convolution double gamma jump-diffusion model for pricing options is presented. We show that under certain configurations of both the normal convolution gamma mixture and the normal convolution double gamma jump-diffusion models, the latter exhibits a heavier left or right tail than the former. For both models, the maximum likelihood procedure for estimating the model parameters under the physical measure is fairly straightforward; moreover, the likelihood function is given in closed form thereby eliminating the need to embed a probability density function recovery procedure such as the fast Fourier transform or the Fourier-cosine expansion methods in the parameter estimation procedure. In addition, both models can reproduce the implied volatility surface observed in the options data and provide a good fit to the market-quoted European option prices.
Dimensions of statistically self-affine functions and random Cantor sets
The subject of fractal geometry has exploded over the past 40 years with the availability of computer generated images. It was seen early on that there are many interesting questions at the intersection of probability and fractal geometry. In this dissertation we will introduce two random models for constructing fractals and prove various facts about them.
Invariant Differential Derivations for Modular Reflection Groups
The invariant theory of finite reflection groups has rich connections to geometry, topology, representation theory, and combinatorics. We consider finite reflection groups acting on vector spaces over fields of arbitrary characteristic, where many arguments of classical invariant theory break down. When the characteristic of the underlying field is positive, reflections may be nondiagonalizable. A group containing these so-called transvections has order which is divisible by the characteristic of the underlying field, so is in the modular setting. In this thesis, we examine the action on differential derivations, which include products of differential forms and derivations, and identify the structure of the set of invariants under the action of groups fixing a single hyperplane, groups with maximal transvection root spaces acting on vector spaces over prime fields, as well as special linear groups and general linear groups over finite fields.
Annihilators of Irreducible Representations of the Lie Superalgebra of Contact Vector Fields on the Superline
The superline has one even and one odd coordinate. We consider the Lie superalgebra of contact vector fields on the superline. Its tensor density modules are a one-parameter family of deformations of the natural action on the ring of polynomials on the superline. They are parameterized by a complex number, and they are irreducible when this parameter is not zero. In this dissertation, we describe the annihilating ideals of these representations in the universal enveloping algebra of this Lie superalgebra by providing their generators. We also describe the intersection of all such ideals: the annihilator of the direct sum of the tensor density modules. The annihilating ideal of an irreducible non-zero left module is called a primitive ideal, and the space of all such ideals in the universal enveloping algebra is its primitive spectrum. The primitive spectrum is endowed with the Jacobson topology, which induces a topology on the annihilators of the tensor density modules. We conclude our discussion with a description of the annihilators as a topological space.
Hochschild Cohomology of Finite Cyclic Groups Acting on Polynomial Rings
The Hochschild cohomology of an associative algebra records information about the deformations of that algebra, and hence the first step toward understanding its deformations is an examination of the Hochschild cohomology. In this dissertation, we use techniques from homological algebra, invariant theory, and combinatorics to analyze the Hochschild cohomology of skew group algebras arising from finite cyclic groups acting on polynomial rings over fields of arbitrary characteristic. These algebras are the natural semidirect product of the group ring with the polynomial ring. Many families of algebras arise as deformations of skew group algebras, such as symplectic reflection algebras and rational Cherednik algebras. We give an explicit description of the Hochschild cohomology governing graded deformations of skew group algebras for cyclic groups acting on polynomial rings. For skew group algebras, a description of the Hochschild cohomology is known in the nonmodular setting (i.e., when the characteristic of the field and the order of the group are coprime). However, in the modular setting (i.e., when the characteristic of the field divides the order of the group), much less is known, as techniques commonly used in the nonmodular setting are not available.
On Sharp Permutation Groups whose Point Stabilizers are Certain Frobenius Groups
We investigate non-geometric sharp permutation groups of type {0,k} whose point stabilizers are certain Frobenius groups. We show that if a point stabilizer has a cyclic Frobenius kernel whose order is a power of a prime and Frobenius complement cyclic of prime order, then the point stabilizer is isomorphic to the symmetric group on 3 letters, and there is up to permutation isomorphism, one such permutation group. Further, we determine a significant structural description of non-geometric sharp permutation groups of type {0,k} whose point stabilizers are Frobenius groups with elementary abelian Frobenius kernel K and Frobenius complement L with |L| = |K|-1. As a result of this structural description, it is shown that the smallest non-solvable Frobenius group cannot be a point stabilizer in a non-geometric sharp permutation group of type {0,k}.
Definable Structures on the Space of Functions from Tuples of Integers into 2
We give some background on the free part of the action of tuples of integers into 2. We will construct specific structures on this space, and then show that certain other structures cannot exist.
Asymptotic Formula for Counting in Deterministic and Random Dynamical Systems
The lattice point problem in dynamical systems investigates the distribution of certain objects with some length property in the space that the dynamics is defined. This problem in different contexts can be interpreted differently. In the context of symbolic dynamical systems, we are trying to investigate the growth of N(T), the number of finite words subject to a specific ergodic length T, as T tends to infinity. This problem has been investigated by Pollicott and Urbański to a great extent. We try to investigate it further, by relaxing a condition in the context of deterministic dynamical systems. Moreover, we investigate this problem in the context of random dynamical systems. The method for us is considering the Fourier-Stieltjes transform of N(T) and expressing it via a Poincaré series for which the spectral gap property of the transfer operator, enables us to apply some appropriate Tauberian theorems to understand asymptotic growth of N(T). For counting in the random dynamics, we use some results from probability theory.
On the Descriptive Complexity and Ramsey Measure of Sets of Oracles Separating Common Complexity Classes
As soon as Bennett and Gill first demonstrated that, relative to a randomly chosen oracle, P is not equal to NP with probability 1, the random oracle hypothesis began piquing the interest of mathematicians and computer scientists. This was quickly disproven in several ways, most famously in 1992 with the result that IP equals PSPACE, in spite of the classes being shown unequal with probability 1. Here, we propose what could be considered strengthening of the random oracle hypothesis, using a stricter notion of what it means for a set to be 'large'. In particular, we suggest using largeness with respect to the Ramsey forcing notion. In this new context, we demonstrate that the set of oracles separating NP and coNP is 'not small', and obtain similar results for the separation of PSPACE from PH along with the separation of NP from BQP. In a related set of results, we demonstrate that these classes are all of the same descriptive complexity. Finally we demonstrate that this strengthening of the hypothesis turns it into a sufficient condition for unrelativized relationships, at least in the three cases considered here.
Continuity of Hausdorff Dimension of Julia Sets of Expansive Polynomials
This dissertation is in the area of complex dynamics, more specifically focused on the iteration of rational functions. Given a well-chosen family of rational functions, parameterized by a complex parameter, we are especially interested in regularity properties of the Hausdorff dimension of Julia sets of these polynomials considered as a function of the parameters. In this dissertation I deal with a family of polynomials of degree at least 3 depending in a holomorphic way on a parameter, focusing on the point where the dynamics and topology of the polynomials drastically change. In such a context proving continuity is quite challenging while real analyticity will most likely break. Our approach will, on the one hand, build on the existing methods of proving continuity of Hausdorff dimension, primarily based on proving continuity, in the weak* topology of measures on the Riemann sphere, of canonical conformal measures, but will also require methods which, up to my best knowledge, have not been implemented anywhere yet. Our main result gives a surprising example where the Hausdorff dimension of the Julia set is continuous in the parameter, but where the Julia set itself is not.
Topological Conjugacy Relation on the Space of Toeplitz Subshifts
We proved that the topological conjugacy relation on $T_1$, a subclass of Toeplitz subshifts, is hyperfinite, extending Kaya's result that the topological conjugate relation of Toeplitz subshifts with growing blocks is hyperfinite. A close concept about the topological conjugacy is the flip conjugacy, which has been broadly studied in terms of the topological full groups. Particularly, we provided an equivalent characterization on Toeplitz subshifts with single hole structure to be flip invariant.
The D-Variant of Transfinite Hausdorff Dimension
In this lecture we introduce a new transfinite dimension function for metric spaces which utilizes Henderson's topological D-dimension and ascribes to any metric space either an ordinal number or the symbol Ω. The construction of our function is motivated by that of Urbański's transfinite Hausdorff dimension, tHD. Henderson's dimension is a topological invariant, however, like Hausdorff dimension and tHD the function presented will be invariant under bi-Lipschitz continuous maps and generally not under homeomorphisms. We present some original results on D-dimension and build the general theory for the D-variant of transfinite Hausdorff dimension, \mathrm{t}_D\mathrm{HD}. In particular, we will show for any ordinal number α, existence of a metrizable space which has \mathrm{t}_D\mathrm{HD} greater than or equal to α and less than or equal to \omega_\tau, where τ is the least ordinal which satisfies α < \omega_\tau.
A New Class of Stochastic Volatility Models for Pricing Options Based on Observables as Volatility Proxies
One basic assumption of the celebrated Black-Scholes-Merton PDE model for pricing derivatives is that the volatility is a constant. However, the implied volatility plot based on real data is not constant, but curved exhibiting patterns of volatility skews or smiles. Since the volatility is not observable, various stochastic volatility models have been proposed to overcome the problem of non-constant volatility. Although these methods are fairly successful in modeling volatilities, they still rely on the implied volatility approach for model implementation. To avoid such circular reasoning, we propose a new class of stochastic volatility models based on directly observable volatility proxies and derive the corresponding option pricing formulas. In addition, we propose a new GARCH (1,1) model, and show that this discrete-time stochastic volatility process converges weakly to Heston's continuous-time stochastic volatility model. Some Monte Carlo simulations and real data analysis are also conducted to demonstrate the performance of our methods.
Optimal Pair-Trading Decision Rules for a Class of Non-linear Boundary Crossings by Ornstein-Uhlenbeck Processes
The most useful feature used in finance of the Ornstein-Uhlenbeck (OU) stochastic process is its mean-reverting property: the OU process tends to drift towards its long- term mean (its equilibrium state) over time. This important feature makes the OU process arguably the most popular statistical model for developing best pair-trading strategies. However, optimal strategies depend crucially on the first passage time (FPT) of the OU process to a suitably chosen boundary and its probability density is not analytically available in general. Even for crossing a simple constant boundary, the FPT of the OU process would lead to crossing a square root boundary by a Brownian motion process whose FPT density involves the complicated parabolic cylinder function. To overcome the limitations of the existing methods, we propose a novel class of non-linear boundaries for obtaining optimal decision thresholds. We prove the existence and uniqueness of the maximizer of our decision rules. We also derive simple formulas for some FPT moments without analytical expressions of its density functions. We conduct some Monte Carlo simulations and analyze several pairs of stocks including Coca-Cola and Pepsi, Target and Walmart, Chevron and Exxon Mobil. The results demonstrate that our method outperforms the existing procedures.
Optimal Look-Ahead Stopping Rules for Simple Random Walk
In a stopping rule problem, a real-time player decides to stop or continue at stage n based on the observations up to that stage, but in a k-step look-ahead stopping rule problem, we suppose the player knows k steps ahead. The aim of this Ph.D. dissertation is to study this type of prophet problems for simple random walk, determine the optimal stopping rule and calculate the expected return for them. The optimal one-step look-ahead stopping rule for a finite simple random walk is determined in this work. We also study two infinite horizon stopping rule problems, sum with negative drift problems and discounted sum problems. The optimal one, two and three-step look-ahead stopping rules are introduced for the sum with negative drift problem for simple random walk. We also compare the maximum expected returns and calculate the upper bound for the advantage of the prophet over the decision maker. The last chapter of this dissertation concentrates on the discounted sum problem for simple random walk. Optimal one-step look-ahead stopping rule is defined and lastly we compare the optimal expected return for one-step look-ahead prophet with a real-time decision maker.
On the Subspace Dichotomy of Lp[0; 1] for 2 < p < ∞
The structure and geometry of subspaces of a given Banach space is among the most fundamental questions in Functional Analysis. In 1961, Kadec and Pelczyński pioneered a field of study by analyzing the structures of subspaces and basic sequences in L_p[0,1] under a naturally occurring restriction of p, 2 < p <\infty. They proved that any infinite-dimensional subspace X\subset L_p[0,1] for 2<p<\infty must either be isomorphic to l_2 and complemented in L_p or must contain a complemented subspace which is isomorphic to l_p. Many works since have studied the relationships between the sides of this dichotomy, chiefly by weakening hypotheses on side of the equation to gain stronger assumptions on the other. In this way, Johnson and Odell were able to show in 1974 that if X contains no further subspace which is isomorphic to l_2, then it must embed into l_p. Kalton and Werner further strengthened this result in 1993 by showing that such an embedding must be almost isometric. We start by analyzing the tools and definitions originally introduced in 1961 and define a natural extension to these methods. By analyzing this extension, we provide a constructive and streamlined reproving of Kalton and Werner's theorem: Let X be an infinite dimensional subspace of L_p[0,1] for 2<p<\infty. Then, either X contains a subspace which is isomorphic to l_2, or for every \varepsilon>\ 0, X embeds into l_p with constant 1 + \varepsilon.
Radial Solutions of Singular Semilinear Equations on Exterior Domains
We prove the existence and nonexistence of radial solutions of singular semilinear equations Δu + k(x)f(u)=0 with boundary condition on the exterior of the ball with radius R>0 in ℝ^N such that lim r →∞ u(r)=0, where f: ℝ \ {0} →ℝ is an odd and locally Lipschitz continuous nonlinear function such that there exists a β >0 with f <0 on (0, β), f >0 on (β, ∞), and K(r) ~ r^-α for some α >0.
Contributions to Geometry and Graph Theory
In geometry we will consider n-dimensional generalizations of the Power of a Point Theorem and of Pascal's Hexagon Theorem. In generalizing the Power of a Point Theorem, we will consider collections of cones determined by the intersections of an (n-1)-sphere and a pair of hyperplanes. We will then use these constructions to produce an n-dimensional generalization of Pascal's Hexagon Theorem, a classical plane geometry result which states that "Given a hexagon inscribed in a conic section, the three pairs of continuations of opposite sides meet on a straight line." Our generalization of this theorem will consider a pair of n-simplices intersecting an (n-1)-sphere, and will conclude with the intersections of corresponding faces lying in a hyperplane. In graph theory we will explore the interaction between zero forcing and cut-sets. The color change rule which lies at the center of zero forcing says "Suppose that each of the vertices of a graph are colored either blue or white. If u is a blue vertex and v is its only white neighbor, then u can force v to change to blue." The concept of zero forcing was introduced by the AIM Minimum Rank - Special Graphs Work Group in 2007 as a way of determining bounds on the minimum rank of graphs. Later, Darren Row established results concerning the zero forcing numbers of graphs with a cut-vertex. We will extend his work by considering graphs with arbitrarily large cut-sets, and the collections of components they yield, to determine results for the zero forcing numbers of these graphs.
Graded Hecke Algebras for the Symmetric Group in Positive Characteristic
Graded Hecke algebras are deformations of skew group algebras which arise from a group acting on a polynomial ring. Over fields of characteristic zero, these deformations have been studied in depth and include both symplectic reflection algebras and rational Cherednik algebras as examples. In Lusztig's graded affine Hecke algebras, the action of the group is deformed, but not the commutativity of the vectors. In Drinfeld's Hecke algebras, the commutativity of the vectors is deformed, but not the action of the group. Lusztig's algebras are all isomorphic to Drinfeld's algebras in the nonmodular setting. We find new deformations in the modular setting, i.e., when the characteristic of the underlying field divides the order of the group. We use Poincare-Birkhoff-Witt conditions to classify these deformations arising from the symmetric group acting on a polynomial ring in arbitrary characteristic, including the modular case.
Results on Non-Club Isomorphic Aronszajn Trees
In this dissertation we prove some results about the existence of families of Aronszajn trees on successors of regular cardinals which are pairwise not club isomorphic. The history of this topic begins with a theorem of Gaifman and Specker in the 1960s which asserts the existence from ZFC of many pairwise not isomorphic Aronszajn trees. Since that result was proven, the focus has turned to comparing Aronszajn trees with respect to isomorphisms on a club of levels, instead of on the entire tree. In the 1980s Abraham and Shelah proved that the Proper Forcing Axiom implies that any two Aronszajn trees on the first uncountable cardinal are club isomorphic. This theorem was generalized to higher cardinals in recent work of Krueger. Abraham and Shelah also proved that the opposite holds under diamond principles. In this dissertation we address the existence of pairwise not club isomorphic Aronszajn trees on higher cardinals from a variety of cardinal arithmetic and diamond principle assumptions. For example, on the successor of a regular cardinal, assuming GCH and the diamond principle on the critical cofinality, there exists a large collection of special Aronszajn trees such that any two of them do not contain club isomorphic subtrees.
Invariants of Polynomials Modulo Frobenius Powers
Rational Catalan combinatorics connects various Catalan numbers to the representation theory of rational Cherednik algebras for Coxeter and complex reflection groups. Lewis, Reiner, and Stanton seek a theory of rational Catalan combinatorics for the general linear group over a finite field. The finite general linear group is a modular reflection group that behaves like a finite Coxeter group. They conjecture a Hilbert series for a space of invariants under the action of this group using (q,t)-binomial coefficients. They consider the finite general linear group acting on the quotient of a polynomial ring by iterated powers of the irrelevant ideal under the Frobenius map. Often conjectures about reflection groups are solved by considering the local case of a group fixing one hyperplane and then extending via the theory of hyperplane arrangements to the full group. The Lewis, Reiner and Stanton conjecture had not previously been formulated for groups fixing a hyperplane. We formulate and prove their conjecture in this local case.
Winning Sets and the Banach-Mazur-McMullen Game
For decades, mathematical games have been used to explore various properties of particular sets. The Banach-Mazur game is the prototypical intersection game and its modifications by e.g., W. Schmidt and C. McMullen are used in number theory and many other areas of mathematics. We give a brief survey of a few of these modifications and their properties followed by our own modification. One of our main results is proving that this modification is equivalent to an important set theoretic game, called the perfect set game, developed by M. Davis.
Determinacy of Schmidt's Game and Other Intersection Games
Schmidt's game, and other similar intersection games have played an important role in recent years in applications to number theory, dynamics, and Diophantine approximation theory. These games are real games, that is, games in which the players make moves from a complete separable metric space. The determinacy of these games trivially follows from the axiom of determinacy for real games,ADR, which is a much stronger axiom than that asserting all integer games are determined, AD. One of our main results is a general theorem which under the hypothesis AD implies the determinacy of intersection games which have a property allowing strategies to be simplified. In particular, we show that Schmidt's (α,β,ρ) game on R is determined from AD alone, but on Rn for n≥3 we show that AD does not imply the determinacy of this game. We then give an application of simple strategies and prove that the winning player in Schmidt's (α,β,ρ) game on R has a winning positional strategy, without appealing to the axiom of choice. We also prove several other results specifically related to the determinacy of Schmidt's game. These results highlight the obstacles in obtaining the determinacy of Schmidt's game from AD
Prophet Inequalities for Multivariate Random Variables with Cost for Observations
In prophet problems, two players with different levels of information make decisions to optimize their return from an underlying optimal stopping problem. The player with more information is called the "prophet" while the player with less information is known as the "gambler." In this thesis, as in the majority of the literature on such problems, we assume that the prophet is omniscient, and the gambler does not know future outcomes when making his decisions. Certainly, the prophet will get a better return than the gambler. But how much better? The goal of a prophet problem is to find the least upper bound on the difference (or ratio) between the prophet's return, M, and the gambler's return, V. In this thesis, we present new prophet problems where we seek the least upper bound on M-V when there is a fixed cost per observations. Most prophet problems in the literature compare M and V when prophet and gambler buy (or sell) one asset. The new prophet problems presented in Chapters 3 and 4 treat a scenario where prophet and gambler optimize their return from selling two assets, when there is a fixed cost per observation. Sharp bounds for the problems on small time horizons are given; for the n-day problem, rough bounds and a description of the distributions for the random variables that maximize M-V are presented.
Applications of a Model-Theoretic Approach to Borel Equivalence Relations
The study of Borel equivalence relations on Polish spaces has become a major area of focus within descriptive set theory. Primarily, work in this area has been carried out using the standard methods of descriptive set theory. In this work, however, we develop a model-theoretic framework suitable for the study of Borel equivalence relations, introducing a class of objects we call Borel structurings. We then use these structurings to examine conditions under which marker sets for Borel equivalence relations can be concluded to exist or not exist, as well as investigating to what extent the Compactness Theorem from first-order logic continues to hold for Borel structurings.
A Novel Two-Stage Adaptive Method for Estimating Large Covariance and Precision Matrices
Estimating large covariance and precision (inverse covariance) matrices has become increasingly important in high dimensional statistics because of its wide applications. The estimation problem is challenging not only theoretically due to the constraint of its positive definiteness, but also computationally because of the curse of dimensionality. Many types of estimators have been proposed such as thresholding under the sparsity assumption of the target matrix, banding and tapering the sample covariance matrix. However, these estimators are not always guaranteed to be positive-definite, especially, for finite samples, and the sparsity assumption is rather restrictive. We propose a novel two-stage adaptive method based on the Cholesky decomposition of a general covariance matrix. By banding the precision matrix in the first stage and adapting the estimates to the second stage estimation, we develop a computationally efficient and statistically accurate method for estimating high dimensional precision matrices. We demonstrate the finite-sample performance of the proposed method by simulations from autoregressive, moving average, and long-range dependent processes. We illustrate its wide applicability by analyzing financial data such S&P 500 index and IBM stock returns, and electric power consumption of individual households. The theoretical properties of the proposed method are also investigated within a large class of covariance matrices.
A Global Spatial Model for Loop Pattern Fingerprints and Its Spectral Analysis
The use of fingerprints for personal identification has been around for thousands of years (first established in ancient China and India). Fingerprint identification is based on two basic premises that the fingerprint is unique to an individual and the basic characteristics such as ridge pattern do not change over time. Despite extensive research, there are still mathematical challenges in characterization of fingerprints, matching and compression. We develop a new mathematical model in the spatial domain for globally modeling loop pattern fingerprints. Although it is based on the well-known AM-FM (amplitude modulation and frequency modulation) image representation, the model is constructed by a global mathematical function for the continuous phase and it provides a flexible parametric model for loop pattern fingerprints. In sharp contrast to the existing methods, we estimate spatial parameters from the spectral domain by combining the exact values of frequencies with their orientations perpendicular to the fingerprint ridge flow. In addition, to compress fingerprint images and test background Gaussian white noise, we propose a new method based on periodogram spacings. We obtain the joint pdf of these m-dependent random variables at Fourier frequencies and derive the asymptotic distribution of the test statistic.
Abelian Group Actions and Hypersmooth Equivalence Relations
We show that any Borel action on a standard Borel space of a group which is topologically isomorphic to the sum of a countable abelian group with a countable sum of lines and circles induces an orbit equivalence relation which is hypersmooth. We also show that any Borel action of a second countable locally compact abelian group on a standard Borel space induces an orbit equivalence relation which is essentially hyperfinite, generalizing a result of Gao and Jackson for the countable abelian groups.
Annihilators of Bounded Indecomposable Modules of Vec(R)
The Lie algebra Vec(ℝ) of polynomial vector fields on the line acts naturally on ℂ[]. This action has a one-parameter family of deformations called the tensor density modules F_λ. The bounded indecomposable modules of Vec(ℝ) of length 2 composed of tensor density modules have been classified by Feigin and Fuchs. We present progress towards describing the annihilators of the unique indecomposable extension of F_λ by F_(λ+2) in the non-resonant case λ ≠ -½. We give the intersection of the annihilator and the subalgebra of lowest weight vectors of the universal enveloping algebra (Vec(ℝ)) of Vec(ℝ). This result is found by applying structural descriptions of the lowest weight vectors of (Vec(ℝ)).
Equivalence of the Rothberger and k-Rothberger Games for Hausdorff Spaces
First, we show that the Rothberger and 2-Rothberger games are equivalent. Then we adjust the former proof and introduce another game, the restricted Menger game, in order to obtain a broader result. This provides an answer in the context of Hausdorff spaces for an open question posed by Aurichi, Bella, and Dias.
Infinitary Combinatorics and the Spreading Models of Banach Spaces
Spreading models have become fundamental to the study of asymptotic geometry in Banach spaces. The existence of spreading models in every Banach space, and the so-called good sequences which generate them, was one of the first applications of Ramsey theory in Banach space theory. We use Ramsey theory and other techniques from infinitary combinatorics to examine some old and new questions concerning spreading models and good sequences. First, we consider the lp spreading model problem which asks whether a Banach space contains lp provided that every spreading model of a normalized block basic sequence of the basis is isometrically equivalent to lp. Next, using the Hindman-Milliken-Taylor theorem, we prove a new stabilization theorem for spreading models which produces a basic sequence all of whose normalized constant coefficient block basic sequences are good. When the resulting basic sequence is semi-normalized, all the spreading models generated by the above good sequences must be uniformly equivalent to lp or c0. Finally, we investigate the assumption that every normalized block tree on a Banach space has a good branch. This turns out to be a very strong assumption and is equivalent to the space being 1-asymptotic lp. We also show that the stronger assumption that every block basic sequence is good is equivalent to the space being stabilized 1-asymptotic lp.
A Random Walk Version of Robbins' Problem
Robbins' problem is an optimal stopping problem where one seeks to minimize the expected rank of their observations among all observations. We examine random walk analogs to Robbins' problem in both discrete and continuous time. In discrete time, we consider full information and relative ranks versions of this problem. For three step walks, we give the optimal stopping rule and the expected rank for both versions. We also give asymptotic upper bounds for the expected rank in discrete time. Finally, we give upper and lower bounds for the expected rank in continuous time, and we show that the expected rank in the continuous time problem is at least as large as the normalized asymptotic expected rank in the full information discrete time version.
Infinitely Many Solutions of Semilinear Equations on Exterior Domains
We prove the existence and nonexistence of solutions for the semilinear problem ∆u + K(r)f(u) = 0 with various boundary conditions on the exterior of the ball in R^N such that lim r→∞u(r) = 0. Here f : R → R is an odd locally lipschitz non-linear function such that there exists a β > 0 with f < 0 on (0, β), f > 0 on (β, ∞), and K(r) \equiv r^−α for some α > 0.
Conformal and Stochastic Non-Autonomous Dynamical Systems
In this dissertation we focus on the application of thermodynamic formalism to non-autonomous and random dynamical systems. Specifically we use the thermodynamic formalism to investigate the dimension of various fractal constructions via the, now standard, technique of Bowen which he developed in his 1979 paper on quasi-Fuchsian groups. Bowen showed, roughly speaking, that the dimension of a fractal is equal to the zero of the relevant topological pressure function. We generalize the results of Rempe-Gillen and Urbanski on non-autonomous iterated function systems to the setting of non-autonomous graph directed Markov systems and then show that the Hausdorff dimension of the fractal limit set is equal to the zero of the associated pressure function provided the size of the alphabets at each time step do not grow too quickly. In trying to remove these growth restrictions, we present several other systems for which Bowen's formula holds, most notably ascending systems. We then use these various constructions to investigate the Hausdorff dimension of various subsets of the Julia set for different large classes of transcendental meromorphic functions of finite order which have been perturbed non-autonomously. In particular we find lower and upper bounds for the dimension of the subset of the Julia set whose points escape to infinity, and in many cases we find the exact dimension. While the upper bound was known previously in the autonomous case, the lower bound was not known in this setting, and all of these results are new in the non-autonomous setting. We also use transfer operator techniques to prove an almost sure invariance principle for random dynamical systems for which the thermodynamical formalism has been well established. In particular, we see that if a system exhibits a fiberwise spectral gap property and the base dynamical system is sufficiently well behaved, i.e. it exhibits an exponential …
Hausdorff Dimension of Shrinking-Target Sets Under Non-Autonomous Systems
For a dynamical system on a metric space a shrinking-target set consists of those points whose orbit hit a given ball of shrinking radius infinitely often. Historically such sets originate in Diophantine approximation, in which case they describe the set of well-approximable numbers. One aspect of such sets that is often studied is their Hausdorff dimension. We will show that an analogue of Bowen's dimension formula holds for such sets when they are generated by conformal non-autonomous iterated function systems satisfying some natural assumptions.
Non-Resonant Uniserial Representations of Vec(R)
The non-resonant bounded uniserial representations of Vec(R) form a certain class of extensions composed of tensor density modules, all of whose subquotients are indecomposable. The problem of classifying the extensions with a given composition series is reduced via cohomological methods to computing the solution of a certain system of polynomial equations in several variables derived from the cup equations for the extension. Using this method, we classify all non-resonant bounded uniserial extensions of Vec(R) up to length 6. Beyond this length, all such extensions appear to arise as subquotients of extensions of arbitrary length, many of which are explained by the psuedodifferential operator modules. Others are explained by a wedge construction and by the pseudodifferential operator cocycle discovered by Khesin and Kravchenko.
Uniserial Representations of Vec(R) with a Single Casimir Eigenvalue
In 1980 Feigin and Fuchs classified the length 2 bounded representations of Vec(R), the Lie algebra of polynomial vector fields on the line, as a result of their work on the cohomology of Vec(R). This dissertation is concerned mainly with the uniserial (completely indecomposable) representations of Vec(R) with a single Casimir eigenvalue and weights bounded below. Such representations are composed of irreducible representations with semisimple Euler operator action, bounded weight space dimensions, and weights bounded below. These are known to be the tensor density modules with lowest weight λ, for any non-zero complex number λ, and the trivial module C, with Vec(R) actions π_λ and π_C, respectively. Our proofs are cohomology arguments involving the first cohomology groups of Vec(R) with values in the space of homomorphisms between two irreducible representations. These results classify the finite length uniserial extensions, with a single Casimir eigenvalue, of admissible irreducible Vec(R) representations with weights bounded below. In almost every case there is at most one uniserial representation with a given composition series. However, in the case of an odd length extension with composition series {π_1,π_C,π_1,…,π_C,π_1}, there is a one-parameter family of extensions. We also give preliminary results on uniserial representations of the Virasoro Lie algebra.
On Factors of Rank One Subshifts
Rank one subshifts are dynamical systems generated by a regular combinatorial process based on sequences of positive integers called the cut and spacer parameters. Despite the simple process that generates them, rank one subshifts comprise a generic set and are the source of many counterexamples. As a result, measure theoretic rank one subshifts, called rank one transformations, have been extensively studied and investigations into rank one subshifts been the basis of much recent work. We will answer several open problems about rank one subshifts. We completely classify the maximal equicontinuous factor for rank one subshifts, so that this factor can be computed from the parameters. We use these methods to classify when large classes of rank one subshifts have mixing properties. Also, we completely classify the situation when a rank one subshift can be a factor of another rank one subshift.
Crystallographic Complex Reflection Groups and the Braid Conjecture
Crystallographic complex reflection groups are generated by reflections about affine hyperplanes in complex space and stabilize a full rank lattice. These analogs of affine Weyl groups have infinite order and were classified by V.L. Popov in 1982. The classical Braid theorem (first established by E. Artin and E. Brieskorn) asserts that the Artin group of a reflection group (finite or affine Weyl) gives the fundamental group of regular orbits. In other words, the fundamental group of the space with reflecting hyperplanes removed has a presentation mimicking that of the Coxeter presentation; one need only remove relations giving generators finite order. N.V Dung used a semi-cell construction to prove the Braid theorem for affine Weyl groups. Malle conjectured that the Braid theorem holds for all crystallographic complex reflection groups after constructing Coxeter-like reflection presentations. We show how to extend Dung's ideas to crystallographic complex reflection groups and then extend the Braid theorem to some groups in the infinite family [G(r,p,n)]. The proof requires a new classification of crystallographic groups in the infinite family that fail the Steinberg theorem.
A Classification of the Homogeneity of Countable Products of Subsets of Real Numbers
Spaces such as the closed interval [0, 1] do not have the property of being homogeneous, strongly locally homogeneous (SLH) or countable dense homogeneous (CDH), but the Hilbert cube has all three properties. We investigate subsets X of real numbers to determine when their countable product is homogeneous, SLH, or CDH. We give necessary and sufficient conditions for the product to be homogeneous. We also prove that the product is SLH if and only if X is zero-dimensional or an interval. And finally we show that for a Borel subset X of real numbers the product is CDH iff X is a G-delta zero-dimensional set or an interval.
A General Approach to Buhlmann Credibility Theory
Credibility theory is widely used in insurance. It is included in the examination of the Society of Actuaries and in the construction and evaluation of actuarial models. In particular, the Buhlmann credibility model has played a fundamental role in both actuarial theory and practice. It provides a mathematical rigorous procedure for deciding how much credibility should be given to the actual experience rating of an individual risk relative to the manual rating common to a particular class of risks. However, for any selected risk, the Buhlmann model assumes that the outcome random variables in both experience periods and future periods are independent and identically distributed. In addition, the Buhlmann method uses sample mean-based estimators to insure the selected risk, which may be a poor estimator of future costs if only a few observations of past events (costs) are available. We present an extension of the Buhlmann model and propose a general method based on a linear combination of both robust and efficient estimators in a dependence framework. The performance of the proposed procedure is demonstrated by Monte Carlo simulations.
Numerical Values of the Hausdorff and Packing Measures for Limit Sets of Iterated Function Systems
In the context of fractal geometry, the natural extension of volume in Euclidean space is given by Hausdorff and packing measures. These measures arise naturally in the context of iterated function systems (IFS). For example, if the IFS is finite and conformal, then the Hausdorff and packing dimensions of the limit sets agree and the corresponding Hausdorff and packing measures are positive and finite. Moreover, the map which takes the IFS to its dimension is continuous. Developing on previous work, we show that the map which takes a finite conformal IFS to the numerical value of its packing measure is continuous. In the context of self-similar sets, we introduce the super separation condition. We then combine this condition with known density theorems to get a better handle on finding balls of maximum density. This allows us to extend the work of others and give exact formulas for the numerical value of packing measure for classes of Cantor sets, Sierpinski N-gons, and Sierpinski simplexes.
Partition Properties for Non-Ordinal Sets under the Axiom of Determinacy
In this paper we explore coloring theorems for the reals, its quotients, cardinals, and their combinations. This work is done under the scope of the axiom of determinacy. We also explore generalizations of Mycielski's theorem and show how these can be used to establish coloring theorems. To finish, we discuss the strange realm of long unions.
Results in Algebraic Determinedness and an Extension of the Baire Property
In this work, we concern ourselves with particular topics in Polish space theory. We first consider the space A(U) of complex-analytic functions on an open set U endowed with the usual topology of uniform convergence on compact subsets. With the operations of point-wise addition and point-wise multiplication, A(U) is a Polish ring. Inspired by L. Bers' algebraic characterization of the relation of conformality, we show that the topology on A(U) is the only Polish topology for which A(U) is a Polish ring for a large class of U. This class of U includes simply connected regions, simply connected regions excluding a relatively discrete set of points, and other domains of usual interest. One thing that we deduce from this is that, even though C has many different Polish field topologies, as long as it sits inside another Polish ring with enough complex-analytic functions, it must have its usual topology. In a different direction, we show that the bounded complex-analytic functions on the unit disk admits no Polish topology for which it is a Polish ring. We also study the Lie ring structure on A(U) which turns out to be a Polish Lie ring with the usual topology. In this case, we restrict our attention to those domains U that are connected. We extend a result of I. Amemiya to see that the Lie ring structure is determined by the conformal structure of U. In a similar vein to our ring considerations, we see that, again for certain domains U of usual interest, the Lie ring A(U) has a unique Polish topology for which it is a Polish Lie ring. Again, the Lie ring A(U) imposes topological restrictions on C. That is, C must have its usual topology when sitting inside any Polish Lie ring isomorphic to A(U). In the last …
Contributions to Descriptive Set Theory
Assume AD+V=L(R). In the first chapter, let W^1_1 denote the club measure on \omega_1. We analyze the embedding j_{W^1_1}\restr HOD from the point of view of inner model theory. We use our analysis to answer a question of Jackson-Ketchersid about codes for ordinals less than \omega_\omega. In the second chapter, we provide an indiscernibles analysis for models of the form L[T_n,x]. We use our analysis to provide new proofs of the strong partition property on \delta^1_{2n+1}
Rankin-Cohen Brackets for Hermitian Jacobi Forms and Hermitian Modular Forms
In this thesis, we define differential operators for Hermitian Jacobi forms and Hermitian modular forms over the Gaussian number field Q(i). In particular, we construct Rankin-Cohen brackets for such spaces of Hermitian Jacobi forms and Hermitian modular forms. As an application, we extend Rankin's method to the case of Hermitian Jacobi forms. Finally we compute Fourier series coefficients of Hermitian modular forms, which allow us to give an example of the first Rankin-Cohen bracket of two Hermitian modular forms. In the appendix, we provide tables of Fourier series coefficients of Hermitian modular forms and also the computer source code that we used to compute such Fourier coefficients.
A Decomposition of the Group Algebra of a Hyperoctahedral Group
The descent algebra of a Coxeter group is a subalgebra of the group algebra with interesting representation theoretic properties. For instance, the natural map from the descent algebra of the symmetric group to the character ring is a surjective algebra homomorphism, so the descent algebra implicitly encodes information about the representations of the symmetric group. However, this property does not hold for other Coxeter groups. Moreover, a complete set of primitive idempotents in the descent algebra of the symmetric group leads to a decomposition of the group algebra as a direct sum of induced linear characters of centralizers of conjugacy class representatives. In this dissertation, I consider the hyperoctahedral group. When the descent algebra of a hyperoctahedral group is replaced with a generalization called the Mantaci-Reutenauer algebra, the natural map to the character ring is surjective. In 2008, Bonnafé asked whether a complete set of idempotents in the Mantaci-Reutenauer algebra could lead to a decomposition of the group algebra of the hyperoctahedral group as a direct sum of induced linear characters of centralizers. In this dissertation, I will answer this question positively and go through the construction of the idempotents, conjugacy class representatives, and linear characters required to do so.
Quantum Drinfeld Hecke Algebras
Quantum Drinfeld Hecke algebras extend both Lusztig's graded Hecke algebras and the symplectic reflection algebras of Etingof and Ginzburg to the quantum setting. A quantum (or skew) polynomial ring is generated by variables which commute only up to a set of quantum parameters. Certain finite groups may act by graded automorphisms on a quantum polynomial ring and quantum Drinfeld Hecke algebras deform the natural semi-direct product. We classify these algebras for the infinite family of complex reflection groups acting in arbitrary dimension. We also classify quantum Drinfeld Hecke algebras in arbitrary dimension for the infinite family of mystic reflection groups of Kirkman, Kuzmanovich, and Zhang, who showed they satisfy a Shephard-Todd-Chevalley theorem in the quantum setting. Using a classification of automorphisms of quantum polynomial rings in low dimension, we develop tools for studying quantum Drinfeld Hecke algebras in 3 dimensions. We describe the parameter space of such algebras using special properties of the quantum determinant in low dimension; although the quantum determinant is not a homomorphism in general, it is a homomorphism on the finite linear groups acting in dimension 3.
Irreducible Modules for Yokonuma-Type Hecke Algebras
Yokonuma-type Hecke algebras are a class of Hecke algebras built from a Type A construction. In this thesis, I construct the irreducible representations for a class of generic Yokonuma-type Hecke algebras which specialize to group algebras of the complex reflection groups and to endomorphism rings of certain permutation characters of finite general linear groups.
Continuous Combinatorics of a Lattice Graph in the Cantor Space
We present a novel theorem of Borel Combinatorics that sheds light on the types of continuous functions that can be defined on the Cantor space. We specifically consider the part X=F(2ᴳ) from the Cantor space, where the group G is the additive group of integer pairs ℤ². That is, X is the set of aperiodic {0,1} labelings of the two-dimensional infinite lattice graph. We give X the Bernoulli shift action, and this action induces a graph on X in which each connected component is again a two-dimensional lattice graph. It is folklore that no continuous (indeed, Borel) function provides a two-coloring of the graph on X, despite the fact that any finite subgraph of X is bipartite. Our main result offers a much more complete analysis of continuous functions on this space. We construct a countable collection of finite graphs, each consisting of twelve "tiles", such that for any property P (such as "two-coloring") that is locally recognizable in the proper sense, a continuous function with property P exists on X if and only if a function with a corresponding property P' exists on one of the graphs in the collection. We present the theorem, and give several applications.
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