Monte Carlo construction of cubature on Wiener space

In this paper, we investigate application of mathematical optimization to construction of a cubature formula on Wiener space, which is a weak approximation method of stochastic differential equations introduced by Lyons and Victoir (Proc R Soc Lond A 460:169–198, 2004). After giving a brief review on the cubature theory on Wiener space, we show that a cubature formula of general dimension and degree can be obtained through a Monte Carlo sampling and linear programming. This paper also includes an extension of stochastic Tchakaloff’s theorem, which technically yields the proof of our primary result.

Approximation of SDE solutions using local asymptotic expansions

We develop an asymptotic expansion for small time of the density of the solution of a non-degenerate system of stochastic differential equations with smooth coefficients, and apply this to the stepwise approximation of solutions. The asymptotic expansion, which takes the form of a multivariate Edgeworth-type expansion, is obtained from the Kolmogorov forward equation using some standard PDE results. To generate one step of the approximation to the solution, we use a Cornish–Fisher type expansion derived from the Edgeworth expansion. To interpret the approximation generated in this way as a strong approximation we use couplings between the (normal) random variables used and the Brownian path driving the SDE. These couplings are constructed using techniques from optimal transport and Vaserstein metrics. The type of approximation so obtained may be regarded as intermediate between a conventional strong approximation and a weak approximation. In principle approximations of any order can be obtained, though for higher orders the algebra becomes very heavy. In order 1/2 the method gives the usual Euler approximation; in order 1 it gives a variant of the Milstein method, but which needs only normal variables to be generated. However the method is somewhat limited by the non-degeneracy requirement.

An adaptive time-stepping method based on a posteriori weak error analysis for large SDE systems

We develop an adaptive algorithm for large SDE systems, which automatically selects (quasi-)deterministic time steps for the semi-implicit Euler method, based on an a posteriori weak error estimate. Main tools to construct the a posteriori estimator are the representation of the weak approximation error via Kolmogorov’s backward equation, a priori bounds for its solution and the Clark–Ocone formula. For a certain class of SDE systems, we validate optimal weak convergence order 1 of the a posteriori estimator, and termination of the adaptive method based on it within $${{\mathcal {O}}}(\mathtt{Tol}^{-1})$$ O ( Tol - 1 ) steps.

Asymptotic behavior of the weak approximation to a class of Gaussian processes

We study, under mild conditions, the weak approximation constructed from a standard Poisson process for a class of Gaussian processes, and establish its sample path moderate deviations. The techniques consist of a good asymptotic exponential approximation in moderate deviations, the Besov–Lèvy modulus embedding, and an exponential martingale technique. Moreover, our results are applied to the weak approximations associated with the moving average of Brownian motion, fractional Brownian motion, and an Ornstein–Uhlenbeck process.

The equation x1 x2 + x2 x3 + x3 x4 + x4 x1 = n

1 It is a subtle question as to when the Diophantine equation of the tittle has solutions in positive integers. Here, we show that the equation in the title does not have solutions in positive integers in the case that [Formula: see text] is of the form [Formula: see text], where [Formula: see text], with [Formula: see text], [Formula: see text], [Formula: see text], and [Formula: see text]. We do this by explicitly calculating a Brauer–Manin obstruction to weak approximation on the elliptic surface defined by the title equation.

Amenable dynamical systems over locally compact groups

We establish several new characterizations of amenable $W^*$ - and $C^*$ -dynamical systems over arbitrary locally compact groups. In the $W^*$ -setting we show that amenability is equivalent to (1) a Reiter property and (2) the existence of a certain net of completely positive Herz–Schur multipliers of $(M,G,\alpha )$ converging point weak* to the identity of $G\bar {\ltimes }M$ . In the $C^*$ -setting, we prove that amenability of $(A,G,\alpha )$ is equivalent to an analogous Herz–Schur multiplier approximation of the identity of the reduced crossed product $G\ltimes A$ , as well as a particular case of the positive weak approximation property of Bédos and Conti [On discrete twisted $C^*$ -dynamical systems, Hilbert $C^*$ -modules and regularity. Münster J. Math.5 (2012), 183–208] (generalized to the locally compact setting). When $Z(A^{**})=Z(A)^{**}$ , it follows that amenability is equivalent to the1-positive approximation property of Exel and Ng [Approximation property of $C^*$ -algebraic bundles. Math. Proc. Cambridge Philos. Soc.132(3) (2002), 509–522]. In particular, when $A=C_0(X)$ is commutative, amenability of $(C_0(X),G,\alpha )$ coincides with topological amenability of the G-space $(G,X)$ .

Explicit methods for the Hasse norm principle and applications to A n and S n extensions

Let K/k be an extension of number fields. We describe theoretical results and computational methods for calculating the obstruction to the Hasse norm principle for K/k and the defect of weak approximation for the norm one torus \[R_{K/k}^1{\mathbb{G}_m}\] . We apply our techniques to give explicit and computable formulae for the obstruction to the Hasse norm principle and the defect of weak approximation when the normal closure of K/k has symmetric or alternating Galois group.

The tight approximation property

This article introduces and studies the tight approximation property, a property of algebraic varieties defined over the function field of a complex or real curve that refines the weak approximation property (and the known cohomological obstructions to it) by incorporating an approximation condition in the Euclidean topology. We prove that the tight approximation property is a stable birational invariant, is compatible with fibrations, and satisfies descent under torsors of linear algebraic groups. Its validity for a number of rationally connected varieties follows. Some concrete consequences are: smooth loops in the real locus of a smooth compactification of a real linear algebraic group, or in a smooth cubic hypersurface of dimension ≥ 2 {\geq 2} , can be approximated by rational algebraic curves; homogeneous spaces of linear algebraic groups over the function field of a real curve satisfy weak approximation.