HITTING PROBABILITIES AND INTERSECTIONS OF TIME-SPACE ANISOTROPIC RANDOM FIELDS

Let X^H={X^H（s）,s∈R^N₁} and X^K= {X^K（t）,t∈R^N₂} be two independent time-space anisotropic random fields with indices H ∈（0,1）^N₁ and K ∈（0,1）^N₂,which may not possess Gaussianity,and which take values in R^d with a space metric τ.Under certain general conditions with density functions defined on a bounded interval,we study problems regarding the hitting probabili...     

COUNTABLE HOMOGENEOUS MARKOV PROCESSES WITH IDENTICAL HITTING DISTRIBUTIONS

A theorem of Blumentbal； Getoor and McKean (1962) states： Let both X (t) and X^*(t) be Hunt processes, then they have identical hitting distributions if there exists a continuous random time substitute Z(t) such that X(Z(t) and X^*(t) have identical transition functions. In this paper an analogous theorem is established for countable homogeneoue Markov processes with conservative Q-matrix (in general, they are not Hunt processes),and another necessary and sufficient condition is found.     

机器不可靠且需求过程为k个泊松过程叠加的生产存贮系统

本文对机器不可靠的二阀值控制存贮水平的生产存贮系统进行了研究，一旦机器发生故障，会立即得到修理以使它重新工作；对产品的需求假设是k个复合泊松到达过程的叠加，需求量为独立同分布的随机变量。我们得到了存贮水平稳态分布存在的充分条件、分布函数的显性表达式，以及在稳态下系统运行的一些性能指标。     

具有马氏调制费率的复合Poisson风险模型的破产概率

对于给定的初始状态和初始分布 ,本文分别给出了条件破产概率 Ψi(u)和最终破产概率 Ψ(u)所满足的积分方程 ,并给出了零初始资产时破产概率 Ψ(0 )的明确表达式 .     

投资收益下的两类双二项风险模型的破产概率及比较

本文讨论了含投资因素的双二项风险模型,得到了破产概率表达式,并对几类相关的双二项风险模型的调节系数及破产概率上界进行了比较.     

ON THE HITTING PROBABILITY AND POLARITY FOR A CLASS OF SELF-SIMILAR MARKOV PROCESSES

1IntroductionSelf-similarMarkoyprocesseson(0,co)wereintroducedbyLamperti[ZI.AnormalMarkovprocessX=(fi,F,R,Xt,ot,p")withstatespace(0,co)iscalledself-similarMarkovprocessoforderorjor>0,ifitstransitionfunctionPt(x,A)satisfiesPt(x,A)=Pa,(a"x,a"A)Vt>9,a>0,x>0,AEB(0,co).Itwasshownin[2]and[11]thateveryself-similarMarkovprocesson(0,co)automaticllyisstronglyMarkovianandhasanicepath",soitisaHuntprocessinthesenseof[1].Thefractalpropertiesoftheprocesseswerestudiedin[6]and[8].TheitoExcursiontheor…     

多维随机过程首中时的强正相依性

研究多维随机过程X^-(t)的首中时的SPD相依结构,拓展了Ebrahimi等关于POD（Positively Orthant Dependent)和作者关于SPOD（Strongly Positively Orthant Dependent)的某些结果。刻划SPD的另一特征,还给出最大无穷可分过程首中时之间的SPD性质及其首中时向量（r1(U1),r2(U2))联合分布的下界（其中Ui是增Borel集,i=1,2)。     

ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES

This article considers a risk model as in Yuen et al. (2002). Under this model the two claim number processes are correlated. Claim occurrence of both classes relate to Poisson and Erlang processes. The formulae is derived for the distribution of the surplus immediately before ruin, for the distribution of the surplus immediately after ruin and the joint distribution of the surplus immediately before and after ruin. The asymptotic property of these ruin functions is also investigated.     

各向异性加权Herz空间及其分解(英文)

本文给出了各向异性加权Herz空间的概念.借助于加权中心块的定义,得到了该空间的分解.     

相依索赔Poisson风险模型的Cramer-Lundberg逼近(英文)

本文考虑一类具有相依索赔的Poisson风险模型.利用无穷小方法,得到了破产概率的Cramer-Lundberg逼近及其精确表达式.     

不同分布NA列加权和的强极限定理及其在线性模型中的应用

本文讨论了不同分布ＮＡ列Ｓｔｏｕｔ型加权和的完全收敛性和强稳定性，推广并改进了Ｓｔｏｕｔ关于ｉｉｄ列的相应结果，从而将赵林城关于独立误差的方差估计的强收敛速度的理想结果推广到ＮＡ误差的场合。     

以O为吸引壁的生灭过程爆发前后的若干性质

研究以 0为吸引壁的生灭过程爆发后的若干性质     

单纯形上加权K—泛函与光滑模的等价性及其应用

本文首先讨论了高维单纯形上一类加权Ｋ－泛函与光滑模的等价性。然后作为应用，给出了高维单纯形上多元Ｂｅｒｎｓｔｅｉｎ算子加权逼近的特征刻划。     

Markov骨架过程积分型泛函的分布和矩及其应用举例

侯振挺等^[1]引入了一类具有广泛应用前景的随机过程－Markov骨架过程,本文研究这类过程积分型泛函的分布和矩及其计算问题,作为应用,我们得到了Doob过程,生灰2过程积分型泛函的分布和矩的公式,尤其对于生灭过程,利用本文的方法也得到了[4]中定理1－3的结果。     

CALCULATIONS OF RUIN PROBABILITIES CONCERNING WITH CLAIM OCCURRENCES

In this article, we consider the perturbed classical surplus model. We study the probability that ruin occurs at each instant of claims, the probability that ruin occurs between two consecutive claims occurrences, as well as the distribution of the ruin time that lies in between two consecutive claims. We give some finite expressions depending on derivatives for Laplace transforms, which can allow computation of the probabilities concerning with claim occurrences. Further, we present some insight on the shapes of probability functions involved.     

ABSOLUTE CONTINUITIES OF EXIT MEASURES AND TOTAL WEIGHTED OCCUPATION TIME MEASURES FOR SUPER-α-STABLE PROCESSES

Suppose X is a super-α-stable process in Rd, (0<α<2), whose branching rate function is dt, and branching mechanism is of the form ■(z) = z1 β(0 <β≤1). Let Xr and Yr denote the exit measure and the total weighted occupation time measure of X in a bounded smooth domain D, respectively. The absolute continuities of Xτ and Yτ are discussed.     

LOCAL TIME ANALYSIS OF ADDITIVE LEVY PROCESSES WITH DIFFERENT L(E)VY EXPONENTS

Let X1 XN be independent, classical Levy processes on R^d with Levy exponents ψ1,…, ψN, respectively. The corresponding additive Levy process is defined as the following N-parameter random field on R^d, X（t） △= X1（t1） ＋ ... ＋ XN（tN）, At∈N. Under mild regularity conditions on the ψi＇s, we derive estimate for the local and uniform moduli of continuity of local times of X = {X（t）; t ∈R^N}.     

关于不同分布两两NQD列的Jamison型加权乘积和的强稳定性

本文讨论了不同分布两两ＮＱＤ列的Ｊａｍｉｓｏｎ型加权乘积和的强稳定性及乘积和的Ｍａｒｃｉｎｋｉｅｗｉｃｚ型强大数律,推广并改进了Ｅｔｅｍａｄｉ［１］关于不同分布两两独立列部分和的工作及Ｍａｔｕｌａ［２］,王岳宝等［３］关于同分布两两ＮＱＤ列部分和的工作．     

关于不同分布两两NQD列的Jamison型加权乘积和的强稳定性

本文讨论了不同分布两两NQD列的Jamison型加权乘积和的强稳定性及乘积和的Marcinkiewicz型强大数律,推广并改进了Etemadi[1]关于不同分布两两独立列部分和的工作及Matula[2],王岳宝等[3]关于同分布两两NQD列部分和的工作.     

带随机过程的随机规划问题最优解集的过程特性与稳定性

本文证明了带随机过程的随机规划问题最优解集做为集值随机过程的可测性、可测最优解选择过程的存在性。研究了最优解集过程的平稳性、马氏性以及最优值过程的鞅性和最优解集过程的集值鞅性。最后，讨论了在有限维分布意义下最优解集过程对所含随机过程参数的连续性以及最优值过程的稳定性。