单死过程的向下积分型泛函

本文对有限状态空间上单死过程,研究其向下积分型泛函的分布之Laplace变换和矩以及停留时间的分布.应用这些结果,给出可数状态空间上单死过程首中时高阶矩显式表示的一个新证明,同时,得到了强遍历收敛速率的上下界估计.     

滤过过程及其二个中心极限定理

本文讨论点过程的生成泛函与累积阶乘矩测度,给出了滤过过程的两个重要中心极限定理,改进了[4]、[5]中的有关结果。     

一类超前型拟线性泛函微分方程的有界解

§1.引言对超前型泛函微分方涅,文献[1]～[6]在x(s)=ξ的初始条件下研究了它在[s, ∞)上为有界的解,本文沿用这种初值问题的提法,探讨具有非线性扰动项的超前型泛函微分方程     

滞后型泛函微分方程的有界变差解

本文研究了一类滞后型泛函微分方程的有界变差解.利用Henstock-Kurzweil积分与Schauder不动点定理,在Henstock-Kurzweil积分下,得到了这类滞后型泛函微分方程有界变差解的存在性定理,推广了一些相关的结果.     

滞后型泛函微分方程的有界变差解（英文）

本文研究了一类滞后型泛函微分方程的有界变差解.利用Henstock-Kurzweil积分与Schauder不动点定理,在Henstock-Kurzweil积分下,得到了这类滞后型泛函微分方程有界变差解的存在性定理,推广了一些相关的结果.     

布朗生灭过程及股票价格模型

本文明确地给出了一类布朗生灭过程的定义,讨论了其一维分布、积分泛函的分布和矩, 得到了递推计算公式,然后讨论了布朗生灭过程对股价模型的应用.     

二阶NFDE的非振动解的渐近性质及存在性

§1.引言 关于二阶滞后型及超前型泛函微分方程的非振动解的渐近性和存在性,已得到了许多较好的结果,其中较经典的已被写进专著[1]中。而关于二阶NFDE的非振动解的研究,所见文献还不多。目前只看到[2,3]分别讨论了方程     

非时齐Markov链泛函的弱收敛

本文考虑了非时齐Markov链泛函的弱收敛定理.本文的极限过程是一类随机积分型的随机过程.作为应用,首先考虑了单位根检验问题;其次考虑了协整回归模型中参数最小二乘估计量的渐近分布.这两类问题中,均涉及了收敛至随机积分的弱收敛定理.     

非遍历α-Brown桥过程的偏差不等式与Cramér型中偏差

考虑如下非遍历α-Brown桥过程:■, X0=0, t∈[0, T),其中, 0 <α <1/2, T∈(0,∞)固定, W={Wt:t0}是标准的Brown运动.本文利用渐近分析的技巧以及多重Wiener-It?积分的偏差性质,研究二次泛函■和■的偏差不等式和Cramér型中偏差.作为应用,本文得到对数似然率过程和参数α极大似然估计量的(自正则化)Cramér型中偏差.     

生灭过程停留时间与首达时间的分布

本文求出了生灭过程积分型泛函的分布的拉普拉斯交换.特别证明了:停留时间的精确分布是混合指数型的;适当规范化后,它的极限分布只可能属于两种类型:或者是指数型的,或者是混合指数型的;各分布中的参数也已求出,有关首达时间的结果可作为停留时间的特殊情况而推出.     

马尔可夫骨架过程的有穷维分布(英文)

在文献[1]和[2]中，我们引入了马尔可夫骨架随机过程的概念，并得到了向后方程和向前方程．同时还计算了这类过程的一维分布以及讨论了其它有关性质．在本文中，我们进一步给出马尔可夫骨架随机过程的有穷维分布的计算公式．     

Jump diffusion processes and their applications in insurance and finance

For insurance risks, jump processes such as homogeneous/non-homogeneous compound Poisson processes and compound Cox processes have been used to model aggregate losses. If we consider the economic assumption of a positive interest to aggregate losses, Lévy processes have proven to be useful. Also in financial modelling, it has been observed that diffusion models are not robust enough to capture the appearance of jumps in underlying asset prices and interest rates. As a result, jump diffusion processes, which are, simply speaking, combinations of compound Poisson processes with Brownian motion, have gained popularity for modelling in insurance and finance. In this paper, considering a jump diffusion process, we obtain the explicit expression of the joint Laplace transform of the distribution of a jump diffusion process and its integrated process, assuming that jump size follows the mixture of two exponential distributions, which is a special case of phase-type distributions. Based on this Laplace transform, we derive the moments of the aggregate accumulated claim amounts of insurance risk. For a financial application, we concern non-defaultable zero-coupon bond pricing. We also provide several numerical examples for the moments of aggregate accumulated claims and default-free zero-coupon bond prices.     

离散固定梁方程特征函数的振荡性质及其应用

该文建立了带权函数$m:[2, N+1]_\mathbb{Z}\to (0,\infty)$的离散固定梁方程$\Delta^4 u(k-2)=\lambda m(k)u(k),\ k\in[2, N+1]_\mathbb{Z}$, $u(1)=\Delta u(1)=0=u(N+2)=\Delta u(N+2)$的特征值结构和相应特征函数的振荡性质, 其中$[2,N+1]_\mathbb{Z}=\{2,3,\cdots,N+1\}$. 作为应用,当非线性项在零点和无穷远处分别满足适当的增长性条件时, 获得了相应非线性问题结点解的全局结构.     

The continuous-time triangular Pólya process

We study poissonized triangular (reducible) urns on two colors, which we take to be white and blue. We analyze the number of white and blue balls after a certain period of time has elapsed. We show that for balanced processes in this class, a different scaling is needed for each color to produce nontrivial limits, contrary to the distributions in the usual irreducible urns which only require the same scaling for both colors. The limit distributions (of the scaled variables) underlying triangular urns are Gamma. The technique we use couples partial differential equations with the method of moments applied in a bootstrapped manner to produce exact and asymptotic moments. For the dominant color, we get exact moments, while relaxing the balance condition. The exact moments include alternating signs and Stirling numbers of the second kind.     

一类三次Pisot数的一些性质

本文研究了当q〉1为三次Pisot数，利用递归的方法构造一个无穷序列，通过对此序列，得到mR[q]∩Z[q]与此序列间和mR^-[q]与mR[q]∩Z[q]之间的一些关系．     

H-矩阵的实用判定及谱分布

1引言及记号因为非奇异H-矩阵主对角元非零,所以本文总假定所涉及矩阵主对角元非零,并且设A=(aij)∈Cn×n为n阶复方阵,N={1,2,…,n}．记N1={i∈N |Pi(A)<|aii|Pi(A)}, N4={i∈N | |aii|≥Pi(A)>Ri(A)}, N5={i∈N | |aii|>Pi(A)=Ri(A)},N0={i∈N | |aii|≤Ri(A),|aii|≤Pi(A)},即N=N1∪N2∪N3∪N4∪N5∪N0．     

Approximation of inverse moments of discrete distributions

For a wide class of discrete distributions, we derive a representation of the inverse (negative) moments through the Stirling numbers of the first kind and inverse factorial moments. We specialize the results for the Poisson, binomial, hypergeometric and negative binomial distributions.     

Some limit theorems for regenerative queues

We consider a single server queue with the interarrival times and the service times forming a regenerative sequence. This traffic class includes the standard models: iid, periodic, Markov modulated (e.g., BMAP model of Lucantoni [18]) and their superpositions. This class also includes the recently proposed traffic models in high speed networks, exhibiting long range dependence. Under minimal conditions we obtain the rates of convergence to stationary distributions, finiteness of stationary moments, various functional limit theorems and the continuity of stationary distributions and moments. We use the continuity results to obtain approximations for stationary distributions and moments of an MMPP/GI/1 queue where the modulating chain has a countable state space. We extend all our results to feed-forward networks where the external arrivals to each queue can be regenerative. In the end we show that the output process of a leaky bucket is regenerative if the input process is and hence our results extend to a queue with arrivals controlled by a leaky bucket. This revised version was published online in June 2006 with corrections to the Cover Date.     

Moments of the generalized hyperbolic distribution

In this paper we demonstrate a recursive method for obtaining the moments of the generalized hyperbolic distribution. The method is readily programmable for numerical evaluation of moments. For low order moments we also give an alternative derivation of the moments of the generalized hyperbolic distribution. The expressions given for these moments may be used to obtain moments for special cases such as the hyperbolic and normal inverse Gaussian distributions. Moments for limiting cases such as the skew hyperbolic t and variance gamma distributions can be found using the same approach.     

Transient and periodic solution to the time-inhomogeneous quasi-birth death process

We derive the transient distribution and periodic family of asymptotic distributions and the transient and periodic moments for the quasi-birth-and-death processes with time-varying periodic rates. The distributions and moments are given in terms of integral equations involving the related random-walk process. The method is a straight-forward application of generating functions.