Distributional properties of exponential functionals of Levy processes

We study the distribution of the exponential functional I(\xi,\eta)=\int_0^{\infty} \exp(\xi_{t-}) \d \eta_t, where $\xi$ and $\eta$ are independent L\'evy processes. In the general setting using the theories of Markov processes and Schwartz distributions we prove that the law of this exponential functional satisfies an integral equation, which generalizes Proposition 2.1 in Carmona et al "On the distribution and asymptotic results for exponential functionals of Levy processes". In the special case when $\eta$ is a Brownian motion with drift we show that this integral equation leads to an important functional equation for the Mellin transform of $I(\xi,\eta)$, which proves to be a very useful tool for studying the distributional properties of this random variable. For general L\'evy process $\xi$ ($\eta$ being Brownian motion with drift) we prove that the exponential functional has a smooth density on $\r \setminus \{0\}$, but surprisingly the second derivative at zero may fail to exist. Under the additional assumption that $\xi$ has some positive exponential moments we establish an asymptotic behaviour of \p(I(\xi,\eta)>x) as $x\to +\infty$, and under similar assumptions on the negative exponential moments of $\xi$ we obtain a precise asympotic expansion of the density of $I(\xi,\eta)$ as $x\to 0$. Under further assumptions on the L\'evy process $\xi$ one is able to prove much stronger results about the density of the exponential functional and we illustrate some of the ideas and techniques for the case when $\xi$ has hyper-exponential jumps.Comment: In this version we added a remark after Theorem 1 about extra conditions required for validity of equation (2.3

Computation of periodic solution bifurcations in ODEs using bordered systems

We consider numerical methods for the computation and continuation of the three generic secondary periodic solution bifurcations in autonomous ODEs, namely the fold, the period-doubling (or flip) bifurcation, and the torus (or Neimark–Sacker) bifurcation. In the fold and flip cases we append one scalar equation to the standard periodic BVP that defines the periodic solution; in the torus case four scalar equations are appended. Evaluation of these scalar equations and their derivatives requires the solution of linear BVPs, whose sparsity structure (after discretization) is identical to that of the linearization of the periodic BVP. Therefore the calculations can be done using existing numerical linear algebra techniques, such as those implemented in the software AUTO and COLSYS

Hyperbolic chaos in self-oscillating systems based on mechanical triple linkage: Testing absence of tangencies of stable and unstable manifolds for phase trajectories

Dynamical equations are formulated and a numerical study is provided for self-oscillatory model systems based on the triple linkage hinge mechanism of Thurston -- Weeks -- Hunt -- MacKay. We consider systems with holonomic mechanical constraint of three rotators as well as systems, where three rotators interact by potential forces. We present and discuss some quantitative characteristics of the chaotic regimes (Lyapunov exponents, power spectrum). Chaotic dynamics of the models we consider are associated with hyperbolic attractors, at least, at relatively small supercriticality of the self-oscillating modes; that follows from numerical analysis of the distribution for angles of intersection of stable and unstable manifolds of phase trajectories on the attractors. In systems based on rotators with interacting potential the hyperbolicity is violated starting from a certain level of excitation.Comment: 30 pages, 18 figure

Features of pulsed synchronization of a systems with a tree-dimensional phase space

Features of synchronization picture in the system with the limit cycle embedded in a three-dimensional phase space are considered. By the example of Ressler system and Dmitriev - Kislov generator under the action of a periodic sequence of delta - function it is shown, that synchronization picture significantly depends on the direction of pulse action. Features of synchronization tons appeared in these models are observed.Comment: 16 pages, 11 figure

A Wiener--Hopf Monte Carlo simulation technique for L\'{e}vy processes

We develop a completely new and straightforward method for simulating the joint law of the position and running maximum at a fixed time of a general L\'{e}vy process with a view to application in insurance and financial mathematics. Although different, our method takes lessons from Carr's so-called "Canadization" technique as well as Doney's method of stochastic bounds for L\'{e}vy processes; see Carr [Rev. Fin. Studies 11 (1998) 597--626] and Doney [Ann. Probab. 32 (2004) 1545-1552]. We rely fundamentally on the Wiener-Hopf decomposition for L\'{e}vy processes as well as taking advantage of recent developments in factorization techniques of the latter theory due to Vigon [Simplifiez vos L\'{e}vy en titillant la factorization de Wiener-Hopf (2002) Laboratoire de Math\'{e}matiques de L'INSA de Rouen] and Kuznetsov [Ann. Appl. Probab. 20 (2010) 1801--1830]. We illustrate our Wiener--Hopf Monte Carlo method on a number of different processes, including a new family of L\'{e}vy processes called hypergeometric L\'{e}vy processes. Moreover, we illustrate the robustness of working with a Wiener--Hopf decomposition with two extensions. The first extension shows that if one can successfully simulate for a given L\'{e}vy processes then one can successfully simulate for any independent sum of the latter process and a compound Poisson process. The second extension illustrates how one may produce a straightforward approximation for simulating the two-sided exit problem.Comment: Published in at http://dx.doi.org/10.1214/10-AAP746 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Divorticity and Dihelicity In Two-Dimensional Hydrodynamics

A framework is developed based on the concepts of {\it divorticity} ${\textbf B}$(\equiv\nabla\times\bfo, \bfo being the vorticity) and \textit{dihelicity} g \lp \equiv\bfv\cdot\textbf{B}\rp for discussing the theoretical structure underlying two-dimensional (2D) hydrodynamics. This formulation leads to the global and Lagrange invariants that could impose significant constraints on the evolution of divorticity lines in 2D hydrodynamics