随机变量序列的大数定律及常返性定理

对一类有界独立或相依的随机变量序列|ξn|,获得了它的伯努利大数定律、波雷尔强大数定律及常返性定理.作为应用,得出了Loève专著[1]中的推广的伯努利大数定律、常返性定理,改进了[1]中的推广的波雷尔强大数定律.     

Estimating the Scale Parameter of a Lévy-stable Distribution via the Extreme Value Approach

The characteristic exponent α of a Lévy-stable law S _α (σ, β, μ) was thoroughly studied as the extreme value index of a heavy tailed distribution. For 1 < α < 2, Peng (Statist. Probab. Lett. 52: 255–264, 2001) has proposed, via the extreme value approach, an asymptotically normal estimator for the location parameter μ. In this paper, we derive by the same approach, an estimator for the scale parameter σ and we discuss its limiting behavior.      

On the Modified Crystalline Stefan Problem with Singular Data

We study the behavior of solutions of the modified Stefan problem in the plane for polygonal interfaces. We are particularly interested in a solution near a singularity of either the loss of a facet or the breaking of a facet. We establish precise regularity results if a facet disappears. We use them to establish the existence of a weak solution with singular data, i.e., when some of the zero-crystalline-curvature facets have zero length.     

Functional Limit Theorems for Multiparameter Fractional Brownian Motion

We prove a general functional limit theorem for multiparameter fractional Brownian motion. The functional law of the iterated logarithm, functional Lévy’s modulus of continuity and many other results are its particular cases. Applications to approximation theory are discussed.      

Convergence Rates in the Law of Large Numbers under Sublinear Expectations

In this note, we study convergence rates in the law of large numbers for independent and identically distributed random variables under sublinear expectations. We obtain a strong L^p-convergence version and a strongly quasi sure convergence version of the law of large numbers.     

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].      

可交换随机变量序列的随机极限定理

本文讨论了可交换随机变量序列{X_n:n≥1}的极限定理,得到了可交换随机变量序列的随机强大数律及加权和定理,并推广了文[4]中的结果.     

Rhythmic pattern formations in gels and Matalon—Packter law: A fresh perspective

The periodic precipitation pattern formation in gelatinous media is interpreted as a moving boundary problem. The time law, spacing law and width law are revisited on the basis of the new scenario. The explicit dependence of the geometric structure on the initial concentrations of the reactants is derived. Matalon—Packter law, which relates the spacing coefficient with the initial concentrations is reformulated removing many ambiguities and impractical parameters. Experimental results are discussed to establish the significance of moving boundary concept in the diffusion controlled pattern forming systems     

Evidence of a worldwide stock market log-periodic anti-bubble since mid-2000

Following our investigation of the USA Standard and Poor index anti-bubble that started in August 2000 (Quant. Finance 2 (2002) 468), we analyze 38 world stock market indices and identify 21 “bearish anti-bubbles” and six “bullish anti-bubbles”. An “anti-bubble” is defined as a self-reinforcing price trajectory with self-similar expanding log-periodic oscillations. Mathematically, a bearish anti-bubble is characterize by a power law decrease of the price (or of the logarithm of the price) as a function of time and by expanding log-periodic oscillations. We propose that bearish anti-bubbles are created by positive price-to-price feedbacks feeding overall pessimism and negative market sentiment further strengthened by inter-personal interactions. Bullish anti-bubbles are here identified for the first time. The most striking discovery is that the majority of European and Western stock market indices as well as other stock indices exhibit practically the same log-periodic power law anti-bubble structure as found for the USA S&P500 index. These anti-bubbles are found to start approximately at the same time, August 2000, in all these markets. This shows a remarkable degree of worldwide synchronization. The descent of the worldwide stock markets since 2000 is thus an international event, suggesting the strengthening of globalization.     

Nonparametric estimation and adaptive control in a class of finite Markov decision chains

We consider a class of Markov decision processes withfinite state and action spaces which, essentially, is determined by the following condition: The state space isirreducible under the action of any stationary policy. However, except by this restriction, the transition law iscompletely unknown to the controller. In this context, we find a set of policies under which thefrequency estimators of the transition law are strongly consistent and then, this result is applied to constructadaptive asymptotically discount-optimal policies.Dedicated to Professor Truman O. Lewis, on the occasion of his sixtieth birthdayThis research was supported in part by the Third World Academy of Sciences (TWAS) under Grant TWAS RG MP 898-152, and in part by the Consejo Nacional de Ciencia y Tecnología (CONACYT) under Grant A128CCOEO550 (MT-2).