生灭过程与一维扩散过程的对数sobolev不等式

本文运用加权的Hardy不等式的方法给出了生灭过程与一维扩散过程满足对数Sobolev不等式的显式判别准则。     

一维Markov过程的Nash不等式

本文得到了生灭过程和一维扩散过程满足Nash不等式的判别准则,并证明 了对此二类过程,非常返性蕴含相应半群如下收敛速度||P(t)||1→∞≤Ct-1.同时也给 出一般马氏链满足Nash不等式的充分条件.     

一个推广的Bakry-Emery准则

对Riemann流形上一类非时齐的扩散过程,我们对其建立了类似的Bakry-Emery准则,从而建立了相应的对数Sobolev不等式。     

带干扰的一类相依风险模型

本文将古典风险模型推广为带干扰的一类相依风险模型。在此风险模型中,保单到达过程为一Pois-son过程,而索赔到达过程为保单到达过程的P-稀疏过程。利用鞅的方法得到了破产概率和Lundberg不等式。     

索赔为稀疏过程的双复合 Poisson风险模型

研究了一类风险过程,其中保费收入为复合Poisson过程,而描述索赔发生的计数过程为保单到达过程的p-稀疏过程.给出了生存概率满足的积分方程及其在指数分布下的具体表达式,得到了破产概率满足的Lundberg不等式、最终破产概率及有限时间内破产概率的一个上界和生存概率的积分-微分方程,且通过数值例子,分析了初始准备金、保费收入、索赔支付及保单的平均索赔比例对保险公司破产概率的影响.     

双险种的Cox风险模型

由于保险公司经营规模的不断扩大，险种类型的增多，用古典风险模型及其其它推广的单一险种风险模型来研究其风险经营过程存在着局限性，因而需要建立多险种的风险模型。本文研究了一类两种险种且理赔次数服从Cox过程的模型。得到了破产概率满足推广的Lundberg不等式。以及在特殊情况时ψ（0）的明确表达式。     

Cauchy测度的两类加权泛函不等式

研究了一维Cauchy分布的加权Poincaré不等式和加权log-Sobolev不等式.我们给出并证明了所给权函数的最优性,同时对不等式中的常数进行了阶的估计.     

DISCUSSIONS ON HEAT KERNEL MEASURE AND PINNED WIENER MEASURE

1. IntroductionThe log-Sobolev inequalities on loop spaces over compact Riemannian manifolds havebeen received much attention (see [1-6]). In particular, for loop group over a compact typeLie group, by replacing pinned Wiener measure with a heat kernel measure, Driver andLohrenz[2] obtained a log-Sobolev inequality without added potential.Let G be a d-dimensional compact type Lie group with unit element e and harr measuredx. Denote by g the Lie algebra of G with an Ad(G) invariant inner …     

Radon不等式的新推广

利用Ho。lder不等式、Young不等式、Chebyshev不等式、幂平均不等式建立Radon不等式的指数推广形式,得到一个具有广泛应用价值的不等式.指出文[7]中给出的关于Radon不等式的推广结果是错误的,并在本文中作了修正.     

鞅的自正则指数不等式

本文讨论了局部平方可积鞅,给出了Delyon不等式的推广形式. 这个结果对于建立鞅的自正则指数不等式有一定的意义. 本文还讨论了线性回归的一个应用.     

Functional inequality on path space over a non-compact Riemannian manifold

We prove the existence of the O-U Dirichlet form and the damped O-U Dirichlet form on path space over a general non-compact Riemannian manifold which is complete and stochastically complete. We show a weighted log-Sobolev inequality for the O-U Dirichlet form and the (standard) log-Sobolev inequality for the damped O-U Dirichlet form. In particular, the Poincaré inequality (and the super Poincaré inequality) can be established for the O-U Dirichlet form on path space over a class of Riemannian manifolds with unbounded Ricci curvatures. Moreover, we construct a large class of quasi-regular local Dirichlet forms with unbounded random diffusion coefficients on path space over a general non-compact manifold.     

Poincaré Inequality on the Path Space of Poisson Point Processes

Quasi-invariance is proved for the distributions of Poisson point processes under a random shift map on the path space. This leads to a natural Dirichlet form of jump type on the path space. Differently from the O–U Dirichlet form on the Wiener space satisfying the log-Sobolev inequality, this Dirichlet form merely satisfies the Poincaré inequality but not the log-Sobolev one.     

Modified Logarithmic Sobolev Inequalities in Discrete Settings

Motivated by the rate at which the entropy of an ergodic Markov chain relative to its stationary distribution decays to zero, we study modified versions of logarithmic Sobolev inequalities in the discrete setting of finite Markov chains and graphs. These inequalities turn out to be weaker than the standard log-Sobolev inequality, but stronger than the Poincare’ (spectral gap) inequality. We show that, in contrast with the spectral gap, for bounded degree expander graphs, various log-Sobolev constants go to zero with the size of the graph. We also derive a hypercontractivity formulation equivalent to our main modified log-Sobolev inequality. Along the way we survey various recent results that have been obtained in this topic by other researchers.      

泛函不等式及其应用

本文介绍有关泛函不等式及谱理论与马氏过程研究的若干新进展，我们首先简要回顾了两个著名不等式，即Poincare不等式与对数不等式，然后分别使用泛函不等式研究本征谱、马氏半群的收敛速度和运费不等式．     

Displacement convexity of entropy and related inequalities on graphs

We introduce the notion of an interpolating path on the set of probability measures on finite graphs. Using this notion, we first prove a displacement convexity property of entropy along such a path and derive Prékopa-Leindler type inequalities, a Talagrand transport-entropy inequality, certain HWI type as well as log-Sobolev type inequalities in discrete settings. To illustrate through examples, we apply our results to the complete graph and to the hypercube for which our results are optimal—by passing to the limit, we recover the classical log-Sobolev inequality for the standard Gaussian measure with the optimal constant.     

Harnack Inequality and Applications for Infinite-Dimensional GEM Processes

The dimension-free Harnack inequality and uniform heat kernel upper/lower bounds are derived for a class of infinite-dimensional GEM processes, which was introduced in Feng and Wang (J. Appl. Probab. 44 938–949 2007) to simulate the two-parameter GEM distributions. In particular, the associated Dirichlet form satisfies the super log-Sobolev inequality which strengthens the log-Sobolev inequality derived in Feng and Wang (J. Appl. Probab. 44 938–949 2007). To prove the main results, explicit Harnack inequality and super Poincaré inequality are established for the one-dimensional Wright-Fisher diffusion processes. The main tool of the study is the coupling by change of measures.     

Log-Sobolev inequality on non-convex Riemannian manifolds

Counterexamples are constructed to show that when the second fundamental form of the boundary is bounded below by a negative constant, any curvature lower bound is not enough to imply the log-Sobolev inequality. This indicates that in the study of functional inequalities on non-convex manifolds, the concavity of the boundary cannot be compensated by the positivity of the curvature. Next, when the boundary is merely concave on a bounded domain, a criterion on the log-Sobolev inequality known for convex manifolds is proved. Finally, when the concave part of the boundary is unbounded, a Sobolev inequality for a weighted volume measure is established, which implies an explicit sufficient condition for the log-Sobolev inequality to hold on non-convex manifolds.     

无界拉普拉斯算子下图上的泛函不等式

本文探讨图上的泛函不等式,并且在无界拉普拉斯算子的意义下,利用图的完备性和图上超压缩性的性质,证明了图上对数Sobolev不等式的成立,以及超压缩性与图上Nash不等式的等价关系.     

Hamilton-Jacobi Equations on Graph and Applications

This paper introduces a notion of gradient and an infimal-convolution operator that extend properties of solutions of Hamilton Jacobi equations to more general spaces, in particular to graphs. As a main application, the hypercontractivity of this class of infimal-convolution operators is connected to some discrete version of the log-Sobolev inequality and to a discrete version of Talagrand’s transport inequality.     

Functional inequalities for the two-parameter extension of the infinitely-many-neutral-alleles diffusion

By explicitly identifying the transition density function, we derived the super-Poincaré and super-log-Sobolev inequalities for the two-parameter extension of the infinitely-many-neutral-alleles diffusion, which in particular implies the Gross log-Sobolev inequality.