双到达过程带索赔成本风险模型的破产概率

本文考虑了一种双到达过程带索赔成本的一般更新过程的风险模型,主要是运用鞅来估计该模型在初始准备资金为U0的条件下有限时间内的破产概率ψ(U0,t)的最小上界和最终破产概率ψ(U0)。     

索赔到达过程为马氏跳过程的一类风险模型

论将索赔到达点过程由Poisson点过程推广为由马氏链的跳跃点形成的点过程，保费收取由净收入随机确定，我们得到破产概率ψ（u)及条件破产概率φi(u)满足的积分方程．     

一类带有分数阶积分边值条件的分数阶微分方程的可解性(英文)

本文研究下面一类带有分数阶积分边值条件的分数阶微分方程cDα0+u(t)=f(t,u(t),cDβ0+u(t)),0相似文献   

Convergence to Diffusion Waves for Nonlinear Evolution Equations with Ellipticity and Damping, and with Different End States

In this paper, we consider the global existence and the asymptotic behavior of solutions to the Cauchy problem for the following nonlinear evolution equations with ellipticity and dissipative effects： {ψt=-（1-α）ψ-θx＋αψxx, θt=-（1-α）θ＋νψx＋（ψθ）x＋αθxx（E） with initial data （ψ,θ）（x,0）=（ψ0（x）,θ0（x））→（ψ±,θ±）as x→±∞ where α and ν are positive constants such that α 〈 1, ν 〈 4α（1 - α）. Under the assumption that ｜ψ＋ - ψ-｜ ＋ ｜θ＋ - θ-｜ is sufficiently small, we show the global existence of the solutions to Cauchy problem （E） and （I） if the initial data is a small perturbation. And the decay rates of the solutions with exponential rates also are obtained. The analysis is based on the energy method.     

拟线性蜕化抛物型方程广义解的正则性和唯一性

<正> 考虑拟线性蜕化抛物型方程的混合问题: u_t=(u~m)xx+b(u)u_x,Q:{00},(1) u(0,t)=ψ_1(t),t≥0,(2) u(1,t)=ψ_2(t),t≥0,(3) u(x,0)=u_o(x),0≤x≤1,(4) 其中m>1,u_o(x),ψ_i(t)(i=1,2)适合条件:     

一维p-Laplacian方程正解的存在性

本文考虑一维p-Laplacian非线性边值问题(ψ(u′))′+f(t,u)=0,αψ(u(0))—βψ(u′(0))=O,γψ(u(1))+δψ(u′(1))=0,其中ψ(s):=|s|~(p-2)s,P>1.通过应用Krasnoselskii锥不动点定理,建立了该问题存在多个正解的充分条件,推广并丰富了以往文献的一些结论.     

一类拟线性退化抛物方程Dirichlet问题粘性解的正则性

本文考虑下面的Dirichlet问题ut一Tr[a(x,t)D2u]+H(x,t,u,Du)=0,(x,t)∈QT=Ω×(0,T),u(x,t)=ψ(x,t), (x,t)∈ГT. (DP)利用粘性解理论证明了当H,Г满足一定条件时,(DP)的粘性解u(x,t)满足如果ψ∈Ca2,则u(x,t)∈Cα,羞;若ψ=0,则u(x,t)是Lpschitz连续的.     

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。     

以亚光滑函数为密度的柯西型积分的边界性质

本文讨论密度函数ψ（e^iθ)是亚光滑函数时，柯西型积分Φ(z)=1/2πi∫|t|=ψ（t）/t-zdt的边界性质。     

保费收入随机化的风险模型

本文推广了龚日朝(2001)的风险模型,把保费随机化,利用鞅方法讨论了保单来到过程与索赔来到过程均为Po isson过程的破产概率.接着又讨论了G erber-Sh iu期望折现函数,推导出了其满足的积分方程,以及L ap lace变换.最后利用随机游动的知识,讨论了当保单来到过程与索赔来到过程为同一更新过程时的破产概率.     

多险种场合的破产概率

本文将经典的破产模型由单险种推广到了多险种，分别讨论了各险种的索赔额均为复合Poisson过程和广义复合Poisson过程的情形，计算了两种情形下的破产概率．     

One-Dimensional Poisson Growth Models With Random and Asymmetric Growth

Suppose there is a Poisson process of points X _i on the line. Starting at time zero, a grain begins to grow from each point X _i , growing at rate A _i to the left and rate B _i to the right, with the pairs (A _i , B _i ) being i.i.d. A grain stops growing as soon as it touches another grain. When all growth stops, the line consists of covered intervals (made up of contiguous grains) separated by gaps. We show (i) a fraction 1/e of the line remains uncovered, (ii) the fraction of covered intervals which contain exactly k grains is (k–1)/k!, (iii) the length of a covered interval containing k grains has a gamma(k–1) distribution, (iv) the distribution of the grain sizes depends only on the distribution of the total growth rate A _i +B _i , and other results. Similar theorems are obtained for growth processes on a circle; in this case we need only assume the pairs (A _i , B _i ) are exchangeable. These results extend those of Daley, et al. (2000) who studied the case where A _i =B _i =1. Simulation results are given to illustrate the various theorems.     

High-Dimensional Multivariate Time Series With Additional Structure

High-dimensional multivariate time series are challenging due to the dependent and high-dimensional nature of the data, but in many applications there is additional structure that can be exploited to reduce computing time along with statistical error. We consider high-dimensional vector autoregressive processes with spatial structure, a simple and common form of additional structure. We propose novel high-dimensional methods that take advantage of such structure without making model assumptions about how distance affects dependence. We provide nonasymptotic bounds on the statistical error of parameter estimators in high-dimensional settings and show that the proposed approach reduces the statistical error. An application to air pollution in the USA demonstrates that the estimation approach reduces both computing time and prediction error and gives rise to results that are meaningful from a scientific point of view, in contrast to high-dimensional methods that ignore spatial structure. In practice, these high-dimensional methods can be used to decompose high-dimensional multivariate time series into lower-dimensional multivariate time series that can be studied by other methods in more depth. Supplementary materials for this article are available online.     

Banach空间中m-增生型变分包含解的具误差的迭代逼近

本文在Banach空间中研究一类新的增生型变分包含解的存在性及其具误差的Ishikawa迭代序列的收敛性,本文结果改进与推广了近期文献中的相应结果。     

修理工单重休假且不能修复如新的冷储备可修系统

研究两个同型部件和一个修理工组成的冷储备系统.假定部件的寿命和修理时间均为指数分布,修理工可以休假且部件不能修复如新,利用几何过程和补充变量法得到系统的可用度和可靠度,以及修理工处于休假和空闲的概率等一些可靠性指标.     

带随机跳跃的线性二次非零和微分对策问题

对于一类以布朗运动和泊松过程为噪声源的正倒向随机微分方程,在单调性假设下,给出了解的存在性和唯一性的结果.然后将这些结果应用于带随机跳跃的线性二次非零和微分对策问题之中,由上述正倒向随机微分方程的解得到了开环Nash均衡点的显式形式.     

GI／G／1单重休假随机服务系统的马氏骨架方法

文献[1]引入一类具有广泛应用前景的随机过程-Markov骨架过程。借助Markov骨架过程的方法研究GI/G/1单重休假服务系统队长，及t时刻到达顾客等待时间的瞬时概率分布。     

A Lattice-Based Smoother for Regions With Irregular Boundaries and Holes

We consider the problem of estimating a smooth function over a spatial region that is delineated by an irregular boundary and potentially contains holes within the boundary. Methods commonly used for spatial function estimation are well-known to suffer from bias along such boundaries. The estimator we propose is a kernel regression estimator, where the kernel is an approximation to a two-dimensional diffusion process contained within the region of interest. The diffusion process is approximated by the distribution of length-k random walks originating from each observation location and constrained to stay within the domain boundaries. We propose using a cross-validation criterion to find the optimal walk length k, which controls the smoothness of the resulting estimate. Simulations show that the method outperforms the soap film smoother of Wood, Bravington, and Hedley in many realistic scenarios, when data are noisy and borders are highly irregular. We illustrate the practical use of the estimator using measurements of soil manganese concentration around Port Moller, Alaska. Supplementary materials for this article are available online.     

具有修理延迟的两不同部件冷贮备系统的可靠性分析

研究了有修理延迟的两个不同部件和两个修理工组成的冷贮备系统.假定部件的工作寿命服从一般分布,故障后的延迟修理时间和修理时间均服从指数分布.利用马尔可夫更新过程、拉普拉斯变换和拉普拉斯-司梯阶变换工具,得到了系统的首次故障前时间、可用度和平均故障次数等可靠性指标.     

Non-Linear Time-Advanced Backward Stochastic Partial Differential Equations With Jumps

We prove an existence and uniqueness result for non-linear time-advanced backward stochastic partial differential equations with jumps (ABSPDEJs). We then apply our results to study a time-advanced backward type of stochastic generalized porous medium equations with jumps.