Abstract. The stories told in this paper are dealing with the solution of finite, infinite, and biinfinite Toeplitz-type systems. A crucial role plays the off-diagonal decay behavior of Toeplitz matrices and their inverses. Classical results of Gelfand et al. on commutative Banach algebras yield a general characterization of this decay behavior. We then derive estimates for the approximate solution of (bi)infinite Toeplitz systems by the finite section method, showing that the approximation rate depends only on the decay of the entries of the Toeplitz matrix and its condition number. Furthermore, we give error estimates for the solution of doubly infinite convolution systems by finite circulant systems. Finally, some quantitative results on the construction of preconditioners via circulant embedding are derived, which allow to provide a theoretical explanation for numerical observations made by some researchers in connection with deconvolution problems.

In this paper we treat the two-variable positive extension problem for trigonometric polynomials where the extension is required to be the reciprocal of the absolute value squared of a stable polynomial. This problem may also be interpreted as an autoregressive filter design problem for bivariate stochastic processes. We show that the existence of a solution is equivalent to solving a finite positive definite matrix completion problem where the completion is required to satisfy an additional low rank condition. As a corollary of the main result a necessary and sufficient condition for the existence of a spectral Fejér-Riesz factorization of a strictly positive two-variable trigonometric polynomial is given in terms of the Fourier coefficients of its reciprocal. Tools in the proofs include a specific two-variable Kronecker theorem based on certain elements from algebraic geometry, as well as a two-variable Christoffel-Darboux like formula. The key ingredient is a matrix valued polynomial that appears in a parameterized version of the Schur-Cohn test for stability. The results also have consequences in the theory of two-variable orthogonal polynomials where a spectral matching result is obtained, as well as in the study of inverse formulas for doubly-indexed Toeplitz matrices. Finally, numerical results are presented for both the autoregressive filter problem and the factorization problem. Key Words: autoregressive filter, bivariate stochastic processes, two-variable positive extension, structured matrix completions, doubly-indexed Toeplitz matrix, two-variable

Abstract. Some significant quantities in mathematics and physics are most naturally expressed as the Fredholm determinant of an integral operator, most notably many of the distribution functions in random matrix theory. Though their numerical values are of interest, there is no systematic numerical treatment of Fredholm determinants to be found in the literature. Instead, the few numerical evaluations that are available rely on eigenfunction expansions of the operator, if expressible in terms of special functions, or on alternative, numerically more straightforwardly accessible analytic expressions, e.g., in terms of Painlevé transcendents, that have masterfully been derived in some cases. In this paper we close the gap in the literature by studying projection methods and, above all, a simple, easily implementable, general method for the numerical evaluation of Fredholm determinants that is derived from the classical Nyström method for the solution of Fredholm equations of the second kind. Using Gauss–Legendre or Clenshaw– Curtis as the underlying quadrature rule, we prove that the approximation error essentially behaves like the quadrature error for the sections of the kernel. In particular, we get exponential convergence for analytic kernels, which are typical in random matrix theory. The application of the method to the distribution functions of the Gaussian unitary ensemble (GUE), in the bulk and the edge scaling limit, is discussed in detail. After extending the method to systems of integral operators, we evaluate the twopoint correlation functions of the more recently studied Airy and Airy 1 processes. Key words. Fredholm determinant, Nyström’s method, projection method, trace class operators, random

this paper. We let (AP

Abstract. We characterize the spectrum of one-dimensional Jacobi operators H = aS + + a − S − + b in l 2 (Z) with quasi-periodic complex-valued algebrogeometric coefficients (which satisfy one (and hence infinitely many) equation(s) of the stationary Toda hierarchy) associated with nonsingular hyperelliptic curves. The spectrum of H coincides with the conditional stability set of H and can explicitly be described in terms of the mean value of the Green’s function of H. As a result, the spectrum of H consists of finitely many simple analytic arcs in the complex plane. Crossings as well as confluences of spectral arcs are

preconditioning and boundary conditions

Dedicated with great pleasure to Vladimir A. Marchenko on the occasion of his 80th birthday. Abstract. We characterize the spectrum of one-dimensional Schrödinger operators H = −d 2 /dx 2 + V in L 2 (R; dx) with quasi-periodic complex-valued algebro-geometric potentials V (i.e., potentials V which satisfy one (and hence infinitely many) equation(s) of the stationary Korteweg–de Vries (KdV) hierarchy) associated with nonsingular hyperelliptic curves. The corresponding problem appears to have been open since the mid-seventies. The spectrum of H coincides with the conditional stability set of H and can explicitly be described in terms of the mean value of the inverse of the diagonal Green’s function of H. As a result, the spectrum of H consists of finitely many simple analytic arcs and one semi-infinite simple analytic arc in the complex plane. Crossings as well as confluences of spectral arcs are possible and discussed as well. These

. We study spectral properties of certain families of linear second-order differential operators arising from linear stochastic differential equations. We construct a basis in the Hilbert space of square-integrable functions using modified Hermite polynomials, and obtain a representation for these operators from which their eigenvalues and eigenfunctions can be computed. In particular, we completely describe the spectrum of the Fokker-Planck operator on an appropriate invariant subspace of rapidly decaying functions. The eigenvalues of the Fokker-Planck operator provide information about the speed of convergence of the corresponding probability distribution to steady state, which is important for stochastic estimation and control applications. We show that the operator families under consideration can be realized as solutions of differential equations in the double bracket form on an operator Lie algebra, which leads to a simple expression for the flow of their eigenfunctions. 1. Intro...

Abstract. The finite section method is a classical scheme to approximate the solution of an infinite system of linear equations. We present quantitative estimates for the rate of the convergence of the finite section method on weighted ℓ p-spaces. Our approach uses recent results from the theory of Banach algebras of matrices with off-diagonal decay. Furthermore, we demonstrate that Banach algebra theory provides a natural framework for deriving a finite section method that is applicable to large classes of non-hermitian matrices. An example from digital communication illustrates the practical usefulness of the proposed theoretical framework.

A direct and inverse scattering theory on the full line is developed for a class of firstorder selfadjoint 2n x 2n systems of differential equations with integrable potential matrices. Various properties of the corresponding scattering matrices including unitarity and canonical Wiener-Hopf factorization are established. The Marchenko integral equations are derived and their unique solvability is proved. The unique recovery of the potential from the solutions of the Marchenko equations is shown. In the case of rational scattering matrices, state space methods are employed to construct the scattering matrix from a reflection coefficient and to recover the potential explicitly.