A Class of Ruin Probability Mo del with Dep endent Structure

In this paper, we study a class of ruin problems, in which premiums and claims are dependent. Under the assumption that premium income is a stochastic process, we raise the model that premiums and claims are dependent, give its numerical characteristics and the ruin probability of the individual risk model in the surplus process. In addition, we promote the number of insurance policies to a Poisson process with parameter λ, using martingale methods to obtain the upper bound of the ultimate ruin probability.     

Probability Inequalities for Extended Negatively Dep endent Random Variables and Their Applications

Some probability inequalities are established for extended negatively dependent （END） random variables. The inequalities extend some corresponding ones for negatively associated random variables and negatively orthant dependent random variables. By using these probability inequalities, we further study the complete convergence for END random variables. We also obtain the convergence rate O（n-1/2 ln1/2 n） for the strong law of large numbers, which generalizes and improves the corresponding ones for some known results.     

On the Strong Rates of Convergence for Arrays of Rowwise Extended Negatively Dependent Random Variables

A general result on the strong convergence rate and complete convergence for arrays of rowwise extended negatively dependent random variables is established. As applications, some well-known results on negatively dependent random variables can be easily extended to the case of arrays of rowwise extended negatively dependent random variables.     

Convergence of Markov decision processes with constraints and state-action dependent discount factors

This paper is concerned with the convergence of a sequence of discrete-time Markov decision processes(DTMDPs)with constraints,state-action dependent discount factors,and possibly unbounded costs.Using the convex analytic approach under mild conditions,we prove that the optimal values and optimal policies of the original DTMDPs converge to those of the"limit"one.Furthermore,we show that any countablestate DTMDP can be approximated by a sequence of finite-state DTMDPs,which are constructed using the truncation technique.Finally,we illustrate the approximation by solving a controlled queueing system numerically,and give the corresponding error bound of the approximation.     

Two Dimensional Cahn-Hilliard Equation with Concentration Dependent Mobility and Gradient Dependent Potential

In this paper we consider the initial boundary value problem of Cahn-Hilliard equation with concentration dependent mobility and gradient dependent potential. By the L~P type estimates and the theory of Morrey spaces,we prove the Holder continuity of the solutions.Then we obtain the existence of global classical solutions.The present work can be viewed as an extension to the previous work on the Cahn-Hilliard equation with concentration dependent mobility and potential.     

Exponential Inequalities and Complete Convergence for Extended Negatively Dependent Random Variables

Some exponential inequalities and complete convergence are established for extended negatively dependent（END） random variables. The inequalities extend and improve the results of Kim and Kim（On the exponential inequality for negative dependent sequence. Communications of the Korean Mathematical Society, 2007, 22（2）： 315-321） and Nooghabi and Azarnoosh（Exponential inequality for negatively associated random variables. Statisti- cal Papers, 2009, 50 （2）： 419-428）. We also obtain the convergence rate O（n-1/2 In1/2 n） for the strong law of large numbers, which improves the corresponding ones of Kim and Kim, and Nooghabi and Azarnoosh.     

Complete Convergence for Weighted Sums of WOD Random Variables

In this article, we study the complete convergence for weighted sums of widely orthant dependent random variables. By using the exponential probability inequality, we establish a complete convergence result for weighted sums of widely orthant dependent ran-dom variables under mild conditions of weights and moments. The result obtained in the paper generalizes the corresponding ones for independent random variables and negatively dependent random variables.     

Spreading Speeds of Time-Dependent Partially Degenerate Reaction-Diffusion Systems*

This paper is concerned with the spreading speeds of time dependent partially degenerate reaction-diffusion systems with monostable nonlinearity. By using the principal Lyapunov exponent theory, the author first proves the existence, uniqueness and stability of spatially homogeneous entire positive solution for time dependent partially degenerate reaction-diffusion system. Then the author shows that such system has a finite spreading speed interval in any direction and there is a spreading speed...     

带有Holling IV功能反应的离散半比率依赖捕食-食饵系统的持久性和全局吸引性

In this paper, we investigate a discrete semi-ratio dependent predator-prey system with Holling IV type functional response. For general nonautonomous case, sufficient conditions which ensure the permanence and the global stability of the system are obtained. Meanwhile, we discuss the existence of the positive periodic solution and global stability of the system.     

Complete Convergence for Weighted Sums of Negatively Sup eradditive Dep endent Random Variables

In the paper, the complete convergence for the maximum of weighted sums of negatively superadditive dependent(NSD, in short) random variables is investigated by using the Rosenthal type inequality. Some su?cient conditions are presented to prove the complete convergence. The result obtained in the paper generalizes some corresponding ones for independent random variables and negatively associated random variables.     

非参数回归模型下长程依赖线性过程

考虑数据相互依赖时的非参数回归模型,在作出一定假设的条件下,给出超级光滑情形时长程依赖线性过程中的重要结论,并给予相应的证明.     

负相关随机变量序列的对数律

在本文中,首先我们得到了负相关(ND)随机变量序列的指数不等式和矩不等式,然后运用这些不等式讨论了ND序列的对数律.结果,我们将独立情形下的对数律推广到ND序列情形下依然成立.     

Copula方法与相依违约研究

目前信用风险研究的重点已经从单笔债务的违约概率研究转移到多笔债务的相依违约(Dependent Defaults)研究。Copula方法是研究相依违约的重要方法。这种方法是最近几年才被应用到信用领域研究中的一种新方法。本结合代表性献对Copula方法在相依违约研究中的应用进行了探讨。探讨的内容包括Copula方法被应用于相依违约研究的原因、该方法对于相依违约建模理论的改进以及在实证应用中使用Copula方法应该注意的问题。     

非独立计数资料的内部相关性研究

本研究探讨了非独立计数资料的内部相关性的测度方法。利用多平广义线性模型 ,导出了相应三种模型的家庭和地区内部相关系数公式 ,并用 1 992年四川省病毒性肝炎血清流行病学调查资料进行了实证性分析 ,结果符合实际。这说明本文有关非独立计数资料的内部相关系数的计算方法是合理的     

一般频率依存数字最优预见伺服系统

本文研究了一般类型的频率依存数字最优预见伺服系统，给出了这类系统的设计方法．按照所给的方法，无论目标值信号与输出信号间的误差向量前附加一个什么样的有理分式形频率依存荷重，都可以针对它设计最优预见伺服系统．本文还通过数值仿真，把所得结论应用于直线电机，证明了方法的有效性．     

Z~2上相依渗流开簇的极限定理(英文)

中心极限定理, 大偏差定理和大数定律等极限定理在概率论中起着很重要的角色. 本文我们研究Z2上一类相依渗流模型. 对此模型, 我们不仅证明了其无穷开簇的存在唯一性, 而且得到了关于格点盒子类极大开簇的中心极限定理.     

History Path Dependent Optimal Control and Portfolio Valuation and Management

Regarding the evolution of financial asset prices governed by an history dependent (path dependent) dynamical system as a prediction mechanism, we provide in this paper the dynamical valuation and management of a portfolio (replicating for instance European, American and other options) depending upon this prediction mechanism (instead of an uncertain evolution of prices, stochastic or tychastic). The problem is actually set in the format of a viability/capturability theory for history dependent control systems and some of their results are then transferred to the specific examples arising in mathematical finance or optimal control. They allow us to provide an explicit formula of the valuation function and to show that it is the solution of a ``Clio Hamilton–Jacobi–Bellman' equation. For that purpose, we introduce the concept of Clio derivatives of ``history functionals' in such a way we can give a meaning to such an equation. We then obtain the regulation law governing the evolution of optimal portfolios.     

Complete Moment Convergence for the Dependent Linear Processes with Random Coefficients

In this paper, we investigate the complete moment convergence for dependent linear processes with random coefficients to form     

一类相依风险模型的破产问题

研究了一类相依的双险种风险模型,其中第一类险种的索赔到达计数过程为E lang(2)过程,第二类险种的索赔到达计数过程为其p-稀疏过程.首先通过更新论证的方法得到罚金折现期望满足的积分-微分方程,然后推导拉普拉斯变换的表达式,并就索赔额服从指数分布的情形得到了罚金折现期望的精确表达式.