Anatoliy Malyarenko

Invariant random fields on spaces with a group action

The author describes the current state of the art in the theory of invariant random fields. This theory is based on several different areas of mathematics, including probability theory, differential geometry, harmonic analysis, and special functions. The present volume unifies many results scattered throughout the mathematical, physical, and engineering literature, as well as it introduces new results from this area first proved by the author. The book also presents many practical applications, in particular in such highly interesting areas as approximation theory, cosmology and earthquake engineering. It is intended for researchers and specialists working in the fields of stochastic processes, statistics, functional analysis, astronomy, and engineering.

Continuum mechanics beyond the second law of thermodynamics.

The results established in contemporary statistical physics indicating that, on very small space and time scales, the entropy production rate may be negative, motivate a generalization of continuum mechanics. On account of the fluctuation theorem, it is recognized that the evolution of entropy at a material point is stochastically (not deterministically) conditioned by the past history, with an increasing trend of average entropy production. Hence, the axiom of Clausius–Duhem inequality is replaced by a submartingale model, which, by the Doob decomposition theorem, allows classification of thermomechanical processes into four types depending on whether they are conservative or not and/or conventional continuum mechanical or not. Stochastic generalizations of thermomechanics are given in the vein of either thermodynamic orthogonality or primitive thermodynamics, with explicit models formulated for Newtonian fluids with, respectively, parabolic or hyperbolic heat conduction. Several random field models of the martingale component, possibly including spatial fractal and Hurst effects, are proposed. The violations of the second law are relevant in those situations in continuum mechanics where very small spatial and temporal scales are involved. As an example, we study an acceleration wavefront of nanoscale thickness which randomly encounters regions in the medium characterized by a negative viscosity coefficient.

Invariant random fields in vector bundles and application to cosmology

We develop the theory of invariant random fields in vector bundles. The spectral decomposition of an invariant random field in a homogeneous vector bundle generated by an induced representation of ...

A Random Field Formulation of Hooke’s Law in All Elasticity Classes

For each of the 8 symmetry classes of elastic materials, we consider a homogeneous random field taking values in the fixed point set V

An Optimal Series Expansion of the Multiparameter Fractional Brownian Motion

\mathsf {V}

Tensor random fields in conductivity and classical or microcontinuum theories

of the corresponding class, that is isotropic with respect to the natural orthogonal representation of a group lying between the isotropy group of the class and its normaliser. We find the general form of the correlation tensors of orders 1 and 2 of such a field, and the field’s spectral expansion.

Functional Limit Theorems for Multiparameter Fractional Brownian Motion

Abstract We derive a series expansion for the multiparameter fractional Brownian motion. The derived expansion is proven to be rate optimal.

The spectral expansion of the elasticity random field

We study the basic properties of tensor random fields (TRFs) of the wide-sense homogeneous and isotropic kind with generally anisotropic realizations. Working within the constraints of small strains, attention is given to antiplane elasticity, thermal conductivity, classical elasticity and micropolar elasticity, all in quasi-static settings albeit without making any specific statements about the Fourier and Hooke laws. The field equations (such as linear and angular momentum balances and strain–displacement relations) lead to consequences for the respective dependent fields involved. In effect, these consequences are restrictions on the admissible forms of the correlation functions describing the TRFs.

Matérn Class Tensor-Valued Random Fields and Beyond

We prove a general functional limit theorem for multiparameter fractional Brownian motion. The functional law of the iterated logarithm, functional Lévy’s modulus of continuity and many other results are its particular cases. Applications to approximation theory are discussed.

Approximation methods of European option pricing in multiscale stochastic volatility model

We consider a deformable body that occupies a region D in the plane. In our model, the body’s elasticity tensor H(x) is the restriction to D of a second-order mean-square continuous random field. Under translation, the expected value and the correlation tensor of the field H(x) do not change. Under action of an arbitrary element k of the orthogonal group O(2), they transform according to the reducible orthogonal representation k ⟼ S2(S2(k)) of the above group. We find the spectral expansion of the correlation tensor R(x) of the elasticity field as well as the expansion of the field itself in terms of stochastic integrals with respect to a family of orthogonal scattered random measures.