Local Functional Limit Theorems of Increments for Brownian Motion

In this paper, we present a local Csrg–Révész type functional limit theorem for increments of Brownian motion and give its convergence rate. The results also extend the functional forms of Lévy's modulus of continuity for Brownian motion.     

SPHERICAL SYMMETRIC SOLUTIONS FOR THE MOTION OF RELATIVISTIC MEMBRANES AND NULL MEMBRANES IN THE REISSNER-NORDSTRM SPACE-TIME

In this article, we concern the motion of relativistic membranes and null membranes in the Reissner-Nordstrm space-time. The equation of relativistic membranes moving in the Reissner-Nordstrm space-time is derived and some properties are discussed. Spherical symmetric solutions for the motion are illustrated and some interesting physical phenomena are discovered. The equations of the null membranes are derived and the exact solutions are also given. Spherical symmetric solutions for null membranes are just the two horizons of Reissner-Nordstrm space-time.     

A GENERAL FORM OF THE INCREMENTS OF A TWO-PARAMETER WIENER PROCESS

In this paper,we consider a general form of the increments for a two-parameter Wiener process.Both the Csorgo-Revesz‘s increments and a class of the lag increments are the special cases of this general form of increments.Our results imply the theorem that have been given by Csorgo and Revesz(1978),and some of their conditions are removed.     

Self-normalized moderate deviations for independent random variables

Let X1,X2,...be a sequence of independent random variables(r.v.s) belonging to the domain of attraction of a normal or stable law.In this paper,we study moderate deviations for the self-normalized sum ∑ni=1 Xi/Vn,p,where Vn,p =(∑ni=1 |Xi|p)1/p(p>1).Applications to the self-normalized law of the iterated logarithm,Studentized increments of partial sums,t-statistic,and weighted sum of independent and identically distributed(i.i.d.) r.v.s are considered.     

Differentiability of stochastic differential equations driven by the G-Brownian motion

In this paper,we study the differentiability of the solutions of stochastic differential equations driven by the G-Brownian motion with respect to the initial data and the parameter.     

PARAMETER ESTIMATION FOR AN ORNSTEIN-UHLENBECK PROCESS DRIVEN BY A GENERAL GAUSSIAN NOISE

In this paper,we consider an inference problem for an Ornstein-Uhlenbeck process driven by a general one-dimensional centered Gaussian process(G_t)t≥0.The second order mixed partial derivative of the covariance function R(t,s)=E[GtGs]can be decomposed into two parts,one of which coincides with that of fractional Brownian motion and the other of which is bounded by(ts)^β-1up to a constant factor.This condition is valid for a class of continuous Gaussian processes that fails to be self-similar or to have stationary increments;some examples of this include the subfractional Brownian motion and the bi-fractional Brownian motion.Under this assumption,we study the parameter estimation for a drift parameter in the Ornstein-Uhlenbeck process driven by the Gaussian noise(G_t)t≥0.For the least squares estimator and the second moment estimator constructed from the continuous observations,we prove the strong consistency and the asympotic normality,and obtain the Berry-Esséen bounds.The proof is based on the inner product's representation of the Hilbert space(h)associated with the Gaussian noise(G_t)t≥0,and the estimation of the inner product based on the results of the Hilbert space associated with the fractional Brownian motion.     

Orthogonal Matrix-Valued Wavelet Packets

In this paper, we introduce matrix-valued multiresolution analysis and matrix- valued wavelet packets. A procedure for the construction of the orthogonal matrix-valued wavelet packets is presented. The properties of the matrix-valued wavelet packets are investigated. In particular, a new orthonormal basis of L2(R, Cs×s) is obtained from the matrix-valued wavelet packets.     

PARAMETER IDENTIFICATION PROBLEM FOR A CLASS OF DISTRIBUTION PARAMETER SYSTEMS

The inverse parameter problem of the permeable law for the fracture reservoir with double poros'ty is of great importance in the exploitation of oil or gas. The total compressibility and permeability are the unknown geological parameters in the fluid motion equations. In this paper we discuss the inverse parameter problem from the point of the parameter identification of distributed parameter systems. We have considered solvability of the fluid motion equations with non-homogenous boundary value by the linear operator semi-group method, and have obtained the necessary conditions for the parameter identifiability.     

FEKETE AND SZEG INEQUALITY FOR A SUBCLASS OF STARLIKE MAPPINGS OF ORDER αON THE BOUNDED STARLIKE CIRCULAR DOMAIN IN C~n

In this article, first, we establish the Fekete and Szeg inequality for an interesting subclass of biholomorphic functions in the open unit disk U. Second, we generalize this result to the bounded starlike circular domain in C~n. The proofs of these results use some restrictive assumptions, which in the case of one complex variable are automatically satisfied.     

On the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion with integral-Lipschitz coefficients

In this paper, we study the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion （GSDEs） with integral-Lipschitz coefficients.     

两参数分数Wiener过程增量的一般形式

§1Introductionandresults A2-parameterGaussianprocess{Z(t,s);t,s≥0}iacalleda2-parameterfractional Wienerprocesswithorderα(0<α<1),ifZ(0,0)=0a.s.EZ(s,t)=0anditscovariance EZ(t1,s1)Z(t2,s2)={|t1|2α+|t2|2α-|t2-t1|2α}{|s1|2α+|s2|2α-|s2-s1|2α}/4.LetR=[x1,x2]×[y1,y2],DT={(x,y)∶0≤x,y≤bT,xy≤T}.Let0相似文献   

We like to walk on the comb

This is a brief account on how we have entertained ourselves in the last two years, that is, a summary of the results we have obtained in a joint work with E. Csáki, M. Csörg? and P. Révész on random walks on a comb.     

Limit theorems for increments of compound renewal processes

We derive universal strong limit theorems for increments of compound renewal processes which unify the strong law of large numbers, Erd?s-Rényi law, Csörg?-Révész law, and law of the iterated logarithm for such processes. New results are obtained under various moment assumptions on distributions of random variables generating the process. In particular, we study the case of distributions from domains of attraction of the normal law and completely asymmetric stable laws with index α ∈ (1, 2). Bibliography: 15 titles.     

On the limit behavior of increments of sums of independent random variables from domains of attraction of asymmetric stable distributions

The asymptotic behavior of increments of sums of independent identically distributed random variables with incremental length (logn) ^p is considered. The laws describing increments of such length are intermediate between the Csög?-Révész law (for large incremental lengths) and the Erdö-Rényi law (for small incremental lengths). A new result for random variables from the domain of normal attraction of asymmetric stable laws with parameter α ε (1, 2) is obtained.     

A strong invariance principle for negatively associated random fields

In this paper we obtain a strong invariance principle for negatively associated random fields, under the assumptions that the field has a finite (2 + δ)th moment and the covariance coefficient u(n) exponentially decreases to 0. The main tools are the Berkes-Morrow multi-parameter blocking technique and the Csörg?-Révész quantile transform method.     

Almost sure convergence of weighted partial sums

Sufficient conditions of covariance type are presented for weighted averages of random variables with arbitrary dependence structure to converge to 0, both for logarithmic and general weighting. As an application, an a.s. local limit theorem of Csáki, Földes and Révész is revisited and slightly improved.     

Local continuity modulus for wiener and infinite dimensional OU processes

In this paper, we gave a proof for the local continuity modulus theorem of the Wiener process, i.e., $$\mathop {\lim }\limits_{t \to 0} \mathop {\sup }\limits_{0 \leqslant s \leqslant t} |W(s)|/(2s\log \log (1/s))^{1/2} = 1$$ a.s. This result was given by Csörgö and Révész (1981), but the proof gets them nowhere. We also gave a similar local continuity modulus result for the infinite dimensional OU processes.     

Some Limit Theorems on the Increments of l^p-valued Multi-Parameter Gaussian Processes

In this paper, we establish some limit theorems on the increments of an l^p-valued multiparameter Gaussian process under weaker conditions than those of Csoergoe-Shao theorems published in Ann. Probab. (1993).     

A Joint Integral Test for the Locations of Extrema for Brownian Motion

Let μ⁺(t) and μ⁻(t) be the locations of the maximum and minimum, respectively, of a standard Brownian motion in the interval [0,t]. We establish a joint integral test for the lower functions of μ⁺(t) and μ⁻(t), in the sense of Paul Lévy. In particular, it yields the law of the iterated logarithm for max(μ⁺(t),μ⁻(t)) as a straightforward consequence. Our result is in agreement with well-known theorems of Chung and Erdős [(1952) Trans. Amer. Math. Soc. 72, 179–186.], and Csáki, F?ldes and Révész [(1987) Prob. Theory Relat. Fields 76, 477–497].