Stochastic flows and the C0-diffusion property

An elementary argument is used to show that the Markov semigroup of a stochastic dynamical system which has a flow consisting of diffeomorphisms necessarily preserves the space of continuous functions vanishing at infinity. In the one dimensional case this is seen to be also a sufficient condition. As a corollary there is a result proved by Kunita under slightly stronger conditions on the coefficients: a non-degenerate system on R has a flow consisting of homeomorphisms if and only if both ± ∞ are natural boundaries.     

Birthing Markov processes at random rates

Summary This paper studies processes constructed by birthing the trajectories of a given Markov process along time according to random probabilities. Getoor has considered the case where the random probabilities are determined by comultiplicative functionals and proved for right processes that the post-birth process has the Markov property. Here randomizations of comultiplicative functionals are described which give rise to conditionally Markov processes. The main argument is developed for general Markov processes and the transition probabilities of the new process, including those from the pre-birth state, are explicited.     

On some applications of Wald's identity to dams

It is known that the main difficulty in applying the Markovian analogue of Wald's Identity is the presence, in the Identity, of the last state variable before the random walk is terminated. In this paper we show that this difficulty can be overcome if the underlying Markov chain has a finite state space. The absorption probabilities thus obtained are used, by employing a duality argument, to derive time-dependent and limiting probabilities for the depletion process of a dam with Markovian inputs.The second problem that is considered here is that of a non-homogeneous but cyclic Markov chain. An analogue of Wald's Identity is obtained for this case, and is used to derive time- dependent and limiting probabilities for the depletion process with inputs forming a non- homogeneous (cyclic) Markov chain.     

常利率下Cox风险过程的罚金折现期望函数

本文考虑了常利率环境下Cox风险模型的罚金折现期望值，利用后向差分法，得到了条件期望值与平稳情形时的期望值分别所满足的积分方程．并且，给出了一个强度过程为二状态马尔可夫过程及索赔服从指数分布的例子．     

Moderate deviations for Markov chains with atom

We obtain in this paper moderate deviations for functional empirical processes of general state space valued Markov chains with atom under weak conditions: a tail condition on the first time of return to the atom, and usual conditions on the class of functions. Our proofs rely on the regeneration method and sharp conditions issued of moderate deviations of independent random variables. We prove our result in the nonseparable case for additive and unbounded functionals of Markov chains, extending the work of de Acosta and Chen (J. Theoret. Probab. (1998) 75–110) and Wu (Ann. Probab. (1995) 420–445). One may regard it as the analog for the Markov chains of the beautiful characterization of moderate deviations for i.i.d. case of Ledoux 1992. Some applications to Markov chains with a countable state space are considered.     

Large Deviations from a Stationary Measure for a Class of Dissipative PDEs with Random Kicks

We study a class of dissipative PDEs perturbed by a bounded random kick force. It is assumed that the random force is nondegenerate, so that the Markov process obtained by the restriction of solutions to integer times has a unique stationary measure. The main result of the paper is a large deviations principle for occupation measures of the Markov process in question. The proof is based on Kifer's large‐deviation criterion, a coupling argument for Markov processes, and an abstract result on large‐time asymptotic for generalized Markov semigroups.© 2015 Wiley Periodicals, Inc.     

Generalized lot sentencing rule for estimating the value of production lot for sale

In the traditional lot sentencing rule, a buyer arrives to one of two decisions regarding lot disposition; either accept or reject a lot. However, it is more appropriate to consider choices between those two extreme decisions. A clear case where the traditional lot sentencing rule is not flexible is when a buyer purchases a lot from an English auction. In this paper, we propose a model that helps a buyer in estimating the value of a production lot. This model can be used by a bidder before the bidding process starts to estimate the value of an auctioned lot. The model provides an action plan that includes the estimated acquisition cost as a function of the number of defective items found in a random sample. Unlike the traditional lot sentencing rule, the proposed rule is more flexible and provides buyers with wider range of possible actions.     

Regenerative simulation of TES processes

Regenerative simulation has become a familiar and established tool for simulation-based estimation. However, many applications (e.g., traffic in high-speed communications networks) call for autocorrelated stochastic models to which traditional regenerative theory is not directly applicable. Consequently, extensions of regenerative simulation to dependent time series is increasingly gaining in theoretical and practical interest, with Markov chains constituting an important case. Fortunately, a regenerative structure can be identified in Harris-recurrent Markov chains with minor modification, and this structure can be exploited for standard regenerative estimation. In this paper we focus on a versatile class of Harris-recurrent Markov chains, called TES (Transform-Expand-Sample). TES processes can generate a variety of sample paths with arbitrary marginal distributions, and autocorrelation functions with a variety of functional forms (monotone, oscillating and alternating). A practical advantage of TES processes is that they can simultaneously capture the first and second order statistics of empirical sample paths (raw field measurements). Specifically, the TES modeling methodology can simultaneously match the empirical marginal distribution (histogram), as well as approximate the empirical autocorrelation function. We explicitly identify regenerative structures in TES processes and proceed to address efficiency and accuracy issues of prospective simulations. To show the efficacy of our approach, we report on a TES/M/1 case study. In this study, we used the likelihood ratio method to calculate the mean waiting time performance as a function of the regenerative structure and the intrinsic TES parameter controlling burstiness (degree of autocorrelation) in the arrival process. The score function method was used to estimate the corresponding sensitivity (gradient) with respect to the service rate. Finally, we demonstrated the importance of the particular regenerative structure selected in regard to the estimation efficiency and accuracy induced by the regeneration cycle length.     

马尔可夫过程H-值可加泛函的向前向后鞅分解

本文研究了马尔可夫H-值可加泛函的向前向后鞅分解.利用Lyons-Meyer-Zheng鞅分解得到了泛函数极限定理所必需的极大不等式和紧性结果,在最小条件限度内得到了马尔可夫过程经验测度的泛函中心极限定理,将该定理从实值情形推广到了希尔伯特值情形.     

Analytical solutions to Stokes-type flows of inhomogeneous fluids

In this paper, we study the unsteady motion of an inhomogeneous incompressible viscous fluid, where the viscosity varies spatially according to various models. We study the Stokes-type flow for these types of fluids where in the first case the flow between two parallel plates is examined with one of the plates oscillating and in the second case when the flow is caused by a pulsatile pressure gradient. A general argument establishes the existence of oscillatory solutions to our problem. Exact solutions are obtained in terms of some special functions and comparisons are made with the cases of constant viscosity and the slow flow regimes.     

高阶马尔可夫链的降阶模型及其应用

本文通过对传统高阶马尔可夫链模型的状态空间进行阶数重构,导出一个在重构状态空间上的降阶马尔可夫模型。理论分析证明,降阶马尔可夫链模型不但可以描述传统高阶马尔可夫链模型的全部性态,更能表达较传统模型细微的随机结构。然后,应用降阶模型对我国股票指数的动态变化进行实证分析,讨论了阶数的选取和高阶马尔可夫性检验,分析了股票市场内在波动结构。最后,对股指序列作出短期与长期的预测分析。     

Local convergence of the (exact and inexact) iterative aggregation method for linear systems and Markov operators

Summary. The iterative aggregation method for the solution of linear systems is extended in several directions: to operators on Banach spaces; to the method with inexact correction, i.e., to methods where the (inner) linear system is in turn solved iteratively; and to the problem of finding stationary distributions of Markov operators. Local convergence is shown in all cases. Convergence results apply to the particular case of stochastic matrices. Moreover, an argument is given which suggests why the iterative aggregation method works so well for nearly uncoupled Markov chains, as well as for Markov chains with other zero-nonzero structures. Received May 25, 1991/Revised version received February 23, 1994     

Markov regime-switching quantile regression models and financial contagion detection

In this paper, we propose a Markov regime-switching quantile regression model, which considers the case where there may exist equilibria jumps in quantile regression. The parameters are estimated by the maximum likelihood estimation (MLE) method. A simulation study of this new model is conducted covering many scenarios. The simulation results show that the MLE method is efficient in estimating the model parameters. An empirical analysis is also provided, which focuses on the detection of financial crisis contagion between United States and some European Union countries during the period of sub-prime crisis from the angle of financial risk. The degree of financial contagion between markets is subsequently measured by utilizing the quantile regression coefficients. The empirical results show that in a crisis situation, the interdependence between United States and European Union countries dramatically increases.     

Natural Boundaries for Solutions to a Certain Class of Functional Differential Equations

This paper is concerned with a generalization of a functional differential equation known as the pantograph equation. The pantograph equation contains a linear functional argument. In this paper we generalize this functional argument to include nonlinear polynomials. In contrast to the entire solutions generated by the pantograph equation for the retarded case, we show that in the nonlinear case natural boundaries occur. These boundaries are linked to the Julia set of the polynomial functional argument.     

Negotiation,preferences over agreements,and the core

We analyze conditions under which negotiated agreements are efficient from the point of view of every possible coalition of negotiators. The negotiators have lexicographic preferences over agreements they reach. Their utility is the first criterion. The coalition reaching an agreement is the second criterion. In the analyzed non-cooperative discrete time bargaining game Γ the players bargain about the choice from the sets of utility vectors feasible for coalitions in a given NTU game (N, V). If Γ has a Markov perfect equilibrium, then the set of equilibrium utility vectors in Markov perfect equilibria in it equals the core of (N, V). I thank an anonymous referee, an anonymous Associate Editor, and the Editor for their comments that helped me to improve the paper. The research reported in this paper was supported by the Grant VEGA 1/1223/04 of the Ministry of Education of the Slovak Republic.     

Sequential share bargaining

This paper presents a new extension of the Rubinstein-St?hl bargaining model to the case with n players, called sequential share bargaining. The bargaining protocol is natural and has as its main feature that the players’ shares in the surplus are determined sequentially rather than simultaneously. The protocol also assumes orderly voting, a restriction on the order in which players respond to a proposal. The bargaining protocol requires unanimous agreement for proposals to be implemented. Unlike all existing bargaining protocols with unanimous agreement, the resulting game has unique subgame perfect equilibrium utilities for any value of the discount factor. The result builds on the analysis of so-called one-dimensional bargaining problems. We show that also one-dimensional bargaining problems have unique subgame perfect equilibrium utilities for any value of the discount factor.     

Mathematics Majors' Perceptions of Conviction,Validity, and Proof

In this paper, 28 mathematics majors who completed a transition-to-proof course were given 10 mathematical arguments. For each argument, they were asked to judge how convincing they found the argument and whether they thought the argument constituted a mathematical proof. The key findings from this data were (a) most participants did not find the empirical argument in the study to be convincing or to meet the standards of proof, (b) the majority of participants found a diagrammatic argument to be both convincing and a proof, (c) participants evaluated deductive arguments not by their form but by their content, but (d) participants often judged invalid deductive arguments to be convincing proofs because they did not recognize their logical flaws. These findings suggest improving undergraduates' comprehension of mathematical arguments does not depend on making undergraduates aware of the limitations of empirical arguments but instead on improving the ways in which they process the arguments that they read.     

Calculation of traffic flow breakdown probability to optimize link throughput

Traffic breakdown phenomenon is prevalent in empirical traffic system observations. Traffic flow breakdown is usually defined as an amount of sudden drop in traffic flow speed when traffic demand exceeds capacity. Modeling and calculating traffic flow breakdown probability remains an important issue when analyzing the stability and reliability of transportation system. The breakdown mechanism is still mysterious to practitioners and researchers in varying manner. Treating breakdown as a random event, this paper use discrete time Markov chain (DTMC) to model traffic state transition path, as a result, a transition probability matrix can be generated from empirical observations. From empirical analysis of breakdown, we found this formulation of breakdown probability follows the Zipf distribution. Therefore, a connection from traffic flow breakdown probability to how many vehicles are occupying a certain freeway segment (e.g. a link) will be established. Following from the results, a quantitative measure of breakdown probability can be obtained to optimize ramp metering rates to achieve optimum system performance measures.     

Convergence of locally and globally interacting Markov chains

We study the long run behaviour of interactive Markov chains on infinite product spaces. In view of microstructure models of financial markets, the interaction has both a local and a global component. The convergence of such Markov chains is analyzed on the microscopic level and on the macroscopic level of empirical fields. We give sufficient conditions for convergence on the macroscopic level. Using a perturbation of the Dobrushin–Vasserstein contraction technique we show that macroscopic convergence implies weak convergence of the underlying Markov chain. This extends the basic convergence theorem of Vasserstein for locally interacting Markov chains to the case where an additional global component appears in the interaction.