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Jacek Wszoła

Publications and source records attributed to Jacek Wszoła.

7 recordsLinked to original sources

Dirichlet--Neumann bracketing for nonlocal operators

We establish Dirichlet--Neumann bracketing for the Dirichlet eigenvalues of $ψ(-Δ)$ on bounded Lipschitz domains, where $ψ$ is an arbitrary complete Bernstein function. The eigenvalues lie between $ψ$ applied to the corresponding Neumann and Dirichlet eigenvalues of the Laplacian. Both inequalities are strict whenever $ψ$ admits no meromorphic continuation to $\mathbb C \setminus \{0\}$. The proof uses quadratic forms, operator monotonicity, and an analysis of equality in resolvent comparisons. Applying the bracketing to intervals and balls gives a unified proof of simplicity of interval eigenvalues and antisymmetry of second eigenfunctions in balls under the same condition on $ψ$. For fractional powers, these recover results of Fall, Ghimenti, Micheletti and Pistoia for the interval, and of Fall, Feulefack, Temgoua and Weth and, independently, Benedikt, Bobkov, Dhara and Girg for the ball. The argument extends these conclusions to a broader class of nonlocal operators.

math.SP

Generalised eigenvector expansion of infinite Toeplitz matrices with absolutely/completely monotone entries

We study the spectral theory of infinite Toeplitz matrices $T = (a_{k - l})$ under the assumption that $(a_k)$ and $(a_{-k})$ are completely monotone sequences. We derive expressions for generalised eigenvectors and prove a generalised eigenvector expansion of $T$. Even if the matrix $T$ is not normal, our expressions involve only eigenvalues and eigenvectors with real entries.

math.SP

Design and valuation of multi-region CoCoCat bonds

This paper introduces a novel multidimensional insurance-linked instrument: a contingent convertible bond (CoCoCat bond) whose conversion trigger is activated by predefined natural catastrophes across multiple geographical regions. We develop such a model explicitly accounting for the complex dependencies between regional catastrophe losses. Specifically, we explore scenarios ranging from complete independence to proportional loss dependencies, both with fixed and random loss amounts. Utilizing change-of-measure techniques, we derive risk-neutral pricing formulas tailored to these diverse dependence structures. By fitting our model to real-world natural catastrophe data from Property Claim Services, we demonstrate the significant impact of inter-regional dependencies on the CoCoCat bond's pricing, highlighting the importance of multidimensional risk assessment for this innovative financial instrument.

q-fin.PR

Two-sided bell-shaped sequences

A nonnegative real function f is bell-shaped if it converges to zero at plus and minus infinity and the nth derivative of f changes sign n times for every n = 0, 1, 2, ... Similarly, a two-sided nonnegative sequence a(k) is bell-shaped if it converges to zero at plus and minus infinity and the nth iterated difference of a(k) changes sign n times for every n = 0, 1, 2, ... A characterisation of bell-shaped functions was given by Thomas Simon and the first named author, and recently a similar result for one-sided bell-shaped sequences was found by the authors. In the present article we give a complete description of two-sided bell-shaped sequences. Our main result proves that bell-shaped sequences are convolutions of Pólya frequency sequences and what we call absolutely monotone-then-completely monotone sequences, and it provides an equivalent, and relatively easy to verify, condition in terms of holomorphic extensions of the generating function. We also prove that if f is a bell-shaped function, then f(k) is a bell-shaped sequence.

math.CA

First passage locations for two-dimensional lattice random walks and the bell-shape

Let $(X_n, Y_n)$ be a two-dimensional diagonal random walk on the lattice $\mathbb{Z}^2$, with transition probabilities depending only on the position of $Y_n$. In this paper, we study its first passage locations $X(τ_a)$, where $τ_a$ is the first time $Y_n$ hits level $a \in \mathbb{Z}$. We prove that the probability mass function of appropriately rescaled $X(τ_a)$ is a convolution of geometric sequences, two-point sequences and an $\mathscr{AM}$-$\mathscr{CM}$ (absolutely monotone then completely monotone) sequence. In particular, rescaled first passage locations have bell-shaped distributions. In order to prove our results, we introduce and study two new classes of rational functions with alternating zeros or poles. We also prove analogous theorems for standard random walks on the lattice $\mathbb{Z}^2$ and random walks on the honeycomb lattice.

math.PR

On the interior Bernoulli free boundary problem for the fractional Laplacian on an interval

We study the structure of solutions of the interior Bernoulli free boundary problem for $(-Δ)^{α/2}$ on an interval $D$ with parameter $λ> 0$. In particular, we show that there exists a constant $λ_{α,D} > 0$ (called the Bernoulli constant) such that the problem has no solution for $λ\in (0,λ_{α,D})$, at least one solution for $λ= λ_{α,D}$ and at least two solutions for $λ> λ_{α,D}$. We also study the interior Bernoulli problem for the fractional Laplacian for an interval with one free boundary point. We discuss the connection of the Bernoulli problem with the corresponding variational problem and present some conjectures. In particular, we show for $α= 1$ that there exist solutions of the interior Bernoulli free boundary problem for $(-Δ)^{α/2}$ on an interval which are not minimizers of the corresponding variational problem.

math.AP

Bell-shaped sequences

A nonnegative real function $f$ is said to be bell-shaped if it converges to zero at $\pm\infty$ and the $n$th derivative of $f$ changes sign $n$ times for every $n = 0, 1, 2, \ldots$ In a similar way, we may say that a nonnegative sequence $a_k$ is bell-shaped if it converges to zero and the $n$th iterated difference of $a_k$ changes sign $n$ times for every $n = 0, 1, 2, \ldots$ Bell-shaped functions were recently characterised by Thomas Simon and the first author. In the present paper we provide an analogous description of bell-shaped sequences. More precisely, we identify bell-shaped sequences with convolutions of Pólya frequency sequences and completely monotone sequences, and we characterise the corresponding generating functions as exponentials of appropriate Pick functions.

math.CA