Related papers: Some martingales associated with multivariate Jaco…
We derive an It\^o-type formula for a measure-valued process that has a decomposition analogous to a classical semimartingale. The derivation begins with a time partitioning approach similar to the classical proof of It\^o's formula. To…
Representation of analytic functions as convergent series in Jacobi polynomials $P_n^{(a,b)}$ is reformulated using a unified approach for almost all complex $a, b$. The coefficients of the series are given as usual integrals in the…
A Bernstein type inequality is obtained for the Jacobi polynomials $P_n^{\alpha,\beta}(x)$, which is uniform for all degrees $n\ge0$, all real $\alpha,\beta\ge0$, and all values $x\in [-1,1]$. It provides uniform bounds on a complete set of…
Consider a first-order autoregressive process $X_i=\beta X_{i-1}+\varepsilon_i,$ where $\varepsilon_i=G(\eta_i,\eta_{i-1},\ldots)$ and $\eta_i,i\in\mathbb{Z}$ are i.i.d. random variables. Motivated by two important issues for the inference…
We study meromorphic jacobian pairs, i.e., pairs of polynomials in one variable, with coefficients meromorphic series in a second variable, whose jacobian relative to the two variables depends only on the second variable. We pose two…
We give a simple and explicit description of the Bernstein-Szego type measures associated with Jacobi matrices which differ from the Jacobi matrix of the Chebyshev measure in finitely many entries. We also introduce a class of measures M…
In this paper we consider parameter estimation for discretely observed diffusion processes. In particular, we focus on data that are observed at low frequency and methodology that can estimate parameters with uncertainty quantification.…
Consider a semi-infinite skew-symmetric moment matrix, $m_{\iy}$ evolving according to the vector fields $\pl m / \pl t_k=\Lb^k m+m \Lb^{\top k} ,$ where $\Lb$ is the shift matrix. Then the skew-Borel decomposition $ m_{\iy}:= Q^{-1} J…
The paper considers the problem of robust estimating a periodic function in a continuous time regression model with dependent disturbances given by a general square integrable semimartingale with unknown distribution. An example of such a…
In the present work, we investigate certain algebraic and differential properties of the orthogonal polynomials with respect to a discrete-continuous Sobolev-type inner product defined in terms of the Jacobi measure.
We study Jacobi operators $J_{p}$, $p> -1$, whose eigenfunctions are Laguerre polynomials. All operators $J_{p}$ have absolutely continuous simple spectra coinciding with the positive half-axis. This fact, however, by no means imply that…
Subordinate diffusions are constructed by time changing diffusion processes with an independent L\'{e}vy subordinator. This is a rich family of Markovian jump processes which exhibit a variety of jump behavior and have found many…
We consider elliptic partial differential equations with diffusion coefficients that depend affinely on countably many parameters. We study the summability properties of polynomial expansions of the function mapping parameter values to…
The object of this paper is to investigate the certain results involving Bateman's matrix polynomials for integral index. We obtain some properties, integral representation and recurrence relations for hypergeometric matrix function. We…
Large deviation for Markov processes can be studied by Hamilton--Jacobi equation techniques. The method of proof involves three steps: First, we apply a nonlinear transform to generators of the Markov processes, and verify that limit of the…
We derive an integral representation for the Jacobi-Poisson kernel valid for all admissible type parameters $\alpha,\beta$ in the context of Jacobi expansions. This enables us to develop a technique for proving standard estimates in the…
The Jacobi system with matrix-valued coefficients and with the spectral parameter depending on a matrix-valued weight factor is considered on the full-line lattice. The scattering from the full-line lattice is expressed in terms of the…
It is proved that the eigenvalues of the Jacobi Tau method for the second derivative operator with Dirichlet boundary conditions are real, negative and distinct for a range of the Jacobi parameters. Special emphasis is placed on the…
In this paper we generalize the famous Jacobi's triple product identity, considered as an identity for theta functions with characteristics and their derivatives, to higher genus/dimension. By applying the results and methods developed in…
In this paper we obtain a set of five new transmutations of the mother formula. Further, we obtain the second set of ten exact metafunctional equations by crossbreeding on every two elements of the previous set. Elements of the last set…