Limit Theory for Moderate Deviations from a Unit Root Under Innovations with a Possibly Infinite Variance

An asymptotic theory was given by Phillips and Magdalinos (J Econom 136(1):115–130, 2007) for autoregressive time series Y _t ?=?ρY _t?1?+?u _t , t?=?1,...,n, with ρ?=?ρ _n ?=?1?+?c/k _n , under (2?+?δ)-order moment condition for the innovations u _t , where δ?>?0 when c?<?0 and δ?=?0 when c?>?0, {u _t } is a sequence of independent and identically distributed random variables, and (k _n ) _n?∈?? is a deterministic sequence increasing to infinity at a rate slower than n. In the present paper, we established similar results when the truncated second moment of the innovations $l(x)=\textsf{E} [u_1^2I\{|u_1|\le x\}]$ is a slowly varying function at ∞, which may tend to infinity as x?→?∞. More interestingly, we proposed a new pivotal for the coefficient ρ in case c?<?0, and formally proved that it has an asymptotically standard normal distribution and is nuisance parameter free. Our numerical simulation results show that the distribution of this pivotal approximates the standard normal distribution well under normal innovations.     

Modified Unit Root Tests with Nuisance Parameter Free Asymptotic Distributions

It is well-known that the asymptotic distributions of the Dickey-Fuller (DF) tests for a unit root with linear process errors are not free of nuisance parameters. In this paper, we introduce a consistent estimator for the nuisance parameters and then use it to modify the DF tests, denoted as R-tests. Under fairly mild moment and summability conditions on the errors, we show that the asymptotic distributions of the R-tests are of the same as the Dickey-Fuller distributions. In Monte Carlo experiments, the R-tests are shown to have improved size properties.     

Stochastic Asymptotic Stability of Nowak-May Model with Variable Diffusion Rates

We consider a stochastically perturbed Nowak-May model of virus dynamics within a host. We prove the global existence of unique strong solution. Using the Lyapunov method, we found sufficient conditions for the stochastic asymptotic stability of equilibrium solutions of this model.     

Asymptotic Theory for the Gamma Frailty Model with Dependent Censoring

In many clinical studies, there are two dependent event times with one of the events being terminal, such as death, and the other being nonfatal, such as myocardial infarction or cancer relapse. Morbidity can be dependently censored by mortality, but not vice versa. Asymptotic theory is developed for simultaneous estimation of the marginal distribution functions in this semi-competing risks setting. We specify the joint distribution of the event times in the upper wedge, where the nonfatal event happens before the terminal event, with the popular gamma frailty model. The estimators are based on an adaptation of the self-consistency principle. To study their properties, we employ a modification of the functional delta-method applied to Z-estimators. This approach to weak convergence leads naturally to asymptotic validity of both the nonparametric and multiplier bootstraps, facilitating inference in spite of the complexity of the limiting distribution.     

The Asymptotic Behaviour of a Stochastic 3D LANS-α Model

The long-time behaviour of a stochastic 3D LANS-α model on a bounded domain is analysed. First, we reformulate the model as an abstract problem. Next, we establish sufficient conditions ensuring the existence of stationary (steady state) solutions of this abstract nonlinear stochastic evolution equation, and study the stability properties of the model. Finally, we analyse the effects produced by stochastic perturbations in the deterministic version of the system (persistence of exponential stability as well as possible stabilisation effects produced by the noise). The general results are applied to our stochastic LANS-α system throughout the paper.     

On a Stochastic Survival Model for a System Under Randomly Variable Environment

In many cases, the survival probability of a system depends not only on the intrinsic characteristic of the system itself but also on the randomly variable external environment under which the system is being operated. In this paper we study a stochastic survival model for a system under random shock process which affects the survival of the system in a complicated way. The lifetime distribution of the system is derived, and the effect of environmental factors on the failure process of the system is also investigated.     

Investigating Asymptotic Suction Boundary Layers using a One-Dimensional Stochastic Turbulence Model

The one-dimensional turbulence model (ODT) is applied to study turbulent asymptotic suction boundary layers for a Reynolds number of Re = u_∞/v₀ = 333, where u_∞ and v₀ are the free stream and suction velocity, respectively. In here we will demonstrate that a large eddy suppression mechanism may reduce the influence of ODT model parameters, such as the viscous cut-off parameter Z. (© 2017 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

具有非线性传染率和时滞的随机SIQR计算机病毒模型的渐近行为

研究了一类具有非线性发生率和时滞的随机SIQR计算机病毒模型.首先证明了该系统具有唯一的全局正解,然后通过构造适当的Lyapunov函数并利用伊藤公式,分析了该模型的解在无病平衡点附近及地方病平衡点附近的渐近行为,最后通过数值模拟对随机系统解的渐近行为做了进一步的分析并给出了结论.     

Invariant Measures and Asymptotic Gaussian Bounds for Normal Forms of Stochastic Climate Model

The systematic development of reduced low-dimensional stochastic climate models from observations or comprehensive high dimensional climate models is an important topic for atmospheric low-frequency variability, climate sensitivity, and improved extended range forecasting. Recently, techniques from applied mathematics have been utilized to systematically derive normal forms for reduced stochastic climate models for low-frequency variables. It was shown that dyad and multiplicative triad interactions combine with the climatological linear operator interactions to produce a normal form with both strong nonlinear cubic dissipation and Correlated Additive and Multiplicative (CAM) stochastic noise. The probability distribution functions (PDFs) of low frequency climate variables exhibit small but significant departure from Gaussianity but have asymptotic tails which decay at most like a Gaussian. Here, rigorous upper bounds with Gaussian decay are proved for the invariant measure of general normal form stochastic models. Asymptotic Gaussian lower bounds are also established under suitable hypotheses.     

随机波动率模型下的单位根检验及对我国股市的实证研究

判断股市收益率波动的持续性问题通常归结为检验波动过程中是否存在着单位根。针对传统的单位根检验方法功效偏低,且检验的真实显著性水平容易失真的问题,本文采用随机波动率模型并利用改进的PP检验、KPSS检验,以及SIMEX检验方法对中国上证综合指数进行了实证研究.三种检验方法的结果都表明,股权分置改革后的上证综指收益率波动过程有单位根,波动呈现出很强的持续性.     

固定设计下一类半参数回归模型的渐近性质

对固定设计下的一类半参数回归模型yi=xiβ+g(xi)+ei,i=1,2,…,n,综合最小二乘和非参数权函数估计方法,定义了,βg的估计量β∧n,gn∧及误差方差σ2的估计量σ2n∧.在适当条件下,证明它们具有强相合性和p(2)阶平均相合性.模拟的结果表明所得结果具有优良的性质.     

Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching

A model is developed for pricing volatility derivatives, such as variance swaps and volatility swaps under a continuous‐time Markov‐modulated version of the stochastic volatility (SV) model developed by Heston. In particular, it is supposed that the parameters of this version of Heston's SV model depend on the states of a continuous‐time observable Markov chain process, which can be interpreted as the states of an observable macroeconomic factor. The market considered is incomplete in general, and hence, there is more than one equivalent martingale pricing measure. The regime switching Esscher transform used by Elliott et al. is adopted to determine a martingale pricing measure for the valuation of variance and volatility swaps in this incomplete market. Both probabilistic and partial differential equation (PDE) approaches are considered for the valuation of volatility derivatives.     

双相依结构下离散时间风险模型的破产概率渐近估计及数值模拟

本文研究了具有双相依结构及重尾索赔噪声项的离散时间风险模型的有限时间破产概率.在该模型中,索赔额服从具有独立同分布噪声项的单边线性过程;保险公司的风险投资和无风险投资导致的随机折现因子与单边线性过程的噪声项相依.保险公司单期保费收入是恒定的常数,当单边线性过程的噪声项服从重尾分布时,本文得到离散时间风险模型有限时间破产...     

A Stochastic Model for Transport of Particulate Matter in Air: An Asymptotic Analysis

A branching particle system with changes of size is considered as a model for transport of particulate matter in air. This type of model is motivated by problems arising in the context of air pollution. High-density fluctuation limits for the process recording the positions and sizes of the particles through time are presented. These results allow to compute approximate probabilities for the temporal and spatial concentrations of particles of given sizes (in particular the small-sized pollutant particles which pose a health hazard).     

A Stage-Structured Stochastic Model of Sterile Male Under Immigration

Abstract

This study deals with control of pest population in agricultural ecosystem using sterile insect technique (SIT). A three-dimensional stage-structured model of the pest under the release of sterile male has been considered. This article also considers the effect of this technique under immigration of wild insects in the control area. Moreover, the deterministic model is extended to a stochastic one allowing random fluctuations around the positive interior equilibrium. The stochastic stability properties of the model are investigated, both analytically and numerically. The thresholds of sterile males that obtained from our study might be helpful to understand and implement the technique properly.     

Experience with a Stochastic Replacement Model

This paper reports on a study initiated to check the validity of an existing six-monthly block replacement policy for a set of filling valves in a canning line. After dealing with inadequacies in the data and changing to a production-based time measure, the paper shows how a renewal function measure of the expected number of valve replacements was obtained and led to the conclusion that the current block replacement policy could not be justified.The possibility of an age-based replacement policy being of value remained. In order to model such a policy, it was necessary to reverse the usual analysis of renewal-type processes in that an estimate was required of the distribution function of time between renewals, given the renewal function.A finite optimal replacement age was found which depended upon the objective being to minimize a measure of downtime due to replacements, or operating costs attributable to replacements. Calculations were further complicated by part of the plant having a finite remaining life before being upgraded.     

Asymptotic Behavior of a Stochastic Predator-prey Model with Beddington-DeAngelis Functional Response and L\'{e}vy Jumps

A stochastic two-prey-one-predator model with Beddington-DeAngelis functional response and L\''{e}vy jumps is proposed and investigated in this paper. First of all, we prove the existence and uniqueness of the global positive solution, and stochastic ultimate boundedness of the solution. Next, under a simple assumption, by using It\^{o} formula and other important inequalities, some sufficient conditions are established to ensure the extinction and persistence in the mean of the system. The results show that neither strong white noise nor L\''{e}vy noise is conducive to the persistence of the population. Finally, the theoretical results are verified by numerical simulations.     

Existence Theory for a Stochastic Bolza Problem

The direct method is used to prove the existence of optimalopen-loop controls for stochastic optimal control problems inBolza form. Instead of requiring the control set to be compact,as previous authors have done, we impose a superquadratic growthcondition on the running cost. Degeneracy of the diffusion coefficientis allowed by this approach—in fact, the main result reducesto a well known deterministic theorem when the diffusion coefficientis zero.